|
|
Price to Public
|
Underwriting Discount
1
|
Proceeds
to Issuer
|
|
Per Note
|
$1,000
|
$5
|
$995
|
|
Total
|
$1,685,000
|
$8,425
|
$1,676,575
|
1
HSBC USA Inc.
or one of our affiliates may pay varying underwriting discounts of up to 0.50% and referral fees of up to 0.60% per $1,000 Principal
Amount of Notes in connection with the distribution of the Notes to other registered broker-dealers. In no case will the sum of
the underwriting discounts and referral fees exceed 0.60% per $1,000 Principal Amount. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page PS-14 of this pricing supplement.
The
Notes:
|
Are
Not FDIC Insured
|
Are
Not Bank Guaranteed
|
May
Lose Value
|
|
HSBC
USA Inc.
12-Month
Autocallable Yield Notes
|
|
This pricing supplement
relates to a single offering of Autocallable Yield Notes. The Notes will have the terms described in this pricing supplement and
the accompanying prospectus supplement, prospectus and Equity Index Underlying Supplement. 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 pricing supplement shall control.
This pricing supplement
relates to an offering of Notes linked to the performance of two indices (the “Reference Asset”). The purchaser of
a Note will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described below. The following
key terms relate to the offering of Notes:
|
Issuer:
|
HSBC USA Inc.
|
|
|
|
|
Principal Amount:
|
$1,000 per Note
|
|
|
|
|
Reference Asset:
|
The S&P 500
®
Index (“SPX”) and the Russell 2000
®
Index (“RTY”) (each an “Underlying” and together the “Underlyings”)
|
|
|
|
|
Trade Date:
|
November 13, 2012
|
|
|
|
|
Pricing Date:
|
November 13, 2012
|
|
|
|
|
Settlement Date:
|
November 16, 2012
|
|
|
|
|
Final Valuation Date:
|
November 13, 2013, subject to adjustment as described under “
Additional Terms of the Notes―
Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
|
|
|
Maturity Date:
|
November 18, 2013, subject to adjustment as described under “
Additional Terms of the Notes―
Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
|
|
|
|
|
Call Feature:
|
We will automatically call the Notes if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date. If the Notes are automatically called, they will be redeemed on the corresponding Coupon Payment Date, per $1,000 Principal Amount of Notes, at 100% of their Principal Amount together with any unpaid coupon payment.
|
|
|
|
|
Payment at Maturity:
|
Unless the Notes are automatically called, on the Maturity Date, for each $1,000 Principal Amount of Notes, we will pay you the Final Settlement Value plus any coupon payment.
|
|
|
|
|
Final Settlement Value:
|
If the Notes are not automatically called
you will receive a payment on the Maturity Date calculated as follows, in addition to the final coupon payment:
|
|
|
„
|
If a Trigger Event does not occur, 100% of the
Principal Amount.
|
|
|
|
|
|
|
„
|
If a Trigger Event occurs and the Final Return
of the Least Performing Underlying is positive or zero, an amount equal to 100% of the Principal Amount.
|
|
|
|
|
|
|
„
|
If a Trigger Event occurs and the Final Return
of the Least Performing Underlying is negative, an amount equal to 100% of the Principal Amount multiplied by the sum of one plus
the Final Return of the Least Performing Underlying. In such a case, you may lose up to 100% of your investment regardless of
the performance of the other Underlying.
|
|
Trigger Event:
|
A Trigger Event occurs if the Official Closing Level of either Underlying is below its Trigger Level on any trading day during the Observation Period.
|
|
|
|
|
Trigger Level:
|
For each Underlying, 65% of the Initial Level of such Underlying.
|
|
|
|
|
Least Performing Underlying:
|
The Underlying with the lowest Final Return.
|
|
Observation Period:
|
The period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under “Additional Terms of the Notes―Observation Periods” in the accompanying Equity Index Underlying Supplement.
|
|
|
|
|
Call Observation Dates:
|
February 13, 2013, May 13, 2013, August 13, 2013 and November 13, 2013 (the Final Valuation Date). The Call Observation Dates are subject to postponement as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
|
|
Annual Coupon Rate
(paid monthly):
|
6.00% per annum.
