For further information on each Reference Asset please see “Information Relating to the Securities
Linked to the iShares
®
MSCI Mexico Investable Market Index Fund,” or “Information Relating to the Securities
Linked to the iShares
®
FTSE China 25 Index Fund,” as applicable, on page FWP-13 or FWP-14, as applicable,
and “The iShares
®
MSCI Mexico Investable Market Index Fund,” or “The iShares
®
FTSE
China 25 Index Fund,” as applicable, in the accompanying ETF Underlying Supplement. We have derived all disclosure regarding
the Reference Assets from publicly available information. Neither HSBC USA Inc. nor any of its affiliates have undertaken any independent
review of, or made any due diligence inquiry with respect to, the publicly available information about the Reference Assets.
This free writing prospectus
relates to two offerings of Buffered Accelerated Market Participation Securities. Each of the two securities will have the respective
terms described in this free writing prospectus and the accompanying prospectus supplement, prospectus and ETF Underlying Supplement.
If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement,
prospectus or ETF Underlying Supplement, the terms described in this free writing prospectus shall control.
You should be willing to forgo interest and dividend payments during the term of the securities and, if the relevant
Reference Return is negative, lose up to 90% of your principal.
|
Buffer Value
|
With respect to each offering, -10%
|
|
Initial Value:
|
The Official Closing Price of the relevant Reference Asset on the Pricing Date.
|
|
Final Value:
|
The Official Closing Price of the Reference Asset on the Final Valuation Date, adjusted by the calculation agent as described under “Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying ETF Underlying Supplement.
|
|
Official Closing Price:
|
The closing price of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the value displayed on the relevant Bloomberg Professional
®
service page (with respect to the EWW, “EWW UP <EQUITY>” and with respect to the FXI, “FXI UP <EQUITY>”), or, for each Reference Asset, any successor page on the Bloomberg Professional
®
service or any successor service, as applicable.
|
|
Form of Securities:
|
Book-Entry
|
|
Listing:
|
The securities will not be listed on any U.S. securities exchange or quotation system.
|
|
The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the securities.
|
GENERAL
This free writing prospectus relates
to two separate offerings of securities, each linked to a different Reference Asset identified on the cover page. The purchaser
of a security will acquire a senior unsecured debt security of HSBC USA Inc. linked to a single Reference Asset. We reserve the
right to withdraw, cancel or modify any offering and to reject orders in whole or in part. Although each offering of securities
relates to a Reference Asset identified on the cover page, you should not construe that fact as a recommendation as to the merits
of acquiring an investment linked to such Reference Asset or as to the suitability of an investment in the securities.
You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the ETF Underlying Supplement dated
March 22, 2012. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus
supplement, prospectus, or ETF 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-8 of this free
writing prospectus, page S-3 of the prospectus supplement and page S-2 of the ETF Underlying Supplement as the securities 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 securities. 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, a prospectus supplement and ETF Underlying Supplement) with the SEC for the offerings to which this free
writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and ETF Underlying Supplement
in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and these
offerings. 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 these offerings will arrange to send you the prospectus, prospectus supplement
and ETF Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
We are using this free writing prospectus
to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities 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 securities prior to their issuance. In the event of any material changes to the terms of the
securities, we will notify you.
PAYMENT AT MATURITY
On the Maturity Date, for each security
you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:
If the relevant Reference Return is
greater than zero
, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to
the lesser of:
(a) $1,000 + ($1,000 × Reference
Return × Upside Participation Rate); and
(b) $1,000 + ($1,000 × Maximum
Cap).
If the relevant Reference Return is
less than or equal to zero but greater than or equal to the Buffer Value,
you will receive $1,000 per $1,000 Principal Amount
of securities (zero return).
If the relevant Reference Return is
less than the Buffer Value,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities,
calculated as follows:
$1,000 + ($1,000
× (Reference Return + 10%)).
Under these circumstances, you will lose
1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Value. For
example, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit
risk of HSBC.
You should be aware that if the relevant Reference Return is less than the Buffer Value, you may lose up to 90%
of your investment.
