By Angela McDaniels
Tacoma, Wash., Aug. 22 - HSBC USA Inc. priced $10.5 million of 0% enhanced averaging buffered notes due Aug. 22, 2018 linked to a basket consisting of the S&P 500 index with a 60% weight, the Russell 2000 index with a 15% weight and the S&P Midcap 400 ETF Trust with a 25% weight, according to a 424B2 with the Securities and Exchange Commission.
If the final basket value is at least 75% of the initial value, the payout at maturity will be par plus 260% of the average reference return.
If the final basket value is less 75% of the initial value, the payout will be par plus (a) 260% of the average reference return minus (b) 1.3333% for every 1% that the final basket value declines beyond 25%.
The average reference return equals the percentage change from the initial basket level to the average basket value, subject to a floor of zero.
The average basket value is the sum of each basket component's weighted average return, which equals the percentage change from that's component's initial value to its average value. A component's average value is equal to the average of its closing values on 20 quarterly observation dates.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Enhanced averaging buffered notes
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| Underlying basket: | S&P 500 index (60% weight), Russell 2000 index (15% weight) and S&P Midcap 400 ETF Trust (25%)
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| Amount: | $10.5 million
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| Maturity: | Aug. 22, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket value is at least 75% of initial value, par plus 260% of average reference return; if final basket value is less 75% of initial value, par plus (a) 260% of average reference return minus (b) 1.3333% for every 1% that final basket value declines beyond 25%
|
| Initial values: | 1,646.06 for S&P 500; 1,013.25 for Russell 2000; $217.87 for trust
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 22
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | None
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| Cusip: | 40432XK26
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