HSBC plans to price one-year tiered return notes linked to renminbi

By Toni Weeks

San Diego, Feb. 9 - HSBC USA Inc. plans to price one-year 0% tiered return notes due Feb. 28, 2012 linked to the performance of the Chinese renminbi relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

If the final spot rate of the renminbi relative to the dollar is greater than the trigger level - 95% of the initial level - the payout will be 95% of par plus the currency performance, which is the greater of the currency return and zero.

If the final spot rate of the renminbi is less than or equal to the trigger level, the payout will be 95% of par plus twice the currency performance.

The currency performance is the initial spot rate minus the final spot rate, all divided by the initial rate.

Investors will receive a minimum of $950 per $1,000 principal amount.

The notes (Cusip: 4042K1DV2) are expected to price on Feb. 23 and settle on Feb. 28.

HSBC Bank USA, NA will be the agent.

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