New Issue: HSBC prices $12.14 million market-linked step-up notes on index basket

By Toni Weeks

San Luis Obispo, Calif., March 3 – HSBC USA Inc. priced $12.14 million of market-linked step-up notes due Aug. 25, 2017 linked to a basket comprised of the Euro Stoxx 50 index with a 70% weight and the Euro Stoxx Midcap index with a 30% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket finishes above the step-up value – 127.6% of the initial level – the payout at maturity will be par of $10.00 plus the basket gain.

If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 27.6%.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying basket:	Euro Stoxx 50 index (70% weight) and Euro Stoxx Midcap index (30% weight)
Amount:	$12,135,000
Maturity:	Aug. 25, 2017
Coupon:	0%
Price:	Par of $10.00
Payout at maturity:	If basket finishes above step-up value, par plus basket gain; if basket gains by up to step-up level, par plus 27.6%; otherwise, exposure to any losses
Initial basket level:	100
Initial index levels:	3,574.94 for Euro Stoxx 50, 375.95 for Euro Stoxx Midcap
Step-up value:	127.6% of initial level
Pricing date:	Feb. 26
Settlement date:	March 5
Underwriter:	BofA Merrill Lynch
Fees:	2%
Cusip:	40434F264

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