HSBC plans contingent income autocallable notes linked to Valero

By Marisa Wong

Morgantown, W.Va., Sept. 11 – HSBC USA Inc. plans to price contingent income autocallable securities due Sept. 26, 2016 linked to Valero Energy Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

If the stock closes at or above the 70% downside threshold level on a quarterly determination date, the notes will pay a contingent payment at an annualized rate of 10.6% for that quarter.

The notes will be called at par of $10 plus the contingent coupon if the stock closes at or above the initial share price on any of the first three determination dates.

If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will be fully exposed to any losses.

HSBC Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes will price on Sept. 18 and settle on Sept. 23.

The Cusip number is 40434K842.

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