This free writing prospectus relates to
an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC
USA Inc. We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the
offering of Notes relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring
an investment linked to the Reference Asset or any component security included in the Reference Asset or as to the suitability
of an investment in the Notes.
You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement
dated March 22, 2012. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus
supplement, prospectus or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.
You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-10
of this free writing prospectus, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement,
as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisors before you invest in the Notes. As used herein, references to the “Issuer”, “HSBC”,
“we”, “us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement
(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this
free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying
Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC
and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively,
HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement
and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
We are using this free writing prospectus
to solicit from you an offer to purchase the Notes. You may revoke your offer to purchase the Notes at any time prior to the time
at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any
offer to purchase, the Notes prior to their issuance. In the event of any material changes to the terms of the Notes, we will
notify you.
On the Maturity Date, for each Note you
hold, we will pay you the Payment at Maturity, which is an amount in cash, described below:
You will receive a cash payment on the
Maturity Date, per $1,000 Principal Amount of Notes, equal to the greater of:
We or one of our affiliates will act as
calculation agent with respect to the Notes.
INVESTOR
SUITABILITY
The Notes may be suitable for you if:
|
The Notes may not be suitable for you if:
|
}
You
seek an investment with returns linked to the potential positive average performance of the Reference Asset and you believe that
the average performance of the Reference Asset will exceed the performance of the Reference Asset as measured solely by the change
from the Pricing Date to the Final Valuation Date.
}
You
are comfortable receiving only the Minimum Return at maturity if the Reference Return is equal to or less than the Minimum Return.
}
You
are willing to forgo dividends or other distributions paid to holders of the stocks comprising the Reference Asset Components.
}
You
are willing to accept the risk and return profile of the Notes versus a conventional debt security with a comparable maturity issued
by HSBC or another issuer with a similar credit rating.
}
You
do not seek current income from your investment.
}
You
do not seek an investment for which there is an active secondary market.
}
You
are willing to hold the Notes to maturity.
}
You
are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.
|
}
You
believe that the Reference Return will be negative on the Final Valuation Date or that the Reference Return will not be sufficiently
positive to provide you with your desired return.
}
You
are unwilling to receive only the Minimum Return at maturity if the Reference Return is equal to or less than the Minimum Return.
}
You
prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities
issued by HSBC or another issuer with a similar credit rating.
}
You
prefer to receive the dividends or other distributions paid on the stocks comprising the Reference Asset Components.
}
You
seek current income from your investment.
}
You
seek an investment for which there will be an active secondary market.
}
You
are unable or unwilling to hold the Notes to maturity.
}
You
are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.
|
Risk
Factors
We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and on page S-1 of the accompanying Equity
Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks comprising the
Reference Asset. You should understand the risks of investing in the Notes and should reach an investment decision only after careful
consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstances and the
information set forth in this free writing prospectus and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the Notes described in the following sections:
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
|
}
|
“— General Risks Related to Indices” in the Equity Index Underlying Supplement;
|
|
}
|
“—The Indices Comprising the Reference Asset May Not Move in Tandem; and Gains in One
Such Equity Index May Be Offset by Declines in Another Equity Index” in the Equity Index Underlying Supplement;
|
|
}
|
“—Securities Prices Generally Are Subject to Political, Economic, Financial and Social
Factors that Apply to the Markets in which They Trade and, to a Lesser Extent, Foreign Markets” in the Equity Index Underlying
Supplement; and
|
|
}
|
“—Time Differences Between the Domestic and Foreign Markets and New York City May Create
Discrepancies in the Trading Level or Price of the Notes” in the Equity Index Underlying Supplement.
|
You will be subject to
significant risks not associated with conventional fixed-rate or floating-rate debt securities.
Credit risk of HSBC USA Inc.
The Notes
are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third
party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the
other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any
payment to be made on the Notes, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations
as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and,
in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes.
Because the Average Closing Level
is based on an average of the Official Closing Levels of the
Reference Asset Components
on each
Observation Date throughout the term of the Notes, the Average Closing Level may be less than the Official Closing Level of the
Reference Asset Components on the Final Valuation Date.
Because the Final Basket Level is calculated
by reference to an average of the Official Closing Levels of the Reference Asset Components on various Observation Dates throughout
the term of the Notes, the Final Basket Level, as so calculated, may be less than the Official Closing Level of the Reference Asset
Components on the Final Valuation Date. As a result, the Payment at Maturity you receive may be less than the return you would
receive if the Payment at Maturity was based solely on the Official Closing Levels of one or more of the Reference Asset Components
on the Final Valuation Date. This difference could be particularly large if there is a significant increase in the Official Closing
Level of the Reference Asset Components during the latter portion of the term of the Notes. Additionally, the secondary market
value of the Notes, if such a market exists, will be impacted by the Official Closing Level of the Reference Asset Components on
any previous Observation Dates, in that those levels will impact the amount payable at maturity.
The amount payable on the Notes is
not linked to the levels of the Reference Asset Components at any time other than on the Observation Dates, including the Final
Valuation Date.
The Final
Basket Level will be based on the Official Closing Levels of the Reference Asset Components on each of the Observation Dates, subject
to postponement for non-trading days and certain Market Disruption Events. Even if the levels of the Reference Asset Components
appreciate during the term of the Notes other than on the Observation Dates but then decrease on one or more of the Observation
Dates to a level that is less than their respective Initial Component Levels, the Payment at Maturity will be less, and may be
significantly less, than it would have been had the Payment at Maturity been linked to the levels of the Reference Asset Components
prior to such decrease. Although the actual levels of the Reference Asset Components on the Maturity Date or at other times during
the term of the Notes may be higher than their respective Average Component Levels, the Payment at Maturity will be based solely
on the Official Closing Level of each Reference Asset Component on each of the Observation Dates.
The Notes will not bear interest.
As a holder of the Notes, you will not
receive interest payments.
The Reference Asset may be volatile.
While the Reference Asset has been designed
in part to mitigate the effects of volatility by linking to equity securities in different international markets, there is no assurance
that it will be successful in doing so. It is also possible that the features of the Reference Asset designed to address the effects
of volatility will instead adversely affect the return of the Reference Asset and, consequently, the return on your Notes.
