HSBC to price step-up notes linked to basket of six indexes

By Angela McDaniels

Tacoma, Wash., April 1 – HSBC USA Inc. plans to price 0% market-linked step-up notes due April 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the S&P/ASX 200 index with a 7.5% weight, the Swiss Market index with a 7.5% weight and the Hang Seng index with a 5% weight.

If the final basket level is greater than the step-up value, the payout at maturity will be par of $10 plus the basket return.

If the final basket level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment.

If the final basket level is less than the initial level, investors will have one-to-one exposure to the decline.

The step-up value is expected to be 110% to 116% of the initial basket level, and the step-up payment is expected to be 10% to 16%. Both will be set at pricing.

BofA Merrill Lynch is the agent.

The notes will price and settle in April.

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