HSBC plans five-year enhanced averaging buffered notes on basket

By Jennifer Chiou

New York, Aug. 16 - HSBC USA Inc. plans to price 0% enhanced averaging buffered notes due Aug. 21, 2018 linked to the S&P 500 index with a 60% weight, the Russell 2000 index with a 15% weight and the S&P Midcap 400 ETF Trust with a 25% weight, according to an FWP with the Securities and Exchange Commission.

If the final basket value is at or greater than 75% of the initial value, the payout at maturity will be par plus 250% to 270% of any gain in the average reference return of the basket. The average reference return has a floor of zero.

The average component value will be the average of the official closing values of each component on 20 quarterly observation dates. These performances in the weighted basket will make up the average reference return.

If the final basket value is less 75% of the initial value, the payout will be par plus 133.33% of any decrease in the basket beyond 25%, offset by the average reference return times the 250% to 270% upside participation rate.

The notes (Cusip: 40432XK26) are expected to settle on Aug. 21.

HSBC Securities (USA) Inc. is the agent.

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