HSBC plans variable-coupon callable yield notes on Russell 2000, ETF

By Marisa Wong

Madison, Wis., Nov. 18 - HSBC USA Inc. plans to price variable-coupon callable yield notes due Dec. 5, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A coupon step-down event occurs if either underlying closes below 70% of its initial level on March 1, May 31, 2011, Aug. 30, 2011 or Nov. 30, 2011.

If a step-down event occurs, the coupon will be 6%. Otherwise, the rate will be between 16.5% and 18.5%. The exact rate will be set at pricing. Interest will be payable quarterly.

If either underlying closes below 70% of its initial level on any day during the life of the notes and the final return of the least performing underlying is zero or negative, the payout at maturity will be par plus the return of the least performing underlying. Otherwise, the payout will be par.

The notes will be callable at par on any interest payment date.

The notes (Cusip: 4042K1AQ6) are expected to price on Nov. 30 and settle on Dec. 3.

HSBC Securities (USA) Inc. is the agent.

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