Title of Each Class of
Securities Offered
|
Maximum Aggregate
Offering Price |
Amount of
Registration Fee (1) |
||
HSBC USA Inc. Notes Linked to a Weighted Basket of Three Buffered
Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE™ 100 Index and the Tokyo Stock Price Index due May 31, 2012 |
$46,921,000
|
$5,447.53
|
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-158385
PRICING SUPPLEMENT
Dated May 13, 2011
(To Prospectus dated April 2, 2009,
Prospectus Supplement dated April 9, 2009,
and Product Supplement dated April 9, 2009)
|
Structured
Investments
|
HSBC USA Inc.
$46,921,000
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE™ 100 Index and the Tokyo Stock Price Index, and related Currencies, due May 31, 2012 (the “Notes”)
|
|
·
|
Terms used in this pricing supplement are described or defined herein, in the accompanying product supplement, prospectus supplement and prospectus. The Notes offered will have the terms described in the product supplement, prospectus supplement and prospectus. The Notes are not principal protected, and you may lose up to 100.00% of your initial investment.
|
|
·
|
All references to “Enhanced Market Participation Notes” in the product supplement shall refer to these Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components.
|
|
·
|
This pricing supplement relates to a single Note offering. The purchaser of a Note will acquire a security linked to the Reference Asset described below.
|
|
·
|
Although the offering relates to a Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset, any Basket Component, any Basket Currency or any component security included in any Basket Component or as to the suitability of an investment in the related Notes.
|
|
·
|
Senior unsecured obligations of HSBC USA Inc. maturing May 31, 2012.
|
|
·
|
Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.
|
|
·
|
If the terms of the Notes set forth below are inconsistent with those described in the accompanying product supplement, prospectus supplement and prospectus, the terms set forth below will supersede.
|
Issuer:
|
HSBC USA Inc.
|
Reference Asset:
|
The Notes are linked to a weighted basket consisting of three indices (each a “Basket Component,” and together, the “Basket Components”) as adjusted by their respective spot exchange rates (each a “Basket Currency,” and together, the “Basket Currencies”) as set forth below:
|
Basket Component
|
Ticker
|
Basket Currency
|
Component Weighting
|
Buffer
Amount |
Upside
Participation Rate |
Maximum
Return |
Downside
Leverage Factor |
EURO STOXX 50® Index
|
SX5E
|
Euro
(“EURUSD”) |
53.00%
|
10.00%
|
200%
|
20.00%
|
1.11111
|
FTSE™ 100 Index
|
UKX
|
British pound
(“GBPUSD”) |
24.00%
|
10.00%
|
200%
|
18.00%
|
1.11111
|
Tokyo Stock Price Index
|
TPX
|
Japanese yen
(“JPYUSD”) |
23.00%
|
10.00%
|
200%
|
8.00%
|
1.11111
|
Principal Amount:
|
$1,000 per Note.
|
Trade Date:
|
May 13, 2011
|
Pricing Date:
|
May 13, 2011
|
Original Issue Date:
|
May 18, 2011
|
Final Valuation Date:
|
May 25, 2012, subject to adjustment as described herein and in the accompanying product supplement.
|
Ending Averaging Dates:
|
May 21, 2012, May 22, 2012, May 23, 2012, May 24, 2012 and May 25, 2012 (the Final Valuation Date), subject to adjustment as described herein and in the accompanying product supplement.
|
Maturity Date:
|
3 business days after the Final Valuation Date and is expected to be May 31, 2012. The Maturity Date is subject to further adjustment as described under “Market Disruption Events” herein and under “Specific Terms of the Notes — Market Disruption Events” in the accompanying product supplement.
|
Payment at Maturity:
|
For each Note, the Cash Settlement Value.
|
Maximum Note Return:
|
16.76%. The Maximum Note Return reflects the weighted average of each Basket Component’s Maximum Return. In no event will the return on your Notes exceed the Maximum Note Return of 16.76%. This means the Payment at Maturity for each $1,000 Principal Amount of Notes will not exceed $1,167.60.
