Calculation
of Registration Fee
Title of Each Class of
Securities Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of
Registration Fee
(1)
|
|
Debt Securities
|
|
$742,000.00
|
|
$101.21
|
(1)
Calculated in accordance with Rule 457 (r) of
the Securities Act of 1933, as amended.
Filed
Pursuant to Rule 4242(b)(2)
Registration
No. 333-180289
PRICING
SUPPLEMENT
Dated
February 21, 2013
(To Prospectus
dated March 22, 2012,
Prospectus
Supplement dated March 22, 2012 and
Equity Index Underlying Supplement dated
March 22, 2012)
HSBC USA Inc.
Averaging Notes
|
|
}
|
$742,000 Averaging Notes Linked to the S&P 500
®
Low Volatility Index
|
|
|
}
|
Exposure to any positive return of the reference asset, based on the average closing level of the reference asset on the quarterly
observation dates over the term of the Notes
|
|
|
}
|
If the average of the closing levels of the reference asset on the quarterly observation dates is equal to or lower than the
initial level, then the Notes will pay principal at maturity
|
|
|
}
|
All payments on the Notes are subject to the credit risk of HSBC USA Inc.
|
The Averaging Notes (each a
“Note” and collectively the “Notes") will not be listed on any U.S. securities exchange or automated quotation
system. The Notes will not bear interest.
Neither the U.S. Securities
and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Notes or
passed upon the accuracy or the adequacy of this document, the accompanying Equity Index Underlying Supplement, prospectus or prospectus
supplement. Any representation to the contrary is a criminal offense.
We have appointed HSBC Securities
(USA) Inc., an affiliate of ours, as the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from
us for distribution to other registered broker-dealers or will offer the Notes directly to investors. In addition, HSBC Securities
(USA) Inc. or another of its affiliates or agents may use this pricing supplement in market-making transactions in any Notes after
their initial sale.
Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being
used in a market-making transaction.
See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-13
of this pricing supplement.
Investment in the Notes involves
certain risks. You should refer to “Risk Factors” beginning on page PS-5 of this document, page S-3 of the accompanying
prospectus supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.
|
|
Price to Public
|
Underwriting Discount
1
|
Proceeds to Issuer
|
|
Per Note
|
$1,000.00
|
$37.50
|
$962.50
|
|
Total
|
$742,000.00
|
$27,825.00
|
$714,175.00
|
1
HSBC USA Inc. or
one of our affiliates may pay varying underwriting discounts of up to 3.75% per $1,000 Principal Amount of Notes in connection
with the distribution of the Notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts
of Interest)” on page PS-13 of this pricing supplement.
The
Notes:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
|
HSBC USA Inc.
Averaging Notes
|
|
Linked to the S&P 500
®
Low Volatility Index
This offering of Notes
has the terms described in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying Equity Index
Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement shall control.
This pricing supplement
relates to an offering of Notes linked to the performance of the S&P 500
®
Low Volatility Index (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
®
Low Volatility Index (“SP5LVI”)
|
|
Trade Date:
|
February 21, 2013
|
|
Pricing Date:
|
February 21, 2013
|
|
Settlement Date:
|
February 26, 2013
|
|
Final Valuation Date:
|
February 21, 2019. The Final Valuation Date is subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
Maturity Date:
|
February 26, 2019. The Maturity Date is 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.
|
|
Observation Dates:
|
The 21
st
calendar day of each February, May, August, and November, commencing May 21, 2013 to and including the Final Valuation Date. There will be a total of 24 Observation Dates over the term of the Notes. If a scheduled Observation Date is not a scheduled trading day, the next scheduled trading day shall be such Observation Date. The Observation Dates are subject to adjustment as described under “Additional Terms of the Notes–Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
Reference Return:
|
The quotient, expressed as a percentage, calculated as follows:
Average Closing Level –
Initial Level
Initial Level
|
|
Payment at Maturity per Note:
|
If the Reference Return is greater than zero,
you
will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to:
$1,000 + ($1,000 × Reference Return)
If the Reference Return is less than or equal to zero
,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to the $1,000 Principal Amount.
