HSBC plans to price 15-year callable leveraged CMS steepener notes

By Toni Weeks

San Luis Obispo, Calif., June 6 – HSBC USA Inc. plans to price callable leveraged steepener notes due June 27, 2029 linked to the 10-year Constant Maturity Swap rate and the two-year CMS rate, according to an FWP filing with the Securities and Exchange Commission.

Interest will be fixed at 7% for the first year. After that, it will accrue at 4.25 times the spread of the 10-year CMS rate over the two-year CMS rate, up to a maximum rate of 7% per year. Interest will be payable quarterly and cannot be less than zero. The exact leverage factor will be set at pricing.

The payout at maturity will be par.

The notes will be callable at par on June 27, 2015 and June 27, 2022.

HSBC Securities (USA) Inc. is the agent. Morgan Stanley Wealth Management is handling distribution.

The notes (Cusip: 40433BEJ3) are expected to price June 24 and settle June 27.

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