HSBC plans autocallable market-linked step-up notes on Russell 2000

New York, July 26 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due August 2023 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 5% to 6% if the index closes at or above its initial level on any annual call observation date. The exact call premium will be set at pricing.

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 and settle in August.

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