|
|
|
|
|
Coupon Payment Dates:
|
The 16th day of each month, beginning on December 16, 2012, through the Maturity Date. The Coupon Payment Dates are subject to postponement as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
|
|
|
|
|
Final Return:
|
With respect to each Underlying, the quotient,
expressed as a percentage, calculated as follows:
Final Level – Initial Level
Initial Level
|
|
Initial Level:
|
1,374.53 with respect to the SPX and 789.01 with respect to the RTY, in each case the Official Closing Level of the relevant Underlying on the Pricing Date.
|
|
|
|
|
Final Level:
|
The Official Closing Level of the relevant Underlying on the Final Valuation Date.
|
|
|
|
|
Official Closing Level:
|
With respect to each Underlying, the Official Closing Level on any trading day for such Underlying will be the closing level of the Underlying as determined by the calculation agent as described under “Payment on the Notes—Official Closing Level” on page PS-5 below.
|
|
|
|
|
CUSIP/ISIN:
|
40432X2G5/US40432X2G59
|
|
|
|
|
Form of Notes:
|
Book-Entry
|
|
|
|
|
Listing:
|
The Notes will not be listed on any U.S. securities exchange or quotation system.
|
GENERAL
This pricing supplement relates to the
offering of Notes identified on the cover page. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA
Inc. Although the offering of Notes relates to the 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 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 pricing supplement shall control. You
should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-7 of this
pricing supplement, beginning on page S-3 of the prospectus supplement and beginning on 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
pricing supplement 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.
You may also obtain:
PAYMENT ON THE NOTES
Call Feature
The Notes will be automatically called
if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date. If the Notes are
automatically called, investors will receive, on the corresponding Coupon Payment Date, a cash payment per $1,000 Principal Amount
of Notes equal to 100% of the Principal Amount together with any unpaid coupon payment.
Maturity
Unless the Notes are automatically called,
on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a cash payment equal to the Final Settlement
Value (plus the final coupon payment) determined as follows:
|
|
}
|
If a Trigger Event does not occur, 100% of the Principal Amount.
|
|
|
}
|
If a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or
zero, an amount equal to 100% of the Principal Amount.
|
|
|
}
|
If a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative,
an amount equal to 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least Performing Underlying,
which will result in a Final Settlement Value less than the Principal Amount.
|
Coupon
Unless
the Notes are automatically called, on each Coupon Payment Date, for each $1,000 Principal Amount of Notes, you will be paid an
amount equal to the product of (a) $1,000 multiplied by (b) the Annual Coupon Rate divided by twelve. The Coupon Payment Dates
are the 16th day of each month commencing on December 16, 2012, and ending on the Maturity Date. The Coupon Payment Dates are subject
to postponement for non-business days and other events as described under “Additional Terms of the Notes—Coupon Payment
Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. For information regarding
the record dates applicable to the Coupons paid on the Notes, please see the section entitled “Description of Notes―Interest
and Principal Payments―Recipients of Interest Payments” on page S-11 in the accompanying prospectus supplement.
The Annual
Coupon Rate is 6.00%.
Official Closing Level
With
respect to each Underlying, the Official Closing Level on any trading day will be determined by the calculation agent based upon
the closing level of such index, displayed on the following pages on the Bloomberg Professional
®
service: for SPX,
page “SPX <INDEX>”, and for RTY page “RTY <INDEX>”. With respect to any of the foregoing, if
the level for the relevant Underlying is not so displayed on such page, the calculation agent may refer to the display on any successor
page on the Bloomberg Professional
®
service or any successor service, as applicable.
Observation Period
The
period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under “
Additional
Terms of the Notes―
Observation Periods” in the accompanying Equity Index Underlying
Supplement.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the Notes.
Reference Sponsor
With
respect to SPX, Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference
sponsor. With respect to RTY, the Russell Investment Group is the reference sponsor.