Changes that affect the Reference
Asset will affect the market value of the Notes and the amount you will receive at maturity.
The policies of the reference sponsors
concerning additions, deletions and substitutions of the constituents comprising the Reference Asset Components and the manner
in which the reference sponsors take account of certain changes affecting those constituents may affect the levels of the Reference
Asset Components. The policies of the reference sponsors with respect to the calculation of the Reference Asset Components could
also affect the level of the Reference Asset Components. The reference sponsors may discontinue or suspend calculation or dissemination
of the Reference Asset Components. Any such actions could affect the value of and return on the Notes.
The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.
The Notes are not deposit liabilities or
other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the amounts owed to you under
the terms of the Notes.
The Estimated Initial Value of the Notes, which will be determined
by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary
market, if any.
The Estimated Initial Value of the Notes
will be calculated by us on the Pricing Date. We will determine the Estimated Initial Value by reference to our or our affiliates’
internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest
rates. Different pricing models and assumptions could provide valuations for the Notes that are different from our Estimated Initial
Value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The Estimated
Initial Value will reflect the implied borrowing rate we use to issue market-linked securities, as well as the mid-market value
of the embedded derivatives in the securities. The implied borrowing rate is typically lower than the rate we would use when we
issue conventional fixed or floating rate debt securities. As a result of the difference between our implied borrowing rate and
the rate we would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the Notes
may be lower if it were based on the levels at which our fixed or floating rate debt securities trade in the secondary market.
In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the
economic terms of the Notes to be more favorable to you. The Estimated Initial Value does not represent a minimum price at which
we or any of our affiliates would be willing to purchase your Notes in the secondary market (if any exists) at any time.
The price of your Notes in the secondary market, if any,
immediately after the Pricing Date will be less than the price to public.
The price to public takes into account
certain costs. These costs, which will be used or retained by us or one of our affiliates, will include our affiliates’ projected
hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the Notes, the
costs associated with hedging our obligations under the Notes, the underwriting discount and the costs associated with issuing
the Notes (such as costs associated with creating and documenting the Notes). If you were to sell your Notes in the secondary market,
if any, the price you would receive for your Notes may be less than the price you paid for them. The price of your Notes in the
secondary market, if any, at any time after issuance will vary based on many factors, including the value of the Reference Asset
and changes in market conditions, and cannot be predicted with accuracy. The Notes are not designed to be short-term trading instruments,
and you should, therefore, be able and willing to hold the Notes to maturity. Any sale of the Notes prior to maturity could result
in a loss to you.
If we were to repurchase your Notes immediately after the
Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the Notes.
Although not obligated to do so, for a
predetermined period of time after the Original Issue Date, if we were to buy back your Notes, the purchase price you would receive
(and which may be shown on your customer account statements) is expected to exceed the Estimated Initial Value, assuming all other
market conditions remain the same. This pricing differential is only temporary and the excess amount is expected to decline on
an approximate straight line basis to zero over a period of approximately six months from the
Original Issue Date. The length of this
period is generally dictated by market conditions. Thereafter, if you are able to sell your Notes, the price you would receive
would be based on the market value of the Notes at that time, which would take into account factors including, but not limited
to, then-prevailing market conditions, the relevant Reference Asset, our creditworthiness and transaction costs.
Risks associated with foreign securities
markets.
Because stocks or companies included in
three of the Reference Asset Components, including the SPTSX60, the SX5E and the TAIEX, are publicly traded in the applicable foreign
countries and are denominated in currencies other than U.S. dollars, investments in the Notes involve particular risks. For example,
the foreign securities markets may be more volatile than the United States securities markets, and market developments may affect
these markets differently from the United States or other securities markets. Direct or indirect government intervention to stabilize
the securities markets outside the United States, as well as cross-shareholdings in certain companies, may affect trading prices
and trading volumes in those markets. Also, the public availability of information concerning foreign issuers may vary depending
on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the foreign issuers
may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to
United States reporting companies.
Securities prices generally are subject
to political, economic, financial and social factors that apply to the markets in which they trade and, to a lesser extent, foreign
markets. Securities prices outside the United States are subject to political, economic, financial and social factors that apply
in foreign countries. These factors, which could negatively affect foreign securities markets, include the possibility of changes
in a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws
or other laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of
fluctuations in the rate of exchange between currencies. Moreover, foreign economies may differ favorably or unfavorably from the
United States economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment,
resources and self-sufficiency.
The Notes will not be adjusted
for changes in exchange rates.
Although
the equity securities held by the SPTSX60, the SX5E and the TAIEX are traded in currencies other than U.S. dollars, and your Notes
are denominated in U.S. dollars, the amount payable on your Notes at maturity will not be adjusted for changes in the exchange
rates between the U.S. dollar and the currencies in which these non-U.S. equity securities are denominated. Changes in exchange
rates, however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the level of the SPTSX60,
the SX5E or the TAIEX, and therefore your Notes. The amount we pay in respect of your Notes on the Maturity Date will be determined
solely in accordance with the procedures described in this free writing prospectus.
Lack of
liquidity.
The Notes will not be listed on any securities
exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.
Potential conflicts.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a holder of
the Notes in taking any action that might affect the value of your Notes.
Tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations”
below and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
Illustrative
Examples
The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the level of the Reference Asset relative to its Initial Basket Level. We cannot predict the Average
Closing Levels of the Reference Asset Components. The assumptions we have made in connection with the illustrations set forth below
may not reflect actual events, and the hypothetical Initial Component Levels of the Reference Asset Components used in the illustrations
below are not expected to be the actual Initial Component Levels of the Reference Asset Components to which your Notes are linked.
You should not take these examples as an indication or assurance of the expected performance of the Reference Asset.
With
respect to the Notes, the Payment at Maturity may be less than the amount that you would have received from a conventional debt
security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table and examples below have
been rounded for ease of analysis.
