New Issue: HSBC prices $10 million Leveraged Index Return Notes on index basket

By Marisa Wong

Morgantown, W.Va., March 22 – HSBC USA Inc. priced $10 million of 0% Leveraged Index Return Notes due March 25, 2022 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 1.833 times the basket return.

If the basket falls by up to 25%, the payout will be par. Investors will lose 1% for each 1% basket decline beyond 25%.

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:	$10 million
Maturity:	March 25, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 183.3% of any basket gain; par if basket falls by up to 25%; 1% loss for every 1% decline beyond 25%
Initial index levels:	3,437.40 for Euro Stoxx 50; 7,164.14 for FTSE 100; 21,676.51 for Nikkei 225; 8,882.53 for Swiss Market; 5,949.423 for S&P/ASX 200; 31,501.97 for Hang Seng
Pricing date:	March 16
Settlement date:	March 26
Agent:	BofA Merrill Lynch
Fees:	0.6%
Cusip:	40435M755

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