CALCULATION OF REGISTRATION FEE
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Title of Each Class of
Securities Offered
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Maximum Aggregate
Offering Price |
Amount of Registration Fee (1)
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Trigger Autocallable Optimization Securities Linked to the Common Stock of CONSOL Energy Inc. due April 5, 2012
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$21,107,390
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$2,450.57
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PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158385
Dated March 29, 2011
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Investment Description
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These Trigger Autocallable Optimization Securities (the ‘‘Securities’’) are senior unsecured debt securities issued by HSBC USA Inc. linked to the common stock of CONSOL Energy Inc. (the ‘‘Reference Share”). The Securities will rank equally with all of our other unsecured and unsubordinated debt obligations. The Securities are designed for investors who believe that the Closing Price of the Reference Share will remain flat or increase during the term of the Securities. If the Reference Share closes at or above the Initial Share Price on any Observation Date, HSBC will automatically call the Securities and pay you a Call Price equal to the Principal Amount per Security plus a Call Return. The Call Return, and therefore the Call Price, increases the longer the Securities are outstanding. If by maturity the Securities have not been called, HSBC will either repay the full Principal Amount or, if the Reference Share closes below the Trigger Price on the Final Valuation Date, HSBC will repay less than the Principal Amount, if anything, resulting in a loss that is proportionate to the decline in the Closing Price of the Reference Share from the Trade Date to the Final Valuation Date. Investing in the Securities involves significant risks. The Securities do not pay any interest. You may lose some or all of your Principal Amount. The contingent repayment of principal only applies if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC. If HSBC were to default on its payment obligations you may not receive any amounts owed to you under the Securities and you could lose your entire investment.
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Features
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q Call Return: HSBC will automatically call the Securities for a Call Price equal to the Principal Amount plus the applicable Call Return if the Closing Price of the Reference Share on any Observation Date is equal to or greater than the Initial Share Price. The Call Return, and therefore the Call Price, increases the longer the Securities are outstanding. If the Securities are not called, investors will have the potential for a loss at maturity if the Final Share Price declines from the Initial Share Price.
q Contingent Repayment of Principal Amount at Maturity: If by maturity the Securities have not been called and the price of the Reference Share does not close below the Trigger Price on the Final Valuation Date, HSBC will pay you the Principal Amount per Security at maturity. If the price of the Reference Share closes below the Trigger Price on the Final Valuation Date, HSBC will repay less than the Principal Amount, if anything, resulting in a loss that is proportionate to the decline in the Closing Price of the Reference Share from the Trade Date to the Final Valuation Date. The contingent repayment of principal only applies if you hold the Securities until maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC.
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Key Dates
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Trade Date
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March 29, 2011
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Settlement Date
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March 31, 2011
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Final Valuation Date1
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March 30, 2012
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Maturity Date1
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April 5, 2012
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1 See page 3 for additional details
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THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE TERMS OF THE SECURITIES MAY NOT OBLIGATE HSBC TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES. THE SECURITIES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE REFERENCE SHARE, WHICH CAN RESULT IN A LOSS OF SOME OR ALL OF YOUR INVESTMENT AT MATURITY. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF HSBC. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY RISKS’’ BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT AND THE MORE DETAILED ‘‘RISK FACTORS’’ BEGINNING ON PAGE S-3 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY EFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
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Security Offering
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We are offering the Securities, which are linked to the performance of the Reference Share, at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof.
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Reference Share
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Call Return Rate
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Initial Share Price
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Trigger Price
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CUSIP
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ISIN
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CONSOL Energy Inc.
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24.40% per annum
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$52.75
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$36.93, which is 70.00% of the Initial Share Price
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40433C700
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US40433C7002
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Price to Public
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Underwriting Discount
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Proceeds to Us
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Per Security
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$10.00
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$0.125
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$9.875
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Total
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$21,107,390
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$263,842.38
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$20,843,547.62
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UBS Financial Services Inc.
