HSBC plans enhanced averaging buffered notes on indexes, fund

By Jennifer Chiou

New York, Dec. 3 – HSBC USA Inc. plans to price 0% enhanced averaging buffered notes due June 17, 2019 linked to equal weights of the MSCI EAFE index, the S&P Global Infrastructure index and the iShares MSCI Emerging Markets ETF, according to an FWP with the Securities and Exchange Commission.

If the basket finishes at or above 85% of the initial basket level, the payout at maturity will be par plus 170% to 180% of any positive average reference return of the basket.

Otherwise, investors will lose 1.1765% for each 1% decline beyond 15%, potentially offset by the average reference return times 1.7 to 1.8 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 10 observation dates beginning on March 12, 2017.

The notes (Cusip: 40433BUH9) will price on Dec. 12 and settle on Dec. 17.

HSBC Securities (USA) Inc. is the agent.

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