The following graph illustrates the hypothetical
daily historical performance of the SPX/RTY/MXEA Basket from October 31, 2007 through October 31, 2012 based on information from
the Bloomberg Professional
®
service, if the level of the Basket was made to equal 100 on October 31, 2007. The hypothetical
historical performance reflects the performance the Basket would have exhibited based on (i) the actual historical performance
of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Value occurred from October
31, 2007 through October 31, 2012 for any Reference Asset Component. Neither the hypothetical historical performance of the Basket
nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.
We cannot give you assurance that the performance
of the Basket will result in the return of your initial investment. You may lose up to 85% of your investment.
For further information on each component of the Reference Asset
please see “Information Relating to the S&P 500
®
Index”, “Information Relating to the Russell
2000
®
Index”, or “Information Relating to the MSCI EAFE Index”, as applicable, on page FWP-12,
FWP-14, or FWP-15, as applicable, and “The S&P 500
®
Index”, “The Russell 2000
®
Index”, or “The MSCI EAFE Index”, as applicable, in the accompanying Equity Index 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 an offering of Buffered Accelerated Market Participation Securities. The securities will have the respective terms described
in this free writing prospectus and the accompanying prospectus supplement, prospectus and underlying supplement. If the terms
of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or
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 Reference
Return is negative, lose up to 85% of your principal.
|
Buffer Value
|
-15%
|
|
Initial Value:
|
Set equal to 100 on the Pricing Date.
|
|
Final Value:
|
The Reference Asset Closing value on the Final Valuation Date.
|
|
Reference Asset Closing Value:
|
On any scheduled trading day, the Reference Asset
Closing Value will be calculated as follows:
100 × (1 + (sum of the Reference Asset Component
Return multiplied by the respective Component Weighting for each Reference Asset Component))
Each of the Reference Asset Component Returns set
forth in the formula above refers to the return for the Reference Asset Component, which reflects the performance of the Reference
Asset Component, expressed as the percentage change from the Initial Component Value of that Reference Asset Component to the Final
Component Value of that Reference Asset Component.
|
|
Initial Component Value:
|
With respect to each Reference Asset Component, the Official Closing Value (as defined below) of the respective Reference Asset Component as determined by the calculation agent on the Pricing Date.
|
|
Final Component Value:
|
With respect to each Reference Asset Component, the Official Closing Value of the respective Reference Asset Component on the Final Valuation Date.
|
|
Official Closing Value:
|
The closing level of each Reference Asset Component 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 SPX, “SPX <INDEX>”, with respect to the RTY, “RTY <INDEX>”, and with respect to the MXEA, “MXEA <INDEX>”, for each Reference Asset Component, 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.
|
|
CUSIP/ISIN:
|
40432X3A7/ US40432X3A70
|
The Trade Date and the Pricing Date 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
a single offering of securities, linked to the Reference Asset identified on the cover page. The purchaser of a security will acquire
a senior unsecured debt security of HSBC USA Inc. We reserve the right to withdraw, cancel or modify the offering and to reject
orders in whole or in part. Although the offering of securities 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 such Reference Asset or
any component security included in 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 Equity Index 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 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-1 of the Equity Index 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 underlying supplements) with the SEC for the offering to which this free writing
prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and relevant 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 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 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 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 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 + 15%)).
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 15% loss and receive 85% of the Principal Amount, subject to the credit
risk of HSBC.
You should be aware that if the Reference Return is less than the Buffer Value, you may lose up to 85% 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 Sponsor
With respect to securities linked to the
SPX, Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor.
With respect to securities linked to the RTY, the Russell Investment Group is the reference sponsor. With respect to securities
linked to the MXEA, Morgan Stanley Capital International Inc., is the reference sponsor.
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 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, which may
limit your return at maturity. The actual Maximum Cap for the 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 Reference Return is less than -15%.
|
|
|
}
|
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 forgo dividends or other distributions paid to holders of the stocks comprising
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 Reference Return will be negative on the Final Valuation Date or that the Reference
Return will not be sufficiently positive to provide you with your desired return.
|
|
|
}
|
You are unwilling to invest in the securities based on the Maximum Cap indicated herein, which
may limit your return at maturity. The actual Maximum Cap for the 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 Reference Return is below -15%.
