HSBC plans two-year 90% protected Mitts linked to real, peso vs. euro

By Susanna Moon

Chicago, April 26 - HSBC USA Inc. plans to price 0% currency Market Index Target-Term Securities due May 2015 linked to an emerging market currency basket, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Brazilian real and Mexican peso, equally weight, relative to the euro.

BofA Merrill Lynch is the underwriter.

The payout at maturity will be par of $10 plus 120% to 140% of any gain in the currency basket.

If the currency basket falls, the payout will be par plus the return with a minimum payout of 90% of par.

The notes are will price in May and settle in June.

The exact deal terms will be set at pricing.

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