FWP 1 v176070_fwp.htm FREE WRITING PROSPECTUS Unassociated Document
Filed Pursuant to Rule 433
Registration No. 333-158385
March 2, 2010
FREE WRITING PROSPECTUS
(To Prospectus dated April 2, 2009, and
Prospectus Supplement dated April 9, 2009
Product Supplement dated April 9, 2009, and
Underlying Supplement No. 1 dated January 8, 2010)

 
HSBC USA Inc.
Lookback Allocation Notes
 
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This Free Writing Prospectus (“FWP”) relates to:
 
 
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Lookback Allocation Notes linked to a Basket of Indices comprised of The S&P 500® Index (“SPX”), The Russell 2000® Index (“RTY”) and The S&P MidCap 400® Index (“MID”)
 
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3 year term
 
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Notes allocate pre-determined weightings to each Index Return at maturity based upon which Index Returns are the highest
 
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(1x) exposure to any positive or negative Allocated Return
 
The Lookback Allocation Notes (each a “Note” and collectively the “Notes") offered hereunder 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 of the United States or any other jurisdiction and include investment risks including possible loss of the principal amount invested due to the credit risk of HSBC USA Inc.
 
The Notes will not be listed on any U.S. securities exchange or automated quotation system.
 
Neither the Securities and Exchange Commission 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 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. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.
 
Investment in the Notes involves certain risks. You should refer to “Risk Factors” beginning on page FWP-8 of this document, page PS-4 of the accompanying product supplement, page S-3 of the accompanying prospectus supplement, page US-1 of the accompanying underlying supplement no. 1.
 
 
Price to Public
Fees and Commissions1
Proceeds to Issuer
Per Note/total
$1,000
    
       
1 HSBC USA Inc. or one of our affiliates may pay varying discounts and commissions of between 0.00% and 1.20% per $1,000 principal amount of Notes in connection with the distribution of the Notes, which may consist of a combination of selling concessions of up to 0.50% and referral fees of up to 1.20%.  See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.
 

 
 
 

HSBC USA Inc.
 
Lookback Allocation Notes
Linked to the S&P 500® Index, the Russell 2000® Index and the S&P MidCap 400® Index
 
Indices comprising the Reference Asset (each an “Index”)
Market Exposure
Ticker
The S&P 500® Index
large-cap U.S. equities
SPX
The Russell 2000® Index
small-cap U.S. equities
RTY
The S&P MidCap 400® Index
mid-cap U.S. equities
MID
 
Indicative Terms*
Principal Amount
$1,000 per Note
Term
3 years
Exposure
100% (1x) exposure to any positive or negative Allocated Return
Payment at maturity per Note
You will receive:
$1,000 + [$1,000 × Allocated Return]
Allocated Return
(Best Index Return × 60%) +
(Second Best Index Return × 30%) + (Lowest Index Return × 10%)
Determination of Index Weightings
At the Final Valuation Date the Index Return for each Index will be calculated and ranked according to level as follows: the highest Index Return (the “Best Index Return”), the next highest Index Return (the “Second Best Index Return”) and the lowest Index Return (the “Lowest Index Return”).  See page FWP-4.
Index Return
Final Index Level – Initial Index Level
               Initial Index Level
Initial Index Level
See page FWP-4
Final Index Level
See page FWP-4
Pricing Date
March 26, 2010
Trade Date
March 26, 2010
Settlement Date
March 31, 2010
Final Valuation Date
March 25, 2013
Maturity Date
March 28, 2013
CUSIP
4042K0T21
 
* As more fully described on page FWP-4.
 
The Notes
 
The Notes are designed for investors who believe certain Indices in the Reference Asset will outperform the other Indices, but are uncertain as to which Indices will provide the best returns over the term of the Notes.  Therefore, the Notes will allocate predetermined weightings to each Index Return at maturity based upon which Index Returns are the highest.
 
If the Allocated Return is positive at the Final Valuation Date, you will realize 100% (1x) of the Allocated Return. If the Allocated Return is negative, you will lose 1% of your investment for every 1% the Allocated Return is below zero.
 
The offering period is through March 26, 2010
 


 
FWP-2
 

Payoff Examples
 
The following hypothetical examples demonstrate how Allocated Returns are derived from applying the relevant weightings to the Best Index Return, Second Best Index Return, and the Lowest Index Returns.

Example 1
    
 
Return
Allocated Index Weighting
SPX
10.00%
 10%
RTY
35.00%
 60%
MID
26.67%
 30%
     
Allocated Return is: 30.00%
Calculated as: (35% × 60%) + (26.67% × 30%) + (10% × 10%)


Example 2
    
 
Return
Allocated Index Weighting
SPX
-25.00%
 60%
RTY
-30.00%
 30%
MID
-60.00%
 10%
     
Allocated Return is: -30.00%
Calculated as: (-25% × 60%) + (-30.00% × 30%) + (-60% × 10%)
 
Information about the Indices in the Reference Asset
 
S&P 500® Index
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 2/25/10 were: Information Technology, Financials, Health Care, Consumer Staples and Energy.
Russell 2000® Index
The RTY is designed to track the performance of the small-capitalization segment of the U.S. equity market. It consists of the smallest 2,000 companies included in the Russell 3000® Index, which is composed of the 3,000 largest U.S. companies as determined by market capitalization.
 
