HSBC plans two-year notes linked to index basket via BofA Merrill

By Susanna Moon

Chicago, Oct. 6 – HSBC USA Inc. plans to price notes due October 2016 linked to a basket of indexes, according to an FWP with the Securities and Exchange Commission.

The basket consists of the Russell 2000 index with an initial weight of 33.34% and the Euro Stoxx 50 index and the MSCI Emerging Markets index each with an initial weight of 33.33%.

The payout at maturity will be par of $10.00 plus double any index gain, up to a maximum return of 25% to 29%. The exact cap will be set at pricing.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

The notes will price and settle in October.

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