}
|
5 year maturity
|
}
|
Linked to a basket of 10 common stocks
|
}
|
Repayment of principal at maturity, subject to the credit risk of HSBC USA Inc.
|
}
|
Annual coupons based on basket performance, subject to the Auto Cap Rate of at least 7.00% (to be determined on the Trade Date) per Reference Stock
|
}
|
Head start feature – Reference Stocks that decline by -10% or less on a Coupon Valuation Date will receive the Auto Cap Rate
|
Price to Public
|
Fees and Commissions1
|
Proceeds to Issuer
|
|
Per Note/total
|
$1,000
|
THE REFERENCE STOCKS
|
||||
Reference Issuer
|
Ticker Symbol
|
Industry
|
Market Capitalization1
(in billions)
|
|
Verizon Communications Inc.
|
VZ
|
Telephone-Integrated
|
$113.39
|
|
Kraft Foods Inc.
|
KFT
|
Food-Miscellaneous/Diversified
|
$66.57
|
|
Goldcorp Inc.
|
GG
|
Gold Mining
|
$35.48
|
|
McDonald’s Corporation
|
MCD
|
Retail-Restaurants
|
$103.15
|
|
Paychex, Inc.
|
PAYX
|
Commercial Service-Finance
|
$10.94
|
|
Raytheon Company
|
RTN
|
Aerospace/Defense
|
$16.98
|
|
Reynolds American Inc.
|
RAI
|
Tobacco
|
$24.34
|
|
Freeport-McMoRan Copper & Gold Inc.
|
FCX
|
Metal-Copper
|
$34.64
|
|
The Dow Chemical Company
|
DOW
|
Chemicals-Diversified
|
$33.95
|
|
Eli Lilly and Company
|
LLY
|
Medical-Drugs
|
$48.05
|
Principal Amount
|
$1,000 per Note
|
Term
|
5 years
|
Coupon Rate
|
For any Coupon Payment Date, the greater of (a) the arithmetic average of the Stock Performances of all the Reference Stocks, calculated on the relevant Coupon Valuation Date and will not be greater than the Auto Cap Rate, and (b) the Minimum Coupon Rate.
|
Stock Performance
|
If the Reference Stock Return is greater than or equal to -10%, the Auto Cap Rate;
If the Reference Stock Return is less than -10%, an amount equal to the greater of:
a) the Reference Stock Return; and
b) the Floor Rate.
|
Auto Cap Rate
|
At least 7.00%, which will be determined on the Trade Date
|
Floor Rate
|
-30.00%
|
Minimum Coupon Rate
|
0.00% per annum
|
Reference Stock Return | For each Reference Stock,
Final Price – Initial Price
Initial Price
|
Coupon Valuation Dates
|
See page FWP-4
|
Coupon Payment Dates
|
See page FWP-4
|
Pricing Date
|
January 25, 2012
|
Trade Date
|
January 25, 2012
|
Original Issue Date
|
January 30, 2012
|
Maturity Date
|
January 30, 2017
|
The offering period for the Notes is through January 25, 2012
|
HSBC USA Inc.
Head Start Annual Income Opportunity Notes with Auto Cap Rate
|
![]() |
Issuer:
|
HSBC USA Inc.
|
|||||||
Issuer Rating:
|
A+ (S&P), A1 (Moody’s), AA (Fitch)†
|
|||||||
Principal Amount:
|
$1,000 per Note
|
|||||||
Reference Stocks:
|
The common stocks of the Reference Stock Issuers (each common stock, a “Reference Stock” and together, the “Reference Stocks”).
|
|||||||
Reference Stock Issuers
|
Ticker
Symbol
|
Exchange
|
Initial Price1
|
Reference Stock Issuers
|
Ticker
Symbol
|
Exchange
|
Initial Price1
|
|
Verizon Communications Inc.
|
VZ
|
NYSE
|
Raytheon Company
|
RTN
|
NYSE
|
|||
Kraft Foods Inc.
