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 Stock-Linked
Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the Reference Stocks. 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 pricing supplement and the accompanying prospectus supplement, prospectus and Stock-Linked Underlying Supplement.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Stock-Linked 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 Reference Stocks” in the Stock-Linked Underlying
Supplement;
|
|
}
|
“— Additional risks relating to certain Notes with more than one instrument comprising
the Reference Asset” in the Stock-Linked Underlying Supplement; and
|
|
}
|
“— Additional risks relating to certain Notes with a Reference Asset that includes
or relates to one or more non-U.S. company Reference Stocks” in the Stock-Linked Underlying Supplement.
|
You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.
The amount of the annual Coupon is uncertain
and may be as low as the Minimum Coupon Rate.
The amount of the annual Coupon you receive
is not fixed and will depend on the performances of the Reference Stocks. If the arithmetic average of the Stock Performances of
all the Reference Stocks is equal to or less than the Minimum Coupon Rate on a Coupon Valuation Date, you will receive a Coupon
equal to the Minimum Coupon Rate on the applicable Coupon Payment Date.
You will not directly participate in
any appreciation in the value of Reference Stocks and your Coupon is capped.
You will not directly participate in any
appreciation in the value of the Reference Stocks. Instead you will receive annual Coupons based upon the formulas described under
the captions “Coupon” and “Coupon Rate” on page PS-2. The Coupons payable to you will be based upon whether
the Reference Stocks appreciate or depreciate and, if the Reference Stocks depreciate, the amount of such depreciation. Regardless
of the extent to which the prices of the Reference Stocks appreciate, the Coupon Rates will not exceed the Auto Cap Rate. Therefore,
you may earn significantly less by investing in the Notes than you would have earned by investing directly in the Reference Stocks
relevant to your Notes.
Changes in the value of one or more of the Reference Stocks
may be offset by changes in the value of one or more of the other Reference Stocks
.
The applicable Coupon Rate for each Coupon
Payment Date will equal the arithmetic average of the Stock Performances of each Reference Stock on the applicable Coupon Valuation
Date. A change in the value of one or more of the Reference Stocks on the applicable Coupon Valuation Date may not correlate with
changes in the value of one or more of the other Reference Stocks. The value of one or more Reference Stocks may increase, while
the value of one or more of the other Reference Stocks may not increase as much, or may even decrease. Therefore, in calculating
the Coupon Rate as of the applicable Coupon Valuation Date, increases in the value of one or more of the Reference Stocks may be
moderated, or wholly offset, by lesser increases or decreases in the value of one or more of the other Reference Stocks. In addition,
because the Floor Rate for the Notes is substantially lower than the Auto-Cap Rate, the Stock Performance of any one Reference
Stock that performs extremely poorly may not be offset by the Stock Performance of any other single Reference Stock.
The Notes are subject to the 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 Coupons or 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.
Certain built-in costs are likely to
adversely affect the value of the Notes prior to maturity.
While the payment at maturity described
in this pricing supplement is based on the full Principal Amount of your Notes, the original issue price of the Notes includes
the agent’s commission and the estimated cost of HSBC hedging its obligations under the Notes. As a result, the price, if
any, at which HSBC Securities (USA) Inc. will be willing to purchase Notes from you in secondary market transactions, if at all,
will likely be lower than the original issue price, and any sale prior to the maturity date could result in a substantial loss
to you. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your
Notes to maturity.
The Notes lack 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.
The Notes are not insured 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 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 full payment at maturity of the
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”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
Description
of the Reference Stocks
Altria Group,
Inc. (MO)
Description of Altria Group, Inc.
Altria
Group, Inc. is a holding company. The company, through subsidiaries, manufactures and sells cigarettes and other tobacco products,
including cigars and pipe tobacco. The company holds an interest in a brewery company. Information filed by MO with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001-08940 or its CIK Code: 0000764180.
