New Issue: HSBC prices $7.85 million market-linked step-up notes linked to S&P 500

By Marisa Wong

Morgantown, W.Va., Feb. 28 – HSBC USA Inc. priced $7.85 million of 0% market-linked step-up notes due Feb. 28, 2020 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 level – 108.31% of the initial level – the payout at maturity will be par of $10 plus 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 8.31%.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying index:	S&P 500
Amount:	$7,847,660
Maturity:	Feb. 28, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes above the step-up level, par plus the index gain; if the index gains by up to the step-up level, par plus 8.31%; full exposure to any losses
Initial level:	2,703.96
Step-up level:	2,928.66, 108.31% of initial level
Pricing date:	Feb. 22
Settlement date:	March 1
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40435M409

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