|
KFT
|
NYSE
|
Reynolds American Inc.
|
RAI
|
NYSE
|
|||
Goldcorp Inc.
|
GG
|
NYSE
|
Freeport-McMoRan Copper & Gold Inc.
|
FCX
|
NYSE
|
|||
McDonald’s Corporation
|
MCD
|
NYSE
|
The Dow Chemical Company
|
DOW
|
NYSE
|
|||
Paychex, Inc.
|
PAYX
|
NASDAQ
|
Eli Lilly and Company
|
LLY
|
NYSE
|
|||
1 For each Reference Stock, the Official Closing Price of such Reference Stock on the Pricing Date.
|
||||||||
Payment at Maturity:
|
For each Note, the Principal Amount plus the Coupon due on the Maturity Date.
|
|||||||
Auto Cap Rate:
|
At least 7.00% (to be determined on the Trade Date) per Reference Stock, which will, in effect, make the maximum Coupon Rate with respect to each Coupon Payment Date at least 7.00%.
|
|||||||
Floor Rate:
|
-30.00% per Reference Stock.
|
|||||||
Minimum Coupon Rate:
|
0.00% per annum.
|
|||||||
Coupon:
|
With respect to each Coupon Payment Date, for each $1,000 Principal Amount of Notes, the Coupon will equal:
$1,000 × the Coupon Rate applicable to such Coupon Payment Date.
|
|||||||
Coupon Rate:
|
For any Coupon Payment Date, the greater of (a) the arithmetic average of the Stock Performances of all the Reference Stocks, calculated on the relevant Coupon Valuation Date and will not be greater than the Auto Cap Rate, and (b) the Minimum Coupon Rate.
|
|||||||
Stock Performance:
|
For each Reference Stock on each Coupon Valuation Date:
If the Reference Stock Return is greater than or equal to -10%, an amount equal to the Auto Cap Rate;
If the Reference Stock Return is less than -10%, an amount equal to the greater of:
a) the Reference Stock Return; and
b) the Floor Rate.
|
|||||||
Reference Stock Return:
|
For each Reference Stock, on any Coupon Valuation Date:
Final Price – Initial Price
Initial Price
|
Coupon Valuation Dates |
Coupon Valuation Date*
|
Coupon Payment Date**
|
|
and Coupon Payment |
January 25, 2013
|
January 30, 2013
|
|
Dates: |
January 27, 2014
|
January 30, 2014
|
|
January 27, 2015
|
January 30, 2015
|
||
January 27, 2016 | February 1, 2016 | ||
January 25, 2017 | January 30, 2017 (the expected Maturity Date) |
* Subject to the adjustment as described under “Market Disruption Events” herein.
**Expected. 3 business days after the relevant Coupon Valuation Date.
|
|
Initial Price:
|
The Official Closing Price (as defined below) of the Reference Stock as determined by the calculation agent on the Pricing Date.
|
Final Price:
|
With respect to each Reference Stock, the Official Closing Price of the respective Reference Stock on the relevant Coupon Valuation Date, adjusted as described under “Adjustments” below by the calculation agent.
|
Official Closing Price:
|
With respect to each Reference Stock, the Official Closing Price on any scheduled trading day during the term of the Notes will be the relevant official price of one share of such Reference Stock on the relevant exchange for such Reference Stock as of the close of the regular trading session of such exchange and as reported in the official price determination mechanism for such exchange. If the Reference Stock is not listed or traded as described above for any reason other than a Market Disruption Event (as defined below), then the Official Closing Price for the Reference Stock on any scheduled trading day will be the average, as determined by the calculation agent, of the bid prices for one share of the Reference Stock obtained from as many dealers in the Reference Stock selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need not exceed three and may include the calculation agent or any of its or our affiliates.
|
Trade Date:
|
January 25, 2012
|
Pricing Date:
|
January 25, 2012
|
Original Issue Date:
|
January 30, 2012
|
Maturity Date:
|
January 30, 2017, which is 3 business days after the final Coupon Valuation Date. The Maturity Date is subject to adjustment as described under “Market Disruption Events” herein.
