New Issue: HSBC prices $5 million 7.5% autocallable yield notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., July 18 - HSBC USA Inc. priced $802,000 of 7.5% autocallable yield notes due Oct. 19, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be called at par if each index closes at or above its initial level on Oct. 17, Jan. 17, April 16, 2012, July 16, 2012 or Oct. 16, 2012.

The payout at maturity will be par unless the final level of either index is less than 65% of its initial level, in which case investors will receive par plus the return of the worst-performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable yield notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$5 million
Maturity:	Oct. 19, 2012
Coupon:	7.5%, payable quarterly
Price:	Par
Payout at maturity:	If either index finishes below its trigger level, par plus the return of the worst-performing index; otherwise, par
Call:	Automatically at par if both indexes close at or above their initial levels on Oct. 17, Jan. 17, April 16, 2012, July 16, 2012 or Oct. 16, 2012
Initial index levels:	1,308.87 for S&P 500 and 823.32 for Russell 2000
Trigger levels:	850.77 for S&P 500 and 535.16 for Russell 2000; 65% of initial levels
Pricing date:	July 14
Settlement date:	July 25
Agent:	J.P. Morgan Securities LLC
Fees:	0.8%
Cusip:	4042K1LK7

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