|
|
Initial Level:
|
4,726.25, which was the Official Closing Level (as defined below) on the Pricing Date, as determined by the calculation agent.
|
|
Average Closing Level:
|
The arithmetic average of the Official Closing Level of the SP5LVI on each of the 24 quarterly Observation Dates.
|
|
Official Closing Level:
|
The closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the closing level displayed on the Bloomberg Professional
®
service page “SP5LVI <INDEX>”, or on any successor page on the Bloomberg Professional
®
service or any successor service, as applicable.
|
|
Form of Notes:
|
Book-Entry
|
|
Listing:
|
The Notes will not be listed on any U.S. securities exchange or quotation system.
|
|
CUSIP/ISIN:
|
40432XAC5/US40432XAC56
|
GENERAL
This pricing supplement relates to an offering
of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc.
We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the offering
of Notes relates to the Reference Asset 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-5 of this
pricing supplement, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the Notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes. As used herein, references to the “Issuer”, “HSBC”,
“we”, “us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement
(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this
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
at Maturity
On the Maturity Date, for each Note you
hold, we will pay you the Payment at Maturity, which is an amount in cash, described below:
If the Reference Return is greater than
zero
, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to:
$1,000 + ($1,000 ×
Reference Return)
If the Reference Return is less than or
equal to zero,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to the $1,000
Principal Amount.
Interest
The Notes will not pay interest.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the Notes.
Reference Sponsor
S&P Dow Jones Indices LLC, a subsidiary
of The McGraw-Hill Companies, Inc., is the reference sponsor.
INVESTOR
SUITABILITY
|
The Notes may be suitable for you if:
|
The Notes may not be suitable for you if:
|
|
}
You
seek an investment with returns linked to the potential positive average performance of the Reference Asset and you believe the
level of the Reference Asset will increase over the term of the Notes.
}
You
are comfortable receiving only the Principal Amount of your Notes at maturity if the Reference Return is below zero.
}
You
are willing to forgo dividends or other distributions paid to holders of the stocks comprising the Reference Asset.
}
You are willing to accept the risk and return profile of the Notes versus a conventional debt security with a
comparable maturity issued by HSBC or another issuer with a similar credit rating.
}
You
do not seek current income from your investment.
}
You
do not seek an investment for which there is an active secondary market.
}
You
are willing to hold the Notes to maturity.
}
You
are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.
|
}
You
are unwilling to receive only the Principal Amount of your Notes at maturity if the Reference Return is below zero.
}
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 Notes to maturity.
}
You
are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.
|
Risk
Factors
We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and on page S-1 of the accompanying Equity
Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks comprising the
Reference Asset. You should understand the risks of investing in the Notes and should reach an investment decision only after careful
consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstances and the
information set forth in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the Notes described in the following sections:
|
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
|
|
}
|
“— General risks related to Indices” in the Equity Index Underlying Supplement;
and
|
|
|
}
|
“— If the Reference Asset is or includes the S&P 500 Low Volatility Index or otherwise
includes an Index that tracks a low volatility index” in the Equity Index Underlying Supplement.
|
You will be subject to
significant risks not associated with conventional fixed-rate or floating-rate debt securities.
Credit risk of HSBC USA Inc.
The Notes
are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third
party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the
other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any
payment to be made on the Notes, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations
as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and,
in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes.
Because the Average Closing Level
is based on an average of the Official Closing Levels of the
Reference Asset
on each Observation
Date throughout the term of the Notes, the Average Closing Level may be less than the Official Closing Level of the Reference Asset
on the Final Valuation Date.
Because the Average Closing Level is calculated
by reference to an average of the Official Closing Levels of the Reference Asset on various Observation Dates throughout the term
of the Notes, the Average Closing Level, as so calculated, may be less than the Official Closing Level of the Reference Asset on
the Final Valuation Date. As a result, the Payment at Maturity you receive may be less than the return you would receive if the
Payment at Maturity was based solely on the Official Closing Level of the Reference Asset on the Final Valuation Date. This difference
could be particularly large if there is a significant increase in the Official Closing Level of the Reference Asset during the
latter portion of the term of the Notes. Additionally, the secondary market value of the Notes, if such a market exists, will be
impacted by the Official Closing Level of the Reference Asset on any previous Observation Dates, in that those levels will impact
the amount payable at maturity.