INVESTOR SUITABILITY
The Notes may be suitable for you
if:
|
|
}
|
You believe that the Official Closing Level of each of the Underlyings will not be below its Trigger
Level on any trading day during the Observation Period.
|
|
|
}
|
You are willing to make an investment that is potentially exposed to downside performance of the
Least Performing Underlying on a 1-to-1 basis.
|
|
|
}
|
You are willing to hold Notes that will be automatically called on any Call Observation Date on
which the Official Closing Level of each Underlying is at or above its Initial Level.
|
|
|
}
|
You are willing to invest in the Notes based on the fact that your maximum potential return is
the coupon being offered with respect to the Notes.
|
|
|
}
|
You are willing to be exposed to the possibility of early redemption.
|
|
|
}
|
You are willing to forgo distributions paid on the stocks comprising the indices included in the
Reference Asset.
|
|
|
}
|
You are willing to hold the Notes to maturity.
|
|
|
}
|
You do not seek an investment for which there will be an active secondary market.
|
|
|
}
|
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 are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.
|
The Notes may not
be suitable for you if:
|
|
}
|
You believe that the Official Closing Level of one or both of the Underlyings will be below its
Trigger Level on any trading day during the Observation Period.
|
|
|
}
|
You are unwilling to make an investment that is potentially exposed to downside performance of
the Least Performing Underlying on a 1-to-1 basis.
|
|
|
}
|
You are unable or unwilling to hold Notes that will be automatically called on any Call Observation
Date on which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise unable or unwilling
to hold the Notes to maturity.
|
|
|
}
|
You are unwilling to invest in the Notes based on the fact that your maximum potential return is
the coupon being offered with respect to the Notes.
|
|
|
}
|
You are unwilling to be exposed to the possibility of early redemption.
|
|
|
}
|
You prefer to receive the distributions paid on the stocks comprising the indices included in the
Reference Asset.
|
|
|
}
|
You prefer a product that provides upside participation in the Reference Asset, as opposed to the
coupon being offered with respect to your Notes.
|
|
|
}
|
You seek an investment for which there will be an active secondary market.
|
|
|
}
|
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 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 beginning 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
either Underlying. 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, prospectus supplement and Equity Index
Underlying Supplement.
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; and
|
|
|
}
|
“— Small-Capitalization or Mid-Capitalization Companies Risk” in the Equity Index Underlying Supplement.
|
You will be subject to
significant risks not associated with conventional fixed-rate or floating-rate debt securities.
The Notes do not guarantee return
of principal and you may lose your entire initial investment.
The Notes do not guarantee return of principal.
The Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notes if the Notes
are not automatically called and if a Trigger Event occurs during the Observation Period and the Final Return of the Least Performing
Underlying is negative. In this case, the Payment at Maturity you will be entitled to receive will be less than the Principal Amount
of the Notes and you could lose your entire initial investment if the level of the Least Performing Underlying falls to zero. You
may receive less at maturity than you originally invested in the Notes, or you may receive nothing at maturity, excluding any coupon
payment. Payment of any amount at maturity is subject to the credit risk of HSBC.
You will not participate in any appreciation
in the level of any of the Underlyings included in the Reference Asset.
The Notes will not pay more than the Principal
Amount, plus any unpaid coupon payment, at maturity or if the Notes are automatically called. Even if the Final Return of each
Underlying in the Reference Asset is greater than zero (regardless of whether a Trigger Event has occurred), you will not participate
in the appreciation of any Underlying. Assuming the Notes are held to maturity, the maximum amount payable with respect to the
Notes will not exceed the sum of the Principal Amount plus any coupon payments. Under no circumstances, regardless of the extent
to which the level of any Underlying appreciates, will your return exceed the total amount of the coupon payments. In some cases,
you may earn significantly less by investing in the Notes than you would have earned by investing in an instrument directly linked
to the performance of the Underlyings included in the Reference Asset.
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 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 Notes,
including coupons and any return of principal at maturity or upon early redemption, as applicable, 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.
If a Trigger Event occurs with respect
to any Underlying, your return will be based on the Final Return of the Least Performing Underlying.
The performance
of either of the Underlyings may cause a Trigger Event to occur. If a Trigger Event occurs and the Notes are not automatically
called, your return will be based on the Final Return of the Least Performing Underlying without regard to the performance of the
other Underlying or which Underlying caused the Trigger Event to occur. As a result, you could lose all or some of your initial
investment if the Final Return of the Least Performing Underlying is negative and a Trigger Event occurs, even if there is an increase
in the level of the other Underlying. This could be the case even if the other Underlying caused the Trigger Event to occur or
the other Underlying increased by an amount greater than the decrease in the Least Performing Underlying.