|
Cash Settlement Value:
|
For each Note, you will receive a cash payment on the Maturity Date that is based on the Basket Return, calculated as follows:
|
$1,000 + ($1,000 × Basket Return)
|
|
Note that the Basket Return will never exceed the Maximum Note Return of 16.76%.
|
|
Basket Return:
|
The sum of the products of (a) the Component Return of each Basket Component multiplied by (b) the Component Weighting of such Basket Component.
|
Component Return:
|
With respect to each Basket Component, the Component Return will be calculated as follows:
|
If the Basket Component’s respective Underlying Return is positive, the Component Return will be an amount equal to the lesser of:
|
|
(i) the product of (a) the Underlying Return multiplied by (b) the applicable Upside Participation Rate; and
|
|
(ii) the applicable Maximum Return.
|
|
If the Basket Component’s Underlying Return is less than or equal to 0.00% but greater than or equal to -10.00%, meaning that the level of that Basket Component has declined by no more than the 10.00% Buffer Amount, the Component Return will be zero.
|
|
If the Basket Component’s Underlying Return is less than –10.00%, meaning that the level of that Basket Component declines by more than the 10.00% Buffer Amount, the Component Return will be the product, expressed as a percentage, of (a) the applicable Underlying Return plus the 10.00% Buffer Amount and (b) the Downside Leverage Factor of 1.11111. This means that if each Underlying Return is -100.00%, you will lose your entire investment.
|
|
Underlying Return:
|
With respect to each Basket Component, the quotient, expressed as a percentage, of (i) the Final Level of the Basket Component minus its Initial Level, divided by (ii) its Initial Level, expressed as a formula:
|
Final Level – Initial Level
|
|
Initial Level
|
|
Initial Level:
|
With respect to SX5E, 4,111.7793, with respect to UKX, 9,604.6501, and with respect to TPX, 10.4004, in each case representing the product of (a) the Official Closing Level (as defined below) of the respective Basket Component as determined by the Calculation Agent on the Pricing Date multiplied by (b) the Initial Spot Rate corresponding to the Basket Component.
|
Final Level:
|
With respect to each Basket Component, the arithmetic average of amounts determined by the Calculation Agent on each of the Ending Averaging Dates determined by multiplying (a) the Official Closing Level of the Basket Component on an Ending Averaging Date by (b) the Spot Rate corresponding to the Basket Component on such date.
|
Official Closing Level:
|
With respect to each Basket Component, the Official Closing Level on any scheduled trading day as determined by the Calculation Agent based upon the level displayed on Bloomberg Professional® service page “SX5E <INDEX>” with respect to SX5E, page “UKX <INDEX>” with respect to UKX, and page “TPX <INDEX>” with respect to TPX, or with respect to each Basket Component any successor page on Bloomberg Professional® service or any successor service, as applicable.
|
Spot Rate:
|
For the Euro, on any scheduled trading day, the official MID WM Reuters fixing at 4 pm London time, as determined by the Calculation Agent, expressed as the number of U.S. dollars per one Euro, subject to adjustments as described under “Currency Disruption Events” herein. For the British pound, on any scheduled trading day, the official MID WM Reuters fixing at 4 pm London time, as determined by the Calculation Agent, expressed as the number of U.S. dollars per one British pound, subject to adjustments as described under “Currency Disruption Events” herein. For the Japanese yen, on any scheduled trading day, (a) 1 divided by (b) the official MID WM Reuters fixing at 4 pm London time, as determined by the Calculation Agent, expressed as the number of Japanese yen per one U.S. dollar, subject to adjustments as described under “Currency Disruption Events”.
|
Initial Spot Rate:
|
With respect to EURUSD, 1.4205, with respect to GBPUSD, 1.6208, and with respect to JPYUSD, 1/80.76, in each case representing the Spot Rate as determined by the Calculation Agent in its sole discretion on the Pricing Date.
