HSBC to price two-year capped buffered notes linked to S&P, Russell

By Devika Patel

Knoxville, Tenn., Nov. 18 – HSBC USA Inc. plans to price 0% Capped Leveraged Index Return notes due November 2018 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10.00 plus 150% of any index gain, subject to a maximum return of 19% to 23% that will be determined at pricing.

Investors will receive par if the index falls by up to 5% and will lose 1% for each 1% decline beyond the 5% buffer.

The final index level will be the average of the closing index levels on five scheduled calculation days shortly before the maturity date.

BofA Merrill Lynch is the agent.

The notes are expected to price and settle in November.

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