HSBC plans digital dual directional barrier notes linked to indexes

By Susanna Moon

Chicago, June 14 – HSBC USA Inc. plans to price 0% worst of digital dual directional barrier securities due April 27, 2018 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each index finishes at or above the 70% barrier level, the payout at maturity will be par plus the greater of the digital upside return of 33% to 38% and any gain of the worse performing index. The exact digital return will be set at pricing.

Otherwise, the payout will be par plus the index return of the worse performing index with full exposure to any losses.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price on June 27 and settle on June 30.

The Cusip number is 40433UNZ5.

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