New Issue: HSBC prices $13.15 million Leveraged Index Return Notes on index basket

By Wendy Van Sickle

Columbus, Ohio, June 3 – HSBC USA Inc. priced $13.15 million of 0% Leveraged Index Return Notes due May 28, 2021 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 144.3% of the basket return.

If the basket falls by up to 10%, the payout will be par. Investors will lose 1% for each 1% basket decline beyond 10%.

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:	$13,146,110
Maturity:	May 28, 2021
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 144.3% of any basket gain; par if basket falls by up to 10%; 1% loss for every 1% decline beyond 10%
Initial index levels:	3,318.15 for Euro Stoxx 50; 7,218.16 for FTSE 100; 20,942.53 for Nikkei 225; 9,523.98 for Swiss Market; 6,392.125 for S&P/ASX 200; 27,114.88 for Hang Seng
Pricing date:	May 30
Settlement date:	June 6
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40436B865

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