HSBC plans five-year enhanced averaging buffered notes on basket

By Marisa Wong

Madison, Wis., Dec. 24 – HSBC USA Inc. plans to price 0% enhanced averaging buffered notes due Jan. 31, 2020 linked to a basket of indexes and funds, according to an FWP 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 at least 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 in April 2018.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Dec. 26 and settle on Dec. 31.

The Cusip number is 40433BWM6.

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