The Notes may be automatically called
prior to the Maturity Date.
If the
Notes are automatically called early, the holding period over which you will receive coupon payments could be as little as three
months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return
for a similar level of risk in the event the Notes are automatically called prior to the Maturity Date.
Since the Notes are linked to the
performance of more than one Underlying, you will be fully exposed to the risk of fluctuations in the levels of each Underlying.
Since
the Notes are linked to the performance of more than one Underlying, the Notes will be linked to the individual performance of
each Underlying. Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among all
of the components of a basket, you will be exposed to the risk of fluctuations in the prices of the Underlyings to the same degree
for each Underlying. For example, in the case of Notes linked to a weighted basket, the return would depend on the weighted aggregate
performance of the basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigated
by the appreciation of another basket component, as scaled by the weightings of such basket components. However, in the case of
these Notes, the individual performance of each of the Underlyings would not be combined to calculate your return and the depreciation
of either Underlying would not be mitigated by the appreciation of the other Underlying. Instead, your return would depend on the
Least Performing Underlying of the two Underlyings to which the Notes are linked.
Changes that affect the Reference
Asset may affect the market value of the Notes and the amount you will receive at maturity.
The policies of the reference sponsor of
each Underlying concerning additions, deletions and substitutions of the constituents comprising such Underlying and the manner
in which the reference sponsor takes account of certain changes affecting those constituents may affect the level of such Underlying.
The policies of the reference sponsor with respect to the calculation of the relevant Underlying could also affect the level of
such Underlying. The reference sponsor may discontinue or suspend calculation or dissemination of the relevant Underlying. Any
such actions could affect the value of the Notes and the 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 full Payment at Maturity
on 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 of interest may
exist.
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.
Uncertain 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.
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 any Underlying relative to its Initial Level. We cannot predict the Official Closing Level
of either Underlying at any time during the Observation Period, including on a Call Observation Date or on the Final Valuation
Date. 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 Reference Asset or
return on the Notes
.
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 total payment
on the Notes on a $1,000 investment in the Notes for a hypothetical range of the Least Performing Underlying’s Final Returns
from -100% to +100%. The following results are based solely on the assumptions outlined below. You should consider carefully whether
the Notes are suitable to your investment goals.
|
}
|
Principal Amount:
|
$1,000
|
|
|
|
|
|
}
|
Trigger Level:
|
65% of the Initial Level of each Underlying
|
|
|
|
|
|
}
|
Annual Coupon Rate
|
6.00% per annum.
|
|
|
(paid monthly):
|
|
|
|
}
|
The Notes are held until maturity and are not automatically called early.
|
|
Trigger
Event Does Not Occur
1
|
Trigger
Event Occurs
2
|
Least
Performing
Underlying’s
Final Return
|
Hypothetical
Total Coupon
Paid Over
the Term of
the Notes
3
|
Hypothetical
Final
Settlement
Value
|
Hypothetical
Total
Payment on
the Notes
|
Hypothetical
Total
Return
on
the
Notes
|
Hypothetical
Total Coupon
Paid Over the
Term of the
Notes
3
|
Hypothetical
Final
Settlement
Value
|
Hypothetical
Total
Payment on
the Notes
|
Hypothetical
Total
Return
on
Notes
|
|
100.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
90.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
80.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
70.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
60.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
50.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
40.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
30.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
20.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
10.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
0.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
|
-10.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$900
|
$960
|
-4.00%
|
|
-20.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$800
|
$860
|
-14.00%
|
|
-30.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$700
|
$760
|
-24.00%
|
|
-35.00%
|
$60
|
$1,000
|
$1,060
|
6.00%
|
$60
|
$650
|
$710
|
-29.00%
|
|
-40.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$600
|
$660
|
-34.00%
|
|
-50.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$500
|
$560
|
-44.00%
|
|
-60.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$400
|
$460
|
-54.00%
|
|
-70.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$300
|
$360
|
-64.00%
|
|
-80.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$200
|
$260
|
-74.00%
|
|
-90.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$100
|
$160
|
-84.00%
|
|
-100.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
$60
|
$0
|
$60
|
-94.00%
|
1
The Official Closing Level of each
Underlying never falls below its respective Trigger Level on any trading day during the Observation Period.