Interest
The securities will not pay interest.
Calculation Agent
We or one of our affiliates will act
as calculation agent with respect to the securities.
Reference Issuer
iShares, Inc. is the reference issuer.
INVESTOR SUITABILITY
The securities may be suitable for
you if:
|
|
}
|
You seek an investment with an enhanced return linked to the potential positive performance of
the relevant Reference Asset and you believe the value of such Reference Asset will increase over the term of the securities.
|
|
|
}
|
You are willing to invest in the securities based on the Maximum Cap indicated herein with respect
to that security offering, which may limit your return at maturity. The actual Maximum Cap for each offering of securities will
be determined on the Pricing Date.
|
|
|
}
|
You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the relevant Reference Return is less than -10%.
|
|
|
}
|
You are willing to accept the risk and return profile of the securities versus a conventional debt
security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.
|
|
|
}
|
You are willing to forego dividends or other distributions paid to holders of the Reference Asset.
|
|
|
}
|
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 securities to maturity.
|
|
|
}
|
You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.
|
The securities may not be suitable
for you if:
|
|
}
|
You believe the relevant Reference Return will be negative on the Final Valuation Date or that
the relevant Reference Return will not be sufficiently positive to provide you with your desired return.
|
|
|
}
|
You are unwilling to invest in the securities based on the Maximum Cap indicated herein with respect
to that security offering, which may limit your return at maturity. The actual Maximum Cap for each offering of securities will
be determined on the Pricing Date.
|
|
|
}
|
You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the relevant Reference Return is below -10%.
|
|
|
}
|
You seek an investment that provides full return of principal.
|
|
|
}
|
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 Reference Asset.
|
|
|
}
|
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 securities to maturity.
|
|
|
}
|
You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of
the securities.
|
RISK FACTORS
We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and page S-2 of the ETF Underlying Supplement.
Investing in the securities is not equivalent to investing directly in the relevant Reference Asset. You should understand the
risks of investing in the securities and should reach an investment decision only after careful consideration, with your advisors,
of the suitability of the securities in light of your particular financial circumstances and the information set forth in this
free writing prospectus and the accompanying prospectus supplement, prospectus and ETF Underlying Supplement.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and ETF Underlying Supplement including
the explanation of risks relating to the securities described in the following sections:
|
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
|
|
}
|
“— General risks related to Index Funds” in the ETF 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 ETF Underlying Supplement;
|
|
|
}
|
“— Risks Associated with Non-U.S. Companies” in the ETF Underlying Supplement;
|
|
|
}
|
“— 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 ETF Underlying Supplement;
|
|
|
}
|
“— The Notes are Subject to Currency Exchange Risk” in the ETF Underlying Supplement;
and
|
|
|
}
|
“—There are Risks Associated with Emerging Markets” in the ETF Underlying Supplement.
|
Your investment in the securities
may result in a loss.
You will be exposed to the decline in
the Final Value from the Initial Value beyond the Buffer Value of -10%. Accordingly, if the relevant Reference Return is less than
-10%, your Payment at Maturity will be less than the Principal Amount of your securities. You may lose up to 90% of your investment
at maturity if the relevant Reference Return is negative.
The appreciation on the securities
is limited by the relevant Maximum Cap.
You will not participate in any appreciation
in the value of the relevant Reference Asset (as multiplied by the Upside Participation Rate) beyond the relevant Maximum Cap.
The Maximum Cap (to be determined on the Pricing Date) will not be less than 10.00% with respect to the securities linked to the
EWW, and will not be less than 14.00% with respect to the securities linked to the FXI. You will not receive a return on the securities
greater than the relevant Maximum Cap.
Credit risk of HSBC USA Inc.
The securities 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 securities 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 securities, 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 securities
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 securities.
The securities will not bear interest.
As a holder of the securities, you will
not receive interest payments.
Changes that affect the relevant
Reference Asset will affect the market value of the securities and the amount you will receive at maturity.
