HSBC plans three-year leveraged performance notes on HSBC Vantage5

By Devika Patel

Knoxville, Tenn., July 14 – HSBC USA Inc. plans to price 0% leveraged performance notes due July 27, 2022 linked to the HSBC Vantage5 Index (USD) Excess Return, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par plus at least 150% of any index gain, with the exact participation rate to be set at pricing. If the index falls, the payout will be par.

The index strategy dynamically allocates its weightings each month to a basket of 13 exchange-traded funds and cash, aiming to deliver a volatility of 5%. The strategy uses caps on single assets as well as group caps on asset classes to maintain diversification.

The excess return index reflects the return of the selected portfolio in excess of the ICE Libor USD three-month interest rate and is subject to an index fee of 0.85% per year, deducted daily.

HSBC Securities (USA) Inc. is the underwriter.

The notes (Cusip: 40435FBB2) will price on July 24 and settle on July 27.

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