Published on 12/24/2015 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $8.97 million enhanced averaging buffered notes linked to indexes, ETFs
By Angela McDaniels
Tacoma, Wash., Dec. 24 – HSBC USA Inc. priced $8.97 million of 0% enhanced averaging buffered notes due June 24, 2019 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing 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 ETF with a 4% weight and the Russell 2000 index with a 3% weight.
If the final basket value is greater than or equal to the buffer value, 85% of the initial value, the payout at maturity will be par plus 140% of the average reference return of the basket.
If the final basket value is less than the buffer value, the payout will be par plus (a) 140% of the average reference return minus (b) 1.1765% for every 1% that the final basket value declines beyond 15%.
The average reference return will be the quotient of (a) the average basket value minus the initial basket value divided by (b) the initial basket value. The average basket value, which has a floor of zero, is the sum of the basket components’ weighted average returns. For each basket component, its average return is the change from its initial level to the average of its closing levels on Sept. 19, 2018, Dec. 19, 2018, March 19, 2019 and June 19, 2019.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Enhanced averaging buffered notes
|
| Underlying basket: | S&P 500 index (70% weight), iShares MSCI EAFE ETF (15% weight), S&P MidCap 400 index (8% weight), iShares MSCI Emerging Markets ETF (4% weight) and Russell 2000 index (3% weight)
|
| Amount: | $8,965,000
|
| Maturity: | June 24, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket value is greater than or equal to buffer value, 85% of initial value, par plus 140% of average reference return of basket; otherwise, par plus (a) 140% of average reference return minus (b) 1.1765% for every 1% that final basket value declines beyond 15%
|
| Average reference return: | Quotient of (a) average basket value minus initial basket value divided by (b) initial basket value
|
| Average basket value: | Sum of the basket components’ weighted average returns, subject to floor of zero
|
| Average return: | For each basket component, change from initial level to average final level, i.e., average of closing levels on Sept. 19, 2018, Dec. 19, 2018, March 19, 2019 and June 19, 2019
|
| Initial levels: | 2,005.55 for S&P 500, $58.39 for iShares MSCI EAFE, 1,375.27 for S&P MidCap 400, $32.65 for iShares MSCI Emerging Markets and 1,21.020 for Russell 2000
|
| Pricing date: | Dec. 18
|
| Settlement date: | Dec. 23
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | None
|
| Cusip: | 40433UEW2
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