HSBC plans to price dual directional knock-out notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., March 21 – HSBC USA Inc. plans to price 0% dual directional knock-out notes due April 1, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index closes above the upside knock-out level, 118.5% of the initial index level, or below the downside knock-out level, 70% of the initial index level, on any day from and including the pricing date through but excluding March 23, 2021.

If a knock-out event has not occurred and the final index level is less than the initial index level, the payout at maturity will be par plus the absolute value of the index return, subject to a maximum return of 30%.

If a knock-out event has not occurred and the final index level is greater than or equal to the initial index level, the payout will be par plus the lesser of the index return and 18.5%.

If a knock-out event has occurred, the payout will be par.

HSBC Securities (USA) Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.

The notes will price March 22.

The Cusip number is 40435UJV7.

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