HSBC plans autocallable market-linked notes tied to Russell 2000

By Marisa Wong

Morgantown, W.Va., Feb. 24 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due February 2022 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 7% to 8% if the index closes at or above its initial level on any annual call observation date.

If the final index level is greater than the step-up value, 135% of the initial value, the payout at maturity will be par of $10 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 35% step-up payment.

If the final index level is less than the initial level but not less than 85% of the initial level, the payout will be par.

Otherwise, investors will lose 1% for every 1% decline beyond 15%.

BofA Merrill Lynch is the agent.

The notes are expected to price in February and settle in March.

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