Historical Performance of Altria
Group, Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$22.27
|
$19.47
|
$21.44
|
|
June 30, 2010
|
$21.91
|
$19.20
|
$20.04
|
December 31, 2007
|
$24.21
|
$21.31
|
$23.31
|
|
September 30, 2010
|
$24.38
|
$19.89
|
$24.02
|
March 31, 2008
|
$24.55
|
$20.97
|
$22.20
|
|
December 31, 2010
|
$26.21
|
$23.66
|
$24.62
|
June 30, 2008
|
$23.02
|
$19.95
|
$20.56
|
|
March 31, 2011
|
$26.27
|
$23.35
|
$26.03
|
September 30, 2008
|
$21.86
|
$19.26
|
$19.84
|
|
June 30, 2011
|
$28.13
|
$25.81
|
$26.41
|
December 31, 2008
|
$20.91
|
$14.34
|
$15.06
|
|
September 30, 2011
|
$27.40
|
$23.20
|
$26.81
|
March 31, 2009
|
$17.63
|
$14.50
|
$16.02
|
|
December 30, 2011
|
$30.40
|
$25.94
|
$29.65
|
June 30, 2009
|
$17.62
|
$15.90
|
$16.39
|
|
March 30, 2012
|
$30.99
|
$28.00
|
$30.87
|
September 30, 2009
|
$18.70
|
$16.10
|
$17.81
|
|
June 29, 2012
|
$34.59
|
$30.75
|
$34.55
|
December 31, 2009
|
$20.47
|
$17.28
|
$19.63
|
|
September 28, 2012
|
$36.29
|
$32.72
|
$33.39
|
March 31, 2010
|
$20.85
|
$19.15
|
$20.52
|
|
October 26, 2012*
|
$34.25
|
$31.59
|
$31.76
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of MO’s common stock from October 26, 2007 through October 26, 2012 based on
information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26, 2012
was $31.76.
Past performance of the Reference Stock is not indicative of the future performance of the Reference Stock.
Amgen Inc.
(AMGN)
Description of Amgen Inc.
Amgen
Inc. is an independent biotechnology medicines company that discovers, develops, manufactures and markets medicines for grievous
illnesses. The company focuses solely on human therapeutics and concentrates on innovating novel medicines based on advances in
cellular and molecular biology. Information filed by AMGN with the SEC under the Exchange Act can be located by reference to its
SEC file number: 000-12477 or its CIK Code: 0000318154.
Historical Performance of Amgen
Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$57.74
|
$48.31
|
$56.57
|
|
June 30, 2010
|
$61.26
|
$50.34
|
$52.60
|
December 31, 2007
|
$59.00
|
$46.21
|
$46.44
|
|
September 30, 2010
|
$56.84
|
$50.26
|
$55.11
|
March 31, 2008
|
$48.91
|
$39.16
|
$41.78
|
|
December 31, 2010
|
$58.74
|
$52.19
|
$54.90
|
June 30, 2008
|
$47.41
|
$41.25
|
$47.16
|
|
March 31, 2011
|
$58.19
|
$50.61
|
$53.45
|
September 30, 2008
|
$66.51
|
$46.86
|
$59.27
|
|
June 30, 2011
|
$61.53
|
$52.76
|
$58.35
|
December 31, 2008
|
$62.45
|
$45.00
|
$57.75
|
|
September 30, 2011
|
$58.44
|
$47.75
|
$54.95
|
March 31, 2009
|
$60.14
|
$45.74
|
$49.52
|
|
December 30, 2011
|
$65.00
|
$52.86
|
$64.21
|
June 30, 2009
|
$53.84
|
$44.97
|
$52.94
|
|
March 30, 2012
|
$70.00
|
$63.30
|
$67.99
|
September 30, 2009
|
$64.50
|
$50.65
|
$60.23
|
|
June 29, 2012
|
$73.73
|
$65.38
|
$73.04
|
December 31, 2009
|
$61.85
|
$51.72
|
$56.57
|
|
September 28, 2012
|
$85.27
|
$72.99
|
$84.32
|
March 31, 2010
|
$60.39
|
$54.66
|
$59.76
|
|
October 26, 2012*
|
$89.95
|
$83.65
|
$87.63
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of AMGN’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $87.63.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Apple Inc.
(aapl)
Description of Apple Inc.
Apple
Inc. designs, manufactures, and markets personal computers and related personal computing and mobile communication devices along
with a variety of related software, services, peripherals, and networking solutions. The company sells its products worldwide through
its online stores, its retail stores, its direct sales force, third-party wholesalers, and resellers. Information filed by
AAPL with the SEC under the Exchange Act can be located by reference to its SEC file number:
000-10030
or its CIK Code:
0000320193
.
