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ELEMENTS are exchange-traded notes designed to track the return of a specific underlying market measure. After their initial offering, ELEMENTS can be bought and sold through a broker or financial advisor on a U.S. securities exchange.
Market Data As of market close  06/30/2015
Closing Price: $5.87
Net Change: -$0.03
% Change: -0.51%
52-week High/Low: $6.38/$5.64
Volume: 3,200
20 Day Volume Average: 2,627
Units Outstanding: 4,939,000
Market Capitalization*: $28,991,930
*Market Capitalization = Closing Price x Units Outstanding

Market Data
Source: Bloomberg. The "closing price" is the closing market trading price.

Indicative Values
Closing Indicative Value*: 06/30/2015 $5.83
Daily Repurchase Value*: 06/30/2015 $5.83
*Source: Bloomberg. The "Daily repurchase value" and "closing indicative value" are historical, do not guarantee future performance, and are shown for illustrative purposes only. The repurchase value will apply to any repurchase by the issuer.
Returns As of market close 06/30/2015
Timeframe1 mo3 mo6 moYTD1 yr3 yr5 yrSince Note Inception
S&P Commodity Trends Indicator - Total Return-5.57%-3.80%-3.43%-3.43%-2.07%-0.39%-5.51%-38.50%
CTI ELEMENTS ETNs (Indicative Value)-5.51%-3.95%-3.80%-3.80%-2.83%-1.12%-6.22%-41.70%
CTI ELEMENTS ETNs (Market Price)-4.24%-2.49%-3.61%-3.61%-1.84%-0.84%-6.09%-41.30%
3yr and 5yr represent annualized returns. The performance quoted represents historical performance and is not an indication that the return on the ELEMENTS or the underlying index is more or less likely to increase or decrease at any time during the term of the ELEMENTS. There can be no assurance that the future performance of the ELEMENTS or the index will result in holders of the ELEMENTS receiving a positive return on their investment.
Profile
Issuer: HSBC USA Inc.
Primary Exchange: NYSE Arca
Ticker: LSC
Intraday Indicative Value Ticker: LSCIV
Bloomberg Index Ticker: SPTICTR
CUSIP: 4042EP 602
Inception Date: June 10, 2008
Maturity Date: June 16, 2023
Initial Index Level: 2089.69
Denomination: $10.00
Short Sales* : Yes on an up or down tick
Yearly Fee : 0.75%
*With short sales, an investor risks paying more for a security than the amount one received from its sale.
Components

Please find below the Jun 2015 long/short positioning of the Index sectors. Generally, each sector is set long, short, or flat on a monthly basis. For softs, each component is set long or short on an individual basis, rather than a sector basis. Please see the prospectus for additional information on the long/short positioning of the Index sectors.

SectorCurrent PositionWeight*
EnergyLong20.50%
GrainsShort23.00%
Industrial MetalsLong10.00%
Precious MetalsShort10.50%
LivestockLong 10.00%
Softs (by Commodity)  
CocoaLong 2.00%
CoffeeShort 3.00%
CottonShort 2.00%
SugarShort 2.00%

* This represents the sector (or in the case of softs, component) weighting as of the Jun 2015 rebalancing. Weights will fluctuate between monthly rebalancing.

As of  Jan-2008


Source: Standard & Poor's

Returns
Index Returns indicates percentage change in the index level expressed as a percentage from the beginning of the relevant period to the end of the relevant period. Index Returns are for illustrative purposes only and do not represent actual ELEMENTS performance. Index Returns do not reflect any fees which would reduce an investor's actual return. Indices are not managed and one cannot invest directly in an index.

ELEMENTS Returns indicate the change in last reported prices at or shortly after 4:00 pm Eastern time expressed as a percentage from the beginning of the relevant period to the end of the relevant period and do not represent the returns an investor would receive if an investor traded at other times. Market Returns do not account for brokerage commissions which will reduce actual returns.

ELEMENTS Indicative Values Returns indicate the change in last reported indicative values at or shortly after 4:00 pm Eastern time expressed as a percentage from the beginning of the relevant period to the end of the relevant period.

Daily Repurchase Value
Daily Repurchase Value will equal the principal amount of ELEMENTS times the Index Factor on the relevant valuation date times the Fee Factor on the relevant valuation date.

Fee Factor
The fee factor is equal to one minus the product of (i) the annual investor fee and (ii) the number of days elapsed from the inception date to and including the applicable valuation date divided by 365. The annual investor fee is equal to 0.75%.

Index Factor
The index factor on any given day, other than the final valuation date, will be equal to the closing level of the index on the day divided by the initial index level. The index factor on the final valuation date will equal the average of the closing levels of the index for the five trading days prior to and including the final valuation date divided by the initial index level. The initial index level is the closing level of the index on the inception date.

To CommoditiesS&P CTI ETN (LSC)

What Are Some of the Risks of the Securities?

An investment in the Securities involves risks and may not be suitable for all investors. Some of these risks are summarized here, but we urge you to read the more detailed explanation of risks in ‘‘Risk Factors’’ in the pricing supplement and the accompanying prospectus supplement and prospectus. Terms used but not defined below have the meaning set forth in the pricing supplement.
  • Uncertain Principal Repayment — Your principal is not protected. If the level of the Index decreases, or does not increase by an amount greater than the aggregate investor fee applicable to your Securities, you will receive less, and possibly significantly less, than your original investment in the Securities.

  • No Interest Payments — You will not receive any periodic interest payments on the Securities.

  • Commodity Market Risk — The return on the Securities is linked to the performance of the Index, which, in turn, is linked to the prices of the Index Components. Commodity futures prices may change unpredictably, affecting the value of the Index Components and, consequently, the value of your Securities in unforeseeable ways. In addition, because the Index is composed of futures contracts on physical commodities with set expiration dates that are "rolled" (i.e., as contracts approach the month before expiration, they are replaced by contracts that have a later expiration), it is possible that the price at which the nearer delivery contracts are sold may be lower than the price at which the distant delivery contract is purchased. Any such negative "roll yield" would adversely affect the level of the Index and the value of the Securities.

  • A Trading Market for the Securities May Not Develop — Although we intend to list the Securities on NYSE Arca, a trading market for your Securities may not develop. We are not required to maintain any listing of the Securities on NYSE Arca or any other exchange.

  • Restrictions on Repurchases by HSBC USA — You must offer at least $2,500,000 stated principal amount of Securities (250,000 Securities) to HSBC USA for your offer for repurchase to be considered.

  • Your Offer for Repurchase Is Irrevocable — You will not be able to rescind your offer for repurchase after it is received by HSBC USA, so you will be exposed to market risk in the event market conditions change after HSBC USA receives your offer.

  • Uncertain Tax Treatment — Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax advisor as to the specific consequences to you of owning and disposing of Securities.

Call Feature — Your Securities may be repurchased on or after June 16, 2011 if the aggregate principal amount of the Securities outstanding is $5,000,000 (500,000 Securities) or less.
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Merrill Lynch, Pierce, Fenner & Smith Incorporated is a registered broker-dealer and a wholly-owned subsidiary of Bank of America Corporation.
Securities Products: Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

In considering ELEMENTS as an investment, an investor should review the ELEMENTS prospectus for the particular offering and discuss the security with legal, tax and financial advisors before taking any action. In the event of any inconsistency between this website and the prospectus for a particular offering of ELEMENTS, you should rely on the prospectus in evaluating that offering. Please review Legal Information and Privacy Statement for additional important legal information and the terms and conditions governing use of this website.