The table below illustrates the Payment
at Maturity on a $1,000 investment in Notes for a hypothetical range of Reference Returns from -100% to +100%. The following results
are based solely on the assumptions outlined below. The “Hypothetical Return on the Notes” below is the number, expressed
as a percentage, that results from comparing the Payment at Maturity per $1,000 principal amount of Notes to $1,000. The potential
returns described here assume that your Notes are held to maturity. You should consider carefully whether the Notes are suitable
to your investment goals. You should not take the below illustration as an indication or assurance of the expected performance
of the Reference Asset or return of the Notes.
The following table and examples assume the following:
}
|
Principal Amount:
|
$1,000
|
}
|
Hypothetical Minimum Return:
|
1% (the actual Minimum Return will be determined on the Pricing Date and will be between 1% and 2%)
|
Hypothetical
Reference Return
|
Hypothetical
Payment at
Maturity
|
Hypothetical
Return on the
Notes
|
100.00%
|
$2,000.00
|
100.00%
|
90.00%
|
$1,900.00
|
90.00%
|
80.00%
|
$1,800.00
|
80.00%
|
70.00%
|
$1,700.00
|
70.00%
|
60.00%
|
$1,600.00
|
60.00%
|
50.00%
|
$1,500.00
|
50.00%
|
40.00%
|
$1,400.00
|
40.00%
|
30.00%
|
$1,300.00
|
30.00%
|
20.00%
|
$1,200.00
|
20.00%
|
10.00%
|
$1,100.00
|
10.00%
|
5.00%
|
$1,050.00
|
5.00%
|
1.00%
|
$1,010.00
|
1.00%
|
0.80%
|
$1,010.00
|
1.00%
|
0.40%
|
$1,010.00
|
1.00%
|
0.60%
|
$1,010.00
|
1.00%
|
0.20%
|
$1,010.00
|
1.00%
|
0.00%
|
$1,010.00
|
1.00%
|
-10.00%
|
$1,010.00
|
1.00%
|
-20.00%
|
$1,010.00
|
1.00%
|
-30.00%
|
$1,010.00
|
1.00%
|
-40.00%
|
$1,010.00
|
1.00%
|
-50.00%
|
$1,010.00
|
1.00%
|
-60.00%
|
$1,010.00
|
1.00%
|
-70.00%
|
$1,010.00
|
1.00%
|
-80.00%
|
$1,010.00
|
1.00%
|
-90.00%
|
$1,010.00
|
1.00%
|
-100.00%
|
$1,010.00
|
1.00%
|
The following examples indicate how the
Payment at Maturity would be calculated with respect to a hypothetical $1,000 investment in the Notes.
Example 1: The Reference Asset increases
by more than the Minimum Return over the term of the Notes.
OBSERVATION
DATES
|
INDU
OFFICIAL
CLOSING
LEVELS
|
SPTSX60
OFFICIAL
CLOSING
LEVELS
|
SX5E
OFFICIAL
CLOSING
LEVELS
|
TAIEX
OFFICIAL
CLOSING
LEVELS
|
INITIAL
Component
LEVEL:
|
15,000.00
|
700.00
|
2,700.00
|
8,000.00
|
Quarter 1
|
15,127.21
|
716.10
|
2,716.10
|
8,154.06
|
Quarter 2
|
15,147.21
|
736.10
|
2,736.10
|
8,174.06
|
Quarter 3
|
15,167.21
|
756.10
|
2,756.10
|
8,194.06
|
Quarter 4
|
15,187.21
|
776.10
|
2,776.10
|
8,214.06
|
Quarter 5
|
15,207.21
|
796.10
|
2,796.10
|
8,234.06
|
Quarter 6
|
15,227.21
|
716.10
|
2,716.10
|
8,254.06
|
Quarter 7
|
15,247.21
|
736.10
|
2,736.10
|
8,274.06
|
Quarter 8
|
15,267.21
|
756.10
|
2,756.10
|
8,294.06
|
Quarter 9
|
15,287.21
|
776.10
|
2,776.10
|
8,314.06
|
Quarter 10
|
15,307.21
|
796.10
|
2,796.10
|
8,334.06
|
Quarter 11
|
15,327.21
|
716.10
|
2,716.10
|
8,354.06
|
Quarter 12
|
15,347.21
|
736.10
|
2,736.10
|
8,374.06
|
Quarter 13
|
15,367.21
|
756.10
|
2,756.10
|
8,394.06
|
Quarter 14
|
15,387.21
|
776.10
|
2,776.10
|
8,414.06
|
Quarter 15
|
15,407.21
|
796.10
|
2,796.10
|
8,434.06
|
Quarter 16
|
15,427.21
|
716.10
|
2,816.10
|
8,454.06
|
Quarter 17
|
15,447.21
|
736.10
|
2,836.10
|
8,474.06
|
Quarter 18
|
15,467.21
|
756.10
|
2,856.10
|
8,494.06
|
Quarter 19
|
15,487.21
|
776.10
|
2,876.10
|
8,514.06
|
Quarter 20
|
15,507.21
|
796.10
|
2,896.10
|
8,534.06
|
Quarter 21
|
15,527.21
|
816.10
|
2,916.10
|
8,554.06
|
Quarter 22
|
15,547.21
|
836.10
|
2,936.10
|
8,574.06
|
Quarter 23
|
15,567.21
|
856.10
|
2,956.10
|
8,594.06
|
Quarter 24 (Final Valuation Date)
|
15,587.21
|
876.10
|
2,976.10
|
8,614.06
|
Average Component Level:
|
15,357.21
|
771.10
|
2,808.60
|
8,384.06
|
Reference Asset Component Return:
|
2.38%
|
10.16%
|
4.02%
|
4.80%
|
Reference Return:
|
5.34%
|
Return on the Notes:
|
5.34%
|
In this example, the return
on the Notes you would receive is 5.34%.
If the Reference Return is greater than
the Minimum Return, the Payment at Maturity per $1,000 Principal Amount of Notes will equal $1,000 + ($1,000 x Reference Return).
Accordingly, the Payment at Maturity in this example would equal $1,000 plus $1,000 times 5.34%, or $1,053.40.
