New Issue: HSBC prices $48.17 million capped leveraged notes linked to S&P 500

By Marisa Wong

Madison, Wis., March 2 – HSBC USA Inc. priced $48.17 million of 0% Capped Leveraged Index Return Notes due Feb. 24, 2017 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 12.42%.

Investors will receive par if the index 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:	Capped Leveraged Index Return Notes
Underlying index:	S&P 500 index
Amount:	$48,174,350
Maturity:	Feb. 24, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 200% times any index gain, up to a maximum return of 12.42%; par if index falls by up to 10%; exposure to any losses beyond 10%
Initial level:	2,110.74
Threshold level:	1,899.67, 90% of initial level
Pricing date:	Feb. 26
Settlement date:	March 5
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40434F421

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