}
|
Linked to the Russell 2000® Index (“RTY”)
|
}
|
24-month term
|
}
|
Contingent return of principal, subject to the credit risk of HSBC
|
}
|
Call Premium of between 5.00% and 7.00% per annum, to be determined on the Trade Date
|
}
|
Callable semi-annually
|
Price to Public |
Fees and Commissions1
|
Proceeds to Issuer
|
|||
Per Note
|
$1,000
|
||||
Total
|
Indicative Terms*
|
|
Principal Amount
|
$1,000 per Note
|
Term
|
2 years
|
Reference Asset
|
The Russell 2000® Index (Ticker: RTY)
|
CUSIP
|
4042K1SJ3
|
Call Premium
|
5.00% to 7.00% per annum (to be determined on the Trade Date)
|
Call Feature
|
The Notes will be automatically called if the Official Closing Level of the Reference Asset on any semi-annual Observation Date is at or above the Initial Level. In such a case, you will receive a cash payment equal to the Call Price*, reflecting a return equal to the Call Premium.
|
Payment at
Maturity
per Note
|
If the Notes are not called, you will receive a payment on the Maturity Date calculated as follows:
n If the Reference Return is less than zero but greater than or equal to the Buffer Level, you will receive a cash payment on the Maturity Date equal to 100% of the Principal Amount.
n If the Reference Return is less than the Buffer Level, you will receive a cash payment on the Maturity Date equal to:
$1,000 + [$1,000 × (Reference Return + 30%) × 1.4286].
For example, if the Reference Return is -31%, you will suffer a 1.4286% loss and receive 98.5714% of the Principal Amount. If the Reference Return is less than the Buffer Level, you may lose your entire investment.
|
Reference Return
|
Final Level – Initial Level
Initial Level
|
Buffer Level
|
-30%
|
Downside Leverage Factor
|
1.4286
|
Observation Dates
|
See page FWP-4
|
Trade Date
|
November 22, 2011
|
Settlement Date
|
November 28, 2011
|
Final Valuation Date
|
November 22, 2013
|
Maturity Date
|
November 27, 2013
|
* As more fully described beginning on page FWP-4.
|
The offering period for the Notes is through November 22, 2011
|
Illustration of Payment Scenarios
Your payment on the Notes will depend on whether the Notes have been called and whether the Reference Return is below the Buffer Level.
|
Russell 2000® Index
|
||
The RTY is designed to track the performance of the small-capitalization segment of the U.S. equity market. It consists of the smallest 2,000 companies included in the Russell 3000® Index, which is composed of the 3,000 largest U.S. companies as determined by market capitalization.
The top 5 industry groups by market capitalization as of September 30, 2011 were: Financial Services, Technology, Consumer Discretionary, Producer Durables and Health Care.
|
|
HSBC USA Inc.
12-Month Autocallable Notes
|
Issuer:
|
HSBC USA Inc.
|
||
Issuer Rating:
|
AA- (S&P), A1 (Moody’s), AA (Fitch)†
|
||
Principal Amount:
|
$1,000 per Note
|
||
Reference Asset
|
The Russell 2000® Index (“RTY”)
|
||
Call Premium
|
5.00% to 7.00% per annum (to be determined on the Trade Date)
|
||
Trade Date:
|
November 22, 2011
|
||
Pricing Date:
|
November 22, 2011
|
||
Settlement Date:
|
November 28, 2011
|
||
Final Valuation Date:
|
November 22, 2013, subject to adjustment as described below under the caption “Observation Dates and Maturity Date.”
|
||
Maturity Date:
|
3 business days after the Final Valuation Date and is expected to be November 27, 2013. The Maturity Date is subject to adjustment as described below under the caption “Observation Dates and Maturity Date.”
|
||
Call Feature:
|
We will automatically call the Notes if the Official Closing Level on any semi-annual Observation Date is at or above the Initial Level.
|
||
Observation Dates:
|
On or about May 22, 2012, November 23, 2012, May 22, 2013, and the Final Valuation Date (November 22, 2013), each subject to postponement in the event of a Market Disruption Event as set forth below.
|
||
Call Settlement Dates:
|
With respect to all Observation Dates, including the Final Valuation Date, three business days following the applicable Observation Date. A Call Settlement Date is also subject to adjustment as described below under the caption “Observation Dates and Maturity Date.”
|
||
Call Price:
|
If the Notes are called, you will receive, on the applicable Call Settlement Date, a cash payment per $1,000 Principal Amount of Notes equal to the Call Price for the corresponding Observation Date. The amount of the Call Price will be based upon a Call Premium that will be between 5.00% and 7.00% per annum. The actual Call Premium upon which the Call Price is based will be determined on the Trade Date.
