HSBC plans 13%-16% autocallable yield notes tied to S&P 500, Russell

By Angela McDaniels

Tacoma, Wash., Sept. 29 - HSBC USA Inc. plans to price 13% to 16% autocallable yield notes due Oct. 31, 2012 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 quarterly.

The notes will be called at par if each index closes at or above its initial level on Jan. 26, April 26, 2012, July 26, 2012 or Oct. 26, 2012.

The payout at maturity will be par unless either index falls below its trigger level - 60% of its initial level - during the life of the notes and the final return of at least one of the indexes is zero or negative, in which case investors will receive par plus the return of the worst-performing index.

The notes (Cusip: 4042K1PQ0) will price Oct. 21 and settle Oct. 26.

HSBC Securities (USA) Inc. is the agent.

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