HSBC plans two-year capped leveraged return notes linked to indexes

By Susanna Moon

Chicago, July 28 – HSBC USA Inc. plans to price capped Leveraged Index Return Notes due August 2016 linked to a basket of three indexes, according to an FWP with the Securities and Exchange Commission.

The basket will consist of the S&P 500 index with a weight of 45%, and the MSCI EAFE index and the MSCI Emerging Markets index, each with a weight of 27.5%.

The payout at maturity will be par of $10 plus double any basket gain, up to a maximum return of 15% to 19%. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 5% and will be exposed to any losses beyond 5%.

BofA Merrill Lynch is the agent.

The notes will price in August and settle in September.

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