HSBC plans market-linked step-up autocallables tied to Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Aug. 3 – HSBC USA Inc. plans to price 0% autocallable market-linked step-up notes due August 2018 linked to the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The notes will be called at par plus a call premium of 8.5% to 9.5% per year if the index is flat or increases above the initial level on either of two annual observation dates.

If the notes are not called and the index finishes above the step-up value, 125% of the initial value, the payout at maturity will be par of $10 plus the index return. If the index is flat or increases up to the step-up value, the payout will be par plus the 25% step-up payment.

Investors will be fully exposed to any losses.

The exact terms will be set at pricing.

The notes are expected to price in August and settle in September.

BofA Merrill Lynch is the agent.

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