|
|
|
}
|
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 stocks comprising 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-1 of the Equity Index Underlying
Supplement. Investing in the securities is not equivalent to investing directly in any of the stocks comprising the Reference Asset
or the Reference Asset itself, as applicable. 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 underlying supplement.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and 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 Indices” in the Equity Index Underlying Supplement;
|
|
|
}
|
“—The indices comprising the Reference Asset may not move in tandem; and gains in one
such equity index may be offset by declines in another equity index;
|
|
|
}
|
“—Small-Capitalization or Mid-Capitalization Companies Risk” in the Equity Index
Underlying Supplement;
|
|
|
}
|
“—Risks Associated with Non-U.S. Companies” in the Equity Index Underlying Supplement;
|
|
|
}
|
“—Securities prices generally are subject to political, economic, financial and social
factors that apply to the markets in which they trade and, to a lesser extent, foreign markets” in the Equity Index Underlying
Supplement;
|
|
|
}
|
“—Time differences between the domestic and foreign markets and New York City may create
discrepancies in the trading level or price of the Notes” in the Equity Index Underlying Supplement;
|
|
|
}
|
“—The Notes are subject to currency exchange risk” in the Equity Index Underlying
Supplement; and
|
|
|
}
|
“—Even if our or our Affiliates’ securities are tracked by an equity index, we
or our Affiliates will not have any obligation to consider your interests” in the Equity Index Underlying Supplement.
|
You will be subject to
significant risks not associated with conventional fixed-rate or floating-rate debt securities.
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 -15%. Accordingly, if the Reference Return is less than -15%, your
Payment at Maturity will be less than the Principal Amount of your securities. You may lose up to 85% of your investment at maturity
if the Reference Return is negative.
The appreciation on the securities
is limited by the Maximum Cap.
You will not participate in any appreciation
in the value of the Reference Asset (as multiplied by the Upside Participation Rate) beyond the Maximum Cap. The Maximum Cap (to
be determined on the Pricing Date) will not be less than 56.00% or greater than 66.00%. You will not receive a return on the securities
greater than the 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 Reference
Asset will affect the market value of the securities and the amount you will receive at maturity.
The policies of the reference sponsor of
the Reference Asset concerning additions, deletions and substitutions of the constituents comprising such Reference Asset and the
manner in which the reference sponsor 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 sponsor with respect to the calculation of the
Reference Asset could also affect the value of such Reference Asset. The reference sponsor may discontinue or suspend calculation
or dissemination of its 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 Reference Asset relative to its Initial Value. We cannot predict the Final Value of
the 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 Reference
Asset to which your securities are linked or the return on your 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:
|
125%
|
|
|
|
|
|
}
|
Hypothetical Maximum Cap:
|
56.00% (The actual Maximum Cap will be determined on the Pricing Date and will not be less than
|
|
|
|
56.00% or greater than 66.00%)
|
|
|
|
|
|
}
|
Buffer Value:
|
-15%
|
The actual Maximum Cap with respect to
the offering of securities will be determined on the Pricing Date.
|
Hypothetical Reference Return
|
Hypothetical Payment at Maturity
|
Hypothetical Return on the Security
|
|
100.00%
|
$1,560.00
|
56.00%
|
|
80.00%
|
$1,560.00
|
56.00%
|
|
60.00%
|
$1,560.00
|
56.00%
|
|
44.80%
|
$1,560.00
|
56.00%
|
|
25.00%
|
$1,312.50
|
31.25%
|
|
20.00%
|
$1,250.00
|
25.00%
|
|
10.00%
|
$1,125.00
|
12.50%
|
|
5.00%
|
$1,062.50
|
6.25%
|
|
2.00%
|
$1,025.00
|
2.50%
|
|
1.00%
|
$1,012.50
|
1.25%
|
|
0.00%
|
$1,000.00
|
0.00%
|
|
-1.00%
|
$1,000.00
|
0.00%
|
|
-2.00%
|
$1,000.00
|
0.00%
|
|
-10.00%
|
$1,000.00
|
0.00%
|
|
-15.00%
|
$1,000.00
|
0.00%
|
|
-20.00%
|
$950.00
|
-5.00%
|
|
-40.00%
|
$750.00
|
-25.00%
|
|
-60.00%
|
$550.00
|
-45.00%
|
|
-80.00%
|
$350.00
|
-65.00%
|
|
-100.00%
|
$150.00
|
-85.00%
|
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 Reference Return is 2.00%.
|
|
|
|
Reference Return:
|
2.00%
|
|
Final Settlement Value:
|
$1,025.00
|
Because the 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 $1,025.00 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% ×
125%)
= $1,025.00
Example 1 shows that you will receive the
return of your principal investment plus a return equal to the Reference Return multiplied by 125% when such Reference Return is
positive and, as multiplied by the Upside Participation Rate, equal to or less than the Maximum Cap.
