HSBC plans 6% autocallable yield notes linked to S&P 500, Russell

By Marisa Wong

Madison, Wis., May 5 - HSBC USA Inc. plans to price autocallable yield notes due Aug. 17, 2015 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 6%, with the exact rate to be set at pricing. Interest is payable monthly.

The notes will be called automatically at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date beginning Nov. 17, 2014.

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

If a trigger event does not occur or if it does occur and the index return of the least-performing underlying index is zero or positive, investors will receive par at maturity.

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

HSBC Securities (USA) Inc. is the agent.

The notes will price on May 13 and settle on May 16.

The Cusip number is 40433BAA6.

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