-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EErJe/hWklhCxOVU6ahxpEpP+crVtbHYn1XG3TAEACBXJjJTWTTAcv2Zsj9OYzwH STK3YoRxlgBFhlW02b20BA== 0001144204-10-051865.txt : 20101001 0001144204-10-051865.hdr.sgml : 20101001 20101001112624 ACCESSION NUMBER: 0001144204-10-051865 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 4 FILED AS OF DATE: 20101001 DATE AS OF CHANGE: 20101001 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-158385 FILM NUMBER: 101101188 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FWP 1 v198010_fwp.htm Unassociated Document
Filed Pursuant to Rule 433
Registration No. 333-158385
October 1, 2010
FREE WRITING PROSPECTUS
(To Prospectus dated April 2, 2009, and
Prospectus Supplement dated April 9, 2009)





 
HSBC USA Inc.
Fixed to Floating Rate Notes
 
} This free writing prospectus (“FWP”) relates to:
 
-  7 year Fixed to Floating Rate Notes due October 12, 2017
 
} 100% principal protection at maturity, subject to the credit risk of HSBC USA Inc.
 
} Quarterly coupon payments
 
} Coupon rate that is fixed at 2.50% per annum for the first year of the term of the Notes and based upon the 3-Month LIBOR plus a spread of 0.40%, subject to a cap of 7.00% per annum, thereafter.
 
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.  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. 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 in any Notes after their initial sale.  Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement to which this free writing prospectus relates is being used in a market-making transaction.  See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-9 of this free writing prospectus.
 
Investment in the Notes involves certain risks.  You should refer to “Risk Factors” beginning on page FWP-5 of this document and page S-3 of the accompanying prospectus supplement.
 
 
   Price to Public
   Fees and Commissions1
Proceeds to Issuer
Per Note
   $1,000
   
Total
     
 
1HSBC USA Inc. or one of our affiliates may pay varying discounts and commissions of between 1.00% and 1.25%, or between $10.00 and $12.50 per $1,000 Principal Amount of Notes in connection with the distribution of the Notes.  See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-9 of this free writing prospectus.
 
 


 
HSBC USA Inc.
 
Fixed to Floating Rate Notes
 
The offering of Fixed to Floating Notes due October 12, 2017 (the “Notes”) will have the terms described in this free writing prospectus and the accompanying prospectus supplement and prospectus. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus supplement or prospectus, the terms described in this free writing prospectus shall control.  In reviewing the accompanying prospectus supplement, all references to “Reference Asset” therein shall refer to the applicable Coupon Rate (as defined below).
 
This free writing prospectus relates to a single offering of Notes. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. with quarterly Coupon payments, at a fixed rate for the first year of the term of the Notes and at a rate equal to the 3-Month LIBOR plus a spread, subject to the Cap, for the remainder of the term of the Notes.  The following key terms relate to the offering of these Notes:
 
Issuer:
HSBC USA Inc.
Issuer Rating:
AA- (S&P), A1 (Moodys), AA (Fitch)†
Principal Amount:
$1,000 per Note.
Trade Date:
October 6, 2010
Pricing Date:
October 6, 2010
Original Issue Date:
October 12, 2010
Maturity Date:
Expected to be October 12, 2017, or if such day is not a Business Day, the next succeeding Business Day.
Payment at Maturity:
On the Maturity Date, for each Note, we will pay you the Principal Amount of your Notes plus the final Coupon.
Coupon:
The Coupon is paid quarterly and is based upon the applicable Coupon Rate set forth below.  The Coupon payable will be computed on the basis of a 360-day year consisting of twelve 30-day months.
Coupon Rate:
With respect to each Fixed Rate Coupon Period, a rate equal to 2.50% per annum. With respect to each Floating Rate Coupon Period, a rate per annum equal to the lesser of (a) the 3-Month LIBOR on the applicable Coupon Determination Date (as defined below) plus 0.40%, and (b) the Cap.  In no case will the Coupon Rate for any quarterly Floating Rate Coupon Period be less than 0.40%. The Coupon Rate with respect to the Floating Rate Coupon Periods will be reset quarterly on the applicable Coupon Determination Date.
Fixed Rate Coupon Periods:
The period beginning on and including the Original Issue Date and ending on but excluding the first Fixed Coupon Payment Date, and each successive period beginning on and including a Fixed Coupon Payment Date and ending on but excluding the next succeeding Fixed Coupon Payment Date.
Floating Rate Coupon Periods:
The period beginning on and including the final Fixed Coupon Payment Date and ending on but excluding the first Floating Coupon Payment Date, and each successive period beginning on and including a Floating Coupon Payment Date and ending on but excluding the next succeeding Floating Coupon Payment Date.
Cap:
7.00% per annum