|
CUSIP/ISIN:
|
4042K1UX9 /
|
Form of Notes:
|
Book-Entry
|
Listing:
|
The Notes will not be listed on any U.S. securities exchange or quotation system.
|
}
|
The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420409019785/v145824_424b2.htm
|
}
|
}
|
You seek an investment that provides a full repayment of principal, subject to the credit risk of HSBC, if held to maturity, and an annual Coupon based on the average performance of the Reference Stocks that will not be less than the Minimum Coupon Rate or greater than the Auto Cap Rate.
|
}
|
You believe the Coupon Rate on the Coupon Valuation Dates will be an amount sufficient to provide you with a satisfactory return on your investment.
|
}
|
You are comfortable receiving only the Principal Amount of your Notes at maturity plus the applicable Coupon that will not be less than the Minimum Coupon Rate or greater than the Auto Cap Rate.
|
}
|
You are willing to invest in the Notes based on the Auto Cap Rate of at least 7.00% (to be determined on the Trade Date), which will limit your Coupon on any Coupon Payment Date.
|
}
|
You are willing to forego dividends or other distributions paid to holders of the Reference Stocks.
|
}
|
You do not seek an investment for which there is an active secondary market.
|
}
|
You are willing to hold the Notes to maturity.
|
}
|
You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.
|
}
|
You seek an investment where the Coupon is based on the actual performance of the Reference Stocks and is not limited to an Auto Cap Rate.
|
}
|
You believe the average of the prices of the Reference Stocks will generally decrease or remain constant over the term of the Notes.
|
}
|
You are unwilling to receive only the Principal Amount of your Notes plus a Coupon of not less than the Minimum Coupon Rate or greater than the Auto Cap Rate at maturity.
|
}
|
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 prefer to receive the dividends or other distributions paid on any of the Reference Stocks.
|
}
|
You seek an investment for which there will be an active secondary market.
|
}
|
You are unable or unwilling to hold the Notes to maturity.
|
}
|
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; and
|
}
|
“— Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset” in the prospectus supplement.
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$35.00
|
$31.61
|
$34.64
|
September 30, 2009
|
$30.55
|
$26.45
|
$28.28
|
|
March 30, 2007
|
$36.06
|
$33.12
|
$35.27
|
December 31, 2009
|
$31.89
|
$26.70
|
$30.96
|
|
June 29, 2007
|
$40.92
|
$34.42
|
