HSBC to price step-up notes linked to global index basket via BofA

By Angela McDaniels

Tacoma, Wash., May 31 - HSBC USA Inc. plans to price 0% market-linked step-up notes due June 2016 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index, the MSCI EAFE index, the MSCI Emerging Markets index and the Russell 200 index with a weight of 25% each.

If the final basket level is greater than the step-up value, the payout at maturity will be par of $10 plus the basket return. The step-up value is expected to be 112% to 118% of the initial basket level.

If the final basket 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 step-up payment, which is expected to be 12% to 18%.

Investors will receive par if the final basket level is greater than or equal to the threshold value, 95% of the initial level, but less than the initial level, and they will lose 1% for every 1%, if any, that the basket declines below the threshold value

The exact terms will be set at pricing.

BofA Merrill Lynch is the agent.

The notes are expected to price in June and settle in July.

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