New Issue: HSBC prices $25.88 million Leveraged Index Return Notes on index basket

By Wendy Van Sickle

Columbus, Ohio, Feb. 26 – HSBC USA Inc. priced $25.88 million of 0% Leveraged Index Return Notes due Feb. 28, 2020 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index and the Nikkei 225 index each with a 20% weight, the Swiss Market index and the S&P/ASX 200 index each 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 204% of the basket gain.

Investors will be fully exposed to any basket decline.

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) and Hang Seng (5% weight)
Amount:	$25,876,480
Maturity:	Feb. 28, 2020
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 204% of any basket gain; full exposure to any basket decline
Final basket level:	Average of basket’s closing levels on five trading days ending Feb. 25, 2020
Initial levels:	3,431.99 for Euro Stoxx 50; 7,252.39 for FTSE 100; 21,736.44 for Nikkei 225; 8,967.43 for Swiss Market; 5,950.881 for S&P/ASX 200; 30,965.68 for Hang Seng
Pricing date:	Feb. 22
Settlement date:	March 1
Underwriter:	BofA Merrill Lynch
Fees:	2%
Cusip:	40435J190

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