HSBC to price four-year digital plus barrier notes linked to S&P 500

By Marisa Wong

Madison, Wis., April 1 - HSBC USA Inc. plans to price 0% digital plus barrier notes due April 26, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes at or above the initial level, the payout at maturity will be par plus the greater of any index gain and the 20% to 25% minimum upside return. The exact floor will be set at pricing.

Investors will receive par if the index falls by up to 30% and will be fully exposed to losses if the index falls below the 70% barrier level.

HSBC Securities (USA) Inc. is the agent.

The notes will price on April 19 and settle on April 26.

The Cusip number is 40432XD99.

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