HSBC to price market-linked step-up notes linked to euro index basket

By Marisa Wong

Morgantown, W.Va., Aug. 21 – HSBC USA Inc. plans to price 0% market-linked step-up notes due August 2019 linked to a euro index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket is made up of the Euro Stoxx 50 index with a 70% weight and the Euro Stoxx Mid index with a 30% weight.

If the basket finishes above the step-up level – 123% to 127% of the initial level – the payout at maturity will be par of $10 plus the basket gain.

If the basket finishes flat or gains by up to the step-up level, the payout will be par plus the step-up payment of 23% to 27%.

Investors will lose 1% for each 1% basket decline.

The exact step-up level and step-up payment will be set at pricing.

BofA Merrill Lynch is the agent.

The notes will price in August and settle in September.

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