|
Calculation Agent:
|
HSBC USA Inc. or one of its affiliates
|
CUSIP/ISIN:
|
4042K1HQ9 / US4042K1HQ95
|
Form of Notes:
|
Book-Entry
|
Listing:
|
The Notes will not be listed on any U.S. securities exchange or quotation system.
|
Price to Public(1)
|
Fees and Commissions
|
Proceeds to Issuer
|
|
Per Note
|
$1,000
|
$10
|
$990
|
Total
|
$46,921,000
|
$469,210
|
$46,451,790
|
•
|
the product supplement at www.sec.gov/Archives/edgar/data/83246/000114420409019791/v145840_424b2.htm
|
•
|
the prospectus supplement at www.sec.gov/Archives/edgar/data/83246/000114420409019785/v145824_424b2.htm
|
•
|
SX5E
|
UKX
|
TPX
|
||||||||
Hypothetical
Final Level |
Hypothetical
Underlying Return |
Hypothetical
Component Return |
Hypothetical
Final Level |
Hypothetical
Underlying Return |
Hypothetical
Component Return |
Hypothetical
Final Level |
Hypothetical
Underlying Return |
Hypothetical
Component Return |
||
7,401.2027
|
80.00%
|
20.0000%
|
17,288.3702
|
80.00%
|
18.0000%
|
18.7207
|
80.00%
|
8.0000%
|
||
6,784.4358
|
65.00%
|
20.0000%
|
15,847.6727
|
65.00%
|
18.0000%
|
17.1607
|
65.00%
|
8.0000%
|
||
6,167.6690
|
50.00%
|
20.0000%
|
14,406.9752
|
50.00%
|
18.0000%
|
15.6006
|
50.00%
|
8.0000%
|
||
5,756.4910
|
40.00%
|
20.0000%
|
13,446.5101
|
40.00%
|
18.0000%
|
14.5606
|
40.00%
|
8.0000%
|
||
5,345.3131
|
30.00%
|
20.0000%
|
12,486.0451
|
30.00%
|
18.0000%
|
13.5205
|
30.00%
|
8.0000%
|
||
4,934.1352
|
20.00%
|
20.0000%
|
11,525.5801
|
20.00%
|
18.0000%
|
12.4805
|
20.00%
|
8.0000%
|
||
4,522.9572
|
10.00%
|
20.0000%
|
10,565.1151
|
10.00%
|
18.0000%
|
11.4404
|
10.00%
|
8.0000%
|
||
4,481.8394
|
9.00%
|
18.0000%
|
10,469.0686
|
9.00%
|
18.0000%
|
11.3364
|
9.00%
|
8.0000%
|
||
4,399.6039
|
7.00%
|
14.0000%
|
10,276.9756
|
7.00%
|
14.0000%
|
11.1284
|
7.00%
|
8.0000%
|
||
4,317.3683
|
5.00%
|
10.0000%
|
10,084.8826
|
5.00%
|
10.0000%
|
10.8164
|
4.00%
|
8.0000%
|
||
4,194.0149
|
2.00%
|
4.0000%
|
9,796.7431
|
2.00%
|
4.0000%
|
10.6084
|
2.00%
|
4.0000%
|
||
4,152.8971
|
1.00%
|
2.0000%
|
9,700.6966
|
1.00%
|
2.0000%
|
10.5044
|
1.00%
|
2.0000%
|
||
4,111.7793
|
0.00%
|
0.0000%
|
9,604.6501
|
0.00%
|
0.0000%
|
10.4004
|
0.00%
|
0.0000%
|
||
4,070.6615
|
-1.00%
|
0.0000%
|
9,508.6036
|
-1.00%
|
0.0000%
|
10.2964
|
-1.00%
|
0.0000%
|
||
3,906.1903
|
-5.00%
|
0.0000%
|
9,124.4176
|
-5.00%
|
0.0000%
|
9.8804
|
-5.00%
|
0.0000%
|
||
3,700.6014
|
-10.00%
|
0.0000%
|
8,644.1851
|
-10.00%
|
0.0000%
|
9.3604
|
-10.00%
|
0.0000%
|
||
3,289.4234
|
-20.00%
|
-11.1111%
|
7,683.7201
|
-20.00%
|
-11.1111%
|
8.3203
|
-20.00%
|
-11.1111%
|
||
2,878.2455
|
-30.00%
|
-22.2222%
|
6,723.2551
|
-30.00%
|
-22.2222%
|
7.2803
|
-30.00%
|
-22.2222%
|
||
2,467.0676
|
-40.00%
|
-33.3333%
|
5,762.7901
|
-40.00%
|
-33.3333%
|
6.2402
|
-40.00%
|
-33.3333%
|
||
2,055.8897
|
-50.00%
|
-44.4444%
|
4,802.3251
|
-50.00%
|
-44.4444%
|
5.2002
|
-50.00%
|
-44.4444%
|
||
1,644.7117
|
-60.00%
|
-55.5555%
|
3,841.8600
|
-60.00%
|
-55.5555%
|
4.1602
|
-60.00%
|
-55.5555%
|
||