The policies of the reference issuer
of the relevant Reference Asset concerning additions, deletions and substitutions of the constituents comprising such Reference
Asset and the manner in which the reference issuer takes account of certain changes affecting those constituents included in such
Reference Asset may affect the value of such Reference Asset. The policies of the reference issuer with respect to the calculation
of the relevant Reference Asset could also affect the value of such Reference Asset. The reference issuer may discontinue or suspend
calculation or dissemination of its relevant Reference Asset. Any such actions could affect the value of the securities.
The securities are not insured
by any governmental agency of the United States or any other jurisdiction.
The securities 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 securities 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 securities.
Certain built-in costs are likely
to adversely affect the value of the securities prior to maturity.
While the Payment at Maturity described
in this free writing prospectus is based on the full Principal Amount of your securities, the original issue price of the securities
includes the agent’s commission and the estimated cost of HSBC hedging its obligations under the securities. As a result,
the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase securities 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 securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your securities to maturity.
The securities lack liquidity.
The securities will not be listed on
any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities 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 securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.
Potential conflicts of interest
may exist.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. 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 securities. We will not have any obligation to consider your
interests as a holder of the securities in taking any action that might affect the value of your securities.
Uncertain tax treatment.
For a discussion of the U.S. federal
income tax consequences of your investment in a security, 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.
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 value of the relevant Reference Asset relative to its Initial Value. We cannot predict
the Final Value of the relevant Reference Asset. The assumptions we have made in connection with the illustrations set forth below
may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected
performance of the relevant Reference Asset to which your securities are linked or the return on your securities
.
With respect
to the securities, the Final Settlement Value 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 below and following
examples have been rounded for ease of analysis.
The table below illustrates the Payment
at Maturity on a $1,000 investment in the securities 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 Security” as used below
is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of securities
to $1,000. The potential returns described here assume that your securities are held to maturity. You should consider carefully
whether the securities are suitable to your investment goals. The following table and examples assume the following:
|
}
|
Principal Amount:
|
$1,000
|
|
}
|
Upside Participation Rate:
|
200%
|
|
}
|
Hypothetical Maximum Cap:
|
10.00% (The actual Maximum Cap for each offering of securities will be determined on the Pricing Date and with respect to the securities linked to the EWW will not be less than 10.00% and with respect to the securities linked to the FXI will not be less than 14.00%)
|
The actual Initial Value and Maximum
Cap with respect to each offering of securities will be determined on the Pricing Date.
Hypothetical
Reference Return
|
Hypothetical Payment
at Maturity
|
Hypothetical Return on
the Security
|
|
100.00%
|
$1,100.00
|
10.00%
|
|
80.00%
|
$1,100.00
|
10.00%
|
|
60.00%
|
$1,100.00
|
10.00%
|
|
40.00%
|
$1,100.00
|
10.00%
|
|
20.00%
|
$1,100.00
|
10.00%
|
|
15.00%
|
$1,100.00
|
10.00%
|
|
10.00%
|
$1,100.00
|
10.00%
|
|
5.00%
|
$1,100.00
|
10.00%
|
|
2.00%
|
$1,040.00
|
4.00%
|
|
1.00%
|
$1,020.00
|
2.00%
|
|
0.00%
|
$1,000.00
|
0.00%
|
|
-1.00%
|
$1,000.00
|
0.00%
|
|
-2.00%
|
$1,000.00
|
0.00%
|
|
-5.00%
|
$1,000.00
|
0.00%
|
|
-10.00%
|
$1,000.00
|
0.00%
|
|
-15.00%
|
$950.00
|
-5.00%
|
|
-20.00%
|
$900.00
|
-10.00%
|
|
-30.00%
|
$800.00
|
-20.00%
|
|
-40.00%
|
$700.00
|
-30.00%
|
|
-60.00%
|
$500.00
|
-50.00%
|
|
-80.00%
|
$300.00
|
-70.00%
|
|
-100.00%
|
$100.00
|
-90.00%
|
The following examples indicate how
the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.