The top 5 industry groups by market capitalization as of 2/25/10 were: Financial Services, Technology, Consumer Discretionary, Health Care, and Producer Durables.
S&P MidCap 400® Index
The MID is a capitalization-weighted index intended to provide a performance benchmark for the medium capitalization segment of the U.S. equity markets. It tracks the stock price movement of 400 companies with mid-sized market capitalizations, primarily ranging from $1 billion to $4 billion.
 
The top 5 industry groups by market capitalization as of 2/25/10 were: Financials, Information Technology, Industrials, Consumer Discretionary and Health Care.

The graphs above illustrate the 5-yr month-end performance of each Index in the Reference Asset through February 26, 2010.  Past performance is not necessarily an indication of future results.  For further information on each Index please see “The S&P 500® Index” and “The Russell 2000® Index” on FWP-12 and in the accompanying underlying supplement no. 1 and  “The S&P MidCap 400® Index”” on page FWP-13. We have derived all disclosure regarding the Indices in the Reference Asset from publicly available information. Neither HSBC USA Inc. or any of its affiliates assumes any responsibilities for the adequacy or accuracy of information about the Reference Asset.

 
FWP-3
 

HSBC USA Inc.
Lookback Allocation Notes
Linked to a Basket of Indices Comprised of the S&P 500® Index (“SPX”),  the Russell 2000® Index (“RTY”), and  the S&P Midcap 400® Index (“MID”)
 
All references to “Enhanced Market Participation Notes” in the accompanying product supplement shall refer to these Lookback Allocation Notes. Each offering of Notes will have the respective terms described in this free writing prospectus and the accompanying product supplement, prospectus supplement, prospectus and underlying supplement.  If the terms of the Notes offered hereby are inconsistent with those described in the accompanying product supplement, 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 Notes and, if the Allocated Return is negative, lose up to 100% of your principal.
 
This free writing prospectus relates to one offering of Notes, linked to the performance of a basket comprised of three indices (each an “Index” and such basket, 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 offerings of Notes:
   
Issuer:
HSBC USA Inc.
Issuer Rating:
AA- (S&P), A1 (Moody’s), AA (Fitch)†
Principal Amount:
$1,000 per Note
Reference Asset:
The basket comprised of the SPX, RTY and MID (each an “Index” and collectively, the “Indices”).
Index Weightings:
The weighting for each Index in the Reference Asset will be determined by the calculation agent on the Final Valuation Date based upon the performance of each Index over the term of the Notes with the Indices with the best performance assigned a greater weighting.  For more information on the weighting of each Index see Determination of Index Weightings” below.
Determination of Index Weightings:
At the Final Valuation Date the Index Return will be calculated for each Index.  The Index Returns will be then ranked according to level by the calculation agent as follows: the highest Index Return (the “Best Index Return”), the next highest Index Return (the “Second Best Index Return”) and the lowest Index Return (the “Lowest Index Return”).  As under “Allocated Return”, below, the Best Index Return will be weighted at 60%, the Second Best Index Return will be weighted at 30% and the Lowest Index Return will be weighted 10%.   Should Indices have equal returns, the calculation agent will determine the ranking without detriment to the investor.  This method of allocation ensures the Index with the greatest Index Return will have the greatest weighting and the Index with the lowest Index Return will have the lowest weighting.  Generally this will result in a greater Allocated Return than if the Reference Asset were equally weighted between the Indices.  Despite this, the Best Index Return may not be positive or may not be large enough to counterbalance negative Index Returns from one or both of the other two Indices. In such a case, the allocation of the weightings of the Indices will not prevent you from losing all or some of your investment.
Trade Date:
March 26, 2010
Pricing Date:
March 26, 2010
Original Issue Date:
March 31, 2010
Final Valuation Date:
March 25, 2013.  The Final Valuation Date is subject to adjustment as described under “Additional Terms of the Notes” in the accompanying underlying supplement.
Maturity Date:
3 business days after the Final Valuation Date, which is expected to be March 28, 2013.  The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes” in the accompanying underlying supplement.
Payment at Maturity:
On the Maturity Date, for each Note, we will pay you the Final Settlement Value.
Final Settlement Value:
You will receive a cash payment on the maturity date, per $1,000 principal amount of Notes, equal to:
 
$1,000 +[$1,000 × (Allocated Return)]
 
If the Allocated Return is less than zero, you will lose 1% of the principal amount of your Notes for each percentage point that the Allocated Return is below zero.  For example, if the Allocated Return is -30%, you will suffer a 30% loss and receive 70% of the principal amount.  If the Allocated Return is less than zero, you may lose up to 100% of your investment.
Allocated Return:
Shall equal the weighted return of the Indices, with the allocation of the index weightings determined as described above in “Determination of Index Weightings” and calculated as follows:
 
[(Best Index Return × 60%) + (Second Best Index Return × 30%) + (Lowest Index Return × 10%)]
Index Return:
With respect to each Index, the quotient, expressed as a percentage, determined by the calculation agent as follows:

 
FWP-4
 


 
Final Index Level – Initial Index Level
               Initial Index Level
Initial Index Level:
With respect to each Index, the Official Closing Level of such Index on the Pricing Date.
Final Index Level:
With respect to each Index, the Official Closing Level of such Index on the Final Valuation Date.
Official Closing Level:
With respect to each Index, the closing level, of such Index 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 MID, “MID <Equity>”) or, for each Index, any successor page on 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:
4042K0T21
Underwriting discounts and commissions per Note / total:
We or one of our affiliates may pay varying discounts and commissions of between 0.00% and 1.20% per $1,000 principal amount of Notes in connection with the distribution of the Notes, which may consist of a combination of selling concessions of up to 0.50% and referral fees of up to 1.20%.  See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.
Proceeds to HSBC USA Inc. per Note / total:
The proceeds to us will be determined on the Pricing Date and will depend on the underwriting discounts and commissions and the additional fees we will pay.