Historical Performance of Apple
Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$155.00
|
$111.62
|
$153.54
|
|
June 30, 2010
|
$279.00
|
$199.35
|
$251.53
|
December 31, 2007
|
$202.96
|
$150.64
|
$198.08
|
|
September 30, 2010
|
$294.73
|
$235.56
|
$283.75
|
March 31, 2008
|
$200.20
|
$115.44
|
$143.50
|
|
December 31, 2010
|
$326.65
|
$277.77
|
$322.56
|
June 30, 2008
|
$192.24
|
$144.54
|
$167.44
|
|
March 31, 2011
|
$364.90
|
$324.88
|
$348.45
|
September 30, 2008
|
$180.91
|
$100.61
|
$113.66
|
|
June 30, 2011
|
$355.00
|
$310.65
|
$335.67
|
December 31, 2008
|
$116.40
|
$79.16
|
$85.35
|
|
September 30, 2011
|
$422.85
|
$334.22
|
$381.18
|
March 31, 2009
|
$109.90
|
$78.20
|
$105.12
|
|
December 30, 2011
|
$426.69
|
$354.27
|
$405.00
|
June 30, 2009
|
$146.40
|
$103.90
|
$142.43
|
|
March 30, 2012
|
$621.42
|
$409.00
|
$599.47
|
September 30, 2009
|
$188.89
|
$134.42
|
$185.37
|
|
June 29, 2012
|
$644.00
|
$528.69
|
$584.00
|
December 31, 2009
|
$213.94
|
$180.76
|
$210.86
|
|
September 28, 2012
|
$705.07
|
$570.00
|
$667.26
|
March 31, 2010
|
$237.48
|
$190.26
|
$234.93
|
|
October 26, 2012*
|
$681.11
|
$591.00
|
$604.00
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of AAPL’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $604.00.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
At&t Inc. (t)
Description of AT&T Inc.
AT&T
Inc. is a communications holding company. The company, through its subsidiaries and affiliates, provides local and long-distance
phone service, wireless and data communications, Internet access and messaging, IP-based and satellite television, security services,
telecommunications equipment, and directory advertising and publishing. Information filed by T with the SEC under the Securities
Exchange Act of 1934 (the “Exchange Act”) can be located by reference to its SEC file number: 001-08610 or its CIK
Code: 0000732717
Historical Performance of AT&T
Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$42.97
|
$36.53
|
$42.31
|
|
June 30, 2010
|
$26.75
|
$23.78
|
$24.19
|
December 31, 2007
|
$42.79
|
$36.25
|
$41.56
|
|
September 30, 2010
|
$29.15
|
$23.89
|
$28.60
|
March 31, 2008
|
$41.94
|
$32.95
|
$38.30
|
|
December 31, 2010
|
$29.55
|
$27.50
|
$29.38
|
June 30, 2008
|
$40.70
|
$32.64
|
$33.69
|
|
March 31, 2011
|
$30.96
|
$27.20
|
$30.60
|
September 30, 2008
|
$33.58
|
$27.51
|
$27.92
|
|
June 30, 2011
|
$31.93
|
$29.91
|
$31.41
|
December 31, 2008
|
$30.65
|
$20.90
|
$28.50
|
|
September 30, 2011
|
$31.77
|
$27.29
|
$28.52
|
March 31, 2009
|
$29.46
|
$21.62
|
$25.20
|
|
December 30, 2011
|
$30.30
|
$27.41
|
$30.24
|
June 30, 2009
|
$27.09
|
$23.38
|
$24.84
|
|
March 30, 2012
|
$31.97
|
$29.02
|
$31.23
|
September 30, 2009
|
$27.68
|
$23.19
|
$27.01
|
|
June 29, 2012
|
$36.00
|
$29.95
|
$35.66
|
December 31, 2009
|
$28.61
|
$25.00
|
$28.03
|
|
September 28, 2012
|
$38.58
|
$34.24
|
$37.70
|
March 31, 2010
|
$28.67
|
$24.61
|
$25.84
|
|
October 26, 2012*
|
$38.43
|
$33.00
|
$34.63
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of T’s common stock from October 26, 2007 through October 26, 2012 based on
information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26, 2012
was $34.63.