Example 1: The relevant Reference
Return is 2.00%.
|
|
|
|
Reference Return:
|
2.00%
|
|
Final Settlement Value:
|
$1,040.00
|
Because the relevant Reference Return
is positive, and such Reference Return multiplied by the Upside Participation Rate is less than the hypothetical Maximum Cap, the
Final Settlement Value would be $1,040.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Reference
Return × Upside Participation Rate)
= $1,000 + ($1,000 × 2.00%
× 200%)
= $1,040.00
Example 1 shows that you will receive
the return of your principal investment plus a return equal to the relevant Reference Return multiplied by 200% when such Reference
Return is positive and, as multiplied by the Upside Participation Rate, equal to or less than the relevant Maximum Cap.
Example 2: The relevant Reference
Return is 15.00%.
|
|
|
|
Reference Return:
|
15.00%
|
|
Final Settlement Value:
|
$1,100.00
|
Because the relevant Reference Return
is positive, and such Reference Return multiplied by the Upside Participation Rate is greater than the hypothetical Maximum Cap,
the Final Settlement Value would be $1,100.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Maximum
Cap)
= $1,000 + ($1,000 × 10.00%)
= $1,100.00
Example 2 shows that you will receive
the return of your principal investment plus a return equal to the Maximum Cap when the relevant Reference Return is positive and
such Reference Return multiplied by 200% exceeds the relevant Maximum Cap.
Example 3: The relevant Reference
Return is -5.00%.
|
|
|
|
Reference Return:
|
-5.00%
|
|
Final Settlement Value:
|
$1,000.00
|
Because the relevant Reference Return
is less than zero but greater than the Buffer Value of -10%, the Final Settlement Value would be $1,000.00 per $1,000 Principal
Amount of securities (a zero return).
Example 3 shows that you will receive
the return of your principal investment where the value of the relevant Reference Asset declines by no more than 10% over the term
of the securities.
Example 4: The relevant Reference
Return is -30.00%.
|
|
|
|
Reference Return:
|
-30.00%
|
|
Final Settlement Value:
|
$800.00
|
Because the relevant Reference Return
is less than the Buffer Value of -10%, the Final Settlement Value would be $800.00 per $1,000 Principal Amount of securities, calculated
as follows:
$1,000 + ($1,000 × (Reference
Return + 10%))
= $1,000 + ($1,000 × (-30.00%
+ 10%))
= $800.00
Example 4 shows that you are exposed
on a 1-to-1 basis to declines in the value of the Reference Asset beyond the Buffer Value of -10%. YOU MAY LOSE UP TO 90% OF THE
PRINCIPAL AMOUNT OF YOUR SECURITIES.
|
INFORMATION RELATING TO THE SECURITIES
LINKED TO THE iSHARES
®
MSCI MEXICO INVESTABLE MARKET
INDEX FUND
The disclosure relating
to the EWW contained below relates only to the offering of securities linked to the EWW.
|
|
Description of the EWW
The EWW seeks to provide investment results
that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Mexico Investable Market Index.
The MSCI Mexico Investable Market Index was developed by MSCI to represent the performance of the Mexican market that is available
to international investors.
For
more information about the EWW, see “The iShares
Ò
MSCI Mexico Investable Market Index Fund” on page S-15 of the accompanying ETF Underlying Supplement.
|
Historical Performance of the EWW
The following graph sets forth the historical
performance of the EWW based on the daily historical closing prices from November 30, 2007 through November 30, 2012. The closing
price for the EWW on November 30, 2012 was $67.26. We obtained the closing prices 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 prices of the EWW should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Price of the EWW on the Final Valuation Date.
