HSBC to price 98% protected notes tied to BRIC currencies via JPMorgan

By Angela McDaniels

Tacoma, Wash., Sept. 1 - HSBC USA Inc. plans to price zero-coupon 95% principal-protected notes due Sept. 9, 2011 linked to the performance of a basket of 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 basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi.

The payout at maturity will be 98% of par plus at least 152% of any basket appreciation versus the dollar, subject to a maximum return of 20.8%. The exact participation rate will be set at pricing.

If the basket remains flat or depreciates versus the dollar, investors will receive 98% of par.

The notes are expected to price Sept. 4 and settle Sept. 10.

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