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HSBC USA Inc.
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Additional Information about HSBC USA Inc. and the Securities
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This pricing supplement relates to the offering of Securities linked to the Reference Share identified on the cover page. The Reference Share described in this pricing supplement is a reference asset as defined in the prospectus supplement, and the Securities being offered hereby are “Notes” for purposes of the prospectus supplement. As a purchaser of a Security, you will acquire an investment instrument linked to the Reference Share. Although the offering of Securities relates to the Reference Share identified on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to the Reference Share, or as to the suitability of an investment in the Securities.
You should read this document together with the prospectus dated April 2, 2009 and the prospectus supplement dated April 9, 2009. If the terms of the Securities offered hereby are inconsistent with those described in the accompanying prospectus supplement or prospectus, the terms described in this pricing supplement shall control. You should carefully consider, among other things, the matters set forth in “Key Risks” beginning on page 7 of this pricing supplement and in “Risk Factors” beginning on page S-3 of the prospectus supplement, as the Securities involve risks not associated with conventional debt securities. HSBC urges you to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities.
HSBC USA Inc. has filed a registration statement (including a prospectus and prospectus supplement) with the SEC for the offering to which this pricing supplement relates. Before you invest, you should read the prospectus and prospectus supplement in that registration statement and other documents HSBC USA Inc. has filed with the SEC for more complete information about HSBC USA Inc. 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 and prospectus supplement if you request them by calling toll-free 1-866-811-8049.
You may access these documents on the SEC web site at www.sec.gov as follows:
¨ Prospectus supplement dated April 9, 2009:
¨ Prospectus dated April 2, 2009:
As used herein, references to the “Issuer,” “HSBC”, “we,” “us” and “our” are to HSBC USA Inc. References to the “prospectus supplement” mean the prospectus supplement dated April 9, 2009 and references to the “accompanying prospectus” mean the HSBC USA Inc. prospectus, dated April 2, 2009.
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Final Terms
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Issuer
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HSBC USA Inc. (“HSBC”)
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Principal Amount
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$10 per Security (subject to a minimum investment of $1,000).
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Term
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12 months, unless earlier called.
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Trade Date
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March 29, 2011
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Settlement Date
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March 31, 2011
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Final Valuation Date
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March 30, 2012, subject to adjustment in the event of a Market Disruption Event.
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Maturity Date
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April 5, 2012, subject to adjustment in the event of a Market Disruption Event.
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Reference Share
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Common stock of CONSOL Energy Inc. (Ticker: CNX)
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Call Feature
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The Securities will be automatically called if the Closing Price of the Reference Share on any Observation Date is equal to or greater than the Initial Share Price. If the Securities are called, HSBC will pay you on the applicable Call Settlement Date a cash payment per Security equal to the Call Price for the applicable Observation Date.
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Observation Dates
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April 26, 2011, May 25, 2011, June 27, 2011, July 26, 2011, August 26, 2011, September 27, 2011, October 26, 2011, November 25, 2011, December 27, 2011, January 26, 2012, February 24, 2012 and the Final Valuation Date (March 30, 2012), each subject to postponement in the event of a Market Disruption Event.
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Call Settlement Dates
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With respect to the first eleven Observation Dates, two business days following the applicable Observation Date. For the Final Valuation Date the Call Settlement Date will be the Maturity Date.
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Call Price
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The Call Price equals the Principal Amount per Security plus the applicable Call Return.
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Call Return/Call Return Rate
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The Call Return, and therefore the Call Price, increases the longer the Securities are outstanding and will be based on the Call Return Rate of 24.40% per annum.
