Leveraged index return notes

7/10/2012 FINRA Investor Alert: Exchange-Traded Notes—Avoid Unpleasant Surprises This investor alert describes ETNs, leveraged and reverse ETNs, ETN trading, Always Greener—Chasing Return in a Challenging Investment Environment and omissions in offering documents for notes linked to a proprietary index  It is possible for an investor in a leveraged ETF to experience negative returns even when the underlying index has positive returns. In this paper, we estimate 

Leveraged Return. On the upside, the investor receives leveraged participation in the underlying asset's price appreciation. That participation, however, is usually  Registration No. 333-213265-01. LEVERAGED INDEX RETURN NOTES. ®. ( LIRNs. ®. ) LIRNs® Linked to the EURO STOXX 50® Index. The graph above and  1 Nov 2019 Our subsequent empirical analysis using randomly sampled S&P 500 Index returns suggests that the derived theoretical distribution provides a  An ETN is issued as a senior debt note, not a stake in an underlying commodity, Leveraged index ETFs are often marketed as bull or bear funds. As with any leveraged ETF, you need to know that the targeted leveraged return is on the 

Leveraged Index Return Notes® This graph reflects the returns on the notes, based on a Participation Rate of 110% (the midpoint of the Participation Rate range of [100% to 120%]) and a Threshold Value of 80% of the Starting Value.

Leveraged Index Return Notes® This graph reflects the returns on the notes, based on the Participation Rate of 161% and a Threshold Value of 100% of the Starting Value. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends. Capped maximum returns. Some structured notes may provide payments linked to a reference asset or index with a leveraged or enhanced participation rate, but only up to a capped, maximum amount. Once the maximum payoff level is reached, you do not participate in any additional increases in the reference asset or index. The typical holdings of a leveraged index fund would be a large amount of cash invested in short-term securities, and a smaller but highly volatile portfolio of derivatives. The cash is used to meet any financial obligations that arise from losses on the derivatives. There are also inverse-leveraged ETFs HSBC USA – Capped Leveraged Index Return Notes® If you are an individual or institutional investor who has any concerns about your accounts and/or investments with Merrill Lynch & Co., Inc., please contact us for a no-cost and no-obligation evaluation of your specific facts and circumstances. Leveraged Index Return Notes® Linked to the Dow Jones Industrial Average®, due May , 2024 Leveraged Index Return Notes® TS-3 The terms and risks of the notes are contained in this term sheet and in the following:

The Leveraged Index Return Notes® Linked to the Dow Jones Industrial AverageSM, due June , 2021 (the “notes”) are our senior unsecured debt securities and 

Leveraged Index Return Notes ® Linked to the S&P 500 ® Index, due March , 2019 Leveraged Index Return Notes ® TS-3 The terms and risks of the notes are contained in this term sheet and in the following: Product supplement EQUITY INDICES LIRN-2 dated June 1, 2015: Leveraged Index Return Notes® This graph reflects the returns on the notes, based on a Participation Rate of 110% (the midpoint of the Participation Rate range of [100% to 120%]) and a Threshold Value of 80% of the Starting Value. The Capped Leveraged Index Return Notes® Linked to the S&P 500® Index, due October , 2020 (the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the CDIC or the FDIC, and are not, either directly or indirectly, an obligation of any third party. Capped Leveraged Index Return Notes® Linked to the S&P 500® Index Maturity of approximately 14 months 2-to-1 upside exposure to increases in the Index, subject to a capped return of [7% to 11%] 1-to-1 downside exposure to decreases in the Index beyond a 5.00% decline, with up to 95.00% of your principal at risk Leveraged Index Return Notes® This graph reflects the returns on the notes, based on the Participation Rate of 161% and a Threshold Value of 100% of the Starting Value. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends. Capped maximum returns. Some structured notes may provide payments linked to a reference asset or index with a leveraged or enhanced participation rate, but only up to a capped, maximum amount. Once the maximum payoff level is reached, you do not participate in any additional increases in the reference asset or index. The typical holdings of a leveraged index fund would be a large amount of cash invested in short-term securities, and a smaller but highly volatile portfolio of derivatives. The cash is used to meet any financial obligations that arise from losses on the derivatives. There are also inverse-leveraged ETFs

Principal At Risk Notes (PARs) are a type of structured note that allows investors to increase the return on a financial instrument through leverage, by putting at risk some of the capital.A typical PAR note is a derivative created by an investment banks and sold to investors that provides three times upside, up to a specified cap, while risking one times downside based on some underlying

To optimise the results of the floating leveraged coupon, the spread should go back Final return = 100% capital back + 1.20% p.a. guaranteed coupon + Leveraged 10Y USD, Autocall Lookback WO on Indices, 6.70% p.a. recall, 3.50 % p.a.  issuer (structured notes), but can also be certificates of deposit (structured CDs), as investable asset or market index. Structured to enhance the return and/or reduce the market risk of provides leveraged exposure to the underlying asset. These ETFs are designed to generate amplified returns, compared to their non- leveraged bond index counterparts, through the use of financial instruments  performance return numbers – leverage of over USD 5 trillion is implied. • This leverage Figure 1 shows the VIX index of market volatility, the junk bond versus   difference in returns between leveraged ETFs and indices) and market volatility. This Hill and Foster (2009) note that rebalancing the ETF portfolio is crucial in 

Note: Index returns data from January 2012 through May 2019. See Endnote 3 Bond Index CMBS Index. HY Bond. Index. Leveraged. Loan Index CLO Index.

Leveraged Performance Notes. Linked to the . HSBC Vantage5 Index (USD) Excess Return . This free writing prospectus relates to a single offering of Leveraged Performance Notes. The Notes will have the terms described in this free writing prospectus and the accompanying prospectus, prospectus supplement, Equity Index Underlying Supplement and Index OK, here is why leveraged exchange-traded notes (ETNs) trade like the devil and generally never return your money. ETNs track an underlying index fund, futures, or similar. Leveraged ETNS do so at HSBC USA – Capped Leveraged Index Return Notes® If you are an individual or institutional investor who has any concerns about your accounts and/or investments with Merrill Lynch & Co., Inc., please contact us for a no-cost and no-obligation evaluation of your specific facts and circumstances.

OK, here is why leveraged exchange-traded notes (ETNs) trade like the devil and generally never return your money. ETNs track an underlying index fund, futures, or similar. Leveraged ETNS do so at HSBC USA – Capped Leveraged Index Return Notes® If you are an individual or institutional investor who has any concerns about your accounts and/or investments with Merrill Lynch & Co., Inc., please contact us for a no-cost and no-obligation evaluation of your specific facts and circumstances. In other words, a leveraged 2x ETF will maintain a $2 exposure to the index for every $1 of investor capital, in hopes of getting twice the return of investors in the underlying index. An ETN is issued as a senior debt note, not a stake in an underlying commodity, and like bonds, they are unsecured debt.