New Issue: HSBC prices $7.46 million market-linked step-up notes on Russell 2000

By Susanna Moon

Chicago, Oct. 29 - HSBC USA Inc. priced $7.46 million of 0% market-linked step-up notes due Oct. 28, 2016 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the step-up level, 115% of the initial level, the payout at maturity will be par plus 110.5% of any gain.

If the index finishes at or above the initial level but up to the step-up level, the payout will be par plus the step-up payment of 15%.

Otherwise, investors will be exposed to any losses.

Merrill Lynch & Co. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying index:	Russell 2000 index
Amount:	$7,457,110
Maturity:	Oct. 28, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index finishes above step-up level, par plus 110.5% of any gain; if index gains by up to step-up level, par plus 15%; otherwise, exposure to any losses
Initial index level:	1,118.85
Step-up level:	1,286.68, 115% of initial level
Pricing date:	Oct. 24
Settlement date:	Oct. 31
Underwriters:	Merrill Lynch & Co.
Fees:	2.25%
Cusip:	40434B602

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