$38.30
|
March 31, 2010
|
$31.22
|
$26.45
|
$28.98
|
|
September 28, 2007
|
$41.63
|
$36.53
|
$41.19
|
June 30, 2010
|
$29.55
|
$24.76
|
$26.18
|
|
December 31, 2007
|
$43.01
|
$37.93
|
$40.64
|
September 30, 2010
|
$33.09
|
$25.79
|
$32.59
|
|
March 31, 2008
|
$41.23
|
$30.85
|
$33.91
|
December 31, 2010
|
$36.00
|
$31.60
|
$35.78
|
|
June 30, 2008
|
$37.32
|
$31.62
|
$33.08
|
March 31, 2011
|
$38.95
|
$33.36
|
$38.54
|
|
September 30, 2008
|
$33.96
|
$28.27
|
$29.98
|
June 30, 2011
|
$38.73
|
$34.94
|
$37.23
|
|
December 31, 2008
|
$32.60
|
$21.77
|
$31.68
|
September 30, 2011
|
$37.86
|
$32.28
|
$36.80
|
|
March 31, 2009
|
$32.48
|
$24.39
|
$28.22
|
December 29, 2011*
|
$40.08
|
$35.35
|
$40.05
|
|
June 30, 2009
|
$30.90
|
$26.76
|
$28.71
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$36.41
|
$33.90
|
$35.70
|
September 30, 2009
|
$29.11
|
$25.41
|
$26.27
|
|
March 30, 2007
|
$36.26
|
$29.95
|
$31.66
|
December 31, 2009
|
$27.84
|
$25.72
|
$27.18
|
|
June 29, 2007
|
$37.19
|
$30.25
|
$35.25
|
March 31, 2010
|
$30.98
|
$27.17
|
$30.24
|
|
September 28, 2007
|
$36.46
|
$30.51
|
$34.51
|
June 30, 2010
|
$31.08
|
$27.50
|
$28.00
|
|
December 31, 2007
|
$35.29
|
$32.09
|
$32.63
|
September 30, 2010
|
$31.97
|
$27.60
|
$30.86
|
|
March 31, 2008
|
$32.85
|
$28.64
|
$31.01
|
December 31, 2010
|
$32.66
|
$29.80
|
$31.51
|
|
June 30, 2008
|
$32.97
|
$28.35
|
$28.45
|
March 31, 2011
|
$32.20
|
$30.21
|
$31.36
|
|
September 30, 2008
|
$34.97
|
$28.04
|
$32.75
|
June 30, 2011
|
$35.47
|
$31.35
|
$35.23
|
|
December 31, 2008
|
$34.05
|
$24.75
|
$26.85
|
September 30, 2011
|
$36.30
|
$32.65
|
$33.58
|
|
March 31, 2009
|
$29.84
|
$20.81
|
$22.29
|
December 29, 2011*
|
$37.93
|
$31.88
|
$37.68
|
|
June 30, 2009
|
$27.23
|
$21.95
|
$25.34
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$31.47
|
$20.35
|
$28.44
|
September 30, 2009
|
$43.32
|
$31.84
|
$40.37
|
|
March 30, 2007
|
$29.20
|
$23.01
|
$24.02
|
December 31, 2009
|
$46.23
|
$35.47
|
$39.34
|
|
June 29, 2007
|
$26.93
|
$22.36
|
$23.69
|
March 31, 2010
|
$43.55
|
$32.85
|
$37.22
|
|
September 28, 2007
|
$30.99
|
$21.00
|
$30.56
|
June 30, 2010
|
$47.40
|
$37.71
|
$43.85
|
|
December 31, 2007
|
$37.70
|
$29.25
|
$33.93
|
September 30, 2010
|
$45.22
|
$38.07
|
$43.52
|
|
March 31, 2008
|
$46.30
|
$31.86
|
$38.75
|
December 31, 2010
|
$48.93
|
$41.24
|
$45.98
|
|
June 30, 2008
|
$47.75
|
$33.83
|
$46.17
|
March 31, 2011
|
$50.80
|
$39.04
|
$49.80
|
|
September 30, 2008
|
$52.60
|
$24.73
|
$31.63
|
June 30, 2011
|
$56.20
|
$45.70
|
$48.27
|
|
December 31, 2008
|
$33.84
|
$13.99
