New Issue: HSBC prices $42.57 million Capped Leveraged Index Return Notes linked to S&P 500

New York, June 1 – HSBC USA Inc. priced $42.57 million of 0% Capped Leveraged Index Return Notes due May 26, 2017 tied to the S&P 500 Index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 200% of the index return, subject to a maximum payout of par plus 12.34%. Investors will receive par if the index falls by up to 10% and will lose 1% for every 1% decline in the index beyond 10%.

Merrill Lynch & Co. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Capped Leveraged Index Return Notes
Underlying index:	S&P 500 Index
Amount:	$42,569,670
Maturity:	May 26, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is positive, par plus 200% of index return, subject to maximum payout of par plus 12.34%; par if index falls by up to 10%; 1% loss for every 1% decline beyond 10%
Initial index level:	2,120.79
Pricing date:	May 28
Settlement date:	June 4
Underwriters:	Merrill Lynch & Co.
Fees:	2%
Cusip:	40434G445

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