† A credit rating reflects the creditworthiness of HSBC USA Inc. and is not a recommendation to buy, sell or hold Notes, and it may be subject to revision or withdrawal at any time by the assigning rating organization. The Notes themselves have not been independently rated. Each rating should be evaluated independently of any other rating.

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.  We may use this free writing prospectus in the initial sale of Notes.  In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use the pricing supplement related to this free writing prospectus in market-making transactions in any Notes after their initial sale.  Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement related to this free writing prospectus is being used in a market-making transaction.  See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.
 

 
FWP-5
 

GENERAL
 
This free writing prospectus relates to one Note offering linked to the Reference Asset identified on the cover page.  The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. linked to a single Reference Asset.  We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part.  Although each offering of 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 such Reference Asset, Indices comprising the Reference Asset or any component security included in such Indices or as to the suitability of an investment in the Notes.
 
You should read this document together with the prospectus dated April 2, 2009, the prospectus supplement dated April 9, 2009, the product supplement dated April 9, 2009 and underlying supplement no. 1 dated January 8, 2010.  All references to “Enhanced Market Participation Notes” in the accompanying product supplement shall refer to these Lookback Allocation Notes. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying product supplement, 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 PS-4 of the product supplement, page S-3 of the prospectus supplement and page US1-1 of underlying supplement no. 1, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers 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, a prospectus supplement, product supplement and an underlying supplement) with the US Securities and Exchange Commission (“SEC”) for the offering to which this free writing prospectus relates.  Before you invest, you should read the prospectus and prospectus 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 product 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 Notes.  You may revoke your offer to purchase the Notes 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 Notes prior to their issuance.  In the event of any material changes to the terms of the Notes, we will notify you.
 
PAYMENT AT MATURITY
 
On the maturity date, for each Note you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:
 
You will receive a cash payment on the maturity date, per $1,000 principal amount of Notes, equal to:
 
$1,000 + [$1,000 × (Allocated Return)]
 
If the Allocated Return is less than zero, you will lose 1% of the principal amount of your Notes for each percentage point that the Allocated Return is below zero.  For example, if the Allocated Return is -30%, you will suffer a 30% loss and receive 70% of the principal amount.  You should be aware that if the Allocated Return is less than zero, you may lose up to 100% of your investment.
 
Interest
 
The Notes will not pay periodic interest.
 
Calculation Agent
 
We or one of our affiliates will act as calculation agent with respect to the Notes.
 

 
FWP-6
 

Trustee
 
Notwithstanding anything contained in the accompanying prospectus supplement or product supplement to the contrary, the Notes will be issued under the senior indenture dated March 31, 2009, between HSBC USA Inc., as Issuer, and Wells Fargo Bank, National Association, as trustee.  Such indenture will have substantially the same terms as the indenture described in the accompanying prospectus supplement.
 
Paying Agent
 
Notwithstanding anything contained in the accompanying prospectus supplement or product supplement to the contrary, HSBC Bank USA, N.A. will act as paying agent with respect to the Notes pursuant to a Paying Agent and Securities Registrar Agreement dated June 1, 2009, between HSBC USA Inc. and HSBC Bank USA, N.A.
 
Reference Sponsor
 
With respect to the SPX and MID, Standard and Poor’s Financial Services LLC (“S&P”), a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor.  With respect to RTY, the Russell Investment Group is the reference sponsor.
 
INVESTOR SUITABILITY
 
The Notes may be suitable for you if:
 
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You seek an investment with a return linked to the potential positive performance of the Reference Asset and you believe the value of the Reference Asset will increase over the term of the Notes.
 
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You believe certain Indices in the Reference Asset will outperform the other Indices but are uncertain as to which Indices in the Reference Asset will provide the best returns over the term of the Notes.  Therefore you may prefer an investment that allocates predetermined weightings to each Index Return at maturity based upon which Index Return is the highest.
 
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You are willing to make an investment that is exposed to the negative Allocated Return on a 1-to-1 basis for each percentage point that the Allocated Return is less than zero.
 
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You are willing to forego dividends or other distributions paid to holders of stocks comprising the Indices in the Reference Asset.
 
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You do not seek current income from your investment.
 
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You do not seek an investment for which there is an active secondary market.
 
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You are willing to hold the Notes to maturity.
 
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You are comfortable with the creditworthiness of HSBC, as issuer of the Notes.
 
The Notes may not be suitable for you if:
 
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You believe the Allocated Return will be negative on the Final Valuation Date or that the Allocated Return will not be sufficiently positive to provide you with your desired return.
 
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You have strong views regarding the anticipated returns of the Indices in the Reference Asset and therefore may prefer an investment with predetermined weightings that better maximize what you anticipate the returns on the Indices to be.
 
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You are unwilling to make an investment that is exposed to the negative Allocated Return on a 1-to-1 basis for each percentage point that the Allocated Return is below zero.
 
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You seek an investment that provides some level of principal protection.
 
