HSBC plans digital notes due 2018 with barrier, cap linked to S&P 500

By Susanna Moon

Chicago, July 14 – HSBC USA Inc. plans to price 0% digital notes due in 20 to 23 months 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 87.5% threshold level, the payout at maturity will be the threshold settlement amount of $1,105 to $1,123 for each $1,000 principal amount. The exact digital return will be set at pricing.

Otherwise, investors will lose 1.1429% for each 1% decline beyond 12.5%.

HSBC Securities (USA) Inc. is the agent.

The notes will price on July 20.

The Cusip number is 40433URP3.

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