|
||
Expected Observation Date
May 22, 2012
November 23, 2012
May 22, 2013
Final Valuation Date (November 22, 2013)
|
Return
2.50% to 3.50%
5.00% to 7.00%
7.50% to 10.50%
10.00% to 14.00%
|
Call Price (per $1,000 Principal
Amount Note)
$1,025 to $1,035
$1,050 to $1,070
$1,075 to $1,105
$1,100 to $1,140
|
Payment at Maturity:
|
If the Notes are not called, you will receive a payment on the Maturity Date calculated as follows:
n If the Reference Return is less than zero but greater than or equal to the Buffer Level, you will receive a cash payment on the Maturity Date equal to 100% of the Principal Amount.
n If the Reference Return is less than the Buffer Level, you will receive a cash payment on the Maturity Date equal to:
$1,000 + [$1,000 × (Reference Return + 30%) × 1.4286].
For example, if the Reference Return is -31%, you will suffer a 1.4286% loss and receive 98.5714% of the Principal Amount. If the Reference Return is less than the Buffer Level, you may lose your entire investment.
|
Reference Return:
|
Final Level – Initial Level
Initial Level
|
Buffer Level:
|
-30%.
|
Downside Leverage Factor:
|
1.4286
|
Initial Level:
|
The Official Closing Level of the Reference Asset on the Pricing Date.
|
Final Level:
|
The Official Closing Level of the Reference Asset on the Final Valuation Date.
|
Official Closing Level:
|
The closing level of the Russell 2000® Index on any scheduled trading day as determined by the calculation agent based upon the value displayed on Bloomberg Professional® service page “RTY <INDEX>” or any successor page on Bloomberg Professional® service or any successor service, as applicable.
|
CUSIP/ISIN
|
4042K1SJ3 /
|
Form of Notes:
|
Book-Entry
|
Calculation Agent:
|
HSBC USA Inc. or one of its affiliates.
|
}
|
The underlying supplement no. 3 at: http://www.sec.gov/Archives/edgar/data/83246/000114420410055205/v198039_424b2.htm
|
}
|
The prospectus supplement at: www.sec.gov/Archives/edgar/data/83246/000114420409019785/v145824_424b2.htm
|
}
|
}
|
If the Reference Return is less than zero but greater than or equal to the Buffer Level, 100% of the Principal Amount.
|
}
|
If the Reference Return is less than the Buffer Level:
|
}
|
You believe the Reference Return will not be below the Buffer Level, but you are willing to lose your entire investment if the Reference Return is less than the Buffer Level.
|
}
|
You believe the Official Closing Level will be at or above the Initial Level on at least one Observation Date, including the Final Valuation Date.
|
}
|
You are willing to hold Notes that will be called on any Observation Date on which the Official Closing Level is at or above the Initial Level, or you are otherwise willing to hold the Notes to maturity.
|
}
|
You are willing to make an investment whose return is limited to the pre-specified return on any Call Settlement Date, a total return equal to the relevant Call Price.
|
}
|
You are willing to forgo dividends or other distributions paid to holders of stocks comprising the Reference Asset.
|
}
|
You do not seek current income from this investment.
|
}
|
You do not seek an investment for which there will be an active secondary market.
|
}
|
You do not 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 are comfortable with the creditworthiness of HSBC, as issuer of the Notes.
|
}
|
You believe that the Reference Return will be below the Buffer Level.
|
}
|
You seek an investment that provides a full return of principal at maturity.
|
}
|
You are not willing to make an investment in which you could lose your entire principal amount.
|
}
|
You seek an investment whose return is not limited to the pre-specified return on any Call Settlement Date, which is equal to the relevant Call Price.
|
}
|
You are unable or unwilling to hold securities that will be called on any Observation Date on which the Official Closing Level is at or above the Initial Level, or you are otherwise unable or unwilling to hold the Notes to maturity.
|
}
|
You prefer to receive the dividends or other distributions paid on any stocks included in the Reference Asset.
|
}
|
You seek an investment with current income.
|
}
|
You 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 are not willing or are unable to assume the credit risk associated with HSBC, as issuer of the Notes.
