New Issue: HSBC prices $9.35 million market-linked step-up notes on S&P 500, Euro Stoxx 50

By Susanna Moon

Chicago, Dec. 2 – HSBC USA Inc. priced $9.35 million of 0% market-linked step-up notes due Nov. 23, 2018 linked to a basket of the S&P 500 index and the Euro Stoxx 50 index, equally weighted, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket finishes above the step-up value – 122.8% of the initial level – the payout at maturity will be par of $10 plus the gain.

If the basket finishes at or above the initial level but at or below the step-up value, the payout at maturity will be par of $10 plus the step-up payment of 22.8%.

Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Market-linked step-up notes
Underlying indexes:	S&P 500 and Euro Stoxx 50, equally weighted
Amount:	$9,353,980
Maturity:	Nov. 23, 2018
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If basket finishes above step-up level, par plus gain; if basket gains up to step-up value, par plus 22.8%; if basket falls by up to 10%, par; otherwise, exposure to any losses beyond 10%
Step-up value:	122.8% of initial level
Buffer level:	90% of initial level
Pricing date:	Nov. 25
Settlement date:	Dec. 3
Agent:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	40434D178

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