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August 2011
Free Writing Prospectus
Registration Statement No. 333-158385
Dated July 28, 2011
Filed pursuant to Rule 433
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INDICATIVE TERMS
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Issuer:
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HSBC USA Inc.
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Maturity date:
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February 22, 2013, subject to adjustment as described in the accompanying underlying supplement no. 4
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Underlying shares:
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Shares of the iShares® MSCI Brazil Index Fund
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Aggregate principal amount:
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Payment at maturity:
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· If the final share price is greater than the initial share price:
$10 + the leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
· If the final share price is less than or equal to the initial share price and is greater than the trigger level:
$10
· If the final share price is less than or equal to the trigger level:
$10 x the share performance factor
This amount will be less than the stated principal amount of $10, which will result in a loss of at least 10%, and possibly all, of your investment. All payments on the Trigger Plus are subject to the credit risk of HSBC.
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Leveraged upside payment:
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$10 x leverage factor x share percent increase
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Leverage factor:
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150%
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Share percent increase:
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(final share price – initial share price) / initial share price
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Initial share price:
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The closing price of one underlying share on the pricing date as determined by the calculation agent
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Final share price:
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The closing price of one underlying share on the valuation date as determined by the calculation agent, and as adjusted by the calculation agent as described under Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying underlying supplement no. 4.
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Trigger level:
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90% of the initial share price
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Valuation date:
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February 19, 2013, subject to adjustment as described in the accompanying underlying supplement no. 4
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Share performance factor:
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final share price / initial share price
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Maximum payment at maturity:
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$13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
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Stated principal amount:
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$10 per Trigger PLUS
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Issue price:
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$10 per Trigger PLUS (see “Commissions and Issue Price” below)
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Pricing date:
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August 25, 2011
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Original issue date:
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August 30, 2011 (3 business days after the pricing date)
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CUSIP:
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40433C627
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ISIN:
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US40433C6277
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Listing:
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The Trigger PLUS will not be listed on any securities exchange.
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Agent:
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HSBC Securities (USA) Inc., an affiliate of HSBC. See “Supplemental plan of distribution (conflicts of interest)”.
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Commissions and Issue Price:
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Price to Public(1)
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Fees and Commissions(1)(2)
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Proceeds to Issuer
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Per Trigger PLUS
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$10
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$0.20
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$9.80
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Total
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$
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$
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$
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(1)
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The actual price to public and fees and commissions for a particular investor may be reduced for volume purchase discounts depending on the aggregate amount of Trigger PLUS purchased by that investor. The lowest price payable by an investor is $9.925 per Trigger PLUS. Please see “Syndicate Information” on page 7 of this free writing prospectus for further details about the applicable price to public and fees and commissions.
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(2)
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HSBC Securities (USA) Inc., acting as agent for HSBC, will receive a fee of $0.20 per $10 stated principal amount and will pay the entire fee to Morgan Stanley Smith Barney LLC as a fixed sales commission of $0.20 for each Trigger PLUS they sell. See “Supplemental plan of distribution (conflicts of interest).”
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§
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As an alternative to direct exposure to the underlying shares that enhances returns for a certain range of positive performance of the underlying shares
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§
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To enhance positive returns and potentially outperform the underlying shares in a moderately bullish scenario
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§
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To achieve similar levels of exposure to the underlying shares as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor
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§
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To avoid loss in the event of a decline of the underlying shares on the valuation date, but only if the final share price is greater than the trigger level. All payments on the Trigger PLUS are subject to the credit risk of HSBC.
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Maturity:
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18 months
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Leverage factor:
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150%
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Maximum payment at maturity:
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$13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount) (to be determined on the pricing date)
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Trigger level:
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90% of the initial share price
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Coupon:
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None
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Bloomberg Ticker Symbol:
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EWZ
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Current Share Price:
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$71.05
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52 Weeks Ago:
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$66.93
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52 Week High (on November 4, 2010):
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$81.53
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52 Week Low (on August 26, 2010):
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$65.83
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Underlying Shares Historical Performance – Daily Closing Prices
July 21, 2006 to July 21, 2011
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Leveraged Performance
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The Trigger PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying shares.