The Notes will not bear interest.
As a holder of the Notes, you will not
receive interest payments.
The Reference Asset has limited actual
historical information.
The Reference Asset was created in April
2011. The reference sponsor has published limited actual information about how the Reference Asset would have performed had it
been calculated in the past. Because the Reference Asset is of recent origin and limited actual historical performance data exists
with respect to it, your investment in the Notes may involve a greater risk than investing in securities linked to one or more
indices with a more established record of performance.
Changes that affect the Reference
Asset will affect the market value of the Notes and the amount you will receive at maturity.
The policies of the reference sponsor concerning
additions, deletions and substitutions of the constituents comprising the Reference Asset and the manner in which the reference
sponsor takes account of certain changes affecting those constituents may affect the level of the Reference Asset. The policies
of the reference sponsor with respect to the calculation of the Reference Asset could also affect the level of the Reference Asset.
The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset. Any such actions could affect
the value of and return on the Notes.
The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.
The Notes are not deposit liabilities or
other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the amounts owed to you under
the terms of the Notes.
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.
Lack of
liquidity.
The Notes will not be listed on any securities
exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.
Potential conflicts.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a holder of
the Notes in taking any action that might affect the value of your Notes.
Tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations”
below and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
Illustrative
Examples
The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the level of the Reference Asset relative to its Initial Level. We cannot predict the Average Closing
Level 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 these examples as an indication or assurance of the expected performance of the Reference Asset.
With respect to the Notes, the Payment at Maturity may be less than the amount that you would have received from a conventional
debt security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table and examples below
have been rounded for ease of analysis.
The table below illustrates the Payment
at Maturity on a $1,000 investment in Notes for a hypothetical range of Reference Returns from -100% to +100%. The following results
are based solely on the assumptions outlined below. The “Hypothetical Total Return” below is the number, expressed
as a percentage, that results from comparing the Payment at Maturity per $1,000 principal amount of Notes to $1,000. The potential
returns described here assume that your Notes are held to maturity. You should consider carefully whether the Notes are suitable
to your investment goals. You should not take the below illustration as an indication or assurance of the expected performance
of the Reference Asset or return of the Notes.
The following table and examples assume the following:
|
}
|
Principal Amount:
|
$1,000
|
|
|
|
|
|
}
|
Initial Level:
|
4,726.25
|
|
Hypothetical Average Closing Level
|
Hypothetical
Reference Return
|
Hypothetical
Total Return
|
|
9,452.50
|
100.00%
|
100.00%
|
|
8,979.88
|
90.00%
|
90.00%
|
|
8,507.25
|
80.00%
|
80.00%
|
|
8,034.63
|
70.00%
|
70.00%
|
|
7,562.00
|
60.00%
|
60.00%
|
|
7,089.38
|
50.00%
|
50.00%
|
|
6,616.75
|
40.00%
|
40.00%
|
|
6,144.13
|
30.00%
|
30.00%
|
|
5,671.50
|
20.00%
|
20.00%
|
|
5,435.19
|
15.00%
|
15.00%
|
|
5,198.88
|
10.00%
|
10.00%
|
|
4,962.56
|
5.00%
|
5.00%
|
|
4,820.78
|
2.00%
|
2.00%
|
|
4,773.51
|
1.00%
|
1.00%
|
|
4,726.25
|
0.00%
|
0.00%
|
|
4,678.99
|
-1.00%
|
0.00%
|
|
4,631.73
|
-2.00%
|
0.00%
|
|
4,489.94
|
-5.00%
|
0.00%
|
|
4,253.63
|
-10.00%
|
0.00%
|
|
4,017.31
|
-15.00%
|
0.00%
|
|
3,781.00
|
-20.00%
|
0.00%
|
|
3,308.38
|
-30.00%
|
0.00%
|
|
2,835.75
|
-40.00%
|
0.00%
|
|
2,363.13
|
-50.00%
|
0.00%
|
|
1,890.50
|
-60.00%
|
0.00%
|
|
1,417.88
|
-70.00%
|
0.00%
|
|
945.25
|
-80.00%
|
0.00%
|
|
472.63
|
-90.00%
|
0.00%
|
|
000.00
|
-100.00%
|
0.00%
|
The following examples indicate how the
Payment at Maturity would be calculated with respect to a hypothetical $1,000 investment in the Notes.
