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HSBC plans 54-month enhanced averaging buffered notes on basket
By Susanna Moon
Chicago, Oct. 17 – HSBC USA Inc. plans to price 0% 54-month enhanced averaging buffered notes due April 30, 2018 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 45% weight, the S&P MidCap 400 index with a 20% weight, the iShares MSCI EAFE exchange-traded fund with a 12.5% weight, the iShares Russell 2000 ETF with a 10% weight, the iShares U.S. Real Estate ETF with a 6.5% weight and the iShares MSCI Emerging Markets ETF with a 6% weight.
If the basket finishes at or above the 85% barrier level, the payout at maturity will be par plus 136% to 146% of the average reference return of the basket.
Otherwise, investors will lose 1.1765% for each 1% decline beyond 15%, potentially offset by the average reference return times 1.36 to 1.46 times any gain in the average return.
The average reference return will be set using the average of the closing levels of the basket components on four observation dates beginning July 2018.
HSBC Securities (USA) Inc. is the agent.
The notes will price on Oct. 28 and settle on Oct. 31.
The Cusip number is 40433BRK6.
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