FWP-1


3-Month LIBOR:
The London Interbank Offered Rate (British Bankers Association) for deposits in U.S. dollars for a period of three months that appears on Reuters page “LIBOR01”, as of 11:00 a.m., London time, on the “Coupon Determination Date,” which is, with respect to any Floating Rate Coupon Period, the date which is two London Banking Days immediately preceding such Floating Rate Coupon Period.  For example, we expect that January 10, 2012 (which is two scheduled London Banking Days prior to the scheduled January 12, 2012 Floating Coupon Payment Date) will be the Coupon Determination Date with respect to the Floating Rate Coupon Period commencing on, and including, January 12, 2012 to, and excluding April 12, 2012.  The 3-Month LIBOR will never be considered to be less than zero.  If, on any date the 3-Month LIBOR is to be determined, the 3-Month LIBOR cannot be determined as described above, the calculation agent will determine the 3-Month LIBOR in accordance with the procedures set forth under “Description of NotesLIBOR Notes” in the accompanying prospectus supplement.
Fixed Coupon Payment Dates:
January 12, 2011, April 12, 2011, July 12, 2011 and October 12, 2011, provided that if any such day is not a Business Day, the relevant Fixed Coupon Payment Date shall be the next succeeding Business Day as if made on the date the payment was due, and no interest will accrue on the amount payable as a result of such delayed payment.
Floating Coupon Payment Dates:
The 12th calendar day of each January, April, July and October, commencing on January 12, 2012, up to and including the Maturity Date, provided that if any such day is not a Business Day, the relevant Floating Coupon Payment Date shall be the next succeeding Business Day and interest will continue to accrue, except that if such Business Day is in the next succeeding calendar month, the Floating Coupon Payment Date will be the immediately preceding Business Day.  If the Maturity Date falls on a date that is not a Business Day, payment of the Coupon and principal will be made on the next succeeding Business Day, and no interest will accrue for the period from and after the originally scheduled Maturity Date.
London Banking Day:
A day on which commercial banks are open for business, including dealings in U.S. Dollars,  in the city of London, England.
Business Day:
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in the City of New York provided that, with respect to any Floating Coupon Payment Date, the day is also a London Banking Day.
CUSIP/ISIN:
4042K05X9  /
Form of Notes:
Book-Entry
Listing:
The Notes will not be listed on any U.S. securities exchange or quotation system.

 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.
 
FWP-2

 
GENERAL
 
This free writing prospectus relates to a single offering of Notes. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. with quarterly Coupon payments at a fixed rate for the first year of the term of the Notes and at a rate equal to the 3-Month LIBOR plus a spread, subject to the Cap, for the remainder of the term of the Notes.  We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part.  Each Coupon is calculated based on the rate applicable to the relevant Fixed Coupon Period or Floating Coupon Period; however, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any such rate or as to the suitability of an investment in the Notes.
 
You should read this document together with the prospectus dated April 2, 2009 and the prospectus supplement dated April 9, 2009.  You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-5 of this free writing prospectus and page S-3 of the prospectus supplement. 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 and a prospectus supplement) with the U.S. Securities and Exchange Commission (“SEC”) for the offering to which this free writing prospectus relates.  Before you invest in the Notes, 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 SECs 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 and prospectus 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.
 
