Published on 10/11/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.7 million enhanced averaging buffered notes linked to indexes, ETFs
By Marisa Wong
Morgantown, W.Va., Oct. 11 – HSBC USA Inc. priced $1.7 million of 0% enhanced averaging buffered notes due Oct. 5, 2020 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 50% weight, the S&P MidCap 400 index with a 20% weight, the Russell 2000 index with a 10% weight and the iShares U.S. Real Estate exchange-traded fund with a 20% weight.
If the final basket value is greater than or equal to the buffer value, 80% of the initial value, the payout at maturity will be par plus 137% 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) 137% of the average reference return minus (b) 1% for every 1% basket decline (the final basket level compared to the initial basket level) beyond 20%.
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. 30, 2019, Dec. 30, 2019, March 30, 2020, June 30, 2020 and Sept. 30, 2020.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Enhanced averaging buffered notes
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| Underlying basket: | S&P 500 index (50% weight), S&P MidCap 400 index (20% weight), Russell 2000 index (10% weight), iShares U.S. Real Estate ETF (20% weight)
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| Amount: | $1.7 million
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| Maturity: | Oct. 5, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final basket value is greater than or equal to buffer value, 80% of initial value, par plus 137% of average reference return of basket; otherwise, par plus (a) 137% of average reference return minus (b) 1% for every 1% basket decline (the final basket level compared to the initial basket level) beyond 20%
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| Average reference return: | Quotient of (a) average basket value minus initial basket value divided by (b) initial basket value
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| Average basket value: | Sum of the basket components’ weighted average returns, subject to floor of zero
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| Average return: | For each basket component, change from initial level to average final level, i.e., average of closing levels on Sept. 30, 2019, Dec. 30, 2019, March 30, 2020, June 30, 2020 and Sept. 30, 2020
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| Initial levels: | 2,168.27 for S&P 500, 1,552.26 for S&P MidCap, 1,251.646 for Russell 2000 and $80.64 for ETF
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Underwriter: | HSBC Securities (USA) Inc.
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| Fees: | None
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| Cusip: | 40433UVS2
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