HSBC plans contingent income autocallables linked to LyondellBasell

By Marisa Wong

Madison, Wis., Oct. 10 – HSBC USA Inc. plans to price contingent income autocallable securities due Oct. 22, 2015 linked to the common stock of LyondellBasell Industries NV, according to an FWP filing with the Securities and Exchange Commission.

If LyondellBasell shares close at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of at least 8.2%. The exact rate will be set at pricing.

The notes will be called at par of $10 plus the contingent coupon if LyondellBasell shares close at or above the initial share price on any of the first three quarterly determination dates.

If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will receive a number of LyondellBasell shares equal to $10 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

HSBC Securities (USA) Inc. is the agent with Morgan Stanley Smith Barney LLC handling distribution.

The notes are expected to price Oct. 17 and settle Oct. 22.

The Cusip number is 40434D434.

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