1,233.5338
|
-70.00%
|
-66.6666%
|
2,881.3950
|
-70.00%
|
-66.6666%
|
3.1201
|
-70.00%
|
-66.6666%
|
||
822.3559
|
-80.00%
|
-77.7777%
|
1,920.9300
|
-80.00%
|
-77.7777%
|
2.0801
|
-80.00%
|
-77.7777%
|
||
411.1779
|
-90.00%
|
-88.8888%
|
960.4650
|
-90.00%
|
-88.8888%
|
1.0400
|
-90.00%
|
-88.8888%
|
||
0.00
|
-100.00%
|
-100.0000%
|
0.00
|
-100.00%
|
-100.0000%
|
0.00
|
-100.00%
|
-100.0000%
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
4,317.3683
|
10,084.8826
|
10.5044
|
Underlying Return
|
5%
|
5%
|
1%
|
Component Return
|
10%
|
10%
|
2%
|
Basket Return
|
8.16%
|
||
Payment at Maturity
|
$1,081.60
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component Return × UKX Component Weighting) + (TPX Component Return × TPX Component Weighting)
|
=
|
(10.00% × 53.00%) + (10.00% × 24.00%) + (2.00% × 23.00%)
|
=
|
8.16%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 × 8.16%)
|
=
|
$1,081.60
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
4,934.1352
|
11,525.5801
|
11.4404
|
Underlying Return
|
20%
|
20%
|
10%
|
Component Return
|
20%
|
18%
|
8%
|
Basket Return
|
16.76%
|
||
Payment at Maturity
|
$1,167.60
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component × UKX Component Weighting + (TPX Component Return × TPX Component Weighting)
|
=
|
(20.00% × 53.00%) + (18.00% × 24.00%) + (8.00% × 23.00%)
|
=
|
16.76%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 × 16.76%)
|
=
|
$1,167.60
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
4,934.1352
|
10,084.8826
|
10.5044
|
Underlying Return
|
20%
|
5%
|
1%
|
Component Return
|
20%
|
10%
|
2%
|
Basket Return
|
13.46%
|
||
Payment at Maturity
|
$1,134.60
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component Return × UKX Component Weighting) + (TPX Component Return × TPX Component Weighting)
|
=
|
(20.00% × 53.00%) + (10.00% × 24.00%) + (2.00% × 23.00%)
|
=
|
13.46%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 × 13.46%)
|
=
|
$1,134.60
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
3,906.1903
|
9,124.4176
|
9.8804
|
Underlying Return
|
-5%
|
-5%
|
-5%
|
Component Return
|
0%
|
0%
|
0%
|
Basket Return
|
0%
|
||
Payment at Maturity
|
$1,000.00
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
3,289.4234
|
6,723.2551
|
7.2803
|
Underlying Return
|
-20%
|
-30%
|
-30%
|
Component Return
|
-11.1111%
|
-22.2222%
|
-22.2222%
|
Basket Return
|
-16.333%
|
||
Payment at Maturity
|
$836.67
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component Return × UKX Component Weighting) + (TPX Component Return × TPX Component Weighting)
|
=
|
(-11.1111% × 53.00%) + (-22.2222% × 24.00%) + (-22.2222% × 23.00%)
|
=
|
-16.333%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 × -16.333%)
|
=
|
$836.67
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
3,289.4234
|
9,124.4176
|
8.3203
|
Underlying Return
|
-20%
|
-5%
|
-20%
|
Component Return
|
-11.1111%
|
0%
|
-11.1111%
|
Basket Return
|
-8.444%
|
||
Payment at Maturity
|
$915.56
