HSBC plans dual directional contingent buffered notes tied to S&P 500

By Angela McDaniels

Tacoma, Wash., Oct. 8 – HSBC USA Inc. plans to price 0% dual directional contingent buffered notes due April 19, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is greater than zero, the payout at maturity will be par plus the index return, subject to a maximum return of 16.8%.

If the final index level is less than the initial index level by up to 16.8%, the payout will be par plus the absolute value of the index return.

If the final index level is less than the initial index level by more than 16.8%, investors will lose 1% for every 1% that the final index level is less than the initial index level.

HSBC Securities (USA) Inc. is the underwriter. J.P. Morgan Securities LLC is agent.

The notes are expected to price Oct. 9 and settle Oct. 15.

The Cusip number is 40433UBT2.

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