Past performance of the Reference Stock is not indicative of the future performance of the Reference Stock.
Exelon CORPORATION
(EXC)
Description of Exelon Corporation
Exelon
Corporation is a utility services holding company. The company, through its subsidiaries distributes electricity to customers in
Illinois and Pennsylvania. The company also distributes gas to customers in the Philadelphia area as well as operates nuclear power
plants in states that include Pennsylvania and New Jersey. Information filed by EXC with the SEC under the Exchange Act can be
located by reference to its SEC file number: 001-16169 or its CIK Code: 0001109357.
Historical Performance of Exelon
Corporation
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$82.60
|
$64.73
|
$75.36
|
|
June 30, 2010
|
$45.10
|
$37.25
|
$37.97
|
December 31, 2007
|
$86.83
|
$73.80
|
$81.64
|
|
September 30, 2010
|
$43.32
|
$37.63
|
$42.58
|
March 31, 2008
|
$87.25
|
$70.33
|
$81.27
|
|
December 31, 2010
|
$44.49
|
$39.05
|
$41.64
|
June 30, 2008
|
$91.84
|
$81.00
|
$89.96
|
|
March 31, 2011
|
$43.58
|
$39.06
|
$41.24
|
September 30, 2008
|
$92.10
|
$60.00
|
$62.62
|
|
June 30, 2011
|
$42.89
|
$39.53
|
$42.84
|
December 31, 2008
|
$62.98
|
$41.25
|
$55.61
|
|
September 30, 2011
|
$45.26
|
$39.51
|
$42.61
|
March 31, 2009
|
$58.98
|
$38.72
|
$45.39
|
|
December 30, 2011
|
$45.45
|
$39.93
|
$43.37
|
June 30, 2009
|
$51.46
|
$44.33
|
$51.21
|
|
March 30, 2012
|
$43.36
|
$38.31
|
$39.21
|
September 30, 2009
|
$54.47
|
$47.30
|
$49.62
|
|
June 29, 2012
|
$39.36
|
$36.27
|
$37.62
|
December 31, 2009
|
$51.98
|
$45.90
|
$48.87
|
|
September 28, 2012
|
$39.75
|
$34.54
|
$35.58
|
March 31, 2010
|
$49.88
|
$42.97
|
$43.81
|
|
October 26, 2012*
|
$37.49
|
$35.21
|
$35.49
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of EXC’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $35.49.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Maxim
Integrated Products, Inc.
(MXIM)
Description of Maxim Integrated
Products, Inc.
Maxim
Integrated Products, Inc. designs, develops, manufactures, and markets a broad range of linear and mixed-signal integrated circuits.
The company also provides a range of high-frequency design processes and capabilities that can be used in custom design. Information
filed by MXIM with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-34192 or its CIK Code:
0000743316.
Historical Performance of Maxim
Integrated Products, Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$35.32
|
$27.15
|
$29.35
|
|
June 30, 2010
|
$21.36
|
$16.33
|
$16.73
|
December 31, 2007
|
$29.85
|
$22.01
|
$26.48
|
|
September 30, 2010
|
$18.80
|
$15.67
|
$18.51
|
March 31, 2008
|
$26.83
|
$16.54
|
$20.39
|
|
December 31, 2010
|
$24.89
|
$17.96
|
$23.62
|
June 30, 2008
|
$24.15
|
$18.87
|
$21.15
|
|
March 31, 2011
|
$28.44
|
$23.27
|
$25.60
|
September 30, 2008
|
$22.70
|
$16.30
|
$18.10
|
|
June 30, 2011
|
$28.39
|
$23.72
|
$25.56
|
December 31, 2008
|
$18.92
|
$10.72
|
$11.42
|
|
September 30, 2011
|
$26.22
|
$20.62
|
$23.33
|
March 31, 2009
|
$14.18
|
$11.01
|
$13.21
|
|
December 30, 2011
|
$27.46
|
$22.43
|
$26.04
|
June 30, 2009
|
$16.94
|
$12.95
|
$15.69
|
|
March 30, 2012
|
$29.25
|
$25.71
|
$28.59
|
September 30, 2009
|
$19.40
|
$14.97
|
$18.14
|
|
June 29, 2012
|
$30.00
|
$24.27
|
$25.64
|
December 31, 2009
|
$20.95
|
$16.50
|
$20.30
|
|
September 28, 2012
|
$28.96
|
$23.55
|
$26.62
|
March 31, 2010
|
$20.68
|
$17.26
|
$19.39
|
|
October 26, 2012*
|
$28.12
|
$26.26
|
$27.77
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of MXIM’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $27.77.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Monsanto
co. (MON)
Description of Monsanto Co.
