New Issue: HSBC prices $21.51 million market-linked step-up notes with enhanced buffer on S&P 500

By Wendy Van Sickle

Columbus, Ohio, June 30 – HSBC USA Inc. priced $21.51 million of 0% market-linked step-up notes with enhanced buffer due June 24, 2022 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 level – 122.9% – the payout at maturity will be par plus the gain.

If the index finishes at or below the step-up level but at or above the 90% threshold level, the payout will be par plus the step-up return of 22.9%

Investors will be exposed to any losses beyond 10%.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes with enhanced buffer
Underlying index:	S&P 500
Amount:	$21,508,550
Maturity:	June 24, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above step-up level, par plus index gain; if index finishes at or above 90% of initial level but at or below step-up value, par plus 22.9%; exposure to losses beyond 10%
Initial level:	2,419.70
Step-up value:	2,973.81, 122.9% of initial level
Threshold value:	2,177.73, 90% of starting value
Pricing date:	June 29
Settlement date:	July 7
Agent:	Bank of America Merrill Lynch
Fees:	2.5%
Cusip:	40435D458

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