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities issued by HSBC or another issuer with a similar credit rating.
 
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You prefer to receive the dividends or other distributions paid on any stocks comprising the Indices in the Reference Asset.
 
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You seek current income from your investment.
 
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You seek an investment for which there will be an active secondary market.
 
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You are unable or unwilling to hold the Notes to maturity.
 
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You are not willing or are unable to assume the credit risk associated with HSBC, as issuer of the Notes.

 
FWP-7
 

RISK FACTORS
 
We urge you to read the section “Risk Factors” on page S-3 in the accompanying prospectus supplement, on page PS-4 of the accompanying product supplement and on page US1-1 of underlying supplement no. 1.  Investing in the Notes is not equivalent to investing directly in any of the stocks comprising the Indices in 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 advisers, of the suitability of the Notes in light of your particular financial circumstances and the information set forth in this free writing prospectus and the accompanying underlying supplement, product supplement, prospectus supplement and prospectus.
 
In addition to the risks discussed below, you should review “Risk Factors” in the accompanying prospectus supplement, product supplement and underlying supplement including the explanation of risks relating to the Notes described in the following sections:
 
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“— Risks Relating to All Note Issuances” in the prospectus supplement;
 
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“— Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset” in the prospectus supplement; and
 
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“— There are Risks Associated With Small-Capitalization Stocks” in underlying supplement no. 1;
 
You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.
 
Your investment in the Notes may result in a loss.
 
For each Index in the Reference Asset, you will be exposed to the decline in the Final Index Level from the Initial Index Level,. The amount of exposure to each Index’s Index Return will depend on such Index’s weighting, as determined by the calculation agent in accordance with “Determination of Index Weightings”, above. These Index Returns and Index Weightings will determine the Allocated Return.  Accordingly, if the Allocated Return is less than zero, your payment at maturity will be less than the principal amount of your Notes.  You may lose up to 100% of your investment at maturity if the Allocated Return is negative.
 
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. Any payment to be made on the Notes, 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.
 
Changes in the levels of the Indices in the Reference Asset may offset each other.
 
Movements in the levels of the Indices may not correlate with each other. At a time when the level of one or more of the Indices increases, the level of the other Indices may not increase as much or may even decline. Therefore, in calculating the Allocated Return, increases in the level of one or more of the Indices may be moderated, or more than offset, by lesser increases or declines in the level of the other basket components.  More heavily weighted Indices will have a larger impact than Indices with lesser weightings, however, for these Notes the most heavily weighted Index will always be the best performing Index and the least heavily weighted Index will always be the worst performing Index.  Despite this, the Best Index Return may not be positive or may not be large enough to counterbalance negative Index Returns from one or both of the other two Indices. In such a case, the allocation of the weightings of the Indices will not prevent you from losing all or some of your investment.
 
The Notes will not bear interest.
 
As a holder of the Notes, you will not receive or be entitled to receive, periodic interest payments.
 
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 of each Index in the Reference Asset concerning additions, deletions and substitutions of the constituents comprising such Index and the manner in which such reference sponsor takes account of certain changes affecting those constituents included in such Index may affect the value of such Index, and ultimately the Reference Asset.  The policies of the reference sponsor with respect to the calculation of each Index in the Reference Asset could also affect the value of such Reference Asset.  The reference sponsor may discontinue or suspend calculation or dissemination of its Index in the Reference Asset. Any such actions could affect the value of the Notes.
 
Please read and pay particular attention to the section “Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset” in the accompanying prospectus supplement.
 

 
FWP-8
 

 
The Notes are not insured by any governmental agency of the United States or any other jurisdiction.
 
The Notes are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction.  An investment in the Notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full payment at maturity of the Notes.
 
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 free writing prospectus is based on the full principal amount of your Notes, the original issue price of the Notes includes the placement 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.
 
You will not receive dividends on the performance of the Indices.
 
As a holder of the Notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities composing the Indices would have.
 
The Notes lack liquidity.
 
The Notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to sell 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.
 
Uncertain tax treatment.
 
For a discussion of certain of the U.S. federal income tax consequences of your investment in a Note, please see the discussion under “Certain U.S. Federal Income Tax Considerations” herein, the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement and the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
 

 
FWP-9
 

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 Allocated Returns of the Reference Asset.  We cannot predict the Final Index Levels of the Indices in the Reference Asset on the Final Valuation Date, nor the Allocated Return.  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 Notes are linked or return on the Notes.  With respect to the Notes, the Final Settlement Value may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and following examples have been rounded for ease of analysis.
 
The table below illustrates the payment at maturity on a $1,000 investment in Notes for a hypothetical range of performance for the Allocated Return 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 Note 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.
 
The Index Weighting for each Index will be determined on the Final Valuation Date; see the examples below for illustrations of how the Allocated Return will be calculated for the Notes.
 
Hypothetical Allocated
Return
Hypothetical
Payment at Maturity
Hypothetical
Return on the Note
100.00%
$2,000.00
100.00%
80.00%
$1,800.00
80.00%
60.00%
$1,600.00
60.00%
40.00%
$1,400.00
40.00%
20.00%
$1,200.00
20.00%
15.00%
$1,150.00
15.00%
10.00%
$1,100.00
10.00%
5.00%
$1,150.00
5.00%
2.00%
$1,020.00
2.00%
1.00%
$1,010.00
1.00%
0.00%
$1,000.00
0.00%
-1.00%
$990.00
-1.00%
-2.00%
$980.00
-2.00%
-5.00%
$950.00
-5.00%
-10.00%
$900.00
-10.00%
-15.00%
$850.00
-15.00%
-20.00%
$800.00
-20.00%
-40.00%
$600.00
-40.00%
-60.00%
$400.00
-60.00%
-80.00%
$200.00
-80.00%
-100.00%
$0.00
-100.00%
 

 
FWP-10
 

The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.
 
