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HSBC plans performance notes due 2018 linked to S&P 500 Low Volatility
By Angela McDaniels
Tacoma, Wash., Feb. 3 - HSBC USA Inc. plans to price 0% performance notes due March 1, 2018 linked to the S&P 500 Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.
If the index return is greater than zero, the payout at maturity will be par plus the index return. If the index return is less than or equal to zero, the payout will be par.
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 volatilities of all S&P 500 constituents are calculated using daily standard deviation data for roughly the past year, and the weight for each index constituent is set inversely proportional to its volatility (higher weightings are assigned to the least volatile stocks). The index is rebalanced in February May, August and November of each year.
The notes (Cusip: 4042K1XC2) will price Feb. 24 and settle Feb. 29.
HSBC Securities (USA) Inc. is the underwriter.
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