New Issue: HSBC prices $14.38 million long short notes on MSCI EM & Euro Stoxx/S&P composite

By Marisa Wong

Morgantown, W.Va., Feb. 2 – HSBC USA Inc. priced $14,381,000 of long short notes due Feb. 22, 2019 linked to the MSCI Emerging Markets & Euro Stoxx 50/S&P 500 Long Short index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a single coupon at maturity equal to 2.2% of par.

The composite index consists of a leveraged long position in the MSCI Emerging Markets index and the Euro Stoxx 50 index a short position in the S&P 500 index.

Each long component has an initial weight of 100%, for a total weight of 200%, and the short component has an initial weight of negative 100%.

The payout at maturity will be par of $10 plus the return of the composite index. If that return is negative, investors will receive less than par.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Long short notes
Underlying index:	MSCI Emerging Markets & Euro Stoxx 50/S&P 500 Long Short index
Components:	MSCI Emerging Markets index (100% weight), Euro Stoxx 50 (100% weight), S&P 500 index (negative 100% weight)
Amount:	$14,381,000
Maturity:	Feb. 22, 2019
Coupon:	2.2% of par, payable at maturity
Price:	Par of $10
Payout at maturity:	Par plus return of composite index, with full exposure to losses
Initial level:	100
Initial component levels:	1,273.07 for MSCI EM, 3,630.15 for Euro Stoxx, 2,839.25 for S&P
Final level:	Average of composite index’s closing levels on five trading days ending Feb. 19, 2019
Pricing date:	Jan. 25
Settlement date:	Feb. 1
Agent:	BofA Merrill Lynch
Fees:	1.75%
Cusip:	40435J471

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