COUPON
 
The Coupon is paid quarterly and is based upon the applicable Coupon Rate.  The Coupon payable will be computed on the basis of a 360-day year consisting of twelve 30-day months.  The Fixed Coupon Payment Dates are January 12, 2011, April 12, 2011, July 12, 2011 and October 12, 2011, provided that if any such day is not a Business Day, the relevant Fixed Coupon Payment Date shall be the next succeeding Business Day as if made on the date the payment was due, and no interest will accrue on the amount payable as a result of such delayed payment.  The Floating Coupon Payment Dates are the 12th calendar day of each January, April, July and October, commencing on January 12, 2012, up to and including the Maturity Date, provided that if any such day is not a Business Day, the relevant Floating Coupon Payment Date shall be the next succeeding Business Day and interest will continue to accrue, except that if such Business Day is in the next succeeding calendar month, the Floating Coupon Payment Date will be the immediately preceding Business Day.  If the Maturity Date falls on a date that is not a Business Day, payment of the Coupon and principal will be made on the next succeeding Business Day, and no interest will accrue for the period from and after the originally scheduled Maturity Date. For information regarding the record dates applicable to the Coupons paid on the Notes, please see the section entitled “Recipients of Interest Payments” on page S-18 in the accompanying prospectus supplement.
 
CALCULATION AGENT
 
We or one of our affiliates will act as calculation agent with respect to the Notes.
 
TRUSTEE
 
Notwithstanding anything contained in the accompanying prospectus 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 has substantially the same terms as the indenture described in the accompanying prospectus supplement.
 
PAYING AGENT
 
Notwithstanding anything contained in the accompanying prospectus 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.
 
FWP-3


 
INVESTOR SUITABILITY
 
   
The Notes may be suitable for you if:
 
} You are willing to make an investment based on a fixed rate during the Fixed Rate Coupon Periods and dependant thereafter on the 3-Month LIBOR plus a spread of 0.40%, subject to the Cap.
} You believe the 3-Month LIBOR will generally be positive on Coupon Determination Dates by an amount sufficient to provide you with a satisfactory return on your investment.
} You are willing to invest in the Notes based on the fixed rate of 2.50% per annum during the Fixed Rate Coupon Periods and a capped return thereafter equal to the Cap of 7.00% per annum, which may limit your Coupon on any Floating Coupon Payment Date.
} 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.
 
The Notes may not be suitable for you if:
 
} You are unwilling to invest in the Notes based on the spread of 0.40% added to the 3-Month LIBOR applicable to the corresponding Floating Coupon Payment Dates.
} You are unwilling to invest in the Notes based on the Cap, which may limit the Coupons for each Floating Rate Coupon Period.
} You are unwilling to invest in the Notes based on the Coupon Rate with respect to the Fixed Rate Coupon Periods equal to the fixed rate of 2.50% per annum.
} 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 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.
 
 
FWP-4

 
RISK FACTORS
 
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 prospectus supplement and prospectus.
 
In addition to the following risks, you should review “Risk Factors” beginning on page S-3 in the accompanying prospectus supplement including the explanation of risks relating to the Notes described in the following sections:
 
 
·
“— Risks Relating to All Note Issuances” and
 
 
·
“—Additional Risks Relating to Notes With a Reference Asset That Is a Floating Interest Rate, an Index Containing Floating Interest Rates or Based in Part on a Floating Interest Rate.”
 
The Amount of Each Quarterly Coupon Payable During the Floating Rate Coupon Periods is Uncertain and Could be Equal to 0.40%.
 
You will receive a Coupon on the applicable Floating Coupon Payment Date based on a rate per annum equal to the 3-Month LIBOR plus 0.40%, subject to the Cap of 7.00% per annum.  The 3-Month LIBOR may be influenced by a number of factors, including (but not limited to) monetary policies, fiscal policies, inflation, general economic conditions and public expectations with respect to such factors.  The effect that any single factor may have on the 3-Month LIBOR may be partially offset by other factors.  We cannot predict the factors that may cause the 3-Month LIBOR to increase or decrease.  A decrease in 3-Month LIBOR below 6.60% applicable to a Floating Coupon Payment Date will result in a reduction of the applicable Coupon.  A 3-Month LIBOR that is zero will cause the Coupon Rate for the applicable Floating Coupon Payment Date to be equal to 0.40%.  Each quarterly Coupon after October 12, 2011 may be equal to 0.40%, and you will not be compensated for any loss in value due to inflation and other factors relating to the value of money over time. You should consider, among other things, the overall potential annual Coupon Rate to maturity of the Notes as compared to other investment alternatives.
 