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component Return × UKX Component Weighting) + (TPX Component Return × TPX Component Weighting)
|
=
|
(-11.1111% × 53.00%) + (0% × 24.00%) + (-11.1111% × 23.00%)
|
=
|
-8.444%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 ×-8.444%)
|
=
|
$915.56
|
Basket Component
|
SX5E
|
UKX
|
TPX
|
Basket Currency
|
Euro
|
British pound
|
Japanese yen
|
Weighting
|
53%
|
24%
|
23%
|
Maximum Return
|
20%
|
18%
|
8%
|
Initial Level
|
4,111.7793
|
9,604.6501
|
10.4004
|
Hypothetical Final Level
|
4,317.3683
|
7,683.7201
|
8.3203
|
Underlying Return
|
5%
|
-20%
|
-20%
|
Component Return
|
10%
|
-11.1111%
|
-11.1111%
|
Basket Return
|
0.078%
|
||
Payment at Maturity
|
$1,078.00
|
Basket Return
|
=
|
(SX5E Component Return × SX5E Component Weighting) + (UKX Component Return × UKX Component Weighting) + (TPX Component Return × TPX Component Weighting)
|
=
|
(10.00% × 53.00%) + (-11.1111% × 24.00%) + (-11.1111% × 23.00%)
|
=
|
0.078%
|
Payment at Maturity
|
=
|
$1,000 + ($1,000 × Basket Return)
|
=
|
$1,000 + ($1,000 × 0.078%)
|
=
|
$1,078.00
|
|
·
|
APPRECIATION POTENTIAL — The Notes provide the opportunity for enhanced returns at maturity by multiplying a positive Underlying Return for each Basket Component by its Upside Participation Rate, subject to the Maximum Return of 20.00% for the SX5E, 18.00% for the UKX and 8.00% for the TPX. Accordingly, the maximum Payment at Maturity is $1,167.60 for every $1,000 Principal Amount of Notes. Because the Notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS — Payment at Maturity of the Principal Amount of the Notes is protected against a decline in the Final Level of each Basket Component, as compared to the applicable Initial Level, of up to the applicable Buffer Amount. If the Final Level of a Basket Component declines by more than the applicable Buffer Amount, the Component Return for such Basket Component will be reduced by the full depreciation in the Basket Component below the Buffer Amount multiplied by the Downside Leverage Factor. Accordingly, you may lose up to 100.00% of your investment in the Notes.
|
|
·
|
DIVERSIFICATION AMONG THE BASKET COMPONENTS — Because the Basket Component SX5E as adjusted by the exchange rate of the Euro with respect to the U.S. dollar makes up 53.00% of the basket, we expect that generally the market value of your Notes and your Payment at Maturity will depend significantly on the performance of the SX5E as adjusted by the exchange rate of the Euro with respect to the U.S. dollar. The return on the Notes is linked to a weighted basket consisting of three buffered return enhanced components, each linked to the SX5E, UKX and TPX and the exchange rates of the Euro, the British pound and the Japanese yen, each with respect to the U.S. dollar, respectively. For additional information about each Basket Component and Basket Currency, see the information set forth under “Description of the Reference Asset” herein.