Example 1: All index returns are positive.
 
   
Allocated Index Weighting
SPX Index Return:
10.00%
10%
RTY Index Return:
35.00%
60%
MID Index Return:
26.67%
30%
Allocated Return:
30.00%
  
Final Settlement Value:
$1,300.00
  
 
Because the RTY Index Return is the highest, it is weighted at 60%; because the MID Index Return is second highest, it is weighted at 30%; and because the SPX Index Return is the lowest, it is weighted at 10%.  Therefore the Allocated Return would be 30% and the Final Settlement Value would be $1,300.00 per $1,000 principal amount of Notes calculated as follows:
 
$1,000 + ($1,000 × Allocated Return)
 
= $1,000 + ($1,000 × [(35% × 60%) + (26.67% × 30%) + (10% × 10%)])
 
= $1,300.00
 
Example 1 shows that you will receive the return of your principal investment plus a return equal to the Allocated Return when the Allocated Return is positive.
 
Example 2: All index returns are negative.
 
   
Allocated Index Weighting
SPX Index Return:
-25.00%
60%
RTY Index Return:
-30.00%
30%
MID Index Return:
-60.00%
10%
Allocated Return:
-30.00%
  
Final Settlement Value:
$700.00
  
 
Because the SPX Index Return is the highest, it is weighted at 60%; because the RTY Index Return is second highest, it is weighted at 30%; and because the MID Index Return is the lowest, it is weighted at 10%.  Therefore the Allocated Return would be -30% and the Final Settlement Value would be $700.00 per $1,000 principal amount of Notes calculated as follows:
 
$1,000 + ($1,000 × Allocated Return)
 
= $1,000 + ($1,000 × [(-25% × 60%) + (-30.00% × 30%) + (-60% × 10%)])
 
= $700.00
 
Example 2 shows that you are exposed to a 1% loss to your principal amount for each percentage point that the Allocated Return is below zero.  YOU MAY LOSE UP TO 100% OF THE PRINCIPAL AMOUNT OF YOUR NOTES.
 
Example 3: Index returns are mixed.
 
   
Allocated Index Weighting
SPX Index Return:
-15.00%
30%
RTY Index Return:
-20.00%
10%
MID Index Return:
10.00%
60%
Allocated Return:
-0.50%
  
Final Settlement Value:
$995.00
  
 
Because the MID Index Return is the highest, it is weighted at 60%; because the SPX Index Return is second highest, it is weighted at 30%; and because the RTY Index Return is the lowest, it is weighted at 10%.  Therefore the Allocated Return would be -0.50% and the Final Settlement Value would be $995.00 per $1,000 principal amount of Notes calculated as follows:
 
$1,000 + ($1,000 × Allocated Return)
 
= $1,000 + ($1,000 × [(10% × 60%) + (-15.00% × 30%) + (-20% × 10%)])
 
= $995.00
 
Example 3 shows that despite the allocation of the greatest weighting to the highest Index Return, that Index Return may not be sufficiently large to counterbalance lesser returns by the other Indices.

 
FWP-11
 


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.
Historical Performance of the SPX
 
The following graph sets forth the historical performance of the SPX based on the monthly historical closing levels from January 31, 2005 through February 26, 2010.  The closing level for the SPX on February 26, 2010 was 1,104.49. We obtained the closing levels below from Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service.
For more information about the SPX, see “The S&P 500Ò Index” on page US1-4 of the accompanying underlying supplement no. 1.
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 SPX closing level on the Final Valuation Date.
INFORMATION RELATING TO THE RUSSELL 2000® INDEX
Description of the RTY
 
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 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.
Historical Performance of the RTY
 
The following graph sets forth the historical performance of the RTY based on the monthly historical closing levels from January 31, 2005 through February 26, 2010.  The closing level for the RTY on February 26, 2010 was 628.56. We obtained the closing levels below from Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service.
For more information about the RTY, see “The Russell 2000Ò Index” on page US1-6 of the accompanying underlying supplement no. 1.
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 RTY closing level on the Final Valuation Date.

 
FWP-12
 


 
INFORMATION RELATING TO THE S&P MIDCAP 400® INDEX
Description of the MID
 
The MID is a capitalization-weighted index intended to provide a performance benchmark for the medium capitalization segment of the U.S. equity markets. It tracks the stock price movement of 400 companies with mid-sized market capitalizations, primarily ranging from $1 billion to $4 billion.
 
Historical Performance of the MID
 
The following graph sets forth the historical performance of the MID based on the monthly historical closing levels from January 31, 2005 through February 26, 2010. The closing level for the MID on February 26, 2010 was 738.36.  We obtained the closing levels below from Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service.
For more information about the MID, see the description below.
   
The historical levels of the MID should not be taken as an indication of future performance, and no assurance can be given as to the MID closing level on the Final Valuation Date.
 