Example 1: The Reference Asset increases
over the term of the Notes.
|
OBSERVATION DATES
|
OFFICIAL CLOSING LEVELS
|
|
INITIAL LEVEL:
|
4,726.25
|
|
Quarter 1
|
4,746.75
|
|
Quarter 2
|
4,767.25
|
|
Quarter 3
|
4,787.75
|
|
Quarter 4
|
4,808.25
|
|
Quarter 5
|
4,828.75
|
|
Quarter 6
|
4,849.25
|
|
Quarter 7
|
4,869.75
|
|
Quarter 8
|
4,890.25
|
|
Quarter 9
|
4,910.75
|
|
Quarter 10
|
4,931.25
|
|
Quarter 11
|
4,951.75
|
|
Quarter 12
|
4,972.25
|
|
Quarter 13
|
4,992.75
|
|
Quarter 14
|
5,013.25
|
|
Quarter 15
|
5,033.75
|
|
Quarter 16
|
5,054.25
|
|
Quarter 17
|
5,074.75
|
|
Quarter 18
|
5,095.25
|
|
Quarter 19
|
5,115.75
|
|
Quarter 20
|
5,136.25
|
|
Quarter 21
|
5,156.75
|
|
Quarter 22
|
5,177.25
|
|
Quarter 23
|
5,197.75
|
|
Quarter 24 (Final Valuation Date)
|
5,218.25
|
|
Average Closing Level:
|
4,982.50
|
|
Reference Return:
|
5.42%
|
|
Total Return:
|
5.42%
|
In this example, the total return you would
receive is 5.42%.
If the Reference Return is greater than
zero, the Payment at Maturity per $1,000 Principal Amount of Notes will equal $1,000 + ($1,000 x Reference Return). Accordingly,
the Payment at Maturity in this example would equal $1,000 plus $1,000 times 5.42%, or $1,054.20.
Example 1 shows that where the Reference
Return is greater than zero, the investor will be paid a return based on the Reference Return.
In addition, Example 1 shows that the Average
Closing Level may be less than the Official Closing Level on the Final Valuation Date. In that case the Payment at Maturity does
not reflect the full performance of the Reference Asset during the term of the Notes (
i.e.
, does not reflect the full performance
measured as the difference between the Initial Level and the Official Closing Level on the Final Valuation Date).
Example 2: The Reference Asset declines
over the term of the Notes.
|
OBSERVATION DATES
|
OFFICIAL CLOSING LEVELS
|
|
INITIAL LEVEL:
|
4,726.25
|
|
Quarter 1
|
4,705.75
|
|
Quarter 2
|
4,685.25
|
|
Quarter 3
|
4,664.75
|
|
Quarter 4
|
4,644.25
|
|
Quarter 5
|
4,623.75
|
|
Quarter 6
|
4,603.25
|
|
Quarter 7
|
4,582.75
|
|
Quarter 8
|
4,562.25
|
|
Quarter 9
|
4,541.75
|
|
Quarter 10
|
4,521.25
|
|
Quarter 11
|
4,500.75
|
|
Quarter 12
|
4,480.25
|
|
Quarter 13
|
4,459.75
|
|
Quarter 14
|
4,439.25
|
|
Quarter 15
|
4,418.75
|
|
Quarter 16
|
4,398.25
|
|
Quarter 17
|
4,377.75
|
|
Quarter 18
|
4,357.25
|
|
Quarter 19
|
4,336.75
|
|
Quarter 20
|
4,316.25
|
|
Quarter 21
|
4,295.75
|
|
Quarter 22
|
4,275.25
|
|
Quarter 23
|
4,254.75
|
|
Quarter 24 (Final Valuation Date)
|
4,234.25
|
|
Average Closing Level:
|
4,470.00
|
|
Reference Return:
|
-5.42%
|
|
Total Return:
|
0.00%
|
In this example, the total return you would
receive is 0.00%.
