New Issue: HSBC prices $1.1 million step-up notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 27 – HSBC USA Inc. priced $1.1 million of 0% market-linked step-up notes due Feb. 28, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the step-up value, the payout at maturity will be par of $10 plus the index return. The step-up value is 150.3% of the initial index level.

If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 50.3%.

If the final index level is less than the initial level, investors will have one-to-one exposure to the decline.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying index:	S&P 500
Amount:	$1,099,683
Maturity:	Feb. 28, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 50.3%; if final index level is less than initial level, exposure to decline
Initial index level:	2,363.81
Step-up value:	3,552.81, 150.3% of initial level
Pricing date:	Feb. 23
Settlement date:	March 2
Agent:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	40435C187

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