Example 1 shows that where the Reference
Return is greater than the Minimum Return, the investor will be paid a return based on the Reference Return.
In addition, Example 1 shows that the Average
Component Levels may be less than the Official Closing Levels on the Final Valuation Date. In that case, the Payment at Maturity
does not reflect the full performance of the Reference Asset during the term of the Notes (i.e., does not reflect the full performance
measured as the difference between the Initial Component Levels and the Official Closing Levels on the Final Valuation Date).
Example 2: The Reference Asset increases
by less than the Minimum Return over the term of the Notes.
OBSERVATION
DATES
|
INDU
OFFICIAL
CLOSING
LEVELS
|
SPTSX60
OFFICIAL
CLOSING
LEVELS
|
SX5E
OFFICIAL
CLOSING
LEVELS
|
TAIEX
OFFICIAL
CLOSING
LEVELS
|
INITIAL
Component
LEVEL:
|
15,000.00
|
700.00
|
2,700.00
|
8,000.00
|
Quarter 1
|
15,127.21
|
616.10
|
2,716.10
|
8,154.06
|
Quarter 2
|
15,147.21
|
636.10
|
2,736.10
|
8,174.06
|
Quarter 3
|
15,167.21
|
656.10
|
2,756.10
|
8,194.06
|
Quarter 4
|
15,187.21
|
676.10
|
2,776.10
|
8,214.06
|
Quarter 5
|
15,207.21
|
696.10
|
2,796.10
|
8,234.06
|
Quarter 6
|
15,227.21
|
616.10
|
2,716.10
|
8,254.06
|
Quarter 7
|
15,247.21
|
636.10
|
2,736.10
|
8,274.06
|
Quarter 8
|
15,267.21
|
656.10
|
2,756.10
|
8,294.06
|
Quarter 9
|
15,287.21
|
676.10
|
2,776.10
|
8,314.06
|
Quarter 10
|
15,307.21
|
696.10
|
2,796.10
|
8,334.06
|
Quarter 11
|
15,327.21
|
616.10
|
2,716.10
|
8,354.06
|
Quarter 12
|
14,347.21
|
636.10
|
2,736.10
|
8,374.06
|
Quarter 13
|
14,367.21
|
656.10
|
2,756.10
|
8,394.06
|
Quarter 14
|
14,387.21
|
676.10
|
2,776.10
|
8,414.06
|
Quarter 15
|
14,407.21
|
696.10
|
2,796.10
|
8,434.06
|
Quarter 16
|
14,427.21
|
616.10
|
2,816.10
|
8,454.06
|
Quarter 17
|
14,447.21
|
636.10
|
2,836.10
|
8,474.06
|
Quarter 18
|
14,467.21
|
656.10
|
2,856.10
|
8,494.06
|
Quarter 19
|
14,487.21
|
676.10
|
2,876.10
|
8,514.06
|
Quarter 20
|
14,507.21
|
696.10
|
2,896.10
|
8,534.06
|
Quarter 21
|
14,527.21
|
616.10
|
2,916.10
|
8,554.06
|
Quarter 22
|
14,547.21
|
636.10
|
2,936.10
|
8,574.06
|
Quarter 23
|
14,567.21
|
656.10
|
2,956.10
|
8,594.06
|
Quarter 24 (Final Valuation Date)
|
14,587.21
|
676.10
|
2,976.10
|
8,614.06
|
Average Component Level:
|
14,815.54
|
654.43
|
2,808.60
|
8,384.06
|
Reference Asset Component Return:
|
-1.23%
|
-6.51%
|
4.02%
|
4.80%
|
Reference Return:
|
0.27%
|
Return on the Notes:
|
1.00%
|
In this example, the return
on the Notes you would receive is 1.00%.
If the Reference Return is greater than
zero but less than the Minimum Return, the Payment at Maturity per $1,000 Principal Amount of Notes will equal $1,000 + ($1,000
x Minimum Return). Accordingly, the Payment at Maturity in this example would equal $1,000 plus $1,000 times 1%, or $1,010.00.
Example 2 shows that where the Reference
Return is greater than zero but less than the Minimum Return, the investor will be paid a return equal to the Minimum Return.
In addition, Example 2 shows that the increases
in one or more Reference Asset Components may be offset by the decreases in the other Reference Asset Components. In that case,
the return on the Notes may be less than the return on the Reference Asset Component that appreciates most.
Example 3: The Reference Asset decreases
over the term of the Notes.
OBSERVATION
DATES
|
INDU
OFFICIAL
CLOSING
LEVELS
|
SPTSX60
OFFICIAL
CLOSING
LEVELS
|
SX5E
OFFICIAL
CLOSING
LEVELS
|
TAIEX
OFFICIAL
CLOSING
LEVELS
|
INITIAL
Component
LEVEL:
|
15,000.00
|
700.00
|
2,700.00
|
8,000.00
|
Quarter 1
|
15,127.21
|
616.10
|
2,716.10
|
8,154.06
|
Quarter 2
|
15,147.21
|
636.10
|
2,736.10
|
8,174.06
|
Quarter 3
|
15,167.21
|
656.10
|
2,756.10
|
8,194.06
|
Quarter 4
|
15,187.21
|
676.10
|
2,776.10
|
8,214.06
|
Quarter 5
|
15,207.21
|
696.10
|
2,796.10
|
8,234.06
|
Quarter 6
|
15,227.21
|
616.10
|
2,716.10
|
8,254.06
|
Quarter 7
|
15,247.21
|
636.10
|
2,736.10
|
8,274.06
|
Quarter 8
|
15,267.21
|
656.10
|
2,756.10
|
8,294.06
|
Quarter 9
|
15,287.21
|
676.10
|
2,776.10
|
8,314.06
|
Quarter 10
|
15,307.21
|
696.10
|
2,796.10
|
7,334.06
|
Quarter 11
|
15,327.21
|
616.10
|
2,716.10
|
7,354.06
|
Quarter 12
|
14,347.21
|
636.10
|
2,736.10
|
7,374.06
|
Quarter 13
|
14,367.21
|
656.10
|
2,756.10
|
7,394.06
|
Quarter 14
|
14,387.21
|
676.10
|
2,776.10
|
7,414.06
|
Quarter 15
|
14,407.21
|
696.10
|
2,796.10
|
7,434.06
|
Quarter 16
|
14,427.21
|
616.10
|
2,816.10
|
7,454.06
|
Quarter 17
|
14,447.21
|
636.10
|
2,836.10
|
7,474.06
|
Quarter 18
|
14,467.21
|
656.10
|
2,856.10
|
7,494.06
|
Quarter 19
|
14,487.21
|
676.10
|
2,876.10
|
7,514.06
|
Quarter 20
|
14,507.21
|
696.10
|
2,896.10
|
7,534.06
|
Quarter 21
|
14,527.21
|
616.10
|
2,916.10
|
7,554.06
|
Quarter 22
|
14,547.21
|
636.10
|
2,936.10
|
7,574.06
|
Quarter 23
|
14,567.21
|
656.10
|
2,956.10
|
7,594.06
|
Quarter 24 (Final Valuation Date)
|
14,587.21
|
676.10
|
2,976.10
|
7,614.06
|
Average Component Level:
|
14,815.54
|
654.43
|
2,808.60
|
7,759.06
|
Reference Asset Component Return:
|
-1.23%
|
-6.51%
|
4.02%
|
-3.01%
|
Reference Return:
|
-1.68%
|
Return on the Notes:
|
1.00%
|
In this example, the return
on the Notes you would receive is 1.00%.
