HSBC to price two-year capped leveraged notes linked to Russell 2000

By Devika Patel

Knoxville, Tenn., April 24 – HSBC USA Inc. plans to price 0% Capped Leveraged Index Return Notes due May 2017 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10.00 plus 200% of any index gain, subject to a maximum return of 11% to 15% that will be determined at pricing.

Investors will receive par if the index falls by up to 10% and will be exposed to any losses beyond the 10% buffer.

The final index level will be the average of the closing index levels on five scheduled calculation days shortly before the maturity date.

The notes are expected to price in May and settle in June.

Merrill Lynch & Co. is the agent.

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