HSBC plans three-year market-linked step-up autocallables on Russell

By Susanna Moon

Chicago, Oct. 7 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due October 2019 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at an annual call premium of 10% to 11% if the index closes at or above its initial level on either annual observation date. The exact call premium will be set at pricing.

If the index finishes above the step-up value – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

The notes will price and settle in October.

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