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HSBC plans three-year market-linked step-up autocalls on basket
By Susanna Moon
Chicago, Sept. 10 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due September 2021 linked to a basket of indexes, according to an FWP with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a weight of 40%, the FTSE 100 index with a weight of 20%, the Nikkei Stock Average index with a weight of 20%, the Swiss Market index with a weight of 7.5%, the S&P/ASX 200 index with a weight of 7.5% and the Hang Seng index with a weight of 5%.
The notes will be called at an annual call premium of 12% to 13% if the basket closes at or above its initial level on either annual call date. The exact premium will be set at pricing.
If the basket finishes at or above the step-up level – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.
Otherwise, investors will lose 1% for each 1% decline.
BofA Merrill Lynch is the agent.
The notes will price in September and settle in October.
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