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
}
|
“—Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset” in the prospectus supplement; and
|
}
|
“— There are Risks Associated With Small-Capitalization Stocks” in underlying supplement no. 3.
|
Term:
|
2 years (unless earlier called)
|
Hypothetical Initial Level:
|
750.00
|
Buffer Level:
|
-30%
|
Downside Leverage Factor:
|
1.4286
|
Observation Dates
|
Return*
|
Call Price*
|
May 22, 2012
|
3.00%
|
$1,030
|
November 23, 2012
|
6.00%
|
$1,060
|
May 22, 2013
|
9.00%
|
$1,090
|
Final Valuation Date (November 22, 2013)
|
12.00%
|
$1,120
|
Description of the RTY
RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and RTY consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.
The top 5 industry groups by market capitalization as of September 30, 2011 were: Financial Services, Technology, Consumer Discretionary, Producer Durables and Health Care.
For more information about the RTY, see “The Russell 2000Ò Index” on page US3-6 of the accompanying underlying supplement no. 3.
|
Historical Performance of the RTY
The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from November 1, 2006 through October 31, 2011. The closing level for the RTY on October 31, 2011 was 741.06. We obtained the closing levels below from Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service.
|
The historical levels of the RTY should not be taken as an indication of future performance, and no assurance can be given as to the RTY closing level on any Observation Date.
|
TABLE OF CONTENTS
|
You should only rely on the information contained in this free writing prospectus, the accompanying underlying supplement, prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this free writing prospectus, the accompanying underlying supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This free writing prospectus, the accompanying underlying supplement, prospectus supplement and prospectus are not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this free writing prospectus, the accompanying underlying supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
HSBC USA Inc.
$ Autocallable Notes linked to the
Russell 2000® Index
November 3, 2011
FREE WRITING PROSPECTUS
|
||
Free Writing Prospectus
|
|||
General
|
FWP-6
|
||
Payment on the Notes
|
FWP-6
|
||
Investor Suitability
|
FWP-7
|
||
Risk Factors
|
FWP-8
|
||
Illustrative Examples
|
FWP-10
|
||
The Russell 2000® Index
|
FWP-11
|
||
Observation Dates, Final Valuation Date and Maturity Date
|
FWP-11
|
||
Events of Default and Acceleration
|
FWP-11
|
||
Supplemental Plan of Distribution (Conflicts of Interest)
|
FWP-12
|
||
U.S. Federal Income Tax Considerations
|
FWP-12
|
||
Underlying Supplement no. 3
|
|||
Risk Factors
|
US3-1
|
||
The S&P 500® Index
|
US3-4
|
||
The Russell 2000® Index
|
US3-8
|
||
The Dow Jones Industrial AverageSM
|
US3-11
|
||
The Hang Seng China Enterprises Index®
|
US3-13
|
||
The Hang Seng® Index
|
US3-15
|
||
The Korea Stock Price Index 200
|
US3-17
|
||
MSCI Indices
|
US3-20
|
||
The Dow Jones EURO STOXX 50® Index
|
US3-24
|
||
The PHLX Housing SectorSM Index
|
US3-26
|
||
The TOPIX® Index
|
US3-30
|
||
The NASDAQ-100 Index®
|
US3-33
|
||
S&P BRIC 40 Index
|
US3-37
|
||
The Nikkei 225 Index
|
US3-40
|
||
The FTSE™ 100 Index
|
US3-42
|
||
Other Components
|
US3-44
|
||
Additional Terms of the Notes
|
US3-44
|
||
Prospectus Supplement
|
|||
Risk Factors
|
S-3
|
||
Pricing Supplement
|
S-16
|
||
Description of Notes
|
S-16
|
||
Sponsors or Issuers and Reference Asset
|
S-37
|
||
Use of Proceeds and Hedging
|
S-37
|
||
Certain ERISA
|
S-38
|
||
Certain U.S. Federal Income Tax Considerations
|
S-39
|
||
Supplemental Plan of Distribution
|
S-52
|
||
Prospectus
|
|||
About this Prospectus
|
2
|
||
Special Note Regarding Forward-Looking Statements
|
2
|
||
HSBC USA Inc.
|
3
|
||
Use of Proceeds
|
3
|
||
Description of Debt Securities
|
4
|
||
Description of Preferred Stock
|
16
|
||
Description of Warrants
|
22
|
||
Description of Purchase Contracts
|
26
|
||
Description of Units
|
29
|
||
Book-Entry Procedures
|
32
|
||
Limitations on Issuances in Bearer Form
|
36
|
||
Certain U.S. Federal Income Tax Considerations Relating to Debt Securities
|
37
|
||
Plan of Distribution
|
52
|
||
Notice to Canadian Investors
|
54
|
||
Certain ERISA Matters
|
58
|
||
Where You Can Find More Information
|
59
|
||
Legal Opinions
|
59
|
||
Experts
|
59
|
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