By Angela McDaniels
Tacoma, Wash., March 18 - HSBC USA Inc. priced $11.88 million of 0% market-linked step-up notes due March 27, 2015 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
BofA Merrill Lynch is the underwriter.
If the final index level is greater than the step-up value, the payout at maturity will be par of $10 plus the index return. The step-up value is 119.02% of the initial index level.
If the final index level is greater than or equal to the initial index level but less than the step-up value, the payout will be par plus 19.02%.
If the final index level is greater than or equal to the threshold value but less than the initial index level, the payout will be par. The threshold value is 95% of the initial index level.
If the final index level is less than the threshold value, investors will lose 1% for every 1% that the index declines beyond 5%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Market-linked step-up notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $11,876,500
|
| Maturity: | March 27, 2015
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final index level is greater than or equal to initial index level, par plus greater of index return and 19.2%; par if index level falls by 5% or less; 1% loss for every 1% that index declines beyond 5%
|
| Initial index level: | 2,744.70
|
| Step-up value: | 3,266.74, 119.02% of initial level
|
| Threshold value: | 2,607.47, 95% of initial level
|
| Pricing date: | March 14
|
| Settlement date: | March 21
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40433T216
|
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