Monsanto
Company provides agricultural products for farmers. The company's business segments are seeds and genomics. The company produces
a wide range of seeds and develops biotechnology traits that assist farmers in controlling insects and weeds as well as provides
other seed companies with genetic material and biotechnology traits for their seed brands. Information filed by MON with
the SEC under the Exchange Act can be located by reference to its SEC file number: 001-16167 or its CIK Code: 0001110783.
Historical Performance of Monsanto
Co.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$86.89
|
$58.50
|
$85.74
|
|
June 30, 2010
|
$71.98
|
$45.30
|
$46.22
|
December 31, 2007
|
$116.24
|
$82.51
|
$111.69
|
|
September 30, 2010
|
$62.24
|
$44.61
|
$47.93
|
March 31, 2008
|
$129.28
|
$90.86
|
$111.50
|
|
December 31, 2010
|
$69.82
|
$47.50
|
$69.64
|
June 30, 2008
|
$145.17
|
$104.60
|
$126.44
|
|
March 31, 2011
|
$76.68
|
$64.90
|
$72.26
|
September 30, 2008
|
$126.90
|
$92.74
|
$98.98
|
|
June 30, 2011
|
$74.46
|
$62.30
|
$72.54
|
December 31, 2008
|
$100.69
|
$63.47
|
$70.35
|
|
September 30, 2011
|
$77.09
|
$59.99
|
$60.04
|
March 31, 2009
|
$87.92
|
$69.63
|
$83.10
|
|
December 30, 2011
|
$78.70
|
$58.90
|
$70.07
|
June 30, 2009
|
$93.35
|
$73.57
|
$74.34
|
|
March 30, 2012
|
$83.94
|
$71.29
|
$79.76
|
September 30, 2009
|
$87.27
|
$70.09
|
$77.40
|
|
June 29, 2012
|
$83.27
|
$69.71
|
$82.78
|
December 31, 2009
|
$84.90
|
$66.58
|
$81.75
|
|
September 28, 2012
|
$91.95
|
$81.50
|
$91.02
|
March 31, 2010
|
$87.06
|
$70.05
|
$71.42
|
|
October 26, 2012*
|
$92.18
|
$85.93
|
$86.60
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of MON’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $86.60.
Past performance of the Reference Stock is
not indicative of the future performance of the Reference Stock.
Pfizer
Inc.
(pFE)
Description of Pfizer Inc.
Pfizer
Inc. is a research-based, global pharmaceutical company that discovers, develops, manufactures, and markets medicines for humans
and animals. The company's products include prescription pharmaceuticals, non-prescription self-medications, and animal health
products such as anti-infective medicines and vaccines. Information filed by PFE with the SEC under the Exchange Act can be located
by reference to its SEC file number: 001-03619 or its CIK Code: 0000078003.
