HSBC plans three-year market-linked step-up autocallables on S&P 500

By Devika Patel

Knoxville, Tenn., Aug. 17 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due August 2019 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at an annual call premium of 7.5% to 8.5% if the index closes at or above its initial level on either of the two annual observation dates. The exact call premium will be set at pricing.

If the index finishes above the step-up value – 125% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index is unchanged or gains by up to the step-up level, the payout will be par plus the step-up payment of 25%.

Investors will lose 1% for each 1% decline.

Merrill Lynch & Co. is the agent.

The notes will price in August and settle in September.

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