New Issue: HSBC prices $11.05 million Leveraged Index Return Notes on index basket

By Wendy Van Sickle

Columbus, Ohio, May 29 – HSBC USA Inc. priced $11.05 million of 0% Leveraged Index Return Notes due May 29, 2020 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.

If the basket return is positive, the payout at maturity will be par plus 2.281 times the basket return.

If the basket falls by up to 20%, the payout will be par. Investors will lose 1% for each 1% basket decline beyond 20%.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Leveraged Index Return Notes
Underlying indexes:	Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock Average (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight), Hang Seng (5% weight)
Amount:	$11,045,480
Maturity:	May 29, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 228.1% of any basket gain; par if basket falls by up to 20%; 1% loss for every 1% decline beyond 20%
Initial index levels:	3,521.76 for Euro Stoxx 50; 7,716.74 for FTSE 100; 22,437.01 for Nikkei 225; 8,770.94 for Swiss Market; 6,037.081 for S&P/ASX 200; 30,760.41 for Hang Seng
Pricing date:	May 24
Settlement date:	June 1
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40435M540

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