HSBC plans digital dual directional barrier notes on S&P, Russell

By Tali Rackner

Norfolk, Va., Feb. 17 – HSBC USA Inc. plans to price 0% digital dual directional barrier securities due Feb. 28, 2022 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the return of each index is greater than or equal to its barrier level, 70% of its initial level, the payout at maturity will be the greater of par plus the return of the lesser-performing index and the digital upside return. The digital upside return is expected to be between 40% and 45% and will be set at pricing.

If either index falls below the 70% barrier, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Feb. 23 and settle on Feb. 28.

The Cusip number is 40433UN69.

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