By Jennifer Chiou
New York, April 3 - HSBC USA Inc. priced $31,291,660 of 0% Capped Leveraged Index Return Notes due March 27, 2015 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight.
The payout at maturity will be par of $10 plus 200% of any basket gain, subject to a maximum return of 13.56%.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
The final basket level will be the average of the value of the basket on five calculation days ending March 24, 2015.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Capped Leveraged Index Return Notes
|
| Underlying indexes: | S&P 500 (45% weight), MSCI EAFE (27.5% weight) and MSCI Emerging Markets (27.5% weight)
|
| Amount: | $31,291,660
|
| Maturity: | March 27, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 200% of return, subject to maximum payout of par plus 13.56%; par if basket falls by up to 10%; 1% loss for every 1% decline beyond 10%
|
| Pricing date: | March 28
|
| Settlement date: | April 5
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40433T240
|
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