HSBC plans 6% autocallable yield notes linked to S&P 500, Russell 2000

New York, Feb. 5 – HSBC USA Inc. plans to price 6% autocallable yield notes due May 25, 2016 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly. The exact rate will be set at pricing but will be at least 6%.

The notes will be called at par if each index closes at or above its initial level on any quarterly call observation date beginning on Aug. 20, 2015.

The payout at maturity will be par unless either index closes below its trigger level, 80% of its initial level, on any day during the life of the notes and the return of the worst-performing index is negative, in which case investors will be fully exposed to the decline of the worst-performing index.

The notes (Cusip: 40433BZH4) will price Feb. 20 and settle Feb. 25.

The estimated initial value of the notes is expected to be between $930 and $960 per $1,000 principal amount.

HSBC Securities (USA) Inc. is the agent.

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