HSBC plans leveraged buffered uncapped notes tied to indexes, fund

By Susanna Moon

Chicago, April 23 – HSBC USA Inc. plans to price 0% leveraged buffered uncapped market participation securities due May 16, 2022 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 with a 69% weight, the MSCI EAFE index with a 15% weight, the S&P MidCap 400 index with a 8% weight, the iShares MSCI Emerging Markets ETF with a 5% weight and the Russell 2000 index with a 3% weight.

The payout at maturity will be par plus 1.3 times to 1.38 times any basket gain. The exact upside participation rate will be set at pricing.

Investors will receive par if the basket falls by up to 25% and will lose 1.3333% for each 1% decline beyond 25%.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price on May 11 and settle on May 16.

The Cusip number is 40435FWS2.

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