HSBC plans 98% principal-protected notes tied to BRIC currencies

By Jennifer Chiou

New York, Oct. 14 - HSBC USA Inc. plans to price zero-coupon 98% principal-protected notes due Oct. 21, 2011 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

The basket consists of equal weights of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese yuan, each against the dollar.

The payout at maturity will be 98% of par plus any basket gain multiplied by an upside leverage factor of no less than 1.31, subject to a maximum return of at least 17.65%. The exact upside leverage factor and cap will be set at pricing.

Investors will receive at least 98% of par.

The notes are expected to price on Oct. 16 and settle on Oct. 22.

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