|
$31.53
|
September 30, 2011
|
$56.31
|
$43.86
|
$45.64
|
|
March 31, 2009
|
$35.47
|
$23.03
|
$33.32
|
December 29, 2011*
|
$54.14
|
$41.92
|
$43.53
|
|
June 30, 2009
|
$40.75
|
$26.72
|
$34.75
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$44.68
|
$38.96
|
$44.33
|
September 30, 2009
|
$59.57
|
$53.89
|
$57.07
|
|
March 30, 2007
|
$46.21
|
$42.31
|
$45.05
|
December 31, 2009
|
$64.75
|
$56.03
|
$62.44
|
|
June 29, 2007
|
$52.88
|
$44.60
|
$50.76
|
March 31, 2010
|
$67.49
|
$61.07
|
$66.72
|
|
September 28, 2007
|
$55.73
|
$46.65
|
$54.47
|
June 30, 2010
|
$71.84
|
$65.55
|
$65.87
|
|
December 31, 2007
|
$63.69
|
$54.67
|
$58.91
|
September 30, 2010
|
$76.26
|
$65.31
|
$74.51
|
|
March 31, 2008
|
$58.91
|
$49.36
|
$55.77
|
December 31, 2010
|
$80.94
|
$74.41
|
$76.76
|
|
June 30, 2008
|
$61.76
|
$55.14
|
$56.22
|
March 31, 2011
|
$77.59
|
$72.14
|
$76.09
|
|
September 30, 2008
|
$67.00
|
$55.70
|
$61.70
|
June 30, 2011
|
$84.90
|
$75.66
|
$84.32
|
|
December 31, 2008
|
$64.02
|
$45.79
|
$62.19
|
September 30, 2011
|
$91.21
|
$82.02
|
$87.82
|
|
March 31, 2009
|
$64.46
|
$50.44
|
$54.57
|
December 29, 2011*
|
$101.00
|
$83.74
|
$100.81
|
|
June 30, 2009
|
$61.00
|
$51.76
|
$57.49
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$41.21
|
$36.49
|
$39.54
|
September 30, 2009
|
$31.54
|
$23.85
|
$29.05
|
|
March 30, 2007
|
$42.50
|
$37.57
|
$37.87
|
December 31, 2009
|
$32.87
|
$27.85
|
$30.64
|
|
June 29, 2007
|
$40.84
|
$36.08
|
$39.12
|
March 31, 2010
|
$32.82
|
$28.50
|
$30.70
|
|
September 28, 2007
|
$47.14
|
$38.79
|
$41.00
|
June 30, 2010
|
$31.91
|
$25.79
|
$25.97
|
|
December 31, 2007
|
$43.00
|
$35.96
|
$36.22
|
September 30, 2010
|
$27.71
|
$24.66
|
$27.49
|
|
March 31, 2008
|
$36.19
|
$30.10
|
$34.26
|
December 31, 2010
|
$31.28
|
$27.02
|
$30.91
|
|
June 30, 2008
|
$37.47
|
$31.18
|
$31.28
|
March 31, 2011
|
$33.90
|
$30.68
|
$31.36
|
|
September 30, 2008
|
$35.47
|
$30.26
|
$33.03
|
June 30, 2011
|
$33.71
|
$29.11
|
$30.72
|
|
December 31, 2008
|
$33.13
|
$23.22
|
$26.28
|
September 30, 2011
|
$31.68
|
$25.13
|
$26.37
|
|
March 31, 2009
|
$27.06
|
$20.31
|
$25.67
|
December 29, 2011*
|
$30.59
|
$25.25
|
$30.18
|
|
June 30, 2009
|
$28.65
|
$24.06
|
$25.20
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$54.17
|
$48.05
|
$52.80
|
September 30, 2009
|
$48.63
|
$41.91
|
$47.97
|
|
March 30, 2007
|
$55.63
|
$50.96
|
$52.46
|
December 31, 2009
|
$53.84
|
$45.02
|
$51.52
|
|
June 29, 2007
|
$57.04
|
$52.25
|
$53.89
|
March 31, 2010
|
$58.30
|
$50.53
|
$57.12
|
|
September 28, 2007
|
$64.69
|
$52.28
|
$63.82
