By Susanna Moon
Chicago, Sept. 3 – HSBC USA Inc. priced $37.14 million of Leveraged Index Return Notes due Aug. 26, 2016 linked to a basket of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 45% weight, and the MSCI EAFE index and the MSCI Emerging Markets index, each with an initial weight of 27.5%
The payout at maturity will be par of $10 plus double any basket gain, up to a maximum return of 16.1%.
Investors will receive par if the basket falls by up to 5% and will be exposed to any losses beyond 5%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Leveraged Index Return Notes
|
| Underlying basket: | S&P 500 (45% weight), MSCI EAFE index (27.5% weight) and the MSCI Emerging Markets index (27.5% weight)
|
| Amount: | $37,141,430
|
| Maturity: | Aug. 26, 2016
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| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 16.1%; par if basket falls by up to 5% and exposure to any losses beyond 5%
|
| Threshold level: | 95% of initial level
|
| Pricing date: | Aug. 28
|
| Settlement date: | Sept. 5
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40434D202
|
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