New Issue: HSBC prices $1.43 million digital notes on real, ruble, rupee basket

By Marisa Wong

Morgantown, W.Va., March 13 – HSBC USA Inc. priced $1.43 million of 0% digital notes due March 6, 2020 linked to the performance of an equally weighted basket of three currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Brazilian real, the Russian ruble and the Indian rupee.

If the basket return is positive or zero – meaning that the basket currencies, as a whole, strengthen or remain unchanged relative to the dollar – the payout at maturity will be par plus 21.55%.

If the basket return is negative, the payout will be par.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.

Issuer:	HSBC USA Inc.
Issue:	Digital notes
Underlying basket:	Brazilian real, Russian ruble and Indian rupee; equally weighted; relative to dollar
Amount:	$1,425,000
Maturity:	March 6, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket return is positive or zero, par plus 21.55%; otherwise, par
Initial spot rates:	3.1364 for real, 58.6456 for ruble, 66.8354 for rupee
Pricing date:	March 3
Settlement date:	March 8
Agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC (placement)
Fees:	1.5%
Cusip:	40433UW44

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