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Observation Date
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Call Return
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Call Price (per $10.00 Security)
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April 26, 2011
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2.03%
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$10.203
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May 25, 2011
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4.07%
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$10.407
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June 27, 2011
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6.10%
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$10.610
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July 26, 2011
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8.13%
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$10.813
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August 26, 2011
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10.17%
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$11.017
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September 27, 2011
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12.20%
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$11.220
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October 26, 2011
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14.23%
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$11.423
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November 25, 2011
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16.27%
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$11.627
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December 27, 2011
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18.30%
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$11.830
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January 26, 2012
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20.33%
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$12.033
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February 24, 2012
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22.37%
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$12.237
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Final Valuation Date
(March 30, 2012)
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24.40%
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$12.440
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Payment at Maturity (per $10 Security)
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If the Securities are not called, you will receive a payment on the Maturity Date calculated as follows:
If the Final Share Price of the Reference Share is equal to or greater than the Trigger Price on the Final Valuation Date, HSBC will pay you a cash payment on the Maturity Date equal to $10 per $10 Principal Amount of Securities.1
If the Final Share Price of the Reference Share is below the Trigger Price on the Final Valuation Date, HSBC will pay you a cash payment on the Maturity Date that is less than the Principal Amount, equal to:
$10 × (1 + Reference Share Return).
In this case, you will have a loss that is proportionate to the decline in the Final Share Price from the Initial Share Price and you will lose some or all of your Principal Amount.
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Reference Share Return
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Final Share Price - Initial Share Price
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Initial Share Price
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Trigger Price
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$36.93, which is 70.00% of the Initial Share Price.
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Investment Timeline
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Observation Period
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The period from, but excluding, the Trade Date to, and including, the Final Valuation Date.
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Initial Share Price
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$52.75, which was the Closing Price of the Reference Share on the Trade Date.
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Final Share Price
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The Closing Price of the Reference Share on the Final Valuation Date.
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Closing Price
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The Closing Price on any scheduled trading day during the Observation Period will be the official price of the Reference Share on the Relevant Exchange (as defined herein) as of the close of the regular trading session of such exchange and as reported in the official price determination mechanism for such exchange, as adjusted by the calculation as described under “Anti-dilution and Reorganization Adjustments” below.
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Calculation Agent
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HSBC USA Inc. or one of its affiliates.
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Paying Agent
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HSBC Bank USA, N.A. will act as Paying Agent with respect to the Securities pursuant to a Paying Agent and Securities Registrar Agreement dated June 1, 2009, between HSBC USA Inc. and HSBC Bank USA, N.A.
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Trustee
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Notwithstanding anything contained in the accompanying prospectus supplement to the contrary, the Securities 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.
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Investor Suitability
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The Securities may be suitable for you if:
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You are willing to make an investment where you could lose some or all of your initial investment and are willing to make an investment that may have the same downside market risk as an investment directly in the Reference Share.
¨ You believe the Final Share Price will not be below the Trigger Price on the Final Valuation Date, but you are willing to lose up to 100% of your principal if the Securities are not called and the Final Share Price is below the Trigger Price on the Final Valuation Date.
¨ You understand and accept that you will not participate in any appreciation in the price of the Reference Share and your potential return is limited to the applicable Call Return.
¨ You are willing to invest in the Securities based on the Call Return Rate of 24.40% per annum.
¨ You believe the Reference Share will remain stable for the term of the Securities and the Closing Price of the Reference Share will be equal to or greater than the Initial Share Price on at least one Observation Date, including the Final Valuation Date.
¨ You are willing to hold Securities that will be automatically called on the earliest Observation Date on which the Closing Price is equal to or greater than the Initial Share Price, or you are otherwise willing to hold the Securities to maturity, a term of 1 year, and do not seek an investment for which there is an active secondary market.
¨ You do not seek current income from this investment and are willing to forgo dividends paid on the Reference Share.
¨ You are willing to assume the credit risk associated with HSBC, as issuer of the Securities, and understand that if HSBC defaults on its obligation you may not receive any amounts due to you including the repayment of principal.