2
The Official Closing Level of either
Underlying falls below its Trigger Level on any trading day during the Observation Period.
3
Assuming the Notes have been held
to maturity, the total amount of the coupons paid on the Notes as of the Maturity Date will equal $60, with coupon payments of
$5.00 made on each Coupon Payment Date.
Hypothetical Examples of the Final Settlement
Value
The three examples below set forth a sampling
of hypothetical Final Settlement Values based on the following assumptions:
|
}
|
Principal Amount of Notes:
|
$1,000
|
|
|
|
|
|
}
|
Trigger Level:
|
65% of the Initial Level of each Underlying
|
|
|
|
|
|
}
|
Annual Coupon Rate
(paid monthly):
|
6.00% per annum.
|
|
|
|
|
|
}
|
Initial Level:
|
1,374.53 with respect to the SPX and 789.01 with respect to the RTY
|
In addition to the Final Settlement Value,
you will be entitled to receive coupon payments monthly on each Coupon Payment Date, up to and including the Maturity Date (or
the Coupon Payment Date corresponding to a Call Observation Date on which the Notes are automatically called, as applicable).
The examples provided herein are for illustration
purposes only. The actual Final Settlement Value, if any, will depend on whether the Notes are automatically called and a Trigger
Event occurs and, if so, the Final Return of the Least Performing Underlying. You should not take these examples as an indication
of potential payments. It is not possible to predict whether the Notes will be automatically called and a Trigger Event will occur
and, if so, whether and to what extent the Final Return of the Least Performing Underlying will be less than zero.
Example 1: The Notes are not automatically
called and a Trigger Event occurs, even though the Least Performing Underlying never reaches or falls below its Trigger Level.
Additionally, the Final Return of the Least Performing Underlying is less than zero.
|
Underlying
|
|
Initial Level
|
|
Lowest Official Closing Level
of the Underlying
during the Observation Period
|
|
Final Level
on Final Valuation Date
|
|
|
SPX
|
|
1,374.53
|
|
1,168.35 (85% of Initial Level)
|
|
1,209.59 (88% of Initial Level)
|
|
|
RTY
|
|
789.01
|
|
433.96 (55% of Initial Level)
|
|
749.56 (95% of Initial Level)
|
|
Since the Official Closing Level of RTY is below its Trigger
Level during the Observation Period, a
Trigger Event occurs
. SPX is the Least Performing Underlying, even though its Official
Closing Level never falls below its Trigger Level.
Therefore, the Final Return of the Least Performing Underlying
=
Final Level of
SPX – Initial Level of SPX
Initial Level of SPX
= (1,209.59 – 1,374.53) / 1,374.53
=
-12.00%
Final Settlement Value = Principal Amount of the Notes
× (1 + Final Return of the Least Performing Underlying)
= $1,000 × (1 + -12%) =
$880.00
Therefore, with the total coupon payment of $60.00 over the
term of the Notes, the total payment on the Notes is $940.00.
Example
2: The Notes are not automatically called and a Trigger Event does not occur.
|
Underlying
|
|
Initial Level
|
|
Lowest Official Closing Level
of the Underlying
during the Observation Period
|
|
Final Level
on Final Valuation Date
|
|
|
SPX
|
|
1,374.53
|
|
1,168.35 (85% of Initial Level)
|
|
1,237.08 (90% of Initial Level)
|
|
|
RTY
|
|
789.01
|
|
710.11 (90% of Initial Level)
|
|
710.11 (90% of Initial Level)
|
|
Since the Official Closing Level of each Underlying was not
below its Trigger Level, a Trigger Event does not occur.
Therefore, the Final Settlement Value equals
$1,000
.
Additionally, with the total coupon payment of $60.00 over the
term of the Notes, the total payment on the Notes is $1,060.00.
