New Issue: HSBC prices $35.43 million leveraged market-linked step-up notes on Euro Stoxx 50

By Marisa Wong

Morgantown, W.Va., Feb. 2 – HSBC USA Inc. priced $35,433,970 of 0% leveraged market-linked step-up notes due July 30, 2020 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above the step-up level – 142% of the initial level – the payout at maturity will be par plus 130% of the index gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 42%.

Investors will be fully exposed to any index decline.

BofA Merill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Leveraged market-linked step-up notes
Underlying index:	Euro Stoxx 50
Amount:	$35,433,970
Maturity:	July 30, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes at or above the step-up level, par plus 130% of the index gain; if the index gains by up to the step-up level, par plus 42%; otherwise, full exposure to losses
Initial index level:	3,630.15
Step-up level:	5,154.81, 142% of initial level
Pricing date:	Jan. 25
Settlement date:	Feb. 1
Agent:	BofA Merill Lynch
Fees:	2%
Cusip:	40435J646

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