By Susanna Moon
Chicago, Oct. 19 - HSBC USA Inc. priced $5.13 million of zero-coupon 98% principal-protected notes due Oct. 21, 2011 linked to the performance of a basket of equally weighted currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The underlying currencies are the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi.
The payout at maturity will be $980 per $1,000 principal amount plus 131% of any basket gain, up to a maximum payout of $1,176.50 per note.
Investors will receive at least $980 per note.
| Issuer: | HSBC USA Inc.
|
| Issue: | 98% principal-protected notes
|
| Underlying currencies: | Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, equally weighted versus dollar
|
| Amount: | $5.13 million
|
| Maturity: | Oct. 21, 2011
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | $980 plus 131% of any basket gain, capped at 17.65%; floor of 98% of par
|
| Initial spot rates: | 1.7139 for real, 29.4466 for ruble, 46.2900 for rupee and 6.8268 for renminbi
|
| Pricing date: | Oct. 16
|
| Settlement date: | Oct. 22
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.5%
|
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