|
June 30, 2010
|
$60.10
|
$48.31
|
$48.39
|
|
December 31, 2007
|
$65.94
|
$60.32
|
$60.70
|
September 30, 2010
|
$50.00
|
$42.65
|
$45.71
|
|
March 31, 2008
|
$67.49
|
$56.27
|
$64.61
|
December 31, 2010
|
$48.67
|
$44.38
|
$46.34
|
|
June 30, 2008
|
$67.37
|
$55.30
|
$56.28
|
March 31, 2011
|
$53.12
|
$45.81
|
$50.87
|
|
September 30, 2008
|
$63.85
|
$52.68
|
$53.51
|
June 30, 2011
|
$51.74
|
$47.65
|
$49.85
|
|
December 31, 2008
|
$54.51
|
$41.82
|
$51.04
|
September 30, 2011
|
$50.25
|
$38.36
|
$40.87
|
|
March 31, 2009
|
$53.00
|
$33.20
|
$38.94
|
December 29, 2011*
|
$49.11
|
$38.69
|
$49.07
|
|
June 30, 2009
|
$48.32
|
$38.00
|
$44.43
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$33.50
|
$30.44
|
$32.74
|
September 30, 2009
|
$23.48
|
$19.00
|
$22.26
|
|
March 30, 2007
|
$33.10
|
$29.28
|
$31.21
|
December 31, 2009
|
$27.13
|
$21.92
|
$26.49
|
|
June 29, 2007
|
$33.80
|
$30.08
|
$32.60
|
March 31, 2010
|
$27.57
|
$25.38
|
$26.99
|
|
September 28, 2007
|
$33.51
|
$30.19
|
$31.80
|
June 30, 2010
|
$28.12
|
$23.65
|
$26.06
|
|
December 31, 2007
|
$35.86
|
$30.34
|
$32.98
|
September 30, 2010
|
$30.20
|
$25.74
|
$29.70
|
|
March 31, 2008
|
$36.00
|
$29.44
|
$29.52
|
December 31, 2010
|
$33.41
|
$29.05
|
$32.62
|
|
June 30, 2008
|
$30.32
|
$23.27
|
$23.34
|
March 31, 2011
|
$36.10
|
$31.54
|
$35.53
|
|
September 30, 2008
|
$28.87
|
$22.81
|
$24.31
|
June 30, 2011
|
$39.83
|
$35.59
|
$37.05
|
|
December 31, 2008
|
$25.00
|
$18.78
|
$20.16
|
September 30, 2011
|
$38.64
|
$31.82
|
$37.48
|
|
March 31, 2009
|
$20.58
|
$15.78
|
$17.92
|
December 29, 2011*
|
$42.17
|
$36.70
|
$41.76
|
|
June 30, 2009
|
$21.03
|
$18.16
|
$19.31
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$31.85
|
$23.80
|
$27.87
|
September 30, 2009
|
$36.72
|
$21.60
|
$34.31
|
|
March 30, 2007
|
$33.60
|
$24.49
|
$33.10
|
December 31, 2009
|
$43.68
|
$31.51
|
$40.15
|
|
June 29, 2007
|
$42.75
|
$32.81
|
$41.41
|
March 31, 2010
|
$45.28
|
$33.02
|
$41.77
|
|
September 28, 2007
|
$55.24
|
$33.54
|
$52.45
|
June 30, 2010
|
$44.15
|
$29.12
|
$29.57
|
|
December 31, 2007
|
$60.10
|
$42.86
|
$51.22
|
September 30, 2010
|
$43.96
|
$28.36
|
$42.70
|
|
March 31, 2008
|
$53.69
|
$34.55
|
$48.11
|
December 31, 2010
|
$60.39
|
$43.19
|
$60.05
|
|
June 30, 2008
|
$63.62
|
$46.50
|
$58.60
|
March 31, 2011
|
$61.35
|
$46.25
|
$55.55
|
|
September 30, 2008
|
$58.54
|
$25.62
|
$28.43
|
June 30, 2011
|
$58.75
|
$46.06
|
$52.90
|
|
December 31, 2008
|
$28.10
|
$7.85
|
$12.22
|
September 30, 2011
|
$56.78
|
$30.37
|
$30.45
|
|
March 31, 2009
|
$21.73
|
$10.59
|
