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HSBC plans airbag performance notes linked to S&P Low Volatility index
By Toni Weeks
San Diego, Dec. 4 - HSBC USA Inc. plans to price 0% airbag performance securities due Dec. 29, 2017 linked to the S&P Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.
If the index return is positive, the payout at maturity will be par plus 145% to 155% of the return.
If the index return is zero or negative and the final index level is greater than or equal to the 75% threshold level, the payout will be par.
If the index falls by more than 25%, investors will lose 1.33333% for every 1% decline in the index.
The notes (Cusip: 40433T554) are expected to price Dec. 26 and settle Dec. 31.
HSBC Securities (USA) Inc. is the underwriter with UBS Financial Services Inc. as agent.
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