Historical Performance of Pfizer,
Inc.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$26.15
|
$23.14
|
$24.43
|
|
June 30, 2010
|
$17.39
|
$14.18
|
$14.26
|
December 31, 2007
|
$25.71
|
$22.24
|
$22.73
|
|
September 30, 2010
|
$17.50
|
$14.00
|
$17.17
|
March 31, 2008
|
$24.21
|
$20.19
|
$20.93
|
|
December 31, 2010
|
$17.90
|
$16.26
|
$17.51
|
June 30, 2008
|
$21.60
|
$17.12
|
$17.47
|
|
March 31, 2011
|
$20.57
|
$17.63
|
$20.31
|
September 30, 2008
|
$20.13
|
$17.16
|
$18.44
|
|
June 30, 2011
|
$21.45
|
$19.10
|
$20.60
|
December 31, 2008
|
$19.39
|
$14.26
|
$17.71
|
|
September 30, 2011
|
$20.95
|
$16.63
|
$17.68
|
March 31, 2009
|
$18.48
|
$11.62
|
$13.62
|
|
December 30, 2011
|
$21.90
|
$17.05
|
$21.64
|
June 30, 2009
|
$15.60
|
$12.75
|
$15.00
|
|
March 30, 2012
|
$22.80
|
$20.76
|
$22.66
|
September 30, 2009
|
$16.98
|
$14.11
|
$16.55
|
|
June 29, 2012
|
$23.30
|
$21.40
|
$23.00
|
December 31, 2009
|
$18.99
|
$16.07
|
$18.19
|
|
September 28, 2012
|
$25.15
|
$22.16
|
$24.85
|
March 31, 2010
|
$20.36
|
$16.80
|
$17.15
|
|
October 26, 2012*
|
$26.08
|
$24.77
|
$25.43
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of PFE’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $25.43.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Silver Wheaton
Corp. (SLW)
Description of Silver Wheaton
Corp.
Silver
Wheaton Corporation purchases and sells by-product silver from operating mines. The company has long term contracts to purchase
all or a portion of the silver production from mines in Mexico, Sweden, Peru, Greece and the United States. Information filed by
SLW with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-32482 or its CIK Code:
0001323404
.
Historical Performance of Silver
Wheaton Corp.
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$14.91
|
$9.72
|
$14.02
|
|
June 30, 2010
|
$21.89
|
$15.96
|
$20.10
|
December 31, 2007
|
$18.30
|
$13.12
|
$16.97
|
|
September 30, 2010
|
$27.10
|
$17.64
|
$26.65
|
March 31, 2008
|
$19.53
|
$14.25
|
$15.53
|
|
December 31, 2010
|
$42.34
|
$25.35
|
$39.04
|
June 30, 2008
|
$17.60
|
$12.56
|
$14.65
|
|
March 31, 2011
|
$46.38
|
$28.86
|
$43.36
|
September 30, 2008
|
$15.93
|
$7.66
|
$8.15
|
|
June 30, 2011
|
$47.59
|
$29.79
|
$33.00
|
December 31, 2008
|
$8.65
|
$2.51
|
$6.49
|
|
September 30, 2011
|
$42.50
|
$29.31
|
$29.45
|
March 31, 2009
|
$8.81
|
$4.88
|
$8.23
|
|
December 30, 2011
|
$37.37
|
$25.84
|
$28.96
|
June 30, 2009
|
$10.97
|
$7.07
|
$8.24
|
|
March 30, 2012
|
$40.35
|
$29.75
|
$33.20
|
September 30, 2009
|
$13.33
|
$7.12
|
$12.59
|
|
June 29, 2012
|
$34.19
|
$23.00
|
$26.84
|
December 31, 2009
|
$17.44
|
$11.67
|
$15.02
|
|
September 28, 2012
|
$40.28
|
$25.00
|
$39.71
|
March 31, 2010
|
$17.80
|
$13.04
|
$15.68
|
|
October 26, 2012*
|
$40.91
|
$37.40
|
$39.26
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of SLW’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $39.26.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Wells Fargo
& CoMPANY (WFC)
Description of Wells Fargo &
Company
Wells
Fargo & Company is a diversified financial services company providing banking, insurance, investments, mortgage, leasing, credit
cards, and consumer finance. The company operates through physical stores, the Internet and other distribution channels across
North America and elsewhere internationally. Information filed by WFC with the SEC under the Exchange Act can be located by reference
to its SEC file number: 333-180728 or its CIK Code:
0000072971
.
Historical Performance of Wells
Fargo & Company
The
following table sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices on the relevant
exchange, of the Reference Stock for each quarter in the period from July 2, 2007 through October 26, 2012. We obtained the data
in these tables 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. All
historical prices are denominated in US dollars and rounded to the nearest penny.
Historical prices of the Reference Stock
should not be taken as an indication of future performance of the Reference Stock.
