HSBC to price autocallable yield notes tied to S&P 500, Russell 2000

By Jennifer Chiou

New York, Sept. 2 - HSBC USA Inc. plans to price autocallable yield notes due Sept. 28, 2011 linked to the S&P 500 and Russell 2000 indexes, according to an FWP filing with the Securities and Exchange Commission.

The notes will bear interest at 8% to 11% per year, payable quarterly. The exact rate will be set at pricing.

The notes will be called automatically at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date.

A trigger event will occur if either index falls to below the trigger level, 75% of the initial level, on any trading day.

If a trigger event does not occur, investors will receive par at maturity. If a trigger event occurs and the index return is positive, investors will receive par.

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

The notes (Cusip 4042K04Z5) are expected to price on Sept. 23 and settle on Sept. 28.

HSBC Securities (USA) Inc. is the agent.

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