The Notes are Not Ordinary Debt Securities and the Coupon Rate is Not Fixed for any Floating Rate Coupon Period and is Variable.
 
The Coupon Rate is not fixed for any Floating Rate Coupon Period, but will vary depending on the 3-Month LIBOR plus 0.40%, subject to the Cap, which may be less than returns otherwise payable on debt securities issued by us with similar maturities.  The variable interest rate on the Notes, while determined, in part, by reference to the 3-Month LIBOR, does not actually pay at such rate.  We have no control over any fluctuations in the 3-Month LIBOR.
 
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 the return of the Principal Amount at maturity or any Coupon payable, 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.
 
Your Coupon Rate for Each Floating Coupon Payment Date is Limited By the Cap.
 
 For each Floating Coupon Payment Date, the Coupon Rate will be capped at the Cap of 7.00% per annum.  As a result, you will not participate in any 3-Month LIBOR in excess of 6.60%.  YOUR COUPON RATE WILL NOT BE GREATER THAN THE CAP.
 
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 the Issuer, HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full amount payable on the Notes.
 
Certain Built-In Costs are Likely to Adversely Affect the Value of the Notes Prior to Maturity.
 
While the payment of the Coupons and the Payment at Maturity described in this free writing prospectus are based on the full aggregate Principal Amount of your Notes, the original issue price of the Notes includes the placement agents commission and the estimated cost
 
FWP-5

 
of HSBC hedging its obligations under the Notes. As a result, the price, if any, at which HSBC Securities (USA) Inc. will be willing, if at all, to purchase Notes from you in secondary market transactions will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
 
The Notes Lack Liquidity.
 
The Notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to readily trade or sell the Notes. 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 at which HSBC Securities (USA) Inc. is willing, if at all, 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 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” below and the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
 
The 3-Month LIBOR, and Therefore the Value of the Notes, May be Volatile and Will Be Affected By a Number of Factors.
 
The 3-Month LIBOR, and therefore the value of the Notes is subject to volatility due to a variety of factors, including but not limited to:
 
·     interest and yield rates in the market,
·     changes in, or perceptions, about the future 3-Month LIBOR,
·     general economic conditions,
·     policies of the Federal Reserve Board regarding interest rates.
·     supply and demand among banks in London for U.S. dollar-denominated deposits with approximately a three
month term,
·     sentiment regarding underlying strength in the U.S. and global economies,
·     expectations regarding the level of price inflation,
·     sentiment regarding credit quality in the U.S. and global credit markets,
·     central bank policy regarding interest rates,
·     inflation and expectations concerning inflation,
·     performance of capital markets,
·     geopolitical conditions and economic, financial, political, regulatory or judicial events that affect markets generally and that may affect the 3-Month LIBOR,
·     the time remaining to the maturity of the Notes, and
·     the creditworthiness of the Issuer.
 
The impact of any of the factors set forth above may enhance or offset some of any of the changes resulting from another factor or factors. Increases or decreases in the 3-Month LIBOR could result in the corresponding Coupon Rate decreasing or a Coupon Rate of 0.40% and thus in the reduction of the Coupon payable on the Notes.
 
FWP-6


ILLUSTRATIVE EXAMPLES
 
The following table indicates the Coupons payable on the Fixed Coupon Payment Dates. The dates in the table below refer to originally scheduled Fixed Coupon Payment Dates and may be postponed as described herein.
 
Fixed Coupon Payment Date (expected)
Coupon Rate
Per Annum
    Coupon
January 12, 1011
    2.50%
$6.25
April 12, 20110
    2.50%
$6.25
July 12, 2011
    2.50%
$6.25
October 12, 2011
    2.50%
$6.25

The following scenario analysis and examples are provided for illustrative purposes only and are purely hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the 3-Month LIBOR and we cannot predict the 3-Month LIBOR on any Coupon Determination Date. You should not take the scenario analysis and these examples as an indication or assurance of the expected performance of the 3-Month LIBOR. The numbers set forth in the examples below have been rounded for ease of analysis. The following scenario analysis and examples illustrate the Coupon determination for a $1,000.00 Principal Amount of Notes.

