HSBC plans trigger phoenix autocallables tied to iShares Russell 2000

By Angela McDaniels

Tacoma, Wash., Sept. 30 - HSBC USA Inc. plans to price trigger phoenix autocallable optimization securities due Oct. 11, 2012 linked to the iShares Russell 2000 index fund, according to an FWP filing with the Securities and Exchange Commission.

If the exchange-traded fund's shares close at or above the trigger price - 65% of the initial share price - on a quarterly observation date, the issuer will pay a contingent coupon for that quarter at the rate of 13% to 17% per year. Otherwise, no coupon will be paid that quarter. The exact coupon will be set at pricing.

If the shares close at or above the initial price on a quarterly observation date, the notes will be called at par of $10 plus the contingent coupon.

If the notes are not called and the shares finish at or above the trigger price, the payout at maturity will be par of $10 plus the contingent coupon. Otherwise, investors will be exposed to the share price decline from the initial price.

The notes (Cusip: 40433C346) are expected to price Oct. 5 and settle Oct. 11.

HSBC Securities (USA) Inc. is the underwriter with UBS Financial Services Inc. as dealer.

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