THE S&P MIDCAP 400® INDEX
 
We have derived all information contained in free writing prospectus regarding the S&P MidCap 400® Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, S&P. The S&P MidCap 400® Index was developed by S&P and is calculated, maintained and published by S&P. We make no representation or warranty as to the accuracy or completeness of such information.
 
The S&P MidCap 400® Index is intended to provide a performance benchmark for the medium capitalization segment of the U.S. equity markets. It tracks the stock price movement of 400 companies with mid-sized market capitalizations, primarily ranging from $1 billion to $4 billion. The market capitalization requirements are reviewed periodically so as to ensure consistency with market standards. The S&P MidCap 400® Index is maintained with similar methodologies and rules as the S&P 500® Index, with variations only to account for differences in capitalization requirements.
 
The calculation of the level of the S&P MidCap 400® Index (discussed below in further detail) is based on the relative value of the aggregate Market Value (as defined below) of the common stocks of 400 companies (the “Component Stocks”) as of a particular time as compared to the aggregate average Market Value of the common stocks of 400 similar companies on the base date of June 28, 1991. Historically, the “Market Value” of any Component Stock was calculated as the product of the market price per share and the number of the then-outstanding shares of such Component Stock. As discussed below, on March 21, 2005, S&P began to use a new methodology to calculate the Market Value of the Component Stocks and on September 16, 2005, S&P completed its transition to the new calculation methodology. S&P chooses companies for inclusion in the S&P MidCap 400®Index with the objective of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the medium capitalization segment of the U.S. equity market. S&P may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P MidCap 400® Index to achieve the objectives stated above. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company’s common stock is widely-held and the Market Value and trading activity of the common stock of that company.
 
On March 21, 2005, S&P began to calculate the S&P MidCap 400® Index based on a half float-adjusted formula, and on September 16, 2005, the S&P MidCap 400® Index became fully float adjusted. S&P’s criteria for selecting stocks for the S&P MidCap 400® Index was
 

 
FWP-13
 

not changed by the shift to float adjustment. However, the adjustment affects each company’s weight in the S&P MidCap 400® Index (i.e., its Market Value).
 
Under float adjustment, the share counts used in calculating the S&P MidCap 400® Index reflect only those shares that are available to investors, not all of a company’s outstanding shares. S&P defines three groups of shareholders whose holdings are subject to float adjustment:
 
}
holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups;
 
}
holdings by government entities, including all levels of government in the United States or foreign countries; and
 
}
holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment vehicles associated with and controlled by the company.
 
However, treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock and rights are not part of the float. In cases where holdings in a group exceed 10% of the outstanding shares of a company, the holdings of that group will be excluded from the float-adjusted count of shares to be used in the S&P MidCap 400® Index calculation. Mutual funds, investment advisory firms, pension funds or foundations not associated with the company and investment funds in insurance companies, shares of a U.S. company traded in Canada as “exchangeable shares,” shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are also part of the float.
 
For each stock, an investable weight factor (“IWF”) is calculated by dividing the available float shares, defined as the total shares outstanding less shares held in one or more of the three groups listed above where the group holdings exceed 10% of the outstanding shares, by the total shares outstanding. (On March 21, 2005, the S&P MidCap 400® Index moved halfway to float adjustment, meaning that if a stock has an IWF of 0.80, the IWF used to calculate the S&P MidCap 400® Index between March 21, 2005 and September 16, 2005 was 0.90. On September 16, 2005, S&P began to calculate the S&P MidCap 400® Index on a fully float-adjusted basis, meaning that if a stock has an IWF of 0.80, the IWF used to calculate the S&P MidCap 400® Index on and after September 16, 2005 is 0.80. ) The float-adjusted Index is calculated by dividing the sum of the IWF multiplied by both the price and the total shares outstanding for each stock by the Index Divisor. For companies with multiple classes of stock, S&P calculates the weighted average IWF for each stock using the proportion of the total company market capitalization of each share class as weights.
 
As of the date of this product supplement no. 39-A-V, the S&P MidCap 400® Index is calculated using a base-weighted aggregate methodology: the level of the S&P MidCap 400® Index reflects the total Market Value of all 400 Component Stocks relative to the S&P MidCap 400® Index’s base date of June 28, 1991 (the “Base Date”). An indexed number is used to represent the results of this calculation in order to make the value easier to work with and track over time.
 
 The actual total Market Value of the Component Stocks on the Base Date has been set equal to an indexed value of 100. This is often indicated by the notation 6/28/91 = 100. In practice, the daily calculation of the S&P MidCap 400® Index is computed by dividing the total Market Value of the Component Stocks by a number called the Index Divisor. By itself, the Index Divisor is an arbitrary number. However, in the context of the calculation of the S&P MidCap 400® Index, it is the only link to the original Base Period level of the S&P MidCap 400® Index. The Index Divisor keeps the S&P MidCap 400® Index comparable over time and is the manipulation point for all adjustments to the S&P MidCap 400® Index (“Index Maintenance”).
 
Index Maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends and stock price adjustments due to company restructurings or spin-offs.
 
