HSBC plans to price digital return notes linked to 30-year CMS rate

By Marisa Wong

Madison, Wis., Jan. 23 - HSBC USA Inc. plans to price 0% digital return notes due February 2017 linked to the 30-year Constant Maturity Swap rate, according to an FWP 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 15% to 20%. The exact digital return will be set at pricing.

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.

The notes are expected to price in January and settle in February.

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