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Trigger Feature
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At maturity, even if the underlying shares have declined over the term of the notes, you will receive your stated principal amount, but only if the final share price is greater than the trigger level.
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Payment Scenario 1
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The underlying shares increase in price and, at maturity, the Trigger PLUS redeem for the stated principal amount of $10 plus 150% of the share percent increase, subject to a maximum payment at maturity of $13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount).
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Payment Scenario 2
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The underlying shares decline in price but the final share price is greater than the trigger level and, at maturity, the Trigger PLUS redeem for the stated principal amount of $10.
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Payment Scenario 3
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The underlying shares decline in price and the final share price is less than or equal to the trigger level and, at maturity, the Trigger PLUS redeem for less than the stated principal amount by an amount that is proportionate to the decline.
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§
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Risks Relating to All Note Issuances; and
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§
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Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset.
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§
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Additional Risks Relating to Notes Linked to the Performance of Exchange-Traded Funds.
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§
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Securities Prices Generally are Subject to Political, Economic, Financial and Social Factors that Apply to the Markets in Which They Trade and, to a Lesser Extent, Foreign Markets;
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§
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The Notes are Subject to Currency Exchange Risk; and
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§
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There are Risks Associated with Emerging Markets.
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§
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Trigger PLUS do not pay interest and may result in a loss;
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The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity;
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§
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The market price will be influenced by many unpredictable factors;
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There is limited anti-dilution protection;
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An index fund and its share underlying index are different;
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The underlying shares are subject to management risk;
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Credit risk of HSBC USA Inc.;
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Investing in the Trigger PLUS is not equivalent to investing in the underlying shares or the stocks composing the share underlying index;
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Adjustments to the underlying shares or the share underlying index could adversely affect the value of the Trigger PLUS;
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Certain built-in costs are likely to adversely affect the value of the Trigger PLUS prior to maturity;
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The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited;
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The calculation agent, which is HSBC or one of its affiliates, will make determinations with respect to the Trigger PLUS;
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Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS;
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The Trigger PLUS are not insured by any governmental agency of the United States or any other jurisdiction; and
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§
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The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain.
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Expected Key Dates
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Pricing date:
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Original issue date (settlement date):
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Maturity date:
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August 25, 2011
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August 30, 2011 (3 business days after the pricing date)
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February 22, 2013, subject to adjustment as described in the accompanying underlying supplement no. 4
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Key Terms
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Issuer:
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HSBC USA Inc.
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Underlying shares:
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Shares of the iShares® MSCI Brazil Index Fund
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Share underlying index:
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MSCI Brazil Index
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Original issue price:
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$10 per Trigger PLUS (see “Syndicate Information” on page 7 of this free writing prospectus)
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Stated principal amount:
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$10 per Trigger PLUS
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Denominations:
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$10 per Trigger PLUS and integral multiples thereof
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Interest:
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None
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Aggregate principal amount:
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Payment at maturity:
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· If the final share price is greater than the initial share price:
$10 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
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· If the final share price is less than or equal to the initial share price and is greater than the trigger level:
$10
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· If the final share price is less than or equal to the trigger level:
$10 x the share performance factor
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This amount will be less than the stated principal amount of $10, which will result in a loss of at least 10%, and possibly all, of your investment. All payments on the Trigger Plus are subject to the credit risk of HSBC.
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Leveraged upside payment:
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$10 x leverage factor x share percent increase
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Leverage factor:
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150%
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Trigger level:
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90% of the initial share price
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Share percent increase:
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(final share price – initial share price) / initial share price
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Initial share price:
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The closing price of one underlying share on the pricing date as determined by the calculation agent
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Final share price:
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The closing price of one underlying share on the valuation date as determined by the calculation agent, and as adjusted by the calculation agent as described under Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying underlying supplement no. 4.
