HSBC to price 95% protected notes tied to three currencies via JPM

By Jennifer Chiou

New York, Nov. 4 - HSBC USA Inc. plans to price zero-coupon 95% principal-protected notes due Nov. 11, 2011 linked to a basket of three currencies, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. is the agent.

The basket includes equal weights of the South Korean won, Indonesian rupiah and the Singapore dollar, all relative to the U.S. dollar.

The payout at maturity will be 95% of par plus at least 195% of any appreciation in the basket, subject to a maximum return of at least 14.5%. The exact participation rate and cap will be set at pricing.

If the basket depreciates relative to the dollar, the payout will be at least 95% of par.

The notes will price on Nov. 6 and settle on Nov. 11.

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