Example 2: The Reference Return is 60.00%.
|
|
|
|
Reference Return:
|
60.00%
|
|
Final Settlement Value:
|
$1,560.00
|
Because the 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 $1,560.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Maximum Cap)
= $1,000 + ($1,000 × 56.00%)
= $1,560.00
Example 2 shows that you will receive the
return of your principal investment plus a return equal to the Maximum Cap when the Reference Return is positive and such Reference
Return multiplied by 125% exceeds the Maximum Cap.
Example 3: The Reference Return is -5.00%.
|
|
|
|
Reference Return:
|
-5.00%
|
|
Final Settlement Value:
|
$1,000.00
|
Because the Reference Return is less than
zero but greater than the Buffer Value of -15%, 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 Reference Asset declines by no more than 15% over the term of the securities.
Example 4: The Reference Return is -30.00%.
|
|
|
|
Reference Return:
|
-30.00%
|
|
Final Settlement Value:
|
$850.00
|
|
|
|
|
Because the Reference Return is less than
the Buffer Value of -15%, the Final Settlement Value would be $850.00 per $1,000 Principal Amount of securities, calculated as
follows:
$1,000 + ($1,000 × (Reference
Return + 15%))
= $1,000 + ($1,000 × (-30.00%
+ 15%))
= $850.00
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 -15%. YOU MAY LOSE UP TO 85% OF THE PRINCIPAL
AMOUNT OF YOUR SECURITIES.
INFORMATION RELATING TO THE S&P
500
®
INDEX
|
Description of the SPX
The SPX is a capitalization-weighted index
of 500 U.S. stocks. It is designed to measure 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 October 26, 2012 were: Information Technology, Financials, Health Care, Energy, and Consumer Discretionary.
For more information
about the SPX, see “The S&P 500
®
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 October 31, 2007 through October 31, 2012. The closing
level for the SPX on October 31, 2012 was 1,412.16. 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 Value of the SPX 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 & Poors
®
”, “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 SPX (the “Index”) is a product of S&P
Dow Jones Indices LLC, and has been licensed for use by HSBC.
The securities 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
securities or any member of the public regarding the advisability of investing in securities generally or in the securities 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
securities. S&P Dow Jones Indices has no obligation to take the needs of HSBC or the holders of the securities 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 securities or the timing of the issuance or sale of the securities or in
the determination or calculation of the equation by which the securities 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 securities. 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 securities currently being issued by HSBC, but which may be similar to and competitive with the securities. 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 securities.
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 SECURITIES, 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.
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INFORMATION RELATING TO THE RUSSELL 2000
®
INDEX
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Description 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 September 30, 2012 were: Financial Services, Consumer Discretionary, Technology, Producer Durables
and Health Care.
For more information
about the RTY, see “The Russell 2000
®
Index” on page S-21 of the accompanying Equity Index Underlying
Supplement.
|
Historical Performance of the RTY
The
following graph sets forth the historical performance of the RTY based on the daily historical closing levels from October 31,
2007 through
October 31, 2012. The closing level for the RTY on
October 31, 2012 was 818.73. 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
Value of the RTY on the Final Valuation Date.
|
INFORMATION RELATING TO THE MSCI
EAFE INDEX
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Description of the MXEA
The MXEA is intended to measure equity
market performance in developed market countries, excluding the U.S. and Canada. The index is a free float-adjusted market capitalization
equity index with a base date of December 31, 1969 and an initial value of 100. The index is calculated daily in U.S. dollars and
published in real time every 60 seconds during market trading hours. As of September 28, 2012, the index consisted of companies
from the following 22 developed countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland,
Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
For more information
about the MXEA, see “The MSCI EAFE Index” on page S-36 of the Equity Index Underlying Supplement.
|
Historical Performance of the MXEA
The following graph sets forth the historical
performance of the MXEA based on the daily historical closing levels from October 31, 2007 through October 31, 2012. The closing
level for the MXEA on October 31, 2012 was 1,522.23. 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.
|
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The historical prices of the MXEA should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the MXEA on the Final Valuation Date.
|
THE SPX/RTY/MXEA BASKET
The following graph illustrates the hypothetical
daily historical performance of the SPX/RTY/MXEA Basket from October 31, 2007 through October 31, 2012 based on information from
the Bloomberg Professional
®
service, if the level of the Basket was made to equal 100 on October 31, 2007. The hypothetical
historical performance reflects the performance the Basket would have exhibited based on (i) the actual historical performance
of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Value occurred from October
31, 2007 through October 31, 2012 for any Reference Asset Component. Neither the hypothetical historical performance of the Basket
nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.
