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HSBC plans leveraged market-linked step-up notes on index basket
By Marisa Wong
Morgantown, W.Va., Feb. 24 – HSBC USA Inc. plans to price 0% leveraged market-linked step-up notes due February 2020 linked to a global equity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 30% weight and the MSCI EAFE index with a 30% weight.
If the final basket level is greater than the step-up value, 118% of the initial value, the payout at maturity will be par of $10 plus 1.35 to 1.55 times the basket return.
If the final basket level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the 18% step-up payment.
Investors will lose 1% for every 1% basket decline.
BofA Merrill Lynch is the agent.
The notes are expected to price in February and settle in March.
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