HSBC plans to price autocallable step-up notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 20 – HSBC USA Inc. plans to price 0% autocallable market-linked step-up notes due November 2020 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium of 6% to 7% per year if the index closes at or above the initial index level on any of four annual observation dates. The exact premium will be set at pricing.

If the notes are not called and the final index level is greater than the step-up value, 130% of the initial index level, the payout at maturity will be par plus the index return.

If the final index 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, 30%.

If the final index level is less than the initial level by up to 15%, the payout will be par.

Investors will lose 1% for every 1% that the index declines beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price in November and settle in December.

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