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Valuation date:
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February 19, 2013, subject to adjustment as described in the accompanying underlying supplement no. 4
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Share performance factor:
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final share price / initial share price
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Maximum payment at maturity:
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$13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
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Risk factors:
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Please see “Risk Factors” beginning on page 11 of this free writing prospectus, page US4-2 of the underlying supplement no. 4, page PS-4 of the product supplement and page S-3 of the prospectus supplement.
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General Information
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Listing:
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The Trigger PLUS will not be listed on any securities exchange.
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CUSIP:
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40433C627
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ISIN:
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US40433C6277
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Minimum ticketing size:
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100 Trigger PLUS
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Tax considerations:
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There is no direct legal authority as to the proper tax treatment of each Trigger PLUS, and therefore significant aspects of the tax treatment of each Trigger PLUS is uncertain as to both the timing and character of any inclusion in income in respect of each Trigger PLUS. Under one approach, each Trigger PLUS could be treated as a pre-paid forward or other executory contract with respect to the underlying shares. We intend to treat each Trigger PLUS consistent with this approach. Pursuant to the terms of each Trigger PLUS, you agree to treat each Trigger PLUS 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 each Trigger PLUS as a pre-paid forward or other executory contract with respect to the underlying shares. Pursuant to this approach and subject to the discussion below regarding “constructive ownership transactions”, we do not intend to report any income or gain with respect to each Trigger PLUS prior to maturity or an earlier sale or exchange and we intend to treat any gain or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the Trigger PLUS for more than one year at such time for U.S. federal income tax purposes.
Despite the foregoing, U.S. holders (as defined in the accompanying prospectus supplement) should be aware that the Internal Revenue Code of 1986, as amended (the “Code”) contains a provision, Section 1260 of the Code, which sets forth rules which are applicable to what it refers to as “constructive ownership transactions.” Due to the manner in which it is drafted, the precise applicability of Section 1260 of the Code to any particular transaction is often uncertain. In general, a “constructive ownership transaction” includes a contract under which an investor will receive payment equal to or credit for the future value of any equity interest in a regulated investment company (such as shares of the iShares® MSCI Brazil Index Fund). Under the “constructive ownership” rules, if an investment in the Trigger PLUS is treated as a “constructive ownership transaction,” any long-term capital gain recognized by a U.S. holder in respect of the Trigger PLUS will be recharacterized as ordinary income to the extent such gain exceeds the amount of “net underlying long-term capital gain” (as defined in Section 1260 of the Code) of the U.S. holder (the “Excess Gain”). In addition, an interest charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in gross income inclusion for the U.S. holder in taxable years prior to the taxable year of the sale, exchange or maturity of the Trigger PLUS (assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange or maturity of the Trigger PLUS).
Although the matter is not clear, there exists a risk that an investment in the Trigger PLUS will be treated as a “constructive ownership transaction.” If such treatment applies, it is not entirely clear to what extent any long-term capital gain recognized by a U.S. holder in respect of the Trigger PLUS will be recharacterized as ordinary income. Accordingly, U.S. holders should consult their tax advisors regarding the potential application of the “constructive ownership” rules.
We will not attempt to ascertain whether any of the entities whose stock is owned by the iShares® MSCI Brazil Index Fund would be treated as a passive foreign investment company (“PFIC”), as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is owned by the iShares® MSCI Brazil Index Fund were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock is owned by the iShares® MSCI Brazil Index Fund and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is owned by the iShares® MSCI Brazil Index Fund is or becomes a PFIC.
In Notice 2008-2, the Internal Revenue Service and the Treasury Department requested comments as to whether the purchaser of certain securities (which may include the Trigger PLUS) 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 security 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 of a Trigger PLUS is required to accrue income in respect of the Trigger PLUS prior to the receipt of payments under the Trigger PLUS or its earlier sale or exchange. 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 a Trigger PLUS as ordinary income (including gain on a sale or exchange). Finally, it is possible that a non-U.S. holder (as defined in the accompanying prospectus supplement) of the Trigger PLUS could be subject to U.S. withholding tax in respect of a Trigger PLUS. It is unclear whether any regulations or other guidance would apply to the Trigger PLUS (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 Trigger PLUS.