To prevent the level of the S&P MidCap 400® Index from changing due to corporate actions, all corporate actions which affect the total Market Value of the S&P MidCap 400® Index require an Index Divisor adjustment. By adjusting the Index Divisor for the change in total Market Value, the level of the S&P MidCap 400® Index remains constant. This helps maintain the level of the S&P MidCap 400® Index as an accurate barometer of stock market performance and ensures that the movement of the S&P MidCap 400® Index does not reflect the corporate actions of individual companies in the S&P MidCap 400® Index. All Index Divisor adjustments are made after the close of trading and after the calculation of the closing level of the S&P MidCap 400® Index. Some corporate actions, such as stock splits and stock dividends, require simple changes in the common shares outstanding and the stock prices of the companies in the S&P MidCap 400® Index and do not require Index Divisor adjustments.
 
 

 
FWP-14
 

Type of 
Corporate Action
  
Comments
  
Index Divisor 
Adjustment 
Required
 
Company added/ deleted
  
Net change in market value determines Index Devisor
  
Yes
   
adjustment.
    
 
Change in shares
  
Any combination of secondary issuance, share
  
Yes
outstanding
  
repurchase or buy back – share counts revised to reflect
    
   
change.
    
 
Stock split
  
Share count revised to reflect new count. Index Devisor
  
No
   
adjustment is not required since the share count and
    
   
price changes are offsetting.
    
 
Spin-off
  
If spun-off company is not being added to the index, the
  
Yes
   
divisor adjustment reflects the decline in index market
    
   
value (i.e., the value of the spun-off unit).
    
 
Spin-off
  
Spun-off company added to the index, no company
  
No
   
removed from the index.
    
 
Spin-off
  
Spun-off company added to the index, another company
  
Yes
   
removed to keep number of names fixed. Index Devisor
    
   
adjustment reflects deletion.
    
 
Change in IWF due to a
  
Increasing (decreasing) the IWF increases (decreases)
  
Yes
corporate action or a
  
the total market value of the index. The Index Devisor
    
purchase or sale by an
  
change reflects the change in market value caused by
    
inside holder.
  
the change to an IWF.
    
 
Special Dividend
  
When a company pays a special dividend the share
  
Yes
   
price is assumed to drop by the amount of the dividend;
    
   
the divisor adjustment reflects this drop in index market
    
   
value.
    
 
Rights offering
  
Each shareholder receives the right to buy a
  
Yes
   
proportional number of additional shares at a set (often
    
   
discounted) price. The calculation assumes that the
    
   
offering is fully subscribed. Index Devisor adjustment
    
   
reflects increase in market cap measured as the shares
    
   
issued multiplied by the price paid.
    
 
Stock splits and stock dividends do not affect the Index Divisor, because following a split or dividend, both the stock price and number of shares outstanding are adjusted by S&P so that there is no change in the Market Value of the Component Stock. All stock split and dividend adjustments are made after the close of trading on the day before the ex-date.
 
Each of the corporate events exemplified in the table requiring an adjustment to the Index Divisor has the effect of altering the Market Value of the Component Stock and consequently of altering the aggregate Market Value of the Component Stocks (the “Post-Event Aggregate Market Value”). In order that the level of the S&P MidCap 400® Index (the “Pre-Event Index Value”) not be affected by the altered Market Value (whether increase or decrease) of the affected Component Stock, a new Index Divisor (“New Divisor”) is derived as follows:
 

   
Post - Event Aggregate Market Value 
New Divisor
= Pre - Event Index Value

   
New Divisor =
Post - Event Aggregate Market Value 
Pre - Event Index Value
 
A large part of the Index maintenance process involves tracking the changes in the number of shares outstanding of each of the S&P MidCap 400® Index companies. Four times a year, on a Friday close to the end of each calendar quarter, the share totals of companies
 

 
FWP-15
 

in the S&P MidCap 400® Index are updated as required by any changes in the number of shares outstanding. After the totals are updated, the Index Divisor is adjusted to compensate for the net change in the total Market Value of the S&P MidCap 400® Index. In addition, changes in a company’s shares outstanding of 5% or more due to mergers, acquisitions, public offerings, private placements, tender offers, Dutch auctions or exchange offers are made as soon as reasonably possible. Other changes of 5% or more (due to, for example, company stock repurchases, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations or other recapitalizations) are made weekly, and are announced on Tuesdays for implementation after the close of trading on Wednesday. In the case of certain rights issuances, in which the number of rights issued and/or terms of their exercise are deemed substantial, a price adjustment and share increase may be implemented immediately.
 
License Agreement with S&P
 
HSBC or one of its affiliates has entered into a nonexclusive license agreement providing for the license to HSBC or to one of its affiliates, in exchange for a fee, of the right to use indices owned and published by S&P’s in connection with some products, including the Notes.
 
The Notes are not sponsored, endorsed, sold or promoted by Standard & Poor's Financial Services llc, a subsidiary of The McGraw-Hill Companies, Inc. S&P 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 financial products generally or in the Notes particularly or the ability of the S&P MidCap 400®  Index to track general stock market performance.  S&P’s only relationship to HSBC (other than transactions entered into in the ordinary course of business) is the licensing of certain service marks and trade names of S&P and of the S&P MidCap 400®  Index which is determined, composed and calculated by S&P  without regard to HSBC or the Notes.  S&P has no obligation to take the needs of HSBC or the holders of the Notes into consideration in determining, composing or calculating the S&P MidCap 400® Index.  S&P is not responsible for and has not participated in the determination of the timing of the sale of the Notes, prices at which the Notes are to initially be sold, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be converted into cash.  S&P has no obligation or liability in connection with the administration, marketing or trading of the Notes.
 
