HSBC plans performance allocator notes on U.S., Europe, Asia Pacific

By Sarah Lizee

Olympia, Wash., March 4 – HSBC USA Inc. plans to price 0% performance allocator notes due April 4, 2022 linked to three baskets of regional indexes, according to an FWP filing with the Securities and Exchange Commission.

The U.S. basket consists of the S&P 500 index and the Russell 2000 index. The Europe basket consists of the Euro Stoxx 50 index and the FTSE 100 index. The Asia Pacific basket consists of the S&P/ASX 200 index and the Nikkei 225 index.

Each index will have a 50% weight within its respective basket. An allocated return of the baskets will be calculated based on the performance of all three baskets, with the best performing basket to be given a 60% weight, the second best a 30% weight and the worst a 10% weight.

If the allocated return is positive, the payout at maturity will be par plus the gain.

If the allocated return falls by up to 15%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the allocated return beyond 15%.

HSBC Securities (USA) Inc. is the underwriter.

The notes (Cusip: 40435UGY4) will price on March 29.

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