HSBC to price two-year Leveraged Index Return Notes on index basket

By Marisa Wong

Morgantown, W.Va., Jan. 31 – HSBC USA Inc. plans to sell 0% Leveraged Index Return Notes due February 2021 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 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.

The payout at maturity will be par of $10 plus 1.4 to 1.6 times any index gain. The exact leverage factor will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

BofA Merrill Lynch is the agent.

The notes are expected to price and settle in February.

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