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

By Devika Patel

Knoxville, Tenn., June 10 – HSBC USA Inc. plans to price 0% digital dual directional barrier securities due July 1, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filed with the Securities and Exchange Commission.

If each index finishes at or above 90% of its initial level, the payout at maturity will be par plus the greater of the return of the worse-performing index and the minimum upside return, which is expected to be 49% to 51% and will be set at pricing.

Investors will receive par if the worse-performing index falls by more than 10% but finishes at or above the 60% barrier level and will lose 1% for each 1% loss of the worse-performing index if either index finishes below its 60% barrier level.

HSBC Securities (USA) Inc. is the agent.

The notes (Cusip: 40433UPR1) will price on June 28 and settle on July 1.

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