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HSBC plans capped Leveraged Index Return Notes linked to index basket
By Toni Weeks
San Luis Obispo, Calif., Feb. 21 - HSBC USA Inc. plans to price 0% capped Leveraged Index Return Notes due March 2015 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight.
The payout at maturity will be par of $10.00 plus 200% of any basket gain, subject to a maximum return of 10% to 14%. The exact maximum return will be set at pricing.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
The final basket level will be the average of the value of the basket on five scheduled calculation days shortly before maturity.
The notes are expected to price in March and settle in April.
BofA Merrill Lynch is the agent.
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