New Issue: HSBC prices $8.53 million leveraged market-linked step-up notes on index basket

By Wendy Van Sickle

Columbus, Ohio, Feb. 27 – HSBC USA Inc. priced $8.53 million of leveraged market-linked step-up notes due Feb. 28, 2020 linked to a global equity basket, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index, with a 40% weight, and the Euro Stoxx 50 index and the MSCI EAFE index, each with a 30% weight.

If the basket finishes above the step-up value, 118% of the initial level, the payout at maturity will be par of $10 plus 145.9% of 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 18%.

Investors will be fully exposed to any basket decline.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Leveraged market-linked step-up notes
Underlying basket:	S&P 500 index, 40% weight; Euro Stoxx 50 index and MSCI EAFE index, each with a 30% weight
Amount:	$8,530,160
Maturity:	Feb. 28, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket finishes above the step-up value, par plus 145.9% of the basket gain; if the basket gains by up to the step-up level, par plus the step-up payment of 18%; otherwise, investors will be fully exposed to any basket decline
Initial levels:	2,363.81 for S&P, 3,333.96 for Euro Stoxx, 1,764.17 for MSCI EAFE
Pricing date:	Feb. 23
Settlement date:	March 2
Agent:	BofA Merrill Lynch
Fees:	2.25%
Cusip:	40435C377

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