HSBC plans market-linked step-up autocallables tied to index basket

By Sarah Lizee

Olympia, Wash., Oct. 25 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due November 2023 linked to a basket of indexes, according to an FWP filing 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 9% to 10% if the basket closes at or above its initial level on any annual call date. The exact premium will be set at pricing.

If the basket finishes at or above the step-up level – 150% of the initial level – the payout at maturity will be par of $10 plus the basket gain.

If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 50%.

Investors will receive par if the basket declines by up to 15% and will lose 1% for each 1% decline beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price in November and settle in December.

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