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HSBC plans leveraged buffered uncapped notes on S&P 500 Low Volatility
By Marisa Wong
Madison, Wis., Dec. 3 - HSBC USA Inc. plans to price 0% leveraged buffered uncapped market participation securities due Dec. 24, 2015 linked to the S&P 500 Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 120% to 130% of the index return if the index return is greater than zero. Investors will receive par if the index finishes flat or declines by up to 15% and will lose 1% for every 1% that the index declines beyond the 15% buffer.
The S&P 500 Low Volatility index is made up of the 100 least-volatile stocks over the previous year in the S&P 500 index. The index is rebalanced quarterly.
The notes (Cusip: 40432X4G3) will price Dec. 20 and settle Dec. 26.
HSBC Securities (USA) Inc. is the underwriter.
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