New Issue: HSBC prices $33.63 million capped Leveraged Index Return Notes linked to Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., April 27 – HSBC USA Inc. priced $33.63 million of 0% capped Leveraged Index Return Notes due April 28, 2017 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par of $10 plus 200% of the index return, subject to a capped return of 17.9%. Investors will receive par if the index falls by up to 10% and will lose 1% for every 1% that it declines beyond 10%.

The final index level will be the average of the closing index levels on the five trading days ending April 25, 2017.

BofA Merrill Lynch is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Capped Leveraged Index Return Notes
Underlying index:	Euro Stoxx 50 index
Amount:	$33,628,690
Maturity:	April 28, 2017
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 200% of any index gain, capped at 17.9%; par if index falls by up to 10% and exposure to any losses beyond 10%
Initial level:	3,697.88
Threshold level:	3,328.09, 90% of initial level
Pricing date:	April 23
Settlement date:	April 30
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40434G759

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