|
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
|
7/2/2007
|
9/28/2007
|
65.14
|
49.42
|
58.79
|
|
10/1/2007
|
12/31/2007
|
64.17
|
52.93
|
56.00
|
|
1/2/2008
|
3/31/2008
|
59.70
|
47.52
|
59.10
|
|
4/1/2008
|
6/30/2008
|
63.32
|
56.23
|
56.94
|
|
7/1/2008
|
9/30/2008
|
56.31
|
43.11
|
46.67
|
|
10/1/2008
|
12/31/2008
|
46.82
|
23.25
|
32.27
|
|
1/2/2009
|
3/31/2009
|
35.16
|
21.53
|
27.10
|
|
4/1/2009
|
6/30/2009
|
37.98
|
26.89
|
36.86
|
|
7/1/2009
|
9/30/2009
|
45.92
|
34.04
|
43.68
|
|
10/1/2009
|
12/31/2009
|
51.68
|
41.56
|
48.87
|
|
1/4/2010
|
3/31/2010
|
53.56
|
44.72
|
53.37
|
|
4/1/2010
|
6/30/2010
|
59.00
|
45.20
|
47.89
|
|
7/1/2010
|
9/30/2010
|
53.68
|
46.56
|
52.99
|
|
10/1/2010
|
12/31/2010
|
62.03
|
53.37
|
61.92
|
|
1/3/2011
|
3/31/2011
|
63.46
|
58.04
|
62.85
|
|
4/1/2011
|
6/30/2011
|
64.64
|
58.77
|
62.56
|
|
7/1/2011
|
9/30/2011
|
63.56
|
46.80
|
48.96
|
|
10/3/2011
|
12/30/2011
|
57.85
|
46.65
|
53.76
|
|
1/3/2012
|
3/30/2012
|
62.75
|
53.94
|
62.52
|
|
4/2/2012
|
6/29/2012
|
63.75
|
53.49
|
61.45
|
|
7/2/2012
|
9/28/2012
|
66.39
|
60.19
|
65.39
|
|
10/1/2012
|
11/30/2012*
|
69.00
|
62.96
|
67.26
|
* As of the date of this free
writing prospectus available information for the fourth calendar quarter of 2012 includes data for the period from October 1, 2012
through November 30, 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.
|
INFORMATION RELATING TO THE SECURITIES
LINKED TO THE
i
Shares
®
FTSE China 25 Index Fund
The disclosure relating
to the FXI contained below relates only to the offering of securities linked to the FXI.
|
|
Description of the FXI
The FXI seeks to provide investment results
that correspond generally to the price and yield performance, before fees and expenses, of 25 of the largest and most liquid Chinese
companies that publicly trade on the Hong Kong Stock Exchange and are available to international investors, as measured by the
FTSE China 25 Index.
For
more information about the FXI, see “The iShares
Ò
FTSE China 25 Index Fund” on page S-36 of the accompanying ETF Underlying Supplement.
|
Historical Performance of the FXI
The following graph sets forth the historical
performance of the FXI based on the daily historical closing prices from November 30, 2007 through November 30, 2012. The closing
price for the FXI on November 30, 2012 was $37.13. We obtained the closing prices 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 prices of the FXI should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Price of the FXI on the Final Valuation Date.
|
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
|
7/2/2007
|
9/28/2007
|
61.17
|
37.07
|
60.16
|
|
10/1/2007
|
12/31/2007
|
73.18
|
53.75
|
56.82
|
|
1/2/2008
|
3/31/2008
|
60.02
|
39.95
|
45.05
|
|
4/1/2008
|
6/30/2008
|
54.99
|
43.00
|
43.83
|
|
7/1/2008
|
9/30/2008
|
47.74
|
30.45
|
34.47
|
|
10/1/2008
|
12/31/2008
|
34.58
|
19.35
|
29.18
|
|
1/2/2009
|
3/31/2009
|
32.19
|
22.70
|
28.52
|
|
4/1/2009
|
6/30/2009
|
40.76
|
28.27
|
38.37
|
|
7/1/2009
|
9/30/2009
|
44.16
|
35.73
|
40.94
|
|
10/1/2009
|
12/31/2009
|
46.66
|
39.09
|
42.27
|
|
1/4/2010
|
3/31/2010
|
44.57
|
36.65
|
42.10
|
|
4/1/2010
|
6/30/2010
|
44.60
|
36.25
|
39.13
|
|
7/1/2010
|
9/30/2010
|
43.03
|
38.60
|
42.82
|
|
10/1/2010
|
12/31/2010
|
47.99
|
41.92
|
43.09
|
|
1/3/2011
|
3/31/2011
|
45.00
|
40.80
|
44.96
|
|
4/1/2011
|
6/30/2011
|
46.40
|
40.35
|
42.95
|
|
7/1/2011
|
9/30/2011
|
43.40
|
30.82
|
30.83
|
|
10/3/2011
|
12/30/2011
|
39.01
|
28.61
|
34.87
|
|
1/3/2012
|
3/30/2012
|
40.74
|
34.99
|
36.63
|
|
4/2/2012
|
6/29/2012
|
38.58
|
31.63
|
33.67
|
|
7/2/2012
|
9/28/2012
|
37.81
|
31.81
|
36.93
|
|
10/1/2012
|
11/30/2012*
|
38.14
|
34.52
|
37.13
|
* As of the date of
this free writing prospectus available information for the fourth calendar quarter of 2012 includes data for the period from October
1, 2012 through November 30, 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.
