By Jennifer Chiou
New York, Dec. 30 – HSBC USA Inc. priced $1.5 million of 0% enhanced averaging buffered notes due Jan. 31, 2020 linked to a basket of indexes and funds, according to a 424B2 with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 67% weight, the S&P MidCap 400 index with an 8% weight, the iShares MSCI EAFE exchange-traded fund with a 17% weight, the iShares Russell 2000 ETF with a 5% weight and the iShares MSCI Emerging Markets ETF with a 3% weight.
If the basket finishes at or above the 80% barrier level, the payout at maturity will be par plus 144% of the average reference return of the basket.
Otherwise, investors will lose 1.25% for each 1% decline beyond 20%, potentially offset by the average reference return times 1.44 times any gain in the average return.
The average reference return will be set using the average of the closing levels of the basket components on eight quarterly observation dates beginning on April 28, 2017.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Enhanced averaging buffered notes
|
| Underlying basket: | S&P 500 index (67% weight), S&P MidCap 400 index (8% weight), iShares MSCI EAFE ETF (17% weight), iShares Russell 2000 ETF (5% weight) and iShares MSCI Emerging Markets ETF (3%)
|
| Amount: | $1.5 million
|
| Maturity: | Jan. 31, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket finishes at or above 80% barrier level, par plus 144% of the average reference return of the basket; otherwise, par plus (a) 144% of average reference return minus (b) 1.25% for every 1% that final basket value declines beyond 20%
|
| Initial values: | 2,088.77 for S&P 500; 1,467.90 for S&P MidCap 400; $62.24 for iShares MSCI EAFE; $39.42 for iShares MSCI Emerging Markets; $120.54 for iShares Russell 2000
|
| Buffer value: | 80% of initial value
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| Pricing date: | Dec. 26
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| Settlement date: | Dec. 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | None
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| Cusip: | 40433BWM6
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