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The Securities may not be suitable for you if:
¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You believe the Securities will not be called and the Final Share Price will be below the Trigger Price on the Final Valuation Date.
¨ You seek an investment that is designed to return your full Principal Amount at maturity.
¨ You are not willing to make an investment in which you could lose some or all of your Principal Amount and you are not willing to make an investment that may have the same downside market risk as an investment directly in the Reference Share.
¨ You seek an investment that participates in the full appreciation in the price of the Reference Share or that has unlimited return potential.
¨ You are not willing to invest in the Securities based on the Call Return Rate of 24.40% per annum.
¨ You are unable or unwilling to hold securities that will be automatically called on the earliest Observation Date on which the Closing Price is equal to or greater than the Initial Share Price, or you are otherwise unable or unwilling to hold the Securities to maturity, a term of 1 year, and seek an investment for which there will be an active secondary market.
¨ You prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.
¨ You seek current income from your investment or prefer to receive the dividends paid on the Reference Share.
¨ You are not willing or are unable to assume the credit risk associated with HSBC, as issuer of the Securities, including any repayment of principal.
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What are the tax consequences of the Securities?
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You should carefully consider, among other things, the matters set forth in the section “Certain U.S. Federal Income Tax Considerations” in the prospectus supplement. The following discussion summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of each of the Securities. This summary supplements the section “Certain U.S. Federal Income Tax Considerations” in the prospectus supplement and supersedes it to the extent inconsistent therewith. This summary does not address the tax consequences that may be relevant to persons that own in the aggregate, directly or indirectly (including by reason of investing in the Securities), more than 5% of the issuer of the Reference Share. Notwithstanding any disclosure in the accompanying prospectus supplement to the contrary, HSBC’s special U.S. tax counsel in this transaction is Sidley Austin llp.
There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Securities. Under one reasonable approach, the Securities should be treated as pre-paid forward or other executory contracts with respect to the Reference Share. HSBC intends to treat the Securities consistent with this approach, and pursuant to the terms of the Securities, you agree to treat the Securities under this approach for all U.S. federal income tax purposes. Subject to certain limitations described in the prospectus supplement, and based on certain factual representations received from HSBC, in the opinion of HSBC’s special U.S. tax counsel, Sidley Austin llp, it is reasonable to treat the Securities in accordance with this approach. Pursuant to this approach, HSBC does not intend to report any income or gain with respect to the Securities prior to their maturity or an earlier sale, exchange or call and HSBC intends to treat any gain or loss upon maturity or an earlier sale, exchange or call as either short-term or long-term capital gain or loss, depending on your holding period in the Security at such time for U.S. federal income tax purposes. See “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes — Certain Notes Treated as Forward Contracts or Executory Contracts” in the prospectus supplement for certain U.S. federal income tax considerations applicable to securities that are treated as pre-paid cash-settled forward or other executory contracts.
HSBC will not attempt to ascertain whether the issuer of the Reference Share would be treated as a United States real property holding corporation (“USRPHC”), as defined for U.S. federal income tax purposes. If the issuer of the Reference Share were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC by the issuer of the Reference Share and consult your tax advisor regarding the possible consequences to you if the issuer of the Reference Share is or becomes a USRPHC.
Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Securities, other characterizations and treatments are possible and the timing and character of income in respect of the Securities might differ from the treatment described above. For example, the Securities could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal income tax purposes, subject to the treatment described under the heading “Certain U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments” in the prospectus supplement.
In Notice 2008-2, the Internal Revenue Service (“IRS”) and the Treasury Department requested comments as to whether the purchaser of an exchange traded note or pre-paid forward contract (which may include the Securities) should be required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain on such a note or contract should be ordinary or capital, and whether foreign holders should be subject to withholding tax on any deemed income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder (as defined in the prospectus supplement) of a Security is required to accrue income in respect of the Securities prior to the receipt of payments with respect to the Securities or their earlier sale. Moreover, it is possible that any such regulations or other guidance could treat all income and gain of a U.S. holder in respect of the Securities as ordinary income (including gain on a sale). Finally, it is possible that a non-U.S. holder (as defined in the prospectus supplement) of the Securities could be subject to U.S. withholding tax in respect of the Securities. It is unclear whether any regulations or other guidance would apply to the Securities (possibly on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice 2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax treatment of the Securities.