Hypothetical 3-Month LIBOR
 
Spread
Cap
Hypothetical Coupon Rate Per Annum
Hypothetical Coupon
7.00%
+
0.40%
7.00%
7.00%
$17.50
6.60%
+
0.40%
7.00%
7.00%
$17.50
6.00%
+
0.40%
7.00%
6.40%
$16.00
5.00%
+
0.40%
7.00%
5.40%
$13.50
4.00%
+
0.40%
7.00%
4.40%
$11.00
3.80%
+
0.40%
7.00%
4.20%
$10.50
3.60%
+
0.40%
7.00%
4.00%
$10.00
3.40%
+
0.40%
7.00%
3.80%
$9.50
3.20%
+
0.40%
7.00%
3.60%
$9.00
3.00%
+
0.40%
7.00%
3.40%
$8.50
2.80%
+
0.40%
7.00%
3.20%
$8.00
2.60%
+
0.40%
7.00%
3.00%
$7.50
2.40%
+
0.40%
7.00%
2.80%
$7.00
2.20%
+
0.40%
7.00%
2.60%
$6.50
2.00%
+
0.40%
7.00%
2.40%
$6.00
1.80%
+
0.40%
7.00%
2.20%
$5.50
1.60%
+
0.40%
7.00%
2.00%
$5.00
1.40%
+
0.40%
7.00%
1.80%
$4.50
1.20%
+
0.40%
7.00%
1.60%
$4.00
1.00%
+
0.40%
7.00%
1.40%
$3.50
0.90%
+
0.40%
7.00%
1.30%
$3.25
0.80%
+
0.40%
7.00%
1.20%
$3.00
0.70%
+
0.40%
7.00%
1.10%
$2.75
0.60%
+
0.40%
7.00%
1.00%
$2.50
0.50%
+
0.40%
7.00%
0.90%
$2.25
0.40%
+
0.40%
7.00%
0.80%
$2.00
0.30%
+
0.40%
7.00%
0.70%
$1.75
0.20%
+
0.40%
7.00%
0.60%
$1.50
0.10%
+
0.40%
7.00%
0.50%
$1.25
0.00%
+
0.40%
7.00%
0.40%
$1.00

Example 1:  On a Coupon Determination Date, the 3-Month LIBOR is equal to 3.00%.  Because the 3-Month LIBOR plus 0.40% is 3.40%, which is less than the Cap, the Coupon Rate for such Floating Coupon Payment Date is 3.40% per annum and the Coupon payment on the relevant Floating Coupon Payment Date would be $8.50 per $1,000 Principal Amount of Notes calculated as follows:
1,000 × Coupon Rate × 90/360
= $1,000 × 3.40% × 90/360
= $8.50

Example 2:  On a Coupon Determination Date, the 3-Month LIBOR is equal to 8.00%.  Because the 3-Month LIBOR plus 0.40% is 8.40%, which is greater than the Cap, the Coupon Rate for such Floating Coupon Payment Date is equal to the Cap of 7.00% per annum and the Coupon payment on the relevant Floating Coupon Payment Date would be $17.50 per $1,000 Principal Amount of Notes, the maximum payment on the Notes, calculated as follows:
1,000 × Coupon Rate × 90/360
= $1,000 × 7.00% × 90/360
= $17.50
 
FWP-7


Example 3: On a Coupon Determination Date, the 3-Month LIBOR is equal to 0.00%.  Because the 3-Month LIBOR plus 0.40% is 0.40%, which is less than the Cap, the Coupon Rate for such Floating Coupon Payment Date is 0.40% per annum, the minimum Coupon Rate, and the Coupon payment on the relevant Floating Coupon Payment Date would be $1.00 per $1,000 Principal Amount of Notes calculated as follows:
1,000 × Coupon Rate × 90/360
= $1,000 × 0.40% × 90/360
= $1.00

HISTORICAL PERFORMANCE OF THE 3-MONTH LIBOR
 
The following graphs sets forth the historical performance of the 3-Month LIBOR based on the daily historical closing levels from January 4, 2005 through September 30, 2010.  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.
 
