HSBC to sell 95% protected notes tied to four currencies vs. euro

By Marisa Wong

Milwaukee, March 19 - HSBC USA Inc. plans to price zero-coupon 95% principal-protected notes due April 5, 2013 based on the performance of an equally weighted basket of four currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The underlying currencies are the Brazilian real, Australian dollar, Norwegian krone and Canadian dollar.

If the basket return is positive, the payout at maturity will be par plus the greater of a digital coupon rate of 15% to 18% and the basket gain. The exact digital coupon will be set at pricing.

Otherwise, the payout will be the greater of par plus the basket return and 95% of par.

The notes will price on March 25 and settle on April 6.

HSBC Securities (USA) Inc. is the agent.

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