PROSPECTIVE PURCHASERS OF SECURITIES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE U.S. FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF SECURITIES.
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Key Risks
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Risk of Loss at Maturity – The Securities differ from ordinary debt securities in that HSBC will not necessarily pay the full Principal Amount of the Securities. If the Securities are not called, HSBC will only pay you the Principal Amount of your Securities in cash if the Final Share Price is greater than or equal to the Trigger Price and will only make such payment at maturity. If the Securities are not called and the Final Share Price is less than the Trigger Price, you will lose some or all of your initial investment in an amount proportionate to the decline in the Final Share Price from the Initial Share Price.
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The Contingent Repayment of Principal Applies Only at Maturity — You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your initial investment even if the stock price of the Reference Share is then above the Trigger Price.
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¨
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Certain Built-in Costs are Likely to Adversely Affect the Value of the Securities Prior to Maturity – You should be willing to hold your Securities to maturity. The Securities are not designed to be short-term trading instruments. The price at which you will be able to sell your Securities to us, our affiliates or any party in the secondary market prior to maturity, if at all, may be at a substantial discount from the Principal Amount of the Securities, even in cases where the Reference Share has appreciated since the Trade Date.
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Reinvestment Risk – If your Securities are called early, the term of the Securities will be reduced and you will not receive any payment on the Securities after the applicable Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from an automatic call of the Securities at a comparable rate of return for a similar level of risk. To the extent you are able to reinvest such proceeds in an investment comparable to the Securities, you may incur transaction costs. Because the Securities may be called as early as one month after issuance, you should be prepared in the event the Securities are called early.
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Credit of Issuer – The Securities are senior unsecured debt obligations of the issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Securities will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Securities, including any contingent repayment of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Securities and, in the event HSBC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities and could lose your entire investment.
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¨
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Higher Call Return Rates are Generally Associated With a Greater Risk of Loss — Greater expected volatility with respect to the Reference Share reflects a higher expectation as of the Trade Date that the Closing Price of the Reference Share could be below the Trigger Price on the Final Valuation Date. This greater expected risk will generally be reflected in a higher Call Return Rate for that Security. However, while the Call Return Rate is set on the Trade Date, the Reference Share’s volatility can change significantly over the term of the Securities. The price of the Reference Share could fall sharply, which could result in a significant loss of principal.
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Single Stock Risk — The price of the Reference Share can rise or fall sharply due to factors specific to that Reference Share and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial and other information filed periodically by the applicable underlying stock issuer with the SEC.
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Limited Return on the Securities – The return potential of the Securities is limited to the applicable Call Return regardless of the appreciation of the Reference Share. In addition, because the Call Return, and therefore the Call Price, increases the longer the Securities have been outstanding, the Call Price payable on earlier Call Settlement Dates is less than the Call Price payable on later Call Settlement Dates. Your Securities could be called as early as the first monthly Observation Date and your return would therefore be less than if the Securities were called on a later date. If the Securities are not called, you will not participate in any appreciation in the Closing Price of the Reference Share even though you will be subject to the risk of a decline in the Closing Price of the Reference Share. As a result, the return on an investment in the Securities could be less than the return on a direct investment in the Reference Share.
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No Assurances of a Flat or Bullish Environment - While the Securities are structured to provide positive returns in a flat or bullish environment, we cannot assure you of the economic environment during the term or at maturity of your Securities.