If the Reference Return is less than zero,
the Payment at Maturity per $1,000 Principal Amount of Notes will equal $1,000 + ($1,000 x Minimum Return). Accordingly, the Payment
at Maturity in this example would equal $1,000 plus $1,000 times 1%, or $1,010.00.
Example 3 shows that even if the Reference
Return is less than zero, the investor will be paid a return equal to the Minimum Return.
Information
relating to the reference asset Components
Dow Jones Industrial Average
SM
|
|
|
|
|
|
Description of the INDU
|
|
Historical Performance of the INDU
|
|
|
|
The INDU is a price-weighted index compromised of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the entire U.S. market, except the transportation and utilities industries, covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer goods.
|
|
The following graph sets forth the historical performance of the INDU based on the daily historical closing levels from June 4, 2008 through June 4, 2013. The closing level for the INDU on June 4, 2013 was 15,177.54. We obtained the closing levels below from the Bloomberg Professional
®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional
®
service.
|
|
|
|
For more information about the INDU, see “The Dow Jones Industrial Average
SM
” beginning on page S-25 of the accompanying Equity Index Underlying Supplement.
|
|
|
The historical levels
of the INDU should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the INDU on any of the quarterly Observation Dates.
S&P/TSX 60 Index
General
HSBC has derived all information relating
to the SPTSX60, including, without limitation, its make-up, performance, method of calculation and changes in its components, from
publicly available sources. That information reflects the policies of and is subject to change by, S&P Dow Jones Indices LLC.
S&P Dow Jones Indices LLC is under no obligation to continue to publish, and may discontinue or suspend the publication of
SPTSX60 at any time.
The SPTSX60 is a subset of the S&P/TSX
Composite Index, which is the principal broad market measure for the Canadian equity markets. The SPTSX60 has 60 constituents and
represents Canadian large cap securities with a view to matching the sector balance of the S&P/TSX Composite Index. In using
trading data to determine any matter relating to SPTSX60, including index composition and calculations, trading data on the Toronto
Stock Exchange and U.S. exchanges is reviewed.
Construction of the SPTSX60
The SPTSX60 is maintained by the S&P/TSX
Canadian Index Committee (the “Index Committee”). To be eligible for inclusion in SPTSX60, securities must be constituents
of the S&P/TSX Composite Index.
When adding securities to SPTSX60, the
Index Committee generally selects among the larger securities, in terms of float QMV, in the S&P/TSX Composite Index. Size
may, however, be overridden for purposes of sector balance, as described below.
When adding securities to SPTSX60, the
Index Committee generally selects securities with float turnover of at least 0.35. This is a guideline only and may be changed
at the discretion of the Index Committee. In addition, this range may be overridden for purposes of sector balance, as described
below.
Security selection for SPTSX60 is conducted
with a view to achieving sector balance that is reflective of the Global Industry Classification Standard (“GICS
®
”)
sector weights in the S&P/TSX Composite Index.
Minimum index turnover is preferable. Changes
are made to SPTSX60 on an as needed basis. The most common cause of deletion is merger or acquisition of a company. Other common
reasons for deletion include bankruptcy, restructuring or other corporate actions. If a company substantially fails to meet one
or more of the aforementioned guidelines for inclusion or if a company fails to meet the rules for continued inclusion in the S&P/TSX
Composite Index, it will be removed. The timing of removals is at the discretion of the Index Committee.
Calculation of the SPTSX60
On any given day, the value of SPTSX60
is the quotient of the total float-adjusted market capitalization of its constituent securities and its divisor. Continuity in
index values is maintained by adjusting the divisor for all changes in the constituents' share capital. This includes additions
and deletions to SPTSX60, rights issues, share buy-backs and issuances, and spin-offs. The divisor's time series is, in effect,
a chronological summary of all changes in affecting the base capital of SPTSX60. The divisor is adjusted such that the value of
SPTSX60 immediately prior to a change in base capital equals the index value at an instant immediately following that change.
License Agreement
The SPTSX60 is a product of S&P Dow
Jones Indices LLC or its affiliates (“SPDJI”) and the Toronto Stock Exchange, and has been licensed for use by HSBC.
Standard & Poor’s
®
and S&P
®
are registered trademarks of Standard & Poor’s
Financial Services LLC (“S&P”) and Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings
LLC (“Dow Jones”). TSX is a registered trademark of the Toronto Stock Exchange. The trademarks have been licensed to
SPDJI and have been sublicensed for use for certain purposes by HSBC.
