HSBC plans four-year enhanced averaging buffered notes on basket

By Marisa Wong

Madison, Wis., March 28 - HSBC USA Inc. plans to price 0% enhanced averaging buffered notes due April 30, 2018 linked to the S&P 500 index with a 70% weight, iShares MSCI EAFE exchange-traded fund with a 15% weight, the S&P Midcap 400 ETF trust with an 8% weight, the iShares MSCI Emerging Markets ETF with a 4% weight and the iShares Russell 2000 ETF with a 3% weight, according to an FWP with the Securities and Exchange Commission.

If the final basket value is at or above 75% of the initial value, the payout at maturity will be par plus 120% to 130% of the average reference return of the basket. The average reference return has a floor of zero.

If the final basket value is less than 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 120% to 130% upside participation rate.

The average reference return will be determined based on the average of the closing values of the basket components on each of five observation dates: April 25, 2017, July 25, 2017, Oct. 25, 2017, Jan. 25, 2018 and April 25, 2018.

HSBC Securities (USA) Inc. is the agent.

The notes will price on April 25 and settle on April 30.

The Cusip number is 40432XWQ0.

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