HSBC plans 8%-12% autocallable yield notes on S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Dec. 1 - HSBC USA Inc. plans to price 8% to 12% autocallable yield notes due Dec. 30, 2011 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The exact coupon will be set at pricing. Interest will be payable quarterly.

The notes will be called automatically at par if both indexes close at or above their initial levels on March 28, June 27, 2011, Sept. 27, 2011 or Dec. 27, 2011.

A trigger event will occur if either index closes below 75% of its initial level on any day during the life of the notes.

If a trigger event does not occur, investors will receive par at maturity.

If a trigger event occurs and the return of the worst-performing index is positive, investors will receive par.

If a trigger event occurs and the return of the worst-performing index is negative, investors will share in the decline.

The notes (Cusip 4042K1BK8) are expected to price Dec. 27 and settle Dec. 30.

HSBC Securities (USA) Inc. is the agent.

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