New Issue: HSBC prices $28.77 million market-linked step-up notes on index basket

By Toni Weeks

San Luis Obispo, Calif., June 1 – HSBC USA Inc. priced $28.77 million of market-linked step-up notes due May 26, 2017 linked to a basket comprised of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index and the Nikkei 225 index each with a 20% weight and the S&P/ASX 200 index and Swiss Market index each with a 7.5% weight and the Hang Seng index with a 5% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket finishes above the step-up value – 113.1% of the initial level – the payout at maturity will be par of $10.00 plus the basket gain.

If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 13.1%.

Investors will be exposed to any losses.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying basket:	Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei 225 index (20% weight), S&P/ASX 200 index (7.5% weight), Swiss Market index (7.5% weight) and Hang Seng index (5% weight)
Amount:	$28,771,020
Maturity:	May 26, 2017
Coupon:	0%
Price:	Par of $10.00
Payout at maturity:	If basket finishes above step-up value, par plus basket gain; if basket gains by up to step-up level, par plus 13.1%; otherwise, exposure to any losses
Initial basket level:	100
Step-up value:	113.1% of initial level
Pricing date:	May 28
Settlement date:	June 4
Underwriter:	BofA Merrill Lynch
Fees:	2%
Cusip:	40434G387

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