HSBC plans to price enhanced averaging buffered notes on indexes, funds

By Tali Rackner

Norfolk, Va., Dec. 3 – HSBC USA Inc. plans to price 0% enhanced averaging buffered notes due June 24, 2019 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 70% weight, the iShares MSCI EAFE exchange-traded fund with a 15% weight, the S&P MidCap 400 index with an 8% weight, the iShares MSCI Emerging Markets exchange-traded fund with a 4% weight and the Russell 2000 index with a 3% weight.

If the basket finishes at or above the 85% barrier level, the payout at maturity will be par plus between 1.4 times and 1.45 times the average reference return of the basket. The exact upside participation rate will be set at pricing

Otherwise, investors will lose 1.1765% for each 1% decline beyond 15%, potentially offset by the average reference return times the upside participation rate.

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 Sept. 19, 2018.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Dec. 18 and settle on Dec. 23.

The Cusip number is 40433UEW2.

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