HSBC plans three-year market-linked step-up notes tied to index basket

By Susanna Moon

Chicago, Oct. 6 – HSBC USA Inc. plans to price market-linked step-up notes due October 2017 linked to a basket of indexes, according to an FWP with the Securities and Exchange Commission.

The basket consists of the Russell 2000 index with an initial weight of 33.34% and the Euro Stoxx 50 index and the MSCI Emerging Markets index each with an initial weight of 33.33%.

If the basket finishes at or above the step-up value – 122% to 128% of the initial level – the payout at maturity will be par of $10.00 plus the gain.

If the basket finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of 22% to 28%.

Investors will be fully exposed to any losses.

BofA Merrill Lynch is the agent.

The notes will price and settle in October.

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