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Lack of Liquidity – The Securities will not be listed on any securities exchange or quotation system. One of our affiliates may offer to repurchase the Securities in the secondary market but is not required to do so and may cease any such market-making activities at any time without notice. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which one of our affiliates is willing to buy the Securities, which will exclude any fees or commissions you paid when you purchased the Securities.
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No Interest – As a holder of the Securities, you will not receive periodic interest payments.
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Owning the Securities is Not the Same as Owning the Reference Share — The return on your Securities may not reflect the return you would realize if you actually owned the Reference Share. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the Reference Share would have. Furthermore, the Reference Share may appreciate substantially during the term of your Securities and you will not participate in such appreciation.
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¨
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Potentially Inconsistent Research, Opinions or Recommendations by HSBC, UBS or Their Respective Affiliates – HSBC, UBS Financial Services Inc. or their respective affiliates, may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding any offering of the Securities and which may be revised at any time. Any such research, opinions or recommendations could affect the value of the Reference Share and therefore, the market value of the Securities.
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Potential HSBC Impact on Price – Trading or transactions by HSBC USA Inc. or any of its affiliates in the Reference Share, or in futures, options, exchange-traded funds or other derivative products on the Reference Share, may adversely affect the market value of the Reference Share and, therefore, the market value of the Securities.
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¨
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Potential Conflict of Interest – HSBC and its affiliates may engage in business with the issuer of the Reference Share, which may
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Price Prior to Maturity — The market price of the Securities will be influenced by many unpredictable and interrelated factors, including the price of the Reference Share; the volatility of the Reference Share; the dividend rate paid on the Reference Share; the time remaining to the maturity of the Securities; interest rates; geopolitical conditions and economic, financial, political and regulatory or judicial events; and the creditworthiness of HSBC.
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¨
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There is Limited Anti-dilution Protection — The Calculation Agent will adjust the Closing Price, which will affect the Reference Share Return and, consequently, the Payment at Maturity, for certain events affecting the Reference Share, such as stock splits and corporate actions. The Calculation Agent is not required to make an adjustment for every corporate action which affects the Reference Share. If an event occurs that does not require the Calculation Agent to adjust the amount of the Reference Share, the market price of the notes may be materially and adversely affected. See “Anti-dilution and Reorganization Adjustments” below for additional information.
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¨
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The Securities are Not Insured by any Governmental Agency of The United States or any Other Jurisdiction – The Securities are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Securities is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity of the Securities.
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In Some Circumstances, the Payment You Receive on the Securities May be Based on the Common Stock of Another Company and Not the Reference Share — Following certain corporate events relating to the respective issuer of the Reference Share where such issuer is not the surviving entity, the amount of cash you receive at maturity may be based on the common stock of a successor to the respective Reference Share issuer or any cash or any other assets distributed to holders of the Reference Share in such corporate event. The occurrence of these corporate events and the consequent adjustments may materially and adversely affect the value of the Securities. See “Merger Event and Tender Offer” and “Anti-dilution and Reorganization Adjustments” below for additional information. Regardless of the occurrence of one or more dilution or reorganization events, you should note that at maturity you will receive an amount in cash equal to your Principal Amount unless the Final Share Price of the Reference Share is below the Trigger Price (as such Trigger Price may be adjusted by the Calculation Agent upon occurrence of one or more such events).
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¨
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Uncertain Tax Treatment – There is no direct legal authority as to the proper tax treatment of the Securities, and therefore significant aspects of the tax treatment of the Securities are uncertain as to both the timing and character of any inclusion in income in respect of the Securities. Under one reasonable approach, the Securities should be treated as pre-paid forward or other executory contracts with respect to the Reference Share. HSBC intends to treat the Securities consistent with this approach and pursuant to the terms of the Securities, you agree to treat the Securities under this approach for all U.S. federal income tax purposes. See “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes — Certain Notes Treated as Forward Contracts or Executory Contracts” in the prospectus supplement for certain U.S. federal income tax considerations applicable to securities that are treated as pre-paid cash-settled forward or other executory contracts.
