HSBC plans two-year capped leveraged return notes linked to S&P 500

By Susanna Moon

Chicago, Oct. 26 - HSBC USA Inc. plans to price capped Leveraged Index Return Notes due November 2014 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus double any gain in the index, up to a maximum return of $11.20 to $11.60 per note. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will be exposed to any losses beyond 10%.

Bank of America Merrill Lynch will be the agent.

The notes are expected to price in November and settle in December.

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