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 securities. Pursuant to the terms of a distribution agreement, HSBC
Securities (USA) Inc. will purchase the securities 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 securities directly to investors. HSBC Securities (USA) Inc. proposes to offer the securities 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 1.50% per $1,000 Principal Amount of securities in connection with the distribution of the securities 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 securities.
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 securities, 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
There is no direct legal authority as
to the proper tax treatment of the securities, and therefore significant aspects of the tax treatment of the securities are uncertain
as to both the timing and character of any inclusion in income in respect of the securities. Under one approach, a security should
be treated as a pre-paid executory contract with respect to the relevant Reference Asset. We intend to treat the securities consistent
with this approach. Pursuant to the terms of the securities, you agree to treat the securities under this approach for all U.S.
federal income tax purposes. Subject to the limitations described therein, and based on certain factual representations received
from us, in the opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a security as a
pre-paid executory contract with respect to the relevant Reference Asset. Pursuant to this approach and subject to the discussion
below regarding “constructive ownership transactions”, we do not intend to report any income or gain with respect to
the securities prior to their maturity or an earlier sale or exchange and we intend to treat any gain or loss upon maturity or
an earlier sale or exchange as long-term capital gain or loss, provided that you have held the security for more than one year
at such time for U.S. federal income tax purposes.
Despite the foregoing, U.S. holders (as
defined under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement) should be aware that
the Internal Revenue Code of 1986, as amended (the “Code”), contains a provision, Section 1260 of the Code, which sets
forth rules which are applicable to what it refers to as “constructive ownership transactions.” Due to the manner in
which it is drafted, the precise applicability of Section 1260 of the Code to any particular transaction is often uncertain. In
general, a “constructive ownership transaction” includes a contract under which an investor will receive payment equal
to or credit for the future value of any equity interest in a regulated investment company (such as shares of the EWW and FXI (the
“Underlying Shares”)). Under the “constructive ownership” rules, if an investment in the securities is
treated as a “constructive ownership transaction,” any long-term capital gain recognized by a U.S. holder in respect
of a security will be recharacterized as ordinary income to the extent such gain exceeds the amount of “net underlying long-term
capital gain” (as defined in Section 1260 of the Code) of the U.S. holder determined as if the U.S. holder had acquired the
Underlying Shares on the original issue date of the security at fair market value and sold them at fair market value on the Maturity
Date (if the security was held until the Maturity Date) or on the date of sale or exchange of the security (if the security was
sold or exchanged prior to the Maturity Date) (the “Excess Gain”). In addition, an interest charge will also apply
to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in gross income inclusion
for the U.S. holder in taxable years prior to the taxable year of the sale, exchange or maturity of the security (assuming such
income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange or maturity of the security).
Although the matter is not clear, there
exists a risk that an investment in the securities linked to the EWW or FXI will be treated as a “constructive ownership
transaction.” If such treatment applies, it is not entirely clear to what extent any long-term capital gain recognized by
a U.S. holder in respect of a security linked to the EWW or FXI will be recharacterized as ordinary income. It is possible, for
example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary income in respect of each security
linked to the EWW or FXI will equal the excess of (i) any long-term capital gain recognized by the U.S. holder in respect of such
a security over (ii) the “net underlying long-term capital gain” such U.S. holder would have had if such U.S. holder
had acquired a number of the Underlying Shares at fair market value on the original issue date of such security for an amount equal
to the “issue price” of the security and, upon the date of sale, exchange or maturity of the security, sold such Underlying
Shares at fair market value (which would reflect the percentage increase in the value of the Underlying Shares over the term of
the security). Accordingly, U.S. holders should consult their tax advisors regarding the potential application of the “constructive
ownership” rules.