|
|
·
|
TAX TREATMENT — 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, the Notes should be treated as pre-paid forward or other executory contracts with respect to the Basket Components. 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 the Notes as pre-paid forward or other executory contracts with respect to the Basket Components. 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 generally 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.
|
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principal if the Basket Return is less than -10.00%. The return on the Notes at maturity is linked to the performance of the Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar, and will depend on whether, and the extent to which, the Underlying Return with respect to each Basket Component is positive or negative. Your investment will be exposed on a leveraged basis to any decline in the Final Level for any Basket Component beyond the Buffer Amount as compared to its Initial Level. You may lose up to 100.00% of your investment.
|
|
·
|
THE NOTES ARE SUBJECT TO THE CREDIT RISK OF HSBC USA INC. — The Notes are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of
|
|
|
HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE APPLICABLE MAXIMUM RETURN FOR EACH BASKET COMPONENT— If the Final Level of a Basket Component is greater than its Initial Level, the Component Return for such Basket Component will not exceed the Maximum Return of 20.00%, 18.00% and 8.00% for the SX5E, UKX and TPX, respectively, regardless of the appreciation in such Basket Component, which may be greater than their respective Maximum Return and could be significant. Accordingly, the Basket Return will not exceed the Maximum Note Return and your Payment at Maturity will not exceed $1,167.60 for each $1,000 Principal Amount of Notes.
|
|
·
|
CHANGES IN THE LEVELS OF THE BASKET COMPONENTS MAY OFFSET EACH OTHER — Movements in the level of the Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar, may not correlate with each other. At a time when the level of one or more of the Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar, increases, the level of the other Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar, may not increase as much or may even decline. Therefore, in calculating the Basket Return, increases in the level of one or more of the Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar, may be moderated, or more than offset, by lesser increases or declines in the level of the other Basket Components, as adjusted by the exchange rate of the respective Basket Currency with respect to the U.S. dollar. For example, given the Maximum Return for each Basket Component, as set forth on the front cover of this pricing supplement, the negative Component Return resulting from a 20% decline in the Final Level of the SX5E, as compared to its Initial Level, would more than offset the positive Component Returns resulting from any and all appreciation in both of the UKX and the TPX, which appreciation may be significant.
|
|
·
|
SUITABILITY OF NOTES FOR INVESTMENT – A person should reach a decision to invest in the Notes after carefully considering, with his or her advisors, the suitability of the Notes in light of his or her investment objectives and the information set out in this pricing supplement. Neither the Issuer nor any dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment.
|
|
·
|
CURRENCY MARKETS MAY BE VOLATILE — Currency markets may be highly volatile. Significant changes, including changes in liquidity and prices, can occur in such markets within very short periods of time. Foreign currency rate risks include, but are not limited to, convertibility risk and market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may affect the value of the Basket Currencies on the Pricing Date or the Ending Averaging Dates, and therefore, the value of your Notes.
|
|
·
|
LEGAL AND REGULATORY RISKS — Legal and regulatory changes could adversely affect exchange rates. In addition, many governmental agencies and regulatory organizations are authorized to take extraordinary actions in the event of market emergencies. It is not possible to predict the effect of any future legal or regulatory action relating to exchange rates, but any such action could cause unexpected volatility and instability in currency markets with a substantial and adverse effect on the performance of the Basket Currencies on the Pricing Date or on the Ending Averaging Dates and, consequently, the value of the Notes.