The 3-Month LIBOR, as appeared on Reuters page “LIBOR01” on September 30, 2010 was 0.29000%.
 
Historical Performance of the 3-Month LIBOR
Source: Bloomberg Professional® Service

The historical 3-Month LIBOR should not be taken as an indication of future performance, and no assurance can be given as to the 3-Month LIBOR relevant to any Floating Coupon Payment Date. We cannot give you assurance that the performance of the 3-Month LIBOR will result in any Coupon Rate, other than with respect to Coupon Payments Dates originally scheduled to occur on or before October 12, 2011, in excess of 0.40% or will provide a satisfactory return on your investment.
 
FWP-8

 
EVENTS OF DEFAULT AND ACCELERATION
 
If the Notes have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the calculation agent will determine (i) the accelerated Payment at Maturity due and payable in the same general manner as described in Payment at Maturity on page FWP-1 in this free writing prospectus and (ii) any accrued but unpaid interest payable based upon the Coupon Rate calculated on the basis of a 360-day year consisting of twelve 30-day months.  In such a case, the London Banking Day immediately preceding the date of acceleration will be used as the Coupon Determination Date for purposes of determining the Coupon payable on the Notes on the accelerated Maturity Date.  The accelerated Maturity Date will be the fifth Business Day following the accelerated final Coupon Determination Date.
 
If the Notes have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. For more information, see “Description of Debt Securities Events of Default” in the accompanying 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 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 1.00% and 1.25%, or between $10.00 and $12.50, per $1,000 Principal Amount of 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.
 
We expect that delivery of the securities will be made against payment for the securities on or about the Original Issue Date set forth on page FWP-1 of this document, which is expected to be the eighth business day following the Pricing Date of the securities. Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade securities on the Pricing Date or the four business days thereafter, will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisers.
 
CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
 
You should carefully consider the matters set forth in “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.  We and each holder of Notes (in the absence of an administrative determination, judicial ruling or other authoritative guidance to the contrary) agree to treat the Notes for U.S. federal income tax purposes as indebtedness issued by us that is subject to the special U.S. Treasury Regulations applicable to variable rate debt instruments.  Accordingly, interest paid on the Notes generally should be taxable to you as ordinary interest income at the time it accrues or is received in accordance with your regular method of accounting for U.S. federal income tax purposes. In addition, a U.S. holder (as defined in the accompanying prospectus supplement) must include any original issue discount in income as ordinary interest as it accrues, possibly in advance of receipt of cash attributable to such income.  You should review the discussion set forth in “Certain U.S. Federal Income Tax Considerations U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes Variable Rate Debt Instruments” in the accompanying prospectus supplement.  In general, gain or loss realized on the sale, exchange or other disposition of the Notes will be capital gain or loss.
 
Recently enacted legislation will impose an additional 3.8% tax on the net investment income (which includes interest, original issue discount and gains from a disposition of a Note) of certain individuals, trust and estates, for taxable years beginning after December 31, 2012.  Prospective investors in the Notes should consult their tax advisors regarding the possible applicability of this tax to an investment in the Notes.
 
Prospective investors 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.
 
FWP-9

 

TABLE OF CONTENTS
   
Free Writing Prospectus
 
You should only rely on the information contained in this free writing prospectus, the accompanying 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, the accompanying prospectus supplement and prospectus.  If anyone provides you with different or inconsistent information, you should not rely on it.  This free writing prospectus, the accompanying 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, the accompanying prospectus supplement and prospectus is correct on any date after their respective dates.
 
 
 
 
 
HSBC USA Inc.
 
 
 
 
 $   Fixed to Floating Rate Notes
due October 12, 2017
 
 
 
October 1, 2010
 
 
 
 
FREE WRITING
PROSPECTUS
 
General
FWP-3
 
Investor Suitability
FWP-4
 
Risk Factors
FWP-5
 
Illustrative Examples
FWP-7
 
Historical Performance of the 3-Month LIBOR
FWP-8
 
Events of Default and Acceleration
FWP-9
 
Supplemental Plan of Distribution (Conflicts of Interest)
FWP-9
 
Certain U.S. Federal Income Tax Considerations
FWP-9
 
     
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
 
     

FWP-10

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