New Issue: HSBC prices $21.97 million market-linked step-up notes tied to S&P 500

By Toni Weeks

San Luis Obispo, Calif., April 2 - HSBC USA Inc. priced $21.97 million of 0% market-linked step-up notes due March 27, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above the step-up value - 113.1% of the initial level - the payout at maturity will be par of $10 plus the index return.

If the index finishes at or above the initial level but is less than or equal to the step-up value, the payout at maturity will be par of $10 plus the step-up payment of 13.1%.

Investors will be exposed to any losses if the index declines.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying index:	S&P 500
Amount:	$21,965,280
Maturity:	March 27, 2015
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above 113.1% of initial level, par plus index return; if index finishes at or above initial level but less than or equal to step-up value, par plus 13.1%; full exposure to losses
Initial level:	1,569.19
Step-up value:	1,774.75, 113.1% of initial level
Pricing date:	March 28
Settlement date:	April 5
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40433T257

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