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HSBC plans enhanced market-linked step-up notes with buffer on basket
By Wendy Van Sickle
Columbus, Ohio, Feb. 12 – HSBC USA Inc. plans to price 0% enhanced market-linked step-up notes with buffer due February 2022 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 an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei Stock Average index with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the Hang Seng index with an initial weight of 5%.
If the basket finishes above the step-up level – 119% to 125% of the initial level – the payout at maturity will be par plus the gain.
If the basket finishes at or below the step-up level but at or above the 90% threshold level, the payout will be par plus the step-up return of 19% to 25%.
Investors will be exposed to any losses beyond 10%.
The exact deal terms will be set at pricing.
BofA Merrill Lynch is the agent.
The notes are expected to price and settle in February.
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