The Notes are not sponsored, endorsed,
sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”)
or the Toronto Stock Exchange. Neither S&P Dow Jones Indices nor the Toronto Stock Exchange make any representation or warranty,
express or implied, to the holders of the Notes or any member of the public regarding the advisability of investing in securities
generally or in the Notes particularly or the ability of SPTSX60 to track general market performance. S&P Dow Jones Indices’
and the Toronto Stock Exchange’s only relationship to HSBC with respect to SPTSX60 is the licensing of SPTSX60 and certain
trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The SPTSX60 is determined, composed
and calculated by S&P Dow Jones Indices or the Toronto Stock Exchange without regard to HSBC or the Notes. S&P Dow Jones
Indices and the Toronto Stock Exchange have no obligation to take the needs of HSBC or the holders of the Notes into consideration
in determining, composing or calculating SPTSX60. Neither S&P Dow Jones Indices nor the Toronto Stock Exchange are responsible
for and has not participated in the determination of the prices, and amount of the Notes or the timing of the
issuance or sale of the Notes or in the
determination or calculation of the equation by which the Notes are to be converted into cash, surrendered or redeemed, as the
case may be. S&P Dow Jones Indices and the Toronto Stock Exchange have no obligation or liability in connection with the administration,
marketing or trading of the Notes. There is no assurance that investment products based on SPTSX60 will accurately track index
performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a
security within SPTSX60 is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered
to be investment advice.
NEITHER S&P DOW JONES INDICES NOR THE
TORONTO STOCK EXCHANGE GUARANTEES THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO
OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT
THERETO. S&P DOW JONES INDICES AND THE TORONTO STOCK EXCHANGE SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS,
OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES AND THE TORONTO STOCK EXCHANGE MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED
BY HSBC, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES OR THE TORONTO STOCK EXCHANGE BE
LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING, BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT,
STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES
INDICES AND HSBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
Historical Performance of the SPTSX60
The following graph sets forth the historical
performance of the SPTSX60 based on the daily historical closing levels from June 4, 2008 through June 4, 2013. The closing level
for the SPTSX60 on June 4, 2013 was 721.71. We obtained the closing levels below from the Bloomberg Professional
®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional
®
service.
The historical levels of the SPTSX60 should
not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SPTSX60
any of the quarterly Observation Dates.
EURO STOXX 50
®
Index
Description of the SX5E
The SX5E is composed
of 50 stocks from the Eurozone (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands,
Portugal and Spain) portion of the STOXX Europe 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest
stocks traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles
& parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care;
industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology;
telecommunications; travel & leisure; and utilities.
For more information
about the SX5E, see “The EURO STOXX 50
®
Index” beginning on page S-40 of the accompanying Equity Index
Underlying Supplement.
|
Historical Performance of the SX5E
The following graph sets forth the historical
performance of the SX5E based on the daily historical closing levels from June 4, 2008 through June 4, 2013. The closing level
for the SX5E on June 4, 2013 was 2,755.70. We obtained the closing levels below from the Bloomberg Professional
®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional
®
service.
|
The historical levels of
the SX5E should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level
of the SX5E any of the quarterly Observation Dates.
Taiwan Stock Exchange Capitalization
Weighted Stock Index
General
HSBC has derived all information relating
to the TAIEX, including, without limitation, its make-up, performance, method of calculation and changes in its components, from
publicly available sources. That information reflects the policies of and is subject to change by Taiwan Stock Exchange Co., Ltd.
("TWSE").
The TAIEX is a capitalization-weighted
index compiled by TWSE. The TAIEX covers all of the listed stocks excluding preferred stocks, full-delivery stocks and newly listed
stocks, which are listed for less than one calendar month on the Taiwan Stock Exchange. As of September 30, 2012, the index included
775 components. The base year value as of 1966 was set at 100.
Computation of the TAIEX
The constituents of the TAIEX compiled
by TWSE are taken from all common stocks listed for trading on the Taiwan Stock Exchange, set forth below:
(1) Stocks of newly listed companies
are included in the sample from the first trading day of the next month following one full calendar month from listing; provided
that, stocks of listed companies converted into financial holding companies or investment holding companies, and listed companies
transferred from the OTC market are included in the sample from the day of listing.
(2) Stocks suspended from trading
are included in the sample from the first trading day of the next month following one full calendar month from reinstatement of
normal trading; provided that, stocks suspended from trading because of issuance of replacement shares due to capital reduction
resulted from a corporate split are included in the sample from the day of resuming trading of the new shares.
(3) Stocks changed to full-delivery
trading are excluded from the sample, and will be included again on the date restoring regular trading status.
The TAIEX weighted index compiled by TWSE
is calculated by the following formula:
Index = Aggregate market value
/ Base value of the current day × 100
The aggregate market value is the summation
of the market values obtained by multiplying the traded price of each constituent by the issued shares of the current day. If there
is no traded price on the current day, the opening auction reference price of the current day may be used for calculation. However,
stock of newly listed companies included in calculation of the index may be accounted for on the basis of the listed shares of
the current date.
The base value at the time of commencement
of calculation of the index base period is the current aggregate market value at that time.
Adjustments of the TAIEX
Upon occurrence of any of the below-listed
events, the base value of the TAIEX computed by TWSE will be adjusted to maintain the continuity of the TAIEX:
|
(1)
|
Addition or deletion of a constituent - effective date;
|
|
(2)
|
Subscription of common shares for cash capital increase - ex-right date;
|
|
(3)
|
Distribution of common shares as bonus to employees or certificates of entitlement to new shares
- listing date;
|
|
(4)
|
Distribution of common shares as stock dividends on preferred stock - ex-right date;
|
|
(5)
|
Holding by a listed company of treasury stock for which capital cancellation has not been carried
out - ex-right date;
|
|
(6)
|
Share cancellation based on the law - ex-right date or the third trading day of the next month
following public announcement on capital decrease, whichever comes first;
|
|
(7)
|
Failed offering for cash capital increase - at reversion to the original number of issued shares
on the third trading day of the next month following receipt of notification;
|
|
(8)
|
Listing of certificates of entitlement to shares or new shares following company merger or consolidation
- listing date;
|
|
(9)
|
Listing of common shares issued in replacement of certificates of entitlement to convertible bonds
- listing date;
|
|
(10)
|
Common shares converted directly from convertible bonds or issued through exercise of securities
with subscription right - ex-right date or the third trading day of the next month following the public announcement of
|
|
|
capitalization
amendment registration;
|
|
|
|
|
(11)
|
Cash capital increase shares or certificates of payment for which shareholders have waived subscription
rights and public underwriting has been adopted - listing date;
|
|
(12)
|
New shares issued for global depositary receipts - listing date;
|
|
(13)
|
Common shares converted from convertible preferred shares - listing date; and
|
|
(14)
|
Other non-trading factors affecting aggregate market value.
