By Marisa Wong
Morgantown, W.Va., Oct. 11 – HSBC USA Inc. priced $704,000 of 0% performance notes due Oct. 5, 2020 linked to the HSBC Vantage5 Index (USD) Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus any index gain. If the index falls, the payout will be par.
The index strategy dynamically allocates its weightings each month to a basket of 13 exchange-traded funds and cash, aiming to deliver a volatility of 5%. The strategy uses caps on single assets as well as group caps on asset classes to maintain diversification.
The excess return index reflects the return of the selected portfolio in excess of the ICE Libor USD three-month interest rate and is subject to an index fee of 0.85% per year, deducted daily.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Performance notes
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| Underlying index: | HSBC Vantage5 Index (USD) Excess Return
|
| Amount: | $704,000
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| Maturity: | Oct. 5, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any index gain; if the index falls, the payout will be par
|
| Initial level: | 143.591
|
| Pricing date: | Sept. 29
|
| Settlement date: | Oct. 4
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 0.5%
|
| Cusip: | 40435FEY9
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