HSBC plans 22- to 25-month digital notes with barrier tied to S&P 500

By Susanna Moon

Chicago, June 20 – HSBC USA Inc. plans to price 0% digital notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature between 22 and 25 months after pricing.

If the index finishes at or above the 80% threshold level, the payout at maturity will be par plus the threshold settlement amount of $1,070 to $1,082 per $1,000 principal amount.

Otherwise, investors will lose 1.25% for each 1% decline beyond 20%.

The exact deal terms, including maturity and digital return, will be set at pricing.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price on June 24.

The Cusip number is 40433UPY6.

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