HSBC plans performance allocator notes linked to baskets of indexes

By Emma Trincal

New York, Dec. 5 – HSBC USA Inc. plans to price 0% performance allocator notes due Dec. 27, 2024 linked to three regional baskets of indexes, according to an FWP filing with the Securities and Exchange Commission.

The U.S. region basket consists of the S&P 500 index and the Russell 2000 index. The European region basket consists of the Euro Stoxx 50 index and the FTSE 100 index. The Asia Pacific region basket consists of the S&P/ASX 200 index and the Nikkei 225 index. Each index has a 50% weight in its respective basket.

The allocated return will be 55% of the best basket return, 30% of the second-best basket return and 15% of the lowest basket return.

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

If the allocated return is less than or equal to zero but greater than or equal to negative 15%, the payout will be par.

If the allocated return is less than negative 15%, investors will lose 1% for every 1% that the allocated return is less than negative 15%.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price on Dec. 19.

The Cusip number is 40435UP81.

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