HSBC plans two-year market-linked step-up notes tied to S&P 500 index

By Devika Patel

Knoxville, Tenn., Oct. 26 – HSBC USA Inc. plans to price market-linked step-up notes due November 2019 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes above the step-up level – which is expected to fall between 108.5% and 114.5% of the initial level and will be set at pricing – 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, expected to fall between 8.5% and 14.5%. The exact step-up payment will be set at pricing.

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

BofA Merrill Lynch is the agent.

The notes will price and settle in November.

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