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HSBC plans autocallable yield notes linked to S&P 500, Russell 2000
By Jennifer Chiou
New York, Feb. 23 – HSBC USA Inc. plans to price floating-rate autocallable yield notes due March 2020 linked to the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.
Interest will be payable quarterly at Libor plus a spread of at least 200 bps per year. The exact spread will be set at pricing.
The notes will be callable at par if each index closes at or above its initial level on any annual call observation date beginning in March 2016.
The payout at maturity will be par unless either index finishes below its trigger level, 50% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index.
The notes (Cusip: 40433BB56) will price and settle in March.
The estimated initial value of the notes is expected to be between $920 and $960 per $1,000 principal amount.
HSBC Securities (USA) Inc. is the agent.
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