For a further discussion of U.S. federal income tax consequences related to each Trigger PLUS, see the section “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement and the section “Certain U.S. Federal Income Tax Considerations” in the accompanying
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prospectus supplement. | |
Trustee:
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Notwithstanding anything contained in the accompanying prospectus supplement to the contrary, the Trigger PLUS 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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Paying Agent
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Notwithstanding anything contained in the accompanying prospectus supplement or product supplement to the contrary, HSBC Bank USA, N.A. will act as paying agent with respect to the 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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Calculation agent:
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HSBC USA Inc., or one of its affiliates.
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Supplemental plan of distribution (conflicts of interest):
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Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc., an affiliate of HSBC, will purchase the Trigger PLUS from HSBC for distribution to Morgan Stanley Smith Barney LLC. HSBC Securities (USA) Inc. will act as agent for the Trigger PLUS and will receive a fee of $0.20 per $10 stated principal amount and will pay the entire fee to Morgan Stanley Smith Barney LLC as a fixed sales commission of $0.20 for each Trigger PLUS they sell.
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 Trigger PLUS, 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. All references to NASD Rule 2720 in the prospectus supplement shall be to FINRA Rule 5121.
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Syndicate Information | ||
Issue price of the Trigger PLUS
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Commissions
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Principal amount of Trigger PLUS
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$10.0000
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$0.2000
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<$1MM
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$9.9625
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$0.1625
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≥$1MM and <$3MM
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$9.9438
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$0.1438
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≥$3MM and <$5MM
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$9.9250
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$0.1250
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≥$5MM
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Stated principal amount:
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$10 per Trigger PLUS
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Leverage factor:
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150%
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Trigger level:
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90% of the initial share price
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Hypothetical maximum payment at maturity:
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$14.00 per Trigger PLUS (140% of the stated principal amount). The actual maximum payment at maturity will be between $13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount) and will be determined on the pricing date.
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Trigger PLUS Payoff Diagram
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§
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If the final share price is greater than the initial share price, investors would receive the $10 stated principal amount plus 150% of the appreciation of the underlying shares over the term of the Trigger PLUS, subject to the hypothetical maximum payment at maturity of $14.00 per Trigger PLUS. Under the payoff diagram, an investor would realize the hypothetical maximum payment at maturity at a final share price of 126.67% of the initial share price.
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§
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If the final share price is less than or equal to the initial share price but is greater than the trigger level, investors would receive the stated principal amount of $10 per Trigger PLUS.
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§
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If the final share price is less or equal to the trigger level, investors would receive an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decrease of the underlying shares from the initial share price.
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For example, if the underlying shares depreciate 20%, investors would lose 20% of their principal and receive only $8.00 per Trigger PLUS at maturity, or 80% of the stated principal amount.
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Leveraged Upside Payment
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Principal
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Principal
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Leverage Factor
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Share Percent Increase
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$10
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+
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[
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$10
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X
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150%
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X
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( | final share price - initial share price | ) |
]
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initial share price |
Principal
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Share Performance Factor
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$10
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X
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final share price
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initial share price |
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Trigger PLUS do not pay interest and may result in a loss. The terms of the Trigger PLUS differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest nor guarantee payment of the principal amount at maturity. If the final share price is less than or equal to the trigger level, you will receive for each Trigger PLUS that you hold a payment at maturity that is less than the stated principal amount of each Trigger PLUS by at least 10% and by an amount proportionate to the decline in the value of the underlying shares, subject to the credit risk of HSBC. You may lose up to 100% of the stated principal amount of the Trigger PLUS.
