New Issue: HSBC prices $3.35 million digital return notes tied to 30-year CMS rate

By Marisa Wong

Madison, Wis., Feb. 3 - HSBC USA Inc. priced $3.35 million of 0% digital return notes due Feb. 3, 2017 linked to the 30-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

BofA Merrill Lynch is the underwriter.

If the final 30-year CMS rate is greater than or equal to the initial rate plus 1.52%, the payout at maturity will be par plus a digital return of 21.75%.

If the final 30-year CMS rate is less than the initial rate, the payout will be $800 per note.

In all other cases, the payout will be par.

Issuer:	HSBC USA Inc.
Issue:	Digital return notes
Underlying rate:	30-year Constant Maturity Swap rate
Amount:	$3,346,000
Maturity:	Feb. 3, 2017
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	If final rate is greater than or equal to 5.17% (initial rate plus 1.52%), par plus a digital return of 21.75%; if final rate is less than initial rate, $800 per note; in all other cases, par
Initial rate:	3.65%
Pricing date:	Jan. 30
Settlement date:	Feb. 3
Underwriter:	BofA Merrill Lynch
Fees:	1.75%
Cusip:	40432XS69

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