|
|
·
|
IF THE LIQUIDITY OF THE BASKET CURRENCIES IS LIMITED, THE VALUE OF THE NOTES WOULD LIKELY BE IMPAIRED — Currencies and derivatives contracts on currencies may be difficult to buy or sell, particularly during adverse market conditions. Reduced liquidity on the Pricing Date or on the Ending Averaging Dates would likely have an adverse effect on the Spot Rate for each Basket Currency, and therefore, on the return on your Notes. Limited liquidity relating to the Basket Currencies may also result in HSBC USA Inc. or one of its affiliates, as Calculation Agent, being unable to determine the Initial Level or Final Level of one or more Basket Components using its normal means. The resulting discretion by the Calculation Agent in determining the Component Return could, in turn, result in potential conflicts of interest.
|
|
·
|
WE HAVE NO CONTROL OVER THE EXCHANGE RATE BETWEEN THE BASKET CURRENCIES AND THE U.S. DOLLAR — Foreign exchange rates can either float or be fixed by sovereign governments. Exchange rates of the currencies used by most economically developed nations are permitted to fluctuate in value relative to the U.S. dollar and to each other. However, from time to time governments may use a variety of techniques, such as intervention by a central bank, the imposition of regulatory controls or taxes or changes in interest rates to influence the exchange rates of their currencies. Governments may also issue a new currency to replace an existing currency or alter the exchange rate or relative exchange characteristics by a devaluation or revaluation of a currency. These governmental actions could change or interfere with currency valuations and currency fluctuations that would otherwise occur in
|
|
|
response to economic forces, as well as in response to the movement of currencies across borders. As a consequence, these government actions could adversely affect an investment in the Notes which are affected by the exchange rate between the Basket Currencies and the U.S. dollar.
|
|
·
|
THE SPOT RATE WILL NOT TAKE INTO ACCOUNT ALL DEVELOPMENTS IN THE BASKET CURRENCIES — Changes in the Basket Currencies during the term of the Notes other than on the Pricing Date or Ending Averaging Dates may not be reflected in the calculation of the Payment at Maturity. Generally, the Calculation Agent will calculate the Initial Level and Final Level by multiplying the Official Closing Level by the Spot Rate on such date, as described above. The Final Level will be calculated only as of the Ending Averaging Dates. As a result, the Component Return may be less than zero even if the Spot Rate had moved favorably at certain times during the term of the Notes before moving to an unfavorable level on one or more of the Ending Averaging Dates.
|
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK — Foreign currency exchange rates vary over time, and may vary considerably during the term of the Notes. The relative values of the U.S. dollar and each of the Basket Currencies are at any moment a result of the supply and demand for such currencies. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political developments in other relevant countries. Of particular importance to currency exchange risk are:
|
|
·
|
existing and expected rates of inflation;
|
|
·
|
existing and expected interest rate levels;
|
|
·
|
the balance of payments in the United States and the countries underlying the Basket Currencies between each country and its major trading partners; and
|
|
·
|
the extent of governmental surplus or deficit in the United States and the countries underlying the Basket Currencies.
|
|
·
|
CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY — While the Payment at Maturity described in this pricing supplement is based on the full Principal Amount of your Notes, the original issue price of the Notes includes the placement agent’s commission and the estimated cost of hedging our obligations under the Notes through one or more of our affiliates. 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 of Notes by you 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.
|
|
·
|
NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — 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 comprising any of the Basket Components would have.
|
|
·
|
PRICE PRIOR TO MATURITY — The market price of your Notes will be influenced by many factors including the level of the dollar-adjusted index, volatilities, dividends, the time remaining to maturity of the Notes, interest rates, geopolitical conditions, the exchange rate or volatility of the exchange rate between the Basket Currencies and the U.S. dollar, economic, political, financial and regulatory or judicial events, and the creditworthiness of HSBC.
|
|
·
|
POTENTIAL HSBC IMPACT ON PRICE — Trading or transactions by HSBC or its affiliates in stocks comprising the Basket Components or in over-the-counter options, futures, or other instruments with returns linked to the performance of the Basket Components or stocks comprising the Basket Components, may adversely affect the market price of the dollar-adjusted index and, therefore, the market value of the securities.
