Filed Pursuant to Rule 433
Registration No. 333-158385
November 29, 2011
FREE WRITING PROSPECTUS
(To Prospectus dated April 2, 2009,
Prospectus Supplement dated April 9, 2009,
and Product Supplement dated April 9, 2009)
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Structured
Investments
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HSBC USA Inc.
$
Buffered Return Enhanced Notes Linked to the S&P 500® Index due December 19, 2012 (the “Notes”)
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Terms used in this free writing prospectus are described or defined herein, in the accompanying product supplement, prospectus supplement and prospectus. The Notes offered will have the terms described herein and in the accompanying product supplement, prospectus supplement and prospectus. The Notes are not principal protected, and you may lose up to 100.00% of your initial investment.
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All references to “Enhanced Market Participation Notes” in the product supplement shall refer to these Buffered Return Enhanced Notes.
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This free writing prospectus relates to a single note offering. The purchaser of a Note will acquire a security linked to a single Reference Asset described below.
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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 or any component security included in the Reference Asset or as to the suitability of an investment in the related Notes.
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Senior unsecured debt obligations of HSBC USA Inc. maturing December 19, 2012.
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Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.
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If the terms of the Notes set forth below are inconsistent with those described in the accompanying product supplement, the terms set forth below will supersede.
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Issuer:
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HSBC USA Inc.
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Issuer Rating:
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AA- (S&P), A1 (Moody’s), AA (Fitch)*
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Reference Asset:
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The S&P 500® Index (“SPX”)
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Principal Amount:
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$1,000 per Note.
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Trade Date:
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December 2, 2011
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Pricing Date:
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December 2, 2011
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Original Issue Date:
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December 7, 2011
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Ending Averaging Dates:
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December 10, 2012, December 11, 2012, December 12, 2012, December 13, 2012 and December 14, 2012 (the Final Valuation Date), subject to adjustment as described herein and in the accompanying product supplement.
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Final Valuation Date:
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December 14, 2012 , subject to adjustment as described herein and in the accompanying product supplement.
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Maturity Date:
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3 business days after the Final Valuation Date and is expected to be December 19, 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.
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Payment at Maturity:
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For each Note, the Cash Settlement Value.
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Cash Settlement Value:
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For each Note, you will receive a cash payment on the Maturity Date that is based on the Reference Return (as described below):
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If the Reference Return is greater than or equal to 0.00%, you will receive an amount equal to 100.00% of the Principal Amount plus the lesser of:
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(i) the product of (a) the Principal Amount multiplied by (b) the Reference Return multiplied by the Upside Participation Rate; and
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(ii) the product of (a) the Principal Amount multiplied by (b) the Maximum Return.
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If the Reference Return is less than 0.00% but greater than or equal to -10.00%, meaning that the level of the Reference Asset declines by no more than the 10.00% Buffer Amount, at maturity you will receive 100.00% of the Principal Amount.
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If the Reference Return is less than -10.00%, meaning that the level of the Reference Asset declines by more than the 10.00% Buffer Amount, at maturity you will lose 1.11111% of the Principal Amount for each percentage point that the Reference Return is below -10.00%. This means that if the Reference Return is -100.00%, you will lose your entire investment.
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Upside Participation Rate:
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200.00%
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Maximum Return:
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19.00%
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Buffer Amount:
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10.00%
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Downside Leverage Factor:
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1.11111
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Reference Return:
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The quotient, expressed as a percentage, calculated as follows:
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Final Level – Initial Level
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Initial Level
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Initial Level:
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The Official Closing Level of the Reference Asset on the Pricing Date.
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Final Level:
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The arithmetic average of the Official Closing Levels of the Reference Asset on the five Ending Averaging Dates, as determined by the calculation agent.
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Official Closing Level:
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The Official Closing Level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the value displayed on Bloomberg Professional® service page “SPX <INDEX>” or any successor page on Bloomberg Professional® service or any successor service, as applicable.
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Calculation Agent:
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HSBC USA Inc. or one of its affiliates
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CUSIP/ISIN:
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4042K1TX1 /
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Form of Notes:
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Book-Entry
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Listing:
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The Notes will not be listed on any U.S. securities exchange or quotation system.
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Price to Public(1)
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Fees and Commissions
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Proceeds to Issuer
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Per Note
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$1,000
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$10
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$990
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Total
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•
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the product supplement at www.sec.gov/Archives/edgar/data/83246/000114420409019791/v145840_424b2.htm
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•
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the prospectus supplement at www.sec.gov/Archives/edgar/data/83246/000114420409019785/v145824_424b2.htm
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•
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Hypothetical
Final Level
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Hypothetical
Reference Return
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Hypothetical Total
Return on the Notes
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2,400.00
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100.00%
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19.000%
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2,160.00
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80.00%
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19.000%
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2,040.00
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70.00%
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19.000%
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1,920.00
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60.00%
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19.000%
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1,800.00
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50.00%
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19.000%
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1,680.00
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40.00%
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19.000%
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1,560.00
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30.00%
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19.000%
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1,440.00
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20.00%
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19.000%
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1,320.00
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10.00%
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19.000%
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1,314.00
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9.50%
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19.000%
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1,260.00
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5.00%
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10.000%
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1,230.00
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2.50%
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5.000%
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1,212.00
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1.00%
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2.000%
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1,200.00
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0.00%
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0.000%
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1,188.00
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-1.00%
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0.000%
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1,140.00
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-5.00%
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0.000%
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1,080.00
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-10.00%
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0.000%
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960.00
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-20.00%
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-11.111%
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840.00
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-30.00%
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-22.222%
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720.00
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-40.00%
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-33.333%
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600.00
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-50.00%
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-44.444%
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480.00
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-60.00%
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-55.555%
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360.00
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-70.00%
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-66.666%
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240.00
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-80.00%
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-77.777%
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120.00
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-90.00%
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-88.888%
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0.00
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-100.00%
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-100.000%
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APPRECIATION POTENTIAL — The Notes provide the opportunity for enhanced returns at maturity by multiplying a positive Reference Return by 200.00%, up to the Maximum Return on the Notes of 19.00%, or a maximum Payment at Maturity of $1,190.00 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.
