New Issue: HSBC prices $14.27 million four-year enhanced averaging buffered notes on basket

By Toni Weeks

San Luis Obispo, Calif., April 29 - HSBC USA Inc. priced $14.27 million of 0% enhanced averaging buffered notes due April 30, 2018 linked to the S&P 500 index with a 70% weight, iShares MSCI EAFE exchange-traded fund with a 15% weight, the S&P Midcap 400 ETF trust with an 8% weight, the iShares MSCI Emerging Markets ETF with a 4% weight and the iShares Russell 2000 ETF with a 3% weight, according to an FWP with the Securities and Exchange Commission.

If the final basket value is at or above 75% of the initial value, the payout at maturity will be par plus 125% of the average reference return of the basket. The average reference return has a floor of zero.

If the final basket value is less than 75% of the initial value, the payout will be par plus 133.33% of any decrease in the basket beyond 25%, offset by the average reference return times the 125% upside participation rate.

The average reference return will be determined based on the average of the closing values of the basket components on each of five observation dates: April 25, 2017, July 25, 2017, Oct. 25, 2017, Jan. 25, 2018 and April 25, 2018.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Enhanced averaging buffered notes
Underlying basket:	S&P 500 index (70% weight), iShares MSCI EAFE ETF (15% weight), S&P Midcap 400 ETF trust (8% weight), iShares MSCI Emerging Markets ETF (4% weight) and iShares Russell 2000 ETF (3% weight)
Amount:	$14,273,000
Maturity:	April 30, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If final basket value is at least 75% of initial value, par plus 125% of average reference return; if final basket value is less 75% of initial value, par plus (a) 125% of average reference return minus (b) 1.3333% for every 1% that final basket value declines beyond 25%
Initial values:	1,863.4 for S&P 500; $67.40 for iShares MSCI EAFE, $245.16 for S&P MidCap trust, $40.82 for iShares EM and $111.61 for iShares Russell
Average reference return:	Average of closing values of the basket components on each of five observation dates (April 25, 2017, July 25, 2017, Oct. 25, 2017, Jan. 25, 2018 and April 25, 2018)
Pricing date:	April 25
Settlement date:	April 30
Agent:	HSBC Securities (USA) Inc.
Fees:	None
Cusip:	40432XWQ0

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