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The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity. The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity of $13.80 to $14.20 per Trigger PLUS (138% to 142% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date. Although the leverage factor provides 150% exposure to any increase in the final share price over the initial share price, because the payment at maturity will be limited to 138% to 142% of the stated principal amount for the Trigger PLUS, any increase in the final share price over the initial share price by more than approximately 25.33% to 28% of the initial share price will not further increase the return on the Trigger PLUS.
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The market price will be influenced by many unpredictable factors. Several factors will influence the value of the Trigger PLUS in the secondary market and the price at which HSBC Securities (USA) Inc. may be willing to purchase or sell the Trigger PLUS in the secondary market, including: the value, volatility and dividend yield of the underlying shares, interest and yield rates, time remaining to maturity, geopolitical conditions and economic, financial, political and regulatory or judicial events and any actual or anticipated changes in our credit ratings or credit spreads. The price of the underlying shares may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. You may receive less, and possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell your Trigger PLUS prior to maturity.
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There is limited anti-dilution protection. For certain events affecting the underlying shares, such as stock splits or extraordinary dividends, the calculation agent may make adjustments to the final share price which may affect your payment at maturity. However, the calculation agent is not required to make an adjustment for every corporate action which affects the underlying shares. If an event occurs that does not require the calculation agent to adjust the amount
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of the shares of the underlying shares, the market price of the Trigger PLUS and the payment at maturity may be materially and adversely affected.
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§
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An index fund and its share underlying index are different. The performance of an index fund may not exactly replicate the performance of its share underlying index, because the index fund will reflect transaction costs and fees that are not included in the calculation of its share underlying index. It is also possible that an index fund may not fully replicate or may in certain circumstances diverge significantly from the performance of its share underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the index fund or due to other circumstances. An index fund may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to its share underlying index and in managing cash flows.
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§
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The underlying shares are subject to management risk. The underlying shares are not managed according to traditional methods of ‘‘active’’ investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the underlying shares, utilizing a ‘‘passive’’ or indexing investment approach, attempt to approximate the investment performance of the share underlying index by investing in a portfolio of securities that generally replicate the share underlying index. Therefore, unless a specific security is removed from the share underlying index, the underlying shares generally would not sell a security because the security’s issuer was in financial trouble. In addition, the underlying shares are subject to the risk that the investment strategy of the underlying shares’ investment advisor may not produce the intended results.
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§
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Credit risk of HSBC USA Inc. The Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS.
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§
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Investing in the Trigger PLUS is not equivalent to investing in the underlying shares or the stocks composing the share underlying index. Investing in the Trigger PLUS is not equivalent to investing in the underlying shares, the share underlying index or the stocks that constitute the share underlying index. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying shares or the stocks that constitute the share underlying index.
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§
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Adjustments to the underlying shares or to the share underlying index could adversely affect the value of the Trigger PLUS. The investment advisor to the iShares® MSCI Brazil Index Fund, BlackRock Fund Advisors (the “Investment Advisor”), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the share underlying index. Pursuant to its investment strategy or otherwise, the Investment Advisor may add, delete or substitute the stocks composing the iShares® MSCI Brazil Index Fund. Any of these actions could adversely affect the price of the underlying shares and, consequently, the value of the Trigger PLUS. Further, MSCI Inc. (“MSCI”) is responsible for calculating and maintaining the share underlying index. MSCI may add, delete or substitute the stocks constituting the share underlying index or make other methodological changes that could change the value of the share underlying index. MSCI may discontinue or suspend calculation or publication of the share underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued share underlying index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.
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§
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Certain built-in costs are likely to adversely affect the value of the Trigger PLUS prior to maturity. The original issue price of the Trigger PLUS includes the agent’s fees and commissions and the estimated cost of HSBC hedging its obligations under the Trigger PLUS. As a result, the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase Trigger PLUS from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the stated maturity date could result in a substantial loss to you. The Trigger PLUS are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity.