If the Reference Return is less than or
equal to zero, the Payment at Maturity per $1,000 Principal Amount of Notes will be equal to the $1,000 Principal Amount.
|
THE S&P 500
®
LOW VOLATILITY INDEX (“SP5LVI”)
|
Description of the Reference Asset
The
SP5LVI measures the performance of the 100 least volatile stocks over the previous year in the S&P 500
®
Index.
It is designed to serve as a benchmark for low volatility strategies in the U.S. stock market
.
As of the February 2013
rebalancing, the sector weightings in the SP5LVI were as follows: Consumer Discretionary: 2.78%, Consumer Staples: 27.31%, Energy:
1.80%, Financials: 10.65%, Healthcare: 11.58%, Industrials: 6.32%, Information Technology: 3.61%, Materials: 2.55%, Telecommunication
Services: 2.76% and Utilities: 30.64%.
For more information about the SP5LVI,
see “The S&P 500
Low Volatility Index” on page S-18 of the accompanying Equity Index Underlying Supplement.
|
Hypothetical and Actual Historical
Performance of the SP5LVI
The following graph sets forth the hypothetical
back-tested performance of the SP5LVI from February 21, 2008 through April 19, 2011 and the historical performance of the SP5LVI
from April 20, 2011 to February 21, 2013. The SP5LVI has only been calculated since April 20, 2011. The hypothetical back-tested
performance of the SP5LVI set forth in the following graph was calculated using the selection criteria and methodology employed
to calculate the SP5LVI since its inception on April 20, 2011. However, the hypothetical back-tested SP5LVI data only reflects
the application of that methodology in hindsight, since the SP5LVI was not actually calculated and published prior to April 20,
2011. The hypothetical back-tested SP5LVI data cannot completely account for the impact of financial risk in actual trading. There
are numerous factors related to the equities markets in general that cannot be, and have not been, accounted for in the hypothetical
back-tested SP5LVI data, all of which can affect actual performance. Consequently, you should not rely on that data as a reflection
of what the actual SP5LVI performance would have been had the index been in existence or in forecasting future SP5LVI performance.
Because the SP5LVI is a price return index, and not a total return index, the data presented below does not reflect the payment
of dividends. The graph below also reflects the actual closing levels from April 20, 2011 to February 21, 2013 that we obtained
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 closing level for
the SP5LVI on February 21, 2013 was 4,726.25. The hypothetical and actual performance is not necessarily an indication of future
results.
Source: Bloomberg Professional
®
service
|
|
The hypothetical and actual historical levels of the SP5LVI should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SP5LVI on any Observation Date.
|
|
The tables below are a comparison of the 1997 through 2012 annual returns and the 1,3,5,10,15 and 20 year annualized returns and standard deviations for the S&P 500
®
Low Volatility Index and the S&P 500
®
Index. The SP5LVI has only been calculated since April 20, 2011. Accordingly, while the hypothetical tables set forth below are based on the selection criteria and methodology described herein and in the Equity Index Underlying Supplement, the SP5LVI was not actually calculated and published prior to April 20, 2011. The hypothetical and actual historical performance is not necessarily an indication of future results. Because the SP5LVI is a price return index, and not a total return index, the return data presented below does not reflect the payment of dividends.
|
|
Annual Returns¹
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
1997
|
26.27%
|
31.01%
|
|
1998
|
4.80%
|
26.67%
|
|
1999
|
-10.72%
|
19.53%
|
|
2000
|
20.68%
|
-10.14%
|
|
2001
|
1.54%
|
-13.04%
|
|
2002
|
-9.83%
|
-23.37%
|
|
2003
|
19.43%
|
26.38%
|
|
2004
|
14.38%
|
8.99%
|
|
2005
|
-0.67%
|
3.00%
|
|
2006
|
16.49%
|
13.62%
|
|
2007
|
-2.16%
|
3.53%
|
|
2008
|
-23.61%
|
-38.49%
|
|
2009
|
15.52%
|
23.45%
|
|
2010
|
9.79%
|
12.78%
|
|
2011
|
10.88%
|
0.00%
|
|
2012
|
6.70%
|
13.41%
|
¹ Annual Return is a return an investment provides over
a period of one year, expressed as (a) the difference between ending level and starting level, divided by (b) starting level.
