HSBC plans 10-year contingent floaters linked to CMS curve, S&P 500

By Susanna Moon

Chicago, Sept. 18 - HSBC USA Inc. plans to price 10-year contingent floating-rate income securities linked to the 10-year Constant Maturity Swap Rate and the S&P 500 index due Oct. 2, 2023, according to an FWP filing with the Securities and Exchange Commission.

Interest will be the 10-year CMS rate plus at least 225 basis points for each day that the index closes at or above the 70% barrier level. Interest will be payable quarterly.

The payout at maturity will be par if the index falls by up to 50% and investors will be fully exposed to any losses if the index falls below the 50% trigger level.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Sept. 27 and settle on Oct. 2.

The Cusip number is 40432XL74.

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