|
The formula for adjustment
of the base value is as follows:
Base value of the current day
= Base value of the previous day × (Adjusted aggregate market value after the close of the previous day / the closing aggregate
market value of the previous day)
Adjusted aggregate market value
after the close of the previous day = the closing aggregate market value of the previous day + the sum of various adjustments in
market value.
Adjustments in market value are calculated
as follows:
(1) above: Adjustment in market value = closing price
of the previous day × shares issued
(2) above: Adjustment in market value = cash capital
increase subscription price × number of cash capital increase shares
(3) above: Adjustment in market value = (closing price
of the common shares before the listing date of distribution of common shares as bonus to employees or certificates of entitlement
to new shares) × number of shares resulting from bonus to employees
(4) above: Adjustment in market value = ex-right reference
price of the common shares × total number of common shares issued as stock dividends on preferred shares
|
·
|
Ex-right reference price of the common
shares = (closing price before the ex-right date + cash capital increase subscription price × cash capital increase share
distribution rate) / (1 + shareholder stock dividend rate + cash capital increase share distribution rate)
|
|
·
|
Shareholder stock dividend rate = number
of capital increase shares distributed as dividends to shareholders / number of issued shares before the ex-right date
|
|
·
|
Cash capital increase share distribution
rate = number of shares issued for the cash capital increase / number of issued shares before the ex-right date
|
(5) above: Adjustment in market
value = aggregate market value after the ex-right date - aggregate market value before the ex-right date
|
·
|
Market value before the ex-right date
= (closing price before the ex-right date - cash dividends per share) × number of issued shares before the ex-right date
|
|
·
|
Market value after the ex-right date =
(closing price before the ex-right date - cash dividends per share) / (1 + shareholder stock dividend rate) × number of issued
shares after the ex-right date
|
(6), (7), (8), (9), (10), (11),
(12), (13) and (14) above: Adjustment in market value = closing price of the previous day × change in the number of shares
|
·
|
The opening auction reference price of
the current day may be used for the calculation of the various adjustments in market value according to Article 4 after the close
of the previous day, if the closing price is not available
|
License Agreement with TWSE
The Notes are not in any way sponsored,
endorsed, sold or promoted by TWSE and TWSE does not make any warranty or representation whatsoever, expressly or impliedly, either
as to the results to be obtained from the use of the TAIEX and/or the figure at which the said Index stands at any particular time
on any particular day or otherwise. The Index is compiled and calculated by TWSE. However, TWSE shall not be liable (whether in
negligence or otherwise) to any person for any error in the Index and TWSE shall not be under any obligation to advise any person
of any error therein.
Historical Performance of the TAIEX
The following graph sets forth the historical
performance of the TAIEX based on the daily historical closing levels from June 4, 2008 through June 4, 2013. The closing level
for the TAIEX on June 4, 2013 was 8,191.22. We obtained the closing levels below from the Bloomberg Professional
®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional
®
service.
The
historical levels of the TAIEX should not be taken as an indication of future performance, and no assurance can be given as to
the Official Closing Level of the TAIEX any of the quarterly Observation Dates.
Supplemental
Plan of Distribution (Conflicts of Interest)
We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities
(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page
of the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers, or
will offer the Notes directly to investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forth
on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts
of up to 4% per $1,000 Principal Amount of Notes in connection with the distribution of the Notes to other registered broker-dealers.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the
Notes.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making
transactions after the initial sale of the Notes, but is under no obligation to do so and may discontinue any market-making activities
at any time without notice.
See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-49 in the prospectus supplement.
U.S.
Federal Income Tax Considerations
You should carefully
consider the matters set forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. The
following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition
of the Notes. This summary supplements the section “U.S. Federal Income Tax Considerations” in the accompanying
prospectus supplement and supersedes it to the extent inconsistent therewith.
There are no statutory
provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes
of securities with terms that are substantially the same as those of the Notes. We intend to treat the Notes as contingent
payment debt instruments for U.S. federal income tax purposes. Pursuant to the terms of the Notes, you agree to
treat
the Notes as contingent payment debt instruments for all U.S. federal income tax purposes and, in the opinion of Morrison &
Foerster
LLP
, special U.S. tax counsel to us, it is reasonable to treat the Notes
as contingent payment debt instruments. Assuming the Notes are treated as contingent payment debt instruments, a U.S.
holder will be required to include original issue discount (“OID”) in gross income each year, even though no payments
will be made on the Notes until maturity.
Based on the factors
described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of the Notes
as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments”, in order to illustrate
the application of the noncontingent bond method to the Notes, we have estimated that the comparable yield of the Notes, solely
for U.S. federal income tax purposes, will be 2.31% per annum (compounded annually). Further, based upon the method
described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of the Notes
as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments” and based upon the estimate
of the comparable yield, we have estimated that the projected payment schedule for Notes that have a Principal Amount of $1,000
and an issue price of $1,000 consists of a single payment of $1,146.80 at maturity.
