According to this HSBC page: https://www.hsbc.ca/investments/market-linked-gic-investments/ (non-registered) Market-Linked GICs are taxed the same as regular GICs. You report the interest yearly.
You may want to ask the Canada Revenue Agency (CRA) what you should do in this case.
If you are in Canada or the United States, you can call the CRA at 1-800-959-8281. If you are elsewhere, you can call 613-940-8495. This page has more ways to contact the CRA: Contact the Canada Revenue Agency
