HSBC plans capped leveraged return notes linked to S&P 500 via Merrill

By Susanna Moon

Chicago, Jan. 4 - HSBC USA Inc. plans to price capped Leveraged Index Return Notes due January 2015 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

Bank of America Merrill Lynch is the agent.

The payout at maturity will be par of $10 plus double any index gain, up to a return of 12% to 16%. The exact maximum return will be set at pricing.

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

The notes are expected to price and settle in January.

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