New Issue: HSBC prices $10.64 million market-linked step-up notes on S&P 500

By Wendy Van Sickle

Columbus, Ohio, Oct. 3 – HSBC USA Inc. priced $10.64 million of 0% market-linked step-up notes due Sept. 27, 2019 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange

If the index finishes above the step-up value – 119.6% of the initial level – the payout at maturity will be par plus the index gain.

If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 19.6%.

Investors will receive par if the index falls by up to 5% and will be exposed to losses beyond 5%.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable market-linked step-up notes
Underlying index:	S&P 500
Amount:	$10,643,780
Maturity:	Sept. 27, 2019
Coupon:	0%
Price:	Par of $10.00
Payout at maturity:	If the index finishes above the step-up value, par plus the index gain; if the index finishes at or below the step-up level but at or above the initial level, par plus 19.6%; par if index falls by up to 5%; exposure to losses beyond 5%
Initial level:	2,151.13
Step-up value:	2,572.75, 119.6% of initial level
Pricing date:	Sept. 29
Settlement date:	Oct. 6
Underwriter:	BofA Merrill Lynch
Fees:	2.25%
Cusip:	40435B866

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