|
Annualized Return² Data as of December 31, 2012
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
1 Yr.
|
6.70%
|
13.41%
|
|
3 Yrs.
|
9.11%
|
8.55%
|
|
5 Yrs.
|
2.77%
|
-0.58%
|
|
10 Yrs.
|
5.89%
|
4.95%
|
|
15 Yrs.
|
4.12%
|
2.60%
|
|
20 Yrs.
|
6.45%
|
6.11%
|
² Annualized return is a return an investment provides
over a period of time, representing a geometric average of annual returns over that period. The geometric average of annual returns
represents the average rate per year on an investment that is compounded over a period of several years.
|
Annualized Standard Deviation³
|
|
|
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
|
1 Yr.
|
6.03%
|
10.56%
|
|
|
3 Yrs.
|
8.86%
|
15.34%
|
|
|
5 Yrs.
|
12.65%
|
19.06%
|
|
|
10 Yrs.
|
10.16%
|
14.78%
|
|
|
15 Yrs.
|
11.78%
|
16.24%
|
|
|
20 Yrs.
|
11.27%
|
15.11%
|
|
³ Standard Deviation is a statistical measure of the distance
a quantity is likely to lie from its average value. In finance, standard deviation is applied to the annual rate of return of an
investment, to measure the investment's volatility, or “risk”.
Sector
Weightings
The table below shows the current weight,
average weight and maximum weight of each industry sector included in the SP5LVI. The SP5LVI has only been calculated since April
20, 2011. Accordingly, while the hypothetical tables set forth below are based on the selection criteria and methodology described
herein and in the “Equity Index Underlying Supplement”, the SP5LVI was not actually calculated and published prior
to April 20, 2011. No assurance can be given that these weightings will not change.
The
hypothetical back-tested weights of the SP5LVI set forth above were calculated using the selection criteria and methodology employed
to calculate the SP5LVI since its inception on April 20, 2011.
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
®
Low Volatility 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 Notes 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.
events
of default and acceleration
If
the Notes have become immediately due and payable following an event of default (as defined in the accompanying prospectus) with
respect to the Notes, you will not be entitled to any additional payments, other than your Principal Amount, with respect to the
Notes. The accelerated Maturity Date will be the third business day following the date of acceleration, and on such accelerated
Maturity Date, you will be entitled to receive $1,000 per $1,000 Principal Amount of Notes you hold.
For
more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in
the prospectus.
Supplemental
Plan of Distribution (Conflicts of Interest)
We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities
(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page
of this pricing supplement, for distribution to other registered broker-dealers, or will offer the Notes directly to investors.
HSBC Securities (USA) Inc. will offer the Notes at the price to public set forth on the cover page of this pricing supplement.
HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 3.75% per $1,000 Principal Amount of Notes
in connection with the distribution of the Notes to other registered broker-dealers.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the
Notes.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use this pricing supplement in market-making transactions after the initial sale of
the Notes, but is under no obligation to do so and may discontinue any market-making activities at any time without notice.
See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-49 in the prospectus supplement.
U.S.
Federal Income Tax Considerations
You should carefully
consider the matters set forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. The
following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition
of the Notes. This summary supplements the section “U.S. Federal Income Tax Considerations” in the accompanying
prospectus supplement and supersedes it to the extent inconsistent therewith.
There are no statutory
provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes
of securities with terms that are substantially the same as those of the Notes. We intend to treat the Notes as contingent
payment debt instruments for U.S. federal income tax purposes. Pursuant to the terms of the Notes, you agree to
treat
the Notes as contingent payment debt instruments for all U.S. federal income tax purposes and, in the opinion of Morrison &
Foerster LLP, special U.S. tax counsel to us, it is reasonable to treat the Notes as contingent payment debt instruments. Assuming
the Notes are treated as contingent payment debt instruments, a U.S. holder will be required to include original issue discount
(“OID”) in gross income each year, even though no payments will be made on the Notes until maturity.
