By Angela McDaniels
Tacoma, Wash., April 25 - HSBC USA Inc. priced $945,000 of 0% 50/150 performance notes due April 27, 2017 linked to the S&P 500 Low Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index return is greater than or equal to zero, the payout at maturity will be par plus 1.5% for every 1% that the index increases. If the index return is less than zero, the payout will be par minus 0.5% for every 1% that the index declines.
The S&P 500 Low Volatility index is made up of the 100 least-volatile stocks over the previous year in the S&P 500 index. The volatilities of all S&P 500 constituents are calculated using daily standard deviation data for roughly the past year, and the weight for each index constituent is set inversely proportional to its volatility (higher weightings are assigned to the least volatile stocks). The index is rebalanced in February May, August and November of each year.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | 50/150 performance notes
|
| Underlying index: | S&P 500 Low Volatility index
|
| Amount: | $945,000
|
| Maturity: | April 27, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is greater than or equal to zero, par plus 1.5% for every 1% that index increases; if index return is less than zero, par minus 0.5% for every 1% that index declines
|
| Initial index level: | 4,261.69
|
| Pricing date: | April 23
|
| Settlement date: | April 26
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 3.5%
|
| Cusip: | 4042K1E33
|
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