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
|
QUARTER ENDING
|
QUARTER HIGH
|
QUARTER LOW
|
QUARTER CLOSE
|
September 28, 2007
|
$37.99
|
$32.67
|
$35.62
|
|
June 30, 2010
|
$34.25
|
$25.52
|
$25.60
|
December 31, 2007
|
$37.78
|
$29.29
|
$30.19
|
|
September 30, 2010
|
$28.77
|
$23.02
|
$25.13
|
March 31, 2008
|
$34.56
|
$24.42
|
$29.10
|
|
December 31, 2010
|
$31.61
|
$23.37
|
$30.99
|
June 30, 2008
|
$32.34
|
$23.46
|
$23.75
|
|
March 31, 2011
|
$34.25
|
$30.63
|
$31.70
|
September 30, 2008
|
$42.50
|
$20.46
|
$37.53
|
|
June 30, 2011
|
$32.63
|
$25.26
|
$28.06
|
December 31, 2008
|
$38.95
|
$19.90
|
$29.48
|
|
September 30, 2011
|
$29.63
|
$22.59
|
$24.12
|
March 31, 2009
|
$30.09
|
$7.80
|
$14.24
|
|
December 30, 2011
|
$27.97
|
$22.62
|
$27.56
|
June 30, 2009
|
$28.45
|
$13.65
|
$24.26
|
|
March 30, 2012
|
$34.59
|
$27.98
|
$34.14
|
September 30, 2009
|
$29.56
|
$22.08
|
$28.18
|
|
June 29, 2012
|
$34.59
|
$29.80
|
$33.44
|
December 31, 2009
|
$31.53
|
$25.01
|
$26.99
|
|
September 28, 2012
|
$36.60
|
$32.63
|
$34.53
|
March 31, 2010
|
$31.99
|
$26.37
|
$31.12
|
|
October 26, 2012*
|
$36.34
|
$33.50
|
$33.97
|
*
As of the date of this pricing supplement available information for the fourth calendar quarter of 2012 includes data for the period
from October 1, 2012 through October 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter
of 2012.
The
graph below illustrates the daily performance of WFC’s common stock from October 26, 2007 through October 26, 2012 based
on information from the Bloomberg Professional
®
service. The market price of the Reference Stock on October 26,
2012 was $33.97.
Past performance of the Reference Stock is not indicative of the future performance of the Reference
Stock.
Illustrative
ExampleS
The following examples are provided for illustrative
purposes only and are hypothetical.
These examples are representative of only a few possible scenarios concerning increases
or decreases in the prices of the Reference Stocks relative to their Initial Prices and how those increases and decreases affect
the Coupons payable on the Notes.
There are an unlimited number of scenarios concerning the increases and decreases in the
prices of the Reference Stocks relative to their Initial Prices and each scenario will affect the Coupons payable on the Notes
differently.
We cannot predict the Official Closing Prices of the Reference Stocks on the Coupon Valuation Dates. The assumptions
we have made in connection with the illustrations set forth below may not reflect actual events, and you should not take these
examples as an indication or assurance of the expected performance of the Reference Stocks or return on the Notes.
The total
payment you receive over the term of the Notes 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 examples below illustrate the Coupon Payments
on a $1,000 investment in the Notes for a hypothetical range of performance for the Reference Stocks. The following results are
based solely on the assumptions outlined below. The potential returns described here show potential valuations for different Coupon
Valuation Dates during the term of the Notes. You should consider carefully whether the Notes are suitable to your investment goals.
The numbers appearing below have been rounded for ease of analysis. The following examples reflect the Floor Rate of -25.00%, the
Auto Cap Rate of 7.00%, and the Minimum Coupon Rate of 0.80% per annum.