Based on the factors
described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of the Notes
as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments,” we have determined that
the comparable yield of the Notes, solely for U.S. federal income tax purposes, will be 2.25% per annum (compounded annually).
Further, based upon the method described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income
Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments”
and based upon the comparable yield, we have determined that the projected payment schedule for Notes that have a Principal Amount
of $1,000 and an issue price of $1,000 consists of a single payment of $1,142.90 at maturity.
Based upon the comparable
yield, a U.S. holder that pays taxes on a calendar year basis, buys a Note for $1,000, and holds the Note until maturity will be
required to pay taxes on the following amounts of ordinary income in respect of the Notes in each year:
|
Year
|
OID
|
|
2013
|
$18.99
|
|
2014
|
$22.93
|
|
2015
|
$23.44
|
|
2016
|
$23.97
|
|
2017
|
$24.51
|
|
2018
|
$25.06
|
|
2019
|
$4.00
|
However, the ordinary
income reported in the taxable year the Notes mature will be adjusted to reflect the actual payment received at maturity. U.S.
holders may also obtain the comparable yield and projected payment schedule as determined by us by submitting a written request
to: Structured Equity Derivatives – Structuring HSBC Bank USA, National Association, 452 Fifth Avenue, 3rd Floor,
New York, NY 10018. A U.S. holder is generally bound by the comparable yield and the projected payment schedule established
by us for the Notes. However, if a U.S. holder believes that the projected payment schedule is unreasonable, a U.S.
holder must determine its own projected payment schedule and explicitly disclose the use of such schedule and the reason the holder
believes the projected payment schedule is unreasonable on its timely filed U.S. federal income tax return for the taxable year
in which it acquires the Notes.
The comparable yield
and projected payment schedule are not provided for any purpose other than the determination of a U.S. holder’s interest
accruals for U.S. federal income tax purposes and do not constitute a projection or representation by us regarding the actual yield
on a Note. We do not make any representation as to what such actual yield will be.
Because there are no
statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income
tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and treatments
are possible. As a result, the timing and character of income in respect of the Notes might differ from the treatment described
above. You should carefully consider the discussion of all potential tax consequences as set forth in “U.S. Federal
Income Tax Considerations” in the accompanying prospectus supplement.
We will not attempt to
ascertain whether any of the entities whose stock is included in, 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.
Withholding
and reporting requirements under the legislation enacted on March 18, 2010 (as discussed beginning on page S-48 of the prospectus
supplement) will generally apply to payments made after December 31, 2013.
Additionally,
withholding due to any payment being treated as a “dividend equivalent” (as discussed beginning on page S-47 of the
prospectus supplement) will begin no earlier than January 1, 2014. However, this withholding tax will not be imposed on payments
pursuant to obligations outstanding on January 1, 2014. Holders are urged to consult with their own tax advisors regarding the
possible implications of this recently enacted legislation on their investment in the Notes.
PROSPECTIVE PURCHASERS
OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE,
OWNERSHIP AND DISPOSITION OF NOTES.
VALIDITY
OF THE NOTES
In the opinion of Morrison
& Foerster LLP, as counsel to the Issuer, when the Notes offered by this pricing supplement have been executed and delivered
by the Issuer and authenticated by the trustee pursuant to the Senior Indenture referred to in the prospectus supplement dated
March 22, 2012, and issued and paid for as contemplated herein, such Notes will be valid, binding and enforceable obligations of
the Issuer, entitled to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting
creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is
limited to the laws of the State of New York, the Maryland General Corporation Law (including the statutory provisions, all applicable
provisions of the Maryland Constitution and the reported judicial decisions interpreting the foregoing) and the federal laws of
the United States of America. This opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and other
sources as to certain factual matters, all as stated in the legal opinion dated July 27, 2012, which has been filed as Exhibit
5.1 to the Issuer’s Current Report on Form 8-K dated July 27, 2012.
|
|
|
|
|
|
TABLE OF CONTENTS
|
|
You
should only rely on the information contained in this pricing supplement, the accompanying Equity Index Underlying Supplement,
prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation
to you that is not contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. Thispricing supplement,
the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these Notes,
and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted.