|
|
·
|
POTENTIALLY INCONSISTENT RESEARCH, OPINIONS OR RECOMMENDATIONS BY HSBC — HSBC, J.P. Morgan Securities Inc. and their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding any offering of the securities. Any such research, opinions or recommendations could affect the level of the dollar-adjusted index or the price of the stocks included in the Basket Components, and therefore, the market value of the securities.
|
|
·
|
THE NOTES LACK LIQUIDITY — The Notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. may offer to purchase the Notes in the secondary market but is not required to do so and may cease making such offers at any time. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which HSBC Securities (USA)
|
|
|
Inc. is willing to buy the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily.
|
|
·
|
POTENTIAL CONFLICTS — We and our 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. In addition, we are an affiliate of one of the companies that make up the UKX. We will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the level of the UKX and the Notes.
|
|
·
|
THE NOTES ARE NOT INSURED OR GUARANTEED BY ANY GOVERNMENTAL AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION — The Notes are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of the Issuer, and in the event that we are unable to pay our obligations as they become due, you may not receive the full Payment at Maturity of the Notes.
|
|
·
|
RISKS ASSOCIATED WITH FOREIGN SECURITIES MARKETS — Because stocks or companies included in the Basket Components are publicly traded in the applicable foreign countries and are denominated in currencies other than U.S. dollars, investments in the Notes involve particular risks. For example, the foreign securities markets may be more volatile than the United States securities markets, and market developments may affect these markets differently from the United States or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the United States, as well as cross-shareholdings in certain companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information concerning foreign issuers may vary depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to United States reporting companies.
|
|
·
|
MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the level of the Basket Components on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
|
|
·
|
the expected volatility of the Basket Components;
|
|
·
|
the time to maturity of the Notes;
|
|
·
|
the dividend rate on the equity securities underlying the Basket Components;
|
|
·
|
interest and yield rates in the market generally;
|
|
·
|
a variety of economic, financial, political, regulatory or judicial events;
|
|
·
|
the exchange rates and volatility of the exchange rates between the U.S. dollar and relevant currencies underlying the Basket Components; and
|
|
·
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
Index =
|
free float market capitalization of the SX5E
|
divisor of the SX5E
|
·
|
Sponsor, endorse, sell or promote the Notes.
|
||
·
|
Recommend that any person invest in the Notes or any other securities.
|
||
·
|
Have any responsibility or liability for or make any decisions about the timing, amount or pricing of the Notes.
|
||
·
|
Have any responsibility or liability for the administration, management or marketing of the Notes.
|
||
·
|
Consider the needs of the notes or the owners of the notes in determining, composing or calculating the EURO STOXX 50® Index or have any obligation to do so.
|
||
STOXX and its Licensors will not have any liability in connection with the Notes. Specifically,
|
|||
·
|
STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:
|
||
·
|
The results to be obtained by the Notes, the owner of the notes or any other person in connection with the use of the EURO STOXX 50® Index and the data included in the EURO STOXX 50® Index;
|
||
·
|
The accuracy or completeness of the EURO STOXX 50® Index and its data;
|
||
·
|
The merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index and its data;
|
||
·
|
STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® Index or its data;
|
||
·
|
Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur.
|
||
The licensing agreement between HSBC USA Inc. and STOXX is solely for their benefit and not for the benefit of the owners of the Notes or any other third parties.
|
Index =
|
Current Market Value
|
x 100
|
Base Market Value
|
Adjusted Market Value on Adjustment Date
|
=
|
(Adjusted Market Value on Adjustment Date ± Adjustment Amount)
|
Base Market Value before adjustment
|
Base Market Value after adjustment
|
New Base Market Value
|
=
|
Old Base Market Value x (Adjusted Market Value on Adjustment Date ± Adjustment Amount)
|
Adjusted Market Value on Adjustment Date
|
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