HSBC plans three-year market-linked step-up notes tied to Russell 2000

By Susanna Moon

Chicago, Oct. 10 - HSBC USA Inc. plans to price market-linked step-up notes due October 2016 linked to the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If the index finishes at or above the step-up value - 115% of the initial level - the payout at maturity will be par of $10.00 plus 105% to 125% of any index gain. The exact participation rate will be set at pricing.

If the index finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of $1.50 per note.

Investors will be fully exposed to any losses.

Bank of America Merrill Lynch is the agent.

The notes will price and settle in October.

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