You should not, under any circumstances, assume that the information in this pricing supplement, the accompanying Equity Index
Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
HSBC USA Inc.
$742,000 Averaging
Notes
February 21, 2013
PRICING SUPPLEMENT
|
|
Pricing Supplement
|
|
|
General
|
PS-3
|
|
|
Payment at Maturity
|
PS-3
|
|
|
Investor Suitability
|
PS-4
|
|
|
Risk Factors
|
PS-5
|
|
|
Illustrative Examples
|
PS-7
|
|
|
The S&P 500
®
Low Volatility Index
|
PS-10
|
|
|
Events of Default and Acceleration
|
PS-13
|
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
PS-13
|
|
|
U.S. Federal Income Tax Considerations
|
PS-14
|
|
|
Validity of the Notes
|
PS-15
|
|
|
|
|
|
|
Equity Index Underlying Supplement
|
|
|
Risk Factors
|
S-1
|
|
|
The S&P 500
®
Index
|
S-6
|
|
|
The S&P 100
®
Index
|
S-10
|
|
|
The S&P MidCap 400
®
Index
|
S-14
|
|
|
The S&P 500 Low Volatility Index
|
S-18
|
|
|
The Russell 2000
®
Index
|
S-21
|
|
|
The Dow Jones Industrial Average
SM
|
S-25
|
|
|
The Hang Seng China Enterprises Index
®
|
S-27
|
|
|
The Hang Seng
®
Index
|
S-30
|
|
|
The Korea Stock Price Index 200
|
S-33
|
|
|
MSCI Indices
|
S-36
|
|
|
The EURO STOXX 50
®
Index
|
S-40
|
|
|
The PHLX Housing Sector
SM
Index
|
S-42
|
|
|
The TOPIX
®
Index
|
S-46
|
|
|
The NASDAQ-100 Index
®
|
S-49
|
|
|
S&P BRIC 40 Index
|
S-53
|
|
|
The Nikkei 225 Index
|
S-56
|
|
|
The FTSE™ 100 Index
|
S-58
|
|
|
Other Components
|
S-60
|
|
|
Additional Terms of the Notes
|
S-60
|
|
|
|
|
|
|
Prospectus Supplement
|
|
|
Risk Factors
|
S-3
|
|
|
Risks Relating to Our Business
|
S-3
|
|
|
Risks Relating to All Note Issuances
|
S-3
|
|
|
Pricing Supplement
|
S-7
|
|
|
Description of Notes
|
S-8
|
|
|
Use of Proceeds and Hedging
|
S-30
|
|
|
Certain ERISA Considerations
|
S-30
|
|
|
U.S. Federal Income Tax Considerations
|
S-32
|
|
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
S-49
|
|
|
Prospectus
|
|
|
About this Prospectus
|
1
|
|
|
Risk Factors
|
1
|
|
|
Where You Can Find More Information
|
1
|
|
|
Special Note Regarding Forward-Looking Statements
|
2
|
|
|
HSBC USA Inc.
|
3
|
|
|
Use of Proceeds
|
3
|
|
|
Description of Debt Securities
|
3
|
|
|
Description of Preferred Stock
|
15
|
|
|
Description of Warrants
|
21
|
|
|
Description of Purchase Contracts
|
25
|
|
|
Description of Units
|
28
|
|
|
Book-Entry Procedures
|
30
|
|
|
Limitations on Issuances in Bearer Form
|
35
|
|
|
U.S. Federal Income Tax Considerations Relating to Debt Securities
|
35
|
|
|
Plan of Distribution (Conflicts of Interest)
|
51
|
|
|
Notice to Canadian Investors
|
53
|
|
|
Notice to EEA Investors
|
58
|
|
|
Certain ERISA Matters
|
59
|
|
|
Legal Opinions
|
60
|
|
|
Experts
|
60
|
|
|
Granite Falls Energy (CE) (USOTC:GFGY)
Gráfica de Acción Histórica
De Nov 2024 a Dic 2024
Granite Falls Energy (CE) (USOTC:GFGY)
Gráfica de Acción Histórica
De Dic 2023 a Dic 2024
