HSBC plans digital dual directional barrier notes linked to indexes

By Angela McDaniels

Tacoma, Wash., May 3 – HSBC USA Inc. plans to price 0% worst-of digital dual directional barrier securities due May 28, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final level of each index is greater than or equal to its barrier level, 70% of its initial level, the payout at maturity will be par plus the greater of the minimum upside return and the return of the lesser-performing index. The minimum upside return is expected to be 38% to 43% and will be set at pricing.

If the final level of either index is less than its barrier level, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price May 25.

The Cusip number is 40433UMR4.

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