By Toni Weeks
San Luis Obispo, Calif., Oct. 8 - HSBC USA Inc. priced $1.5 million of 0% enhanced averaging buffered notes due Oct. 9, 2018 linked to a basket consisting of the iShares MSCI Emerging Markets exchange-traded fund and the iShares MSCI EAFE ETF, equally weighted, according to a 424B2 with the Securities and Exchange Commission.
If the final basket value is at least 65% of the initial value, the payout at maturity will be par plus 192% of the average reference return.
If the final basket value is less than 65% of the initial value, the payout will be par plus (a) 192% of the average reference return minus (b) 1.5385% for every 1% that the final basket value declines beyond the 35% buffer.
The average reference return equals the percentage change from the initial basket level to the average basket value, subject to a floor of zero.
The average basket value is the sum of each basket component's weighted average return, which equals the percentage change from that's component's initial value to its average value. A component's average value is equal to the average of its closing values on 20 quarterly observation dates.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Enhanced averaging buffered notes
|
| Underlying basket: | iShares MSCI Emerging Markets ETF and iShares MSCI EAFE ETF, equally weighted
|
| Amount: | $1.5 million
|
| Maturity: | Oct. 9, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket value is at least 65% of initial value, par plus 192% of average reference return; if final basket value is less 65% of initial value, par plus (a) 192% of average reference return minus (b) 1.5385% for every 1% that final basket value declines beyond 35%
|
| Initial values: | $42.11 for iShares EM, $63.85 for iShares EAFE
|
| Pricing date: | Oct. 4
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| Settlement date: | Oct. 9
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | None
|
| Cusip: | 40432XLY5
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