Example 3: The Notes are automatically called on the first
Call Observation Date.
|
Underlying
|
|
Initial Level
|
|
|
Official Closing Level
on the first Call Observation Date
|
|
SPX
|
|
1,374.53
|
|
|
1,500.00
|
|
RTY
|
|
789.01
|
|
|
900.00
|
Since the Official Closing Level of both
Underlyings was at or above their respective Initial Levels, the Notes were automatically called and you are no longer entitled
to receive any Final Settlement Value. Therefore, on the corresponding Coupon Payment Date you would receive your $1,000 Principal
Amount of Notes plus the coupon payment of $5.00 owed to you on that date. As a result, on the corresponding Coupon Payment Date,
you would be entitled to receive a total payment of $1,005.00. Once the Notes are automatically called, the Underlyings have no
relevance in determining the payment owed to you on the corresponding Coupon Payment Date.
INFORMATION RELATING TO THE
REFERENCE
ASSET
|
Description of the SPX
The SPX is a capitalization-weighted
index of 500 U.S. stocks. It is designed to measure the performance of the broad domestic economy through changes in the
aggregate market value of 500 stocks representing all major industries.
The top 5 industry groups by market
capitalization as of November 13, 2012 were: Information Technology, Financials, Health Care, Energy and Consumer Discretionary.
For more information about
the SPX, see “The S&P 500
Ò
Index” on page S-6 of the accompanying Equity
Index Underlying Supplement.
|
Historical Performance of the
SPX
The following graph sets forth
the historical performance of the SPX based on the daily historical closing levels from November 13, 2007 through November
13, 2012. The closing level for the SPX on November 13, 2012 was 1,374.53. 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 SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SPX during the Observation Period, including on a Call Observation Date or on the Final Valuation Date.
|
|
|
|
License Agreement
|
|
|
|
Standard & Poor’s
®
and S&P
®
are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC. “Standard & Poor’s
®
”, “S&P 500
®
” and “S&P
®
” are trademarks of S&P and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by HSBC. The S&P 500
®
Index (the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.
|
|
|
|
The Notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices makes no 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 the Index to track general market performance. S&P Dow Jones Indices’ only relationship to HSBC with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to HSBC or the Notes. S&P Dow Jones Indices has no obligation to take the needs of HSBC or the holders of the Notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices is not 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. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the Notes. There is no assurance that investment products based on the Index 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 the Index 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. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the Notes currently being issued by HSBC, but which may be similar to and competitive with the Notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the Index and the Notes.
|
S&P DOW JONES INDICES DOES NOT
GUARANTEE 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 SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES
INDICES 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 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.
|
Description of the RTY
|
|
Historical Performance of the RTY
|
The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 3000
®
Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.
The top 5 industry groups by market capitalization as of October 31, 2012 were: Financial Services, Consumer Discretionary, Producer Durables, Technology and Health Care.
For more information about the RTY, see “The Russell 2000
Ò
Index” on page S-21 of the accompanying Equity Index Underlying Supplement.
|
|
The following graph sets forth the historical
performance of the RTY based on the daily historical closing levels from November 13, 2007 through November 13, 2012. The closing
level for the RTY on November 13, 2012 was 789.01. 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 RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the RTY during the Observation Period, including on a Call Observation Date or on the Final Valuation 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, the calculation agent will determine (i) the accelerated Payment at Maturity due and payable in the same general
manner as described in “Payment at Maturity” in this pricing supplement and (ii) any accrued but unpaid interest payable
based upon the Annual Coupon Rate calculated on the basis of a 360-day year consisting of twelve 30-day months. In that case, the
scheduled trading day preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the
accelerated Final Return for each Underlying. If a market disruption event exists with respect to an Underlying on that scheduled
trading day, then the accelerated Final Valuation Date will be postponed for up to five scheduled trading days (in the same general
manner used for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed
by an equal number of business days. For the avoidance of doubt, if no market disruption event exists with respect to an Underlying
on the scheduled trading day preceding the date of acceleration, the determination of such Underlying’s Final Return will
be made on such date, irrespective of the existence of a market disruption event with respect to the other Underlying occurring
on such date.
If the
Notes have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments
with respect to the Notes. For more information, see “Description of Debt Securities — Senior Debt Securities —
Events of Default” in the accompanying prospectus.