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§
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The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited. The Trigger PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
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Trigger PLUS. HSBC Securities (USA) Inc. may, but is not obligated to, make a market in the Trigger PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. Because we do not expect that other broker-dealers will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to transact. If, at any time, HSBC Securities (USA) Inc. were to cease making a market in the Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing to hold your Trigger PLUS to maturity.
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§
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The calculation agent, which is HSBC or one of its affiliates, will make determinations with respect to the Trigger PLUS. As calculation agent, HSBC or one of its affiliates will determine the initial share price, will determine the final share price and will calculate the amount of cash you receive at maturity. Determinations made by HSBC or one of its affiliates in its capacity as calculation agent, including with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the final share price in the event of a discontinuance of the share underlying index or a market disruption event, may adversely affect the payout to you at maturity.
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§
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Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS. One or more of our affiliates expect to carry out hedging activities related to the Trigger PLUS (and possibly to other instruments linked to the underlying shares or the share underlying index), including trading in the underlying shares as well as in other instruments related to the underlying shares. Some of our affiliates also trade the underlying shares and the stocks that constitute the share underlying index and other financial instruments related to the underlying shares and the share underlying index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial share price and, therefore, could increase the price at which the underlying shares must close before an investor receives a payment at maturity that exceeds the stated principal amount of the Trigger PLUS. Additionally, such hedging or trading activities during the term of the Trigger PLUS, including on the valuation date, could adversely affect the value of the underlying shares on the valuation date and, accordingly, the amount of cash an investor will receive at maturity.
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§
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The Trigger PLUS are not insured by any governmental agency of the United States or any other jurisdiction. The Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS.
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§
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The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. For a discussion of certain of the U.S. federal income tax consequences of your investment in a Trigger PLUS, please see the discussion under “Tax considerations” herein, the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement and the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
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iShares® MSCI Brazil Index Fund
|
High
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Low
|
Period End
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2006
|
|||
Second Quarter
|
$46.98
|
$31.66
|
$39.14
|
Third Quarter
|
$41.12
|
$34.99
|
$38.47
|
Fourth Quarter
|
$46.96
|
$38.05
|
$46.68
|
2007
|
|||
First Quarter
|
$49.98
|
$42.00
|
$49.17
|
Second Quarter
|
$63.35
|
$48.85
|
$61.35
|
Third Quarter
|
$74.72
|
$46.61
|
$74.09
|
Fourth Quarter
|
$87.65
|
$71.00
|
$80.70
|
2008
|
|||
First Quarter
|
$88.77
|
$64.00
|
$77.03
|
Second Quarter
|
$102.20
|
$77.48
|
$89.59
|
Third Quarter
|
$88.97
|
$48.66
|
$56.57
|
Fourth Quarter
|
$56.63
|
$26.64
|
$34.90
|
2009
|
|||
First Quarter
|
$41.03
|
$31.15
|
$37.67
|
Second Quarter
|
$58.62
|
$37.24
|
$52.97
|
Third Quarter
|
$68.50
|
$48.03
|
$67.67
|
Fourth Quarter
|
$80.92
|
$65.08
|
$74.61
|
2010
|
|||
First Quarter
|
$78.29
|
$60.85
|
$73.66
|
Second Quarter
|
$76.08
|
$57.20
|
$61.96
|
Third Quarter
|
$77.11
|
$60.89
|
$76.93
|
Fourth Quarter
|
$81.75
|
$73.20
|
$77.40
|
2011
|
|||
First Quarter
|
$78.98
|
$70.10
|
$77.48
|
Second Quarter
|
$80.18
|
$69.04
|
$73.35
|
Third Quarter (through July 21, 2011)
|
$74.65
|
$68.23
|
$71.05
|
Underlying Shares Historical Performance – Daily Closing Prices
July 21, 2006 to July 21, 2011
|
![]() |
|
·
|
The underlying supplement no. 4 at:
|
|
·
|
The product supplement at:
|
|
·
|
The prospectus supplement at:
|
|
·
|
The prospectus at:
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