New Issue: HSBC prices $40.42 million capped Leveraged Index Return Notes on S&P 500

By Jennifer Chiou

New York, Nov. 30 - HSBC USA Inc. priced $40,424,770 of 0% capped Leveraged Index Return Notes due Nov. 26, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any index gain, up to a maximum return of 15.34%.

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

Bank of America Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Capped Leveraged Index Return Notes
Underlying index:	S&P 500
Amount:	$40,424,770
Maturity:	Nov. 26, 2014
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 200% of any index gain, capped at 15.34%; par if index falls by 10% or less; 1% loss per 1% drop beyond 10%
Initial level:	1,415.95
Threshold level: 1,274.36, 90% of initial level
Pricing date:	Nov. 29
Settlement date:	Dec. 6
Agent:	Bank of America Merrill Lynch
Fees:	2%
Cusip:	40433T729

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