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Hypothetical Scenario Analysis and Examples at Maturity
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Investment term:
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12 months (unless earlier called)
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Hypothetical Initial Share Price:
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$100.00
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Hypothetical Trigger Price:
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$70.00 (70% of the Initial Share Price)
|
Observation Dates
|
Call Return*
|
Call Price*
|
April 26, 2011
|
2.03%
|
$10.203
|
May 25, 2011
|
4.07%
|
$10.407
|
June 27, 2011
|
6.10%
|
$10.610
|
July 26, 2011
|
8.13%
|
$10.813
|
August 26, 2011
|
10.17%
|
$11.017
|
September 27, 2011
|
12.20%
|
$11.220
|
October 26, 2011
|
14.23%
|
$11.423
|
November 25, 2011
|
16.27%
|
$11.627
|
December 27, 2011
|
18.30%
|
$11.830
|
January 26, 2012
|
20.33%
|
$12.033
|
February 24, 2012
|
22.37%
|
$12.237
|
Final Valuation Date (March 30, 2012)
|
24.40%
|
$12.440
|
Information about the Reference Share
|
CONSOL Energy Inc.
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$37.67
|
$30.00
|
$37.08
|
4/3/2006
|
6/30/2006
|
$49.09
|
$35.12
|
$46.72
|
7/3/2006
|
9/29/2006
|
$48.90
|
$28.10
|
$31.73
|
10/2/2006
|
12/29/2006
|
$38.71
|
$28.69
|
$32.13
|
1/3/2007
|
3/30/2007
|
$39.65
|
$29.15
|
$39.13
|
4/2/2007
|
6/29/2007
|
$49.85
|
$38.89
|
$46.11
|
7/2/2007
|
9/28/2007
|
$50.21
|
$34.37
|
$46.60
|
10/1/2007
|
12/31/2007
|
$74.18
|
$45.04
|
$71.52
|
1/2/2008
|
3/31/2008
|
$84.18
|
$53.66
|
$69.19
|
4/1/2008
|
6/30/2008
|
$119.10
|
$67.33
|
$112.37
|
7/1/2008
|
9/30/2008
|
$112.21
|
$36.25
|
$45.89
|
10/1/2008
|
12/31/2008
|
$44.13
|
$18.51
|
$28.58
|
1/2/2009
|
3/31/2009
|
$37.61
|
$22.49
|
$25.24
|
4/1/2009
|
6/30/2009
|
$44.11
|
$24.05
|
$33.96
|
7/1/2009
|
9/30/2009
|
$49.84
|
$28.61
|
$45.11
|
10/1/2009
|
12/31/2009
|
$53.50
|
$42.18
|
$49.80
|
1/3/2010
|
3/31/2010
|
$57.93
|
$41.81
|
$42.66
|
4/1/2010
|
6/30/2010
|
$46.94
|
$32.52
|
$33.76
|
7/1/2010
|
9/30/2010
|
$39.82
|
$31.08
|
$36.96
|
10/1/2010
|
12/31/2010
|
$49.34
|
$36.16
|
$48.74
|
1/3/2011
|
3/29/2011*
|
$56.18
|
$45.42
|
$52.75
|
Market Disruption Event
|
Anti-dilution and Reorganization Adjustments
|
Merger Event and Tender Offer
|
Share Delisting, Nationalization and Insolvency
|
A share delisting shall be deemed to have occurred if at any time during the period from and including the issue date to and including the Final Valuation Date the Reference Shares cease to be listed on the Relevant Exchange for those shares for any reason and are not immediately re-listed on a successor exchange which is the New York Stock Exchange, the NASDAQ Global Market or a successor in interest (a “successor exchange”). If the Reference Share is immediately re-listed on a successor exchange, then the Reference Share shall continue to be deemed to be the Reference Share.