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LIMITED BUFFER AGAINST LOSS — We will pay you your principal back at maturity if the Final Level is not less than the Initial Level by more than the Buffer Amount of 10.00%. If the level of the Reference Asset declines by more than 10.00%, you will lose 1.11111% of the Principal Amount for every 1.00% decline of the level of the Reference Asset over the term of the Notes beyond 10.00%. If the Reference Return is -100.00%, you will lose your entire investment.
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DIVERSIFICATION OF THE S&P 500® INDEX — The return on the Notes is linked to the S&P 500® Index. The S&P 500® Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. For additional information about the Reference Asset, see the information set forth under “Description of the Reference Asset” herein.
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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 Reference Asset. 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 Reference Asset. 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. For a further discussion of the U.S. federal income tax consequences related to the Notes, see the section “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principal if the Reference Return is less than -10.00%. The return on the Notes at maturity is linked to the performance of the Reference Asset and will depend on whether, and the extent to which, the Reference Return is positive or negative. Your investment will be exposed on a leveraged basis to any decline in the Final Level of the Reference Asset beyond the Buffer Amount as compared to the Initial Level. You may lose up to 100.00% of your investment.
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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.
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN — If the Final Level is greater than the Initial Level, for each $1,000 Principal Amount of Notes you hold, you will receive at maturity $1,000 plus an additional amount that will not exceed the Maximum Return of 19.00% of the Principal Amount, regardless of the appreciation in the Reference Asset, which may be significantly greater than the Maximum Return. You will not receive a return on the Notes greater than the Maximum Return.
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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 free writing prospectus. Neither the Issuer nor any dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment.
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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 free writing prospectus 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.
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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 composing the Reference Asset would have.
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LACK OF 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.
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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. 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 Reference Asset and the value of the Notes. The calculation agent is under no obligation to consider your interests as a holder of the Notes in taking any actions that might affect the value of your Notes.
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THE NOTES ARE NOT INSURED BY ANY GOVERNMENTAL AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION — The Notes are not deposit liabilities or other obligations of a bank and are not insured 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.
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MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the level of the Reference Asset 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:
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the expected volatility of the Reference Asset;
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the time to maturity of the Notes;
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the dividend rate on the equity securities underlying the Reference Asset;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events that affect the Reference Asset or the stock markets generally; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups;
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holdings by government entities, including all levels of government in the U.S. or foreign countries; and
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holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans or other investment vehicles associated with and controlled by the company.
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Type of Corporate Action
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Comments
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Divisor
Adjustment
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Company added/deleted
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Net change in market value determines Divisor adjustment.
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Yes
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Change in shares outstanding
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Any combination of secondary issuance, share repurchase or buy back—share counts revised to reflect change.
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Yes
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Stock split
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Share count revised to reflect new count. Divisor adjustment is not required since the share count and price changes are offsetting.
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No
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Spin-off
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If spun-off company is not being added to the index, the divisor adjustment reflects the decline in Index Market Value (i.e., the value of the spun-off unit).
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Yes
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Spin-off
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Spun-off company added to the Reference Asset, no company removed from the Reference Asset.
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No
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Spin-off
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Spun-off company added to the Reference Asset, another company removed to keep number of names fixed. Divisor adjustment reflects deletion.
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Yes
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Change in IWF
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Increasing (decreasing) the IWF increases (decreases) the total market value of the Reference Asset. The Divisor change reflects the change in market value caused by the change to an IWF.
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Yes
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Special dividend
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When a company pays a special dividend the share price is assumed to drop by the amount of the dividend; the divisor adjustment reflects
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Yes
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Type of Corporate Action
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Comments
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Divisor
Adjustment
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this drop in Index Market Value. |
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Rights offering
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Each shareholder receives the right to buy a proportional number of additional shares at a set (often discounted) price. The calculation assumes that the offering is fully subscribed. Divisor adjustment reflects increase in market cap measured as the shares issued multiplied by the price paid.
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Yes
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Post-Event Aggregate Market Value
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=
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Pre-Event Index Value
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New Divisor
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New Divisor
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=
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Post-Event Aggregate Market Value
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Pre-Event Index Value
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(i)
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Any suspension of or limitation imposed on trading by any relevant exchanges or related exchanges or otherwise, (A) relating to any component security included in the Reference Asset then constituting 20.00% or more of the level of such Reference Asset or (B) in futures or options contracts relating to the relevant Reference Asset on any related exchange; or
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(ii)
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Any event (other than any event described in (iii) below) that disrupts or impairs the ability of market participants in general (A) to effect transactions in, or obtain market values for any component security included in the Reference Asset then constituting 20.00% or more of the level of such Reference Asset or (B) to effect transactions in, or obtain market values for, futures or options contracts relating to the Reference Asset on any relevant related exchange; or
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(iii)
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The closure on any scheduled trading day of any relevant exchange or related exchange prior to its scheduled closing time (unless the earlier closing time is announced by the relevant exchange or related exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on the exchange and (ii) the submission deadline for orders to be entered into the relevant exchange or related exchange for execution at the close of trading on that day).
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