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 for distribution to other registered broker dealers or will offer the Notes directly to investors.  HSBC Securities (USA) Inc. proposes to offer the Notes at the offering price set forth on the cover page of this term sheet and will receive underwriting discounts and commissions of between 0.00% and 1.20%, or between $0.00 and $12.00, per $1,000 principal amount of Notes.  HSBC Securities (USA) Inc. may re-allow up to the full amount of the selling concession of 0.50%, or $5.00, per $1,000 principal amount of Notes on sales of such Notes by other brokers or dealers and may pay referral fees to other broker-dealers of up to 1.20%, or $12.00, per $1,000 principal amount of Notes.
 
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 these Notes.
 
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 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’ on page S-52 in the prospectus supplement.
 
CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
 
There is no direct legal authority as to the proper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as to both the timing and character of any inclusion in income in respect of the Notes. Under one approach, a Note should be treated as a pre-paid forward or other executory contract with respect to the Reference Asset. We intend to treat the Notes consistent with this approach. Pursuant to the terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal income tax purposes.  Notwithstanding any disclosure in the accompanying product supplement to the contrary, our special U.S. tax counsel in this transaction is Sidley Austin llp. 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, Sidley Austin llp, it is reasonable to treat a Note as a pre-paid forward or other 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 Notes 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 Note for more than one year at such time for U.S. federal income tax purposes.
 
For a discussion of certain of the U.S. federal income tax consequences of your investment in a Note, please see the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement and the discussion under “Certain U.S Federal Income Tax Considerations” in the accompanying prospectus supplement.

 
FWP-16
 

TABLE OF CONTENTS
  
 
 
You should only rely on the information contained in this free writing prospectus, any accompanying underlying supplement, product 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, product 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, product 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 free writing prospectus, any accompanying underlying supplement, product supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
 
 
 
 
 
HSBC USA Inc.
 
 
 
 
 
$   Lookback Allocation Notes Linked to a Basket of Indices Comprised of the
S&P 500® Index, the S&P MidCap 400® Index and the
Russell 2000® Index
 
 
 
 
 
March 2, 2010
 
 
 
 
 
FREE WRITING PROSPECTUS
 
Free Writing Prospectus
  
General
6
  
Investor Suitability
7
  
Risk Factors
8
  
Illustrative Examples
10
  
Information Relating to the S&P 500Ò Index
12
  
Information Relating to the Russell 2000Ò Index
12
  
Information Relating to the S&P MidCap 400Ò Index
13
  
The S&P MidCap 400Ò Index
13
  
Supplemental Plan of Distribution (Conflicts of Interest)
16
  
Certain U.S. Federal Income Tax Considerations
16
  
Underlying Supplement No. 1
  
Risk Factors
US1-1
  
The S&P 500® Index
US1-4
  
The Russell 2000® Index
US1-6
  
The Dow Jones Industrial AverageSM
US1-9
  
The Hang Seng China Enterprises Index®
US1-11
  
The Hang Seng® Index
US1-13
  
The Korea Stock Price Index 200
US1-15
  
The MSCI Singapore IndexSM
US1-18
  
The MSCI Taiwan IndexSM
US1-22
  
The Dow Jones EURO STOXX 50® Index
US1-26
  
The PHLX Housing SectorSM Index
US1-29
  
The TOPIX® Index
US1-33
  
The NASDAQ-100 Index®
US1-36
  
S&P BRIC 40 Index
US1-40
  
The Nikkei 225 Index
US1-43
  
The FTSE™ 100 Index
US1-45
  
The MSCI EAFE® Index
US1-47
  
The MSCI Emerging Markets Index
US1-52
  
Other Components
US1-57
  
Additional Terms of the Notes
US1-57
  
 
US2-56
  
Product Supplement
  
Notice to Investors
PS-1
  
Product Supplement Summary
PS-1
  
Risk Factors
PS-4
  
Pricing Supplement Overview
PS-7
  
Valuation of the Notes
PS-7
  
Hypothetical Examples
PS-10
  
Specific Terms of the Notes
PS-19
  
Certain U.S. Federal Income Tax Considerations
PS-24
  
Events of Default and Acceleration
PS-25
  
Information Regarding the Reference Asset and Reference Issuers
PS-25
  
Certain ERISA Considerations
PS-25
  
Validity of the Notes
PS-25
  
Prospectus Supplement
  
Risk Factors
S-3
  
Pricing Supplement
S-16
  
Description of Notes
S-16
  
Sponsors or Issuers and Reference Asset
S-37
  
Use of Proceeds and Hedging
S-37
  
Certain ERISA
S-38
  
Certain U.S. Federal Income Tax Considerations
S-39
  
Supplemental Plan of Distribution
S-52
  
Prospectus
  
About this Prospectus
2
  
Special Note Regarding Forward-Looking Statements
2
  
HSBC USA Inc.
3
  
Use of Proceeds
3
  
Description of Debt Securities
4
  
Description of Preferred Stock
16
  
Description of Warrants
22
  
Description of Purchase Contracts
26
  
Description of Units
29
  
Book-Entry Procedures
32
  
Limitations on Issuances in Bearer Form
36
  
Certain U.S. Federal Income Tax Considerations Relating to Debt Securities
37
  
Plan of Distribution
52
  
Notice to Canadian Investors
54
  
Certain ERISA Matters
58
  
Where You Can Find More Information
59
  
Legal Opinions
59
  
Experts
59