New Issue: HSBC prices $4.32 million digital return notes due 2017 tied to S&P 500

By Susanna Moon

Chicago, June 2 – HSBC USA Inc. priced $4.32 million of 0% digital return notes due Sept. 6, 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 90% barrier level, the payout at maturity will be par plus a digital return of 8%.

Otherwise, investors will lose 1.1111% for every 1% decline beyond 10%.

HSBC Securities (USA) Inc. is the agent with J.P. Morgan Securities LLC as dealer.

Issuer:	HSBC USA Inc.
Issue:	Digital return notes
Underlying index:	S&P 500
Amount:	$4,315,000
Maturity:	Sept. 6, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains or falls by up to 10%, par plus 8%; 1.1111% loss per 1% drop beyond 10%
Initial level:	2,099.06
Barrier level:	90% of initial level
Pricing date:	May 27
Settlement date:	June 2
Agents:	HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC
Fees:	1.12%
Cusip:	40433UPF7

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