We cannot give you assurance that the performance
of the Basket will result in the return of your initial investment. You may lose up to 85% of your investment.
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 2.75% 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.
We expect that delivery of the securities
will be made against payment for the securities on or about the Original Issue Date set forth on the inside cover page of this
document, which is expected to be the fifth business day following the Trade Date of the securities. Under Rule 15c6-1 under the
Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless
the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade securities on the Trade Date and
the following business day thereafter will be required to specify an alternate settlement cycle at the time of any such trade to
prevent a failed settlement, and should consult their own advisors.
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 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 Reference Asset. Pursuant to this approach, 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.
We will not attempt to ascertain whether
any of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, would be treated as a passive
foreign investment company (“PFIC”) or United States real property holding corporation (“USRPHC”), both
as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in, or owned by, the Reference
Asset, as the case may be, were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer
to information filed with the SEC and other authorities by the entities whose stock is included in, or owned by, the Reference
Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in, or owned by, the 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.
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TABLE OF CONTENTS
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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
TM
Linked to an equally weighted basket consisting of the S&P 500
®
Index, the Russell 2000
®
Index and the MSCI EAFE Index
November 2,
2012
FREE WRITING PROSPECTUS
|
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Free Writing Prospectus
|
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General
|
FWP-6
|
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Payment at Maturity
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FWP-7
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Investor Suitability
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FWP-8
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Risk Factors
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FWP-8
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Illustrative Examples
|
FWP-10
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Information Relating to the S&P 500
®
Index
|
FWP-12
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Information Relating to the Russell 2000
®
Index
|
FWP-14
|
|
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Information Relating to the MSCI EAFE Index
|
FWP-15
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The SPX/RTY/MXEA Basket
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FWP-16
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Supplemental Plan of Distribution (Conflicts of Interest)
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FWP-17
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U.S. Federal Income Tax Considerations
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FWP-17
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Equity Index Underlying Supplement
|
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Risk Factors
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S-1
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The S&P 500
®
Index
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S-6
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The S&P 100
®
Index
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S-10
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The S&P MidCap 400
®
Index
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S-14
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The S&P 500 Low Volatility Index
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S-18
|
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The Russell 2000
®
Index
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S-21
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The Dow Jones Industrial Average
SM
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S-25
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The Hang Seng China Enterprises Index
®
|
S-27
|
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The Hang Seng
®
Index
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S-30
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The Korea Stock Price Index 200
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S-33
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The MSCI EAFE Index
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S-36
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The EURO STOXX 50
®
Index
|
S-40
|
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The PHLX Housing Sector
SM
Index
|
S-42
|
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The TOPIX
®
Index
|
S-46
|
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The NASDAQ-100 Index
®
|
S-49
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S&P BRIC 40 Index
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S-53
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The Nikkei 225 Index
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S-56
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The FTSE™ 100 Index
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S-58
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Other Components
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S-60
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Additional Terms of the Notes
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S-60
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Prospectus Supplement
|
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Risk Factors
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S-3
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Risks Relating to Our Business
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S-3
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Risks Relating to All Note Issuances
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S-3
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Pricing Supplement
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S-7
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Description of Notes
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S-8
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Use of Proceeds and Hedging
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S-30
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Certain ERISA Considerations
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S-30
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U.S. Federal Income Tax Considerations
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S-32
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Supplemental Plan of Distribution (Conflicts of Interest)
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S-49
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Prospectus
|
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About this Prospectus
|
1
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Risk Factors
|
1
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Where You Can Find More Information
|
1
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Special Note Regarding Forward-Looking Statements
|
2
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HSBC USA Inc.
|
3
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Use of Proceeds
|
3
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Description of Debt Securities
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3
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Description of Preferred Stock
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15
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Description of Warrants
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21
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Description of Purchase Contracts
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25
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Description of Units
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28
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Book-Entry Procedures
|
30
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Limitations on Issuances in Bearer Form
|
35
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U.S. Federal Income Tax Considerations Relating to Debt Securities
|
35
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Plan of Distribution (Conflicts of Interest)
|
51
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Notice to Canadian Investors
|
53
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Notice to EEA Investors
|
58
|
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Certain ERISA Matters
|
59
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Legal Opinions
|
60
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Experts
|
60
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