Example 1: Coupon Valuation Date
Reference Stock
|
Hypothetical Reference Stock Return
|
Hypothetical Stock Performance
|
MO
|
12.00%
|
7.00%
|
AMGN
|
2.50%
|
7.00%
|
AAPL
|
-5.00%
|
-5.00%
|
T
|
-11.00%
|
-11.00%
|
EXC
|
3.50%
|
7.00%
|
MXIM
|
-36.00%
|
-25.00%
|
MON
|
-6.75%
|
-6.75%
|
PFE
|
2.50%
|
7.00%
|
SLW
|
-7.50%
|
-7.50%
|
WFC
|
2.00%
|
7.00%
|
|
Average Stock Performance =
|
-2.03%
|
|
Minimum Coupon Rate =
|
0.80%
|
|
Coupon Rate =
|
0.80%
|
|
Coupon =
|
$8.00
|
Explanation for Example 1
As illustrated above, the hypothetical Reference
Stock Return of 5 of the 10 Reference Stocks (MO, AMGN, EXC, PFE and WFC) is greater than or equal to zero, and therefore each
such Reference Stock will have a hypothetical Stock Performance equal to the Auto Cap Rate of 7.00%. The Reference Stock Return
of 1 of the 10 Reference Stocks (MXIM) is lower than the Floor Rate of -25.00%, and therefore, such Reference Stock will have a
hypothetical Stock Performance equal to the Floor Rate of -25.00%. The average Stock Performance of -2.03% is less than the Minimum
Coupon Rate of 0.80% and therefore, the Coupon Rate is 0.80% and you would receive a Coupon of $8.00 on the applicable Coupon Payment
Date.
Example 2: Coupon Valuation Date
Reference Stock
|
Hypothetical Reference Stock Return
|
Hypothetical Stock Performance
|
MO
|
1.00%
|
7.00%
|
AMGN
|
8.50%
|
7.00%
|
AAPL
|
9.00%
|
7.00%
|
T
|
25.00%
|
7.00%
|
EXC
|
13.00%
|
7.00%
|
MXIM
|
9.00%
|
7.00%
|
MON
|
7.00%
|
7.00%
|
PFE
|
9.00%
|
7.00%
|
SLW
|
16.00%
|
7.00%
|
WFC
|
4.00%
|
7.00%
|
|
Average Stock Performance =
|
7.00%
|
|
Minimum Coupon Rate =
|
0.80%
|
|
Coupon Rate =
|
7.00%
|
|
Coupon =
|
$70.00
|
Explanation for Example 2
As illustrated above, the hypothetical Reference
Stock Return of all 10 of the Reference Stocks is greater than or equal to zero, and therefore each such Reference Stock will have
a hypothetical Stock Performance equal to the Auto Cap Rate of 7.00%. The average Stock Performance equals 7.00% and you would
receive a Coupon of $70.00 on the applicable Coupon Payment Date.
Example 3: Coupon Valuation Date
Reference Stock
|
Hypothetical Reference Stock Return
|
Hypothetical Stock Performance
|
MO
|
20.00%
|
7.00%
|
AMGN
|
18.50%
|
7.00%
|
AAPL
|
-70.00%
|
-25.00%
|
T
|
65.00%
|
7.00%
|
EXC
|
10.00%
|
7.00%
|
MXIM
|
5.00%
|
7.00%
|
MON
|
-0.50%
|
-0.50%
|
PFE
|
9.00%
|
7.00%
|
SLW
|
7.00%
|
7.00%
|
WFC
|
6.75%
|
7.00%
|
|
Average Stock Performance =
|
3.05%
|
|
Minimum Coupon Rate =
|
0.80%
|
|
Coupon Rate =
|
3.05%
|
|
Coupon =
|
$30.50
|
Explanation for Example 3
As illustrated above, the hypothetical Reference
Stock Return of 8 of the 10 Reference Stocks (MO, AMGN, T, EXC, MXIM, PFE, SLW and WFC) is greater than or equal to zero, and therefore
each such Reference Stock will have a hypothetical Stock Performance equal to the Auto Cap Rate of 7.00%. The Reference Stock Return
of 1 of the 10 Reference Stocks (AAPL) is lower than the Floor Rate of -25.00%, and therefore, such Reference Stock will have a
hypothetical Stock Performance equal to the Floor Rate of -25.00%. The average Stock Performance is 3.05% and you would receive
a Coupon of $30.50 on the applicable Coupon Payment Date.
Events of Default
and Acceleration
If the Notes have become immediately due and payable
following an event of default (as defined in the accompanying prospectus) with respect to the Notes, you will not be entitled to
any additional payments, other than your Principal Amount, with respect to the Notes. The accelerated Maturity Date will be the
third business day following the date of acceleration, and on such accelerated Maturity Date you will be entitled to receive $1,000
per $1,000 Principal Amount of Notes you hold.
For more information, see “Description of Debt
Securities — Senior Debt Securities — Events of Default” in the prospectus.