We will not attempt to ascertain whether
any of the entities whose stock is included in, or owned by, the relevant 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, or owned by, the
relevant 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, or owned by,
the relevant 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, or owned by, the relevant Reference Asset, as the case may be, is or becomes
a PFIC or a USRPHC.
For a discussion of the U.S. federal income tax consequences of your investment in a security, please see
the discussion under “U.S Federal Income Tax Considerations” in the accompanying prospectus supplement.
|
|
|
|
|
|
|
TABLE OF CONTENTS
|
|
You should only rely on the information
contained in this free writing prospectus, any accompanying 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, any accompanying 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, any accompanying underlying supplement, prospectus
supplement and prospectus are not an offer to sell these securities, and these documents are not soliciting an offer to buy these
securities, 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, any accompanying underlying supplement, prospectus supplement and prospectus is
correct on any date after their respective dates.
HSBC USA Inc.
$
Buffered Accelerated Market
Participation Securities Linked to
the iShares
®
MSCI Mexico
Investable Market Index Fund
$
Buffered Accelerated Market
Participation Securities Linked to
the iShares
®
FTSE China 25 Index
Fund
December
3, 2012
FREE
WRITING PROSPECTUS
|
|
Free Writing Prospectus
|
|
|
General
|
|
FWP-6
|
|
|
Payment at Maturity
|
|
FWP-7
|
|
|
Investor Suitability
|
|
FWP-8
|
|
|
Risk Factors
|
|
FWP-8
|
|
|
Illustrative Examples
|
|
FWP-11
|
|
|
Information Relating to the Securities Linked to the iShares
®
MSCI Mexico Investable Market Index Fund
|
|
FWP-13
|
|
|
Information Relating to the Securities Linked to the
iShares
®
FTSE China 25 Index Fund
|
|
FWP-14
|
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
|
FWP-15
|
|
|
U.S. Federal Income Tax Considerations
|
|
FWP-16
|
|
|
|
|
|
|
|
|
|
|
|
|
ETF Underlying Supplement
|
|
|
Risk Factors
|
|
S-2
|
|
|
Reference Sponsors
|
|
S-8
|
|
|
The SPDR
®
Dow Jones Industrial Average
SM
ETF Trust
|
|
S-8
|
|
|
The POWERSHARES QQQ TRUST
SM
, SERIES 1
|
|
S-11
|
|
|
The iShares
®
MSCI Mexico Investable Market Index Fund
|
|
S-15
|
|
|
The iShares
®
MSCI Brazil Index Fund
|
|
S-18
|
|
|
The iShares
®
MSCI Emerging Markets Index Fund
|
|
S-21
|
|
|
The iShares
®
MSCI EAFE Index Fund
|
|
S-24
|
|
|
The SPDR S&P 500 ETF Trust
|
|
S-26
|
|
|
The Market Vectors Gold Miners ETF
|
|
S-30
|
|
|
The iShares
®
Dow Jones U.S. Real Estate Index Fund
|
|
S-33
|
|
|
The iShares
®
FTSE China 25 Index Fund
|
|
S-36
|
|
|
The iShares
®
S&P Latin America 40 Index Fund
|
|
S-39
|
|
|
The Financial Select Sector SPDR
®
Fund
|
|
S-42
|
|
|
The iShares
®
Dow Jones Transportation Average Index Fund
|
|
S-45
|
|
|
The Energy Select SPDR
®
Fund
|
|
S-47
|
|
|
The Health Care Select SPDR
®
Fund
|
|
S-50
|
|
|
Other Components
|
|
S-52
|
|
|
Additional Terms of the Notes
|
|
S-52
|
|
|
|
|
|
|
|
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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