By Toni Weeks
San Luis Obispo, Calif., Feb. 20 - HSBC USA Inc. priced $1.1 million of 0% knock-out buffer notes due Feb. 22, 2016 linked to an equally weighted basket of stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the common stocks of AstraZeneca plc, Bristol-Myers Squibb Co. and Merck & Co., Inc.
A knock-out event occurs if the final basket level is less than the initial basket level by more than the knock-out buffer of 15%.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of 136% of the basket return and zero. If a knock-out event has occurred, investors will receive par plus the basket return with full exposure to losses.
HSBC Securities (USA) Inc. will be the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank NA are the placement agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
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| Underlying stocks: | AstraZeneca plc (Symbol: AZN), Bristol-Myers Squibb Co. (Symbol: BMY) and Merck & Co., Inc. (Symbol: MRK), equally weighted
|
| Amount: | $1.1 million
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| Maturity: | Feb. 22, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket level drops by more than 15%, par plus basket return with exposure to losses; otherwise, par plus greater of 136% of the basket return and zero
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| Initial prices: | $67.40 for AstraZeneca, $54.37 for Bristol-Myers and $55.44 for Merck
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| Knock-out level: | 85% of initial level
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 20
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| Underwriter: | HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC and JPMorgan Chase Bank NA as placement agents
|
| Fees: | 1.5%
|
| Cusip: | 40432XTY7
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