HSBC plans to price autocallable notes linked to Russell 2000 index

By Angela McDaniels

Tacoma, Wash., July 1 - HSBC USA Inc. plans to price 0% autocallable notes due July 29, 2011 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above the initial index level on any quarterly observation date, the notes will be automatically called and investors will receive par plus an annualized call premium of 10% to 14%. The exact premium will be set at pricing.

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

If the notes are not called and a trigger even does not occur, the payout at maturity will be par.

If a trigger event occurs and the final index level is greater than or equal to the buffer - 90% of the initial level - the payout at maturity will be par.

If a trigger event occurs and the final index level is less than the buffer level, investors will lose 1% for every 1% decline below the buffer.

The notes will price July 26 and settle July 29.

HSBC Securities (USA) Inc. is the agent.

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