HSBC eyes five-year market-linked step-up autocallables on Euro Stoxx

By Devika Patel

Knoxville, Tenn., Aug. 25 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due September 2022 linked to the Euro Stoxx 50 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 any of the four annual observation dates. The exact call premium will be set at pricing.

If the index finishes above the step-up level – 140% 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 40%.

Investors will lose 1% for each 1% decline from the initial level if the index finishes below its initial level.

BofA Merrill Lynch is the agent.

The notes will price and settle in September.

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