HSBC plans to price performance allocator notes tied to indexes, ETF

By Sarah Lizee

Olympia, Wash., Feb. 7 – HSBC USA Inc. plans to price 0% performance allocator notes due Aug. 21, 2024 linked to a basket of indexes and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF.

On the final valuation date, the weightings of 60%, 30% and 10% will be allocated to the best, second best and lowest performing asset, respectively.

If the allocated return is positive, the payout at maturity will be par plus at least 1.05 times the gain.

If the allocated return falls by up to 20%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the allocated return beyond 20%.

HSBC Securities (USA) Inc. is the underwriter.

The notes (Cusip: 40435UGD0) will price on Feb. 15.

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