HSBC plans 10.5%-13.5% autocallable yield notes on MSCI EM, Russell

By Susanna Moon

Chicago, March 3 - HSBC USA Inc. plans to price 10.5% to 13.5% autocallable yield notes due March 22, 2012 linked to the iShares MSCI Emerging Markets index fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable quarterly.

The notes will be called at par if the underlying components close at or above their initial levels on any quarterly observation date.

A trigger event will occur if the fund or index closes below 80% of its initial level during the life of the notes.

If a trigger event does not occur or a trigger event does occur but the return of the worst-performing component is positive, the payout will be par.

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

The notes are expected to price on March 24 and settle on March 29.

The Cusip is 4042K1EZ2.

HSBC Securities (USA) Inc. is the agent.

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