HSBC plans 9%-12% autocallable yield notes on S&P 500, Russell 2000

By Jennifer Chiou

New York, April 5 - HSBC USA Inc. plans to price autocallable yield notes due April 23, 2012 linked to the S&P 500 and Russell 2000 indexes, according to an FWP with the Securities and Exchange Commission.

The coupon will be between 9% and 12%, payable quarterly. The exact coupon will be set at pricing.

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

A trigger event will occur if either index falls to below the trigger level, 80% of the initial level, on any trading day.

If a trigger event does not occur, the payout at maturity is par. If a trigger event occurs and the least-performing index return is positive, investors will also receive par.

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

The notes (Cusip: 4042K1FN8) will price on April 25 and settle on April 28.

HSBC Securities (USA) Inc. will be the agent.

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