New Issue: HSBC prices $62.61 million Capped Leveraged Index Return Notes tied to S&P 500

By Susanna Moon

Chicago, April 30 - HSBC USA Inc. priced $62.61 million of 0% Capped Leveraged Index Return Notes due April 25, 2014 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus double any index gain, up to a maximum return of 21.5%.

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

Bank of America Merrill Lynch will be the agent.

Issuer:	HSBC USA Inc.
Issue:	Capped Leveraged Index Return Notes
Underlying index:	S&P 500
Amount:	$62,612,770
Maturity:	April 25, 2014
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 200% of any index gain, capped at 21.5%; par if index falls by 10% or less; full exposure to any losses if index drops by more than 10%
Initial level:	1,399.98
Threshold level:	1,259.98, or 90% of initial level
Pricing date:	April 26
Settlement date:	May 3
Underwriter:	Bank of America Merrill Lynch
Fees:	2%
Cusip: 06051P869

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