A nationalization shall be deemed to have occurred if, at any time during the period from and including the issue date to and including the Final Valuation Date, all or substantially all of the assets of an issuer of Reference Shares are nationalized, expropriated, or are otherwise required to be transferred to any governmental agency, authority or entity.
An insolvency shall be deemed to have occurred if, at any time during the period from and including the issue date to and including the Final Valuation Date, by reason of voluntary or involuntary liquidation, bankruptcy or insolvency or any analogous proceeding involving an issuer of Reference Shares (i) any Reference Shares are required to be transferred to a trustee, liquidator or other similar official or (ii) holders of Reference Shares become legally prohibited from transferring those shares.
If a nationalization, insolvency or share delisting occurs, the Calculation Agent shall accelerate the Maturity Date to the day which is five business days after the announcement date (as defined below). On the accelerated Maturity Date, HSBC shall pay to each holder of Securities the Payment at Maturity and for the purposes of that calculation, the Final Share Price will be deemed to be the Closing Price on the scheduled trading day immediately prior to the announcement date. In addition, the Calculation Agent shall adjust the Payment at Maturity for the value of the imbedded options that would preserve for a holder of Securities the economic equivalent of any remaining payment obligations with respect to the Securities hereunder. The “announcement date” means (i) in the case of a nationalization, the day of the first public announcement by the relevant government authority that all or substantially all of the assets of the issuer of Reference Shares are to be nationalized, expropriated or otherwise transferred to any governmental agency, authority or entity, (ii) in the case of a delisting event, the day of the first public announcement by the Relevant Exchange that the Reference Share will cease to trade or be publicly quoted on that exchange or (iii) in the case of an insolvency, the day of the first public announcement of the institution of a proceeding or presentation of a petition or passing of a resolution (or other analogous procedure in any jurisdiction) that leads to an insolvency with respect to the issuer of Reference Shares.
All determinations made by the Calculation Agent will be at the sole discretion of the Calculation Agent and will be conclusive for all purposes and binding on the holders of Securities, absent manifest error.
|
Events of Default and Acceleration
|
If the Securities have become immediately due and payable following an event of default (as defined in the accompanying prospectus) with respect to the Securities, the Calculation Agent will determine the accelerated payment due and payable at maturity in the same general manner as described in “Payment at Maturity” in this pricing supplement. In that case, the scheduled trading day preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Final Share Price. If a Market Disruption Event exists with respect to the Reference Share on that scheduled trading day, then the accelerated Final Valuation Date for the Reference Share will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated maturity date will then be the fourth business day following the postponed accelerated Final Valuation Date.
If the Securities have become immediately due and payable following an event of default, you will not be entitled to any additional payments with respect to the Securities. For more information, see “Description of Debt Securities — Events of Default” and “— Events of Default; Defaults” in the prospectus.
|
Supplemental Plan of Distribution
|
Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc., an affiliate of HSBC, will purchase the Securities from HSBC for distribution to UBS Financial Services Inc. (the “Agent”). HSBC has agreed to sell to the Agent, and the Agent has agreed to purchase, all of the Securities at the price indicated on the cover of this pricing supplement. HSBC has agreed to indemnify the Agent against liabilities, including liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agent may be required to make relating to these liabilities as described in the accompanying prospectus supplement and the prospectus. UBS Financial Services Inc. may allow a concession not in excess of the underwriting discount to its affiliates.
Subject to regulatory constraints, HSBC USA Inc. (or an affiliate thereof) intends to offer to purchase the Securities in the secondary market, but is not required to do so. HSBC or HSBC’s affiliate will enter into swap agreements or related hedge transactions with one of HSBC’s other affiliates or unaffiliated counterparties in connection with the sale of the Securities and the agent and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “Supplemental Plan of Distribution” on page S-52 in the accompanying prospectus supplement. All references to NASD Rule 2720 in the prospectus supplement shall be to FINRA Rule 5121.
|
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