HSBC plans 10-year callable CMS leveraged steepener notes with 8% cap

By Susanna Moon

Chicago, Nov. 22 - HSBC USA Inc. plans to price leveraged steepener notes due Nov. 30, 2021 linked to the 10-year and two-year Constant Maturity Swap rates, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 8% for the first year. After that, it will be 4.5 times the spread of the 10-year CMS rate over the two-year CMS rate minus 25 basis points, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes will be callable at par on the call date of Nov. 30, 2016.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Nov. 25 and settle on Nov. 30.

The Cusip number is 4042K1TC7.

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