Based upon the estimate
of the comparable yield, a U.S. holder that pays taxes on a calendar year basis, buys a Note for $1,000, and holds the Note until
maturity will be required to pay taxes on the following amounts of ordinary income in respect of the Notes in each year:
Year
|
OID
|
2013
|
$11.88
|
2014
|
$23.34
|
2015
|
$23.88
|
2016
|
$24.43
|
2017
|
$25.00
|
2018
|
$25.57
|
2019
|
$12.69
|
However, the ordinary
income reported in the taxable year the Notes mature will be adjusted to reflect the actual payment received at maturity. U.S.
holders should also note that the actual comparable yield and projected payment schedule may be different than as provided in this
summary depending upon market conditions on the date the Notes are issued. U.S. holders may obtain the actual comparable
yield and projected payment schedule as determined by us by submitting a written request to: Structured Equity
Derivatives – Structuring
HSBC Bank USA, National Association, 452 Fifth Avenue, 3rd Floor, New York, NY 10018. A U.S. holder is generally bound
by the comparable yield and the projected payment schedule established by us for the Notes. However, if a U.S. holder
believes that the projected payment schedule is unreasonable, a U.S. holder must determine its own projected payment schedule and
explicitly disclose the use of such schedule and the reason the holder believes the projected payment schedule is unreasonable
on its timely filed U.S. federal income tax return for the taxable year in which it acquires the Notes.
The comparable yield
and projected payment schedule are not provided for any purpose other than the determination of a U.S. holder’s interest
accruals for U.S. federal income tax purposes and do not constitute a projection or representation by us regarding the actual yield
on a Note. We do not make any representation as to what such actual yield will be.
Because there are no
statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income
tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and treatments
are possible. As a result, the timing and character of income in respect of the Notes might differ from the treatment described
above. You should carefully consider the discussion of all potential tax consequences as set forth in “U.S. Federal
Income Tax Considerations” in the accompanying prospectus supplement.
We will not attempt to
ascertain whether any of the entities whose stock is included in the Reference Asset, as the case may be, would be treated as a
passive foreign investment company (“PFIC”) or United States real property holding corporation (“USRPHC”),
both as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in the Reference Asset,
as the case may be, were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer to information
filed with the SEC and other authorities by the entities whose stock is included in the Reference Asset, as the case may be, and
consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in the
Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.
Withholding and reporting
requirements under the legislation enacted on March 18, 2010 (as discussed beginning on page S-48 of the prospectus supplement)
will generally apply to payments made after December 31, 2013. However, this withholding tax will not be imposed on payments pursuant
to obligations outstanding on January 1, 2014. Additionally, withholding due to any payment being treated as a “dividend
equivalent” (as discussed beginning on page S-47 of the prospectus supplement) will begin no earlier than January 1, 2014.
Holders are urged to consult with their own tax advisors regarding the possible implications of this recently enacted legislation
on their investment in the Notes.
PROSPECTIVE PURCHASERS
OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE,
OWNERSHIP AND DISPOSITION OF NOTES.
|
|
|
|
TABLE OF CONTENTS
|
|
|
You should only
rely on the information contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement,
prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation
to you that is not contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus
supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it.
This free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus
are not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction
where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this
free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is
correct on any date after their respective dates.
HSBC USA Inc.
$ Global Averaging Notes
June
7, 2013
FREE
WRITING PROSPECTUS
|
Free Writing Prospectus
|
|
|
General
|
FWP-7
|
|
Payment at Maturity
|
FWP-8
|
|
Investor Suitability
|
FWP-9
|
|
Risk Factors
|
FWP-10
|
|
Illustrative Examples
|
FWP-13
|
|
Information Relating to the Reference Asset Components
|
FWP-17
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
FWP-24
|
|
U.S. Federal Income Tax Considerations
|
FWP-24
|
|
|
|
|
Equity Index Underlying Supplement
|
|
|
Risk Factors
|
S-1
|
|
The S&P 500
®
Index
|
S-6
|
|
The S&P 100
®
Index
|
S-10
|
|
The S&P MidCap 400
®
Index
|
S-14
|
|
The S&P 500 Low Volatility Index
|
S-18
|
|
The Russell 2000
®
Index
|
S-21
|
|
The Dow Jones Industrial Average
SM
|
S-25
|
|
The Hang Seng China Enterprises Index
®
|
S-27
|
|
The Hang Seng
®
Index
|
S-30
|
|
The Korea Stock Price Index 200
|
S-33
|
|
MSCI Indices
|
S-36
|
|
The EURO STOXX 50
®
Index
|
S-40
|
|
The PHLX Housing Sector
SM
Index
|
S-42
|
|
The TOPIX
®
Index
|
S-46
|
|
The NASDAQ-100 Index
®
|
S-49
|
|
S&P BRIC 40 Index
|
S-53
|
|
The Nikkei 225 Index
|
S-56
|
|
The FTSE™ 100 Index
|
S-58
|
|
Other Components
|
S-60
|
|
Additional Terms of the Notes
|
S-60
|
|
|
|
|
Prospectus Supplement
|
|
|
Risk Factors
|
S-3
|
|
Risks Relating to Our Business
|
S-3
|
|
Risks Relating to All Note Issuances
|
S-3
|
|
Pricing Supplement
|
S-7
|
|
Description of Notes
|
S-8
|
|
Use of Proceeds and Hedging
|
S-30
|
|
Certain ERISA Considerations
|
S-30
|
|
U.S. Federal Income Tax Considerations
|
S-32
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
S-49
|
|
|
|
|
Prospectus
|
|
|
About this Prospectus
|
1
|
|
Risk Factors
|
1
|
|
Where You Can Find More Information
|
1
|
|
Special Note Regarding Forward-Looking Statements
|
2
|
|
HSBC USA Inc.
|
3
|
|
Use of Proceeds
|
3
|
|
Description of Debt Securities
|
3
|
|
Description of Preferred Stock
|
15
|
|
Description of Warrants
|
21
|
|
Description of Purchase Contracts
|
25
|
|
Description of Units
|
28
|
|
Book-Entry Procedures
|
30
|
|
Limitations on Issuances in Bearer Form
|
35
|
|
U.S. Federal Income Tax Considerations Relating to Debt Securities
|
35
|
|
Plan of Distribution (Conflicts of Interest)
|
51
|
|
Notice to Canadian Investors
|
53
|
|
Notice to EEA Investors
|
58
|
|
Certain ERISA Matters
|
59
|
|
Legal Opinions
|
60
|
|
Experts
|
60
|
|
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