By Jennifer Chiou
New York, March 3 - HSBC USA Inc. priced $32,185,380 of 0% market-linked step-up notes due Feb. 27, 2017 tied to the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 30% weight and the MSCI EAFE index with a 30% weight, according to a 424B2 filing with the Securities and Exchange Commission.
If the basket finishes at or above the step-up value - 118% of the initial level - the payout at maturity will be par plus 130% of the basket return.
If the basket finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 18%.
Investors will be fully exposed to losses.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Market-linked step-up notes
|
| Underlying indexes: | S&P 500 (40% weight), MSCI EAFE (30% weight) and Euro Stoxx 50 (30% weight)
|
| Amount: | $32,185,380
|
| Maturity: | Feb. 27, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 130% of any basket gain at or above 18%; par plus 18% if basket finishes below the step-up level but at or above the initial level; exposure to losses
|
| Step-up level: | 118% of the initial level
|
| Pricing date: | Feb. 27
|
| Settlement date: | March 6
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2.25%
|
| Cusip: | 40434B347
|
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