$19.06
|
December 29, 2011*
|
$43.50
|
$28.85
|
$36.54
|
|
June 30, 2009
|
$30.78
|
$18.30
|
$25.06
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$41.55
|
$38.13
|
$39.94
|
September 30, 2009
|
$27.24
|
$14.22
|
$26.07
|
|
March 30, 2007
|
$47.26
|
$39.02
|
$45.86
|
December 31, 2009
|
$29.50
|
$23.15
|
$27.63
|
|
June 29, 2007
|
$47.60
|
$43.71
|
$44.22
|
March 31, 2010
|
$31.65
|
$25.57
|
$29.57
|
|
September 28, 2007
|
$47.96
|
$38.89
|
$43.06
|
June 30, 2010
|
$32.05
|
$23.42
|
$23.72
|
|
December 31, 2007
|
$47.39
|
$39.20
|
$39.42
|
September 30, 2010
|
$28.50
|
$22.43
|
$27.46
|
|
March 31, 2008
|
$40.00
|
$33.01
|
$36.85
|
December 31, 2010
|
$34.50
|
$27.38
|
$34.14
|
|
June 30, 2008
|
$42.90
|
$34.64
|
$34.91
|
March 31, 2011
|
$39.00
|
$34.12
|
$37.75
|
|
September 30, 2008
|
$38.50
|
$30.82
|
$31.78
|
June 30, 2011
|
$42.23
|
$33.97
|
$36.00
|
|
December 31, 2008
|
$32.28
|
$14.93
|
$15.09
|
September 30, 2011
|
$37.30
|
$22.46
|
$22.46
|
|
March 31, 2009
|
$16.68
|
$5.89
|
$8.43
|
December 29, 2011*
|
$29.56
|
$20.61
|
$28.73
|
|
June 30, 2009
|
$18.99
|
$8.14
|
$16.14
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
QUARTER ENDING
|
QUARTER
HIGH
|
QUARTER
LOW
|
QUARTER
CLOSE
|
|
December 29, 2006
|
$58.48
|
$51.13
|
$52.10
|
September 30, 2009
|
$35.65
|
$32.20
|
$33.03
|
|
March 30, 2007
|
$55.20
|
$51.21
|
$53.71
|
December 31, 2009
|
$38.00
|
$32.27
|
$35.71
|
|
June 29, 2007
|
$60.63
|
$53.90
|
$55.88
|
March 31, 2010
|
$37.92
|
$33.63
|
$36.22
|
|
September 28, 2007
|
$59.02
|
$53.53
|
$56.93
|
June 30, 2010
|
$36.96
|
$32.02
|
$33.50
|
|
December 31, 2007
|
$59.82
|
$49.09
|
$53.39
|
September 30, 2010
|
$37.92
|
$32.82
|
$36.53
|
|
March 31, 2008
|
$57.52
|
$47.10
|
$51.59
|
December 31, 2010
|
$38.08
|
$33.53
|
$35.04
|
|
June 30, 2008
|
$53.40
|
$45.38
|
$46.16
|
March 31, 2011
|
$35.91
|
$33.47
|
$35.17
|
|
September 30, 2008
|
$49.78
|
$42.88
|
$44.03
|
June 30, 2011
|
$39.40
|
$34.88
|
$37.53
|
|
December 31, 2008
|
$44.44
|
$28.64
|
$40.27
|
September 30, 2011
|
$39.78
|
$33.75
|
$36.97
|
|
March 31, 2009
|
$40.78
|
$27.21
|
$33.41
|
December 29, 2011*
|
$41.88
|
$35.46
|
$41.50
|
|
June 30, 2009
|
$36.65
|
$31.00
|
$34.64
|
Reference Stock
|
Hypothetical Reference Stock
Return
|
Hypothetical Stock
Performance
|
VZ
|
12.00%
|
7.00%
|
KFT
|
2.50%
|
7.00%
|
GG
|
-5.00%
|
7.00%
|
MCD
|
-31.00%
|
-30.00%
|
PAYX
|
3.50%
|
7.00%
|
RTN
|
-36.00%
|
-30.00%
|
RAI
|
-10.75%
|
-10.75%
|
FCX
|
2.50%
|
7.00%
|
DOW
|
-12.50%
|
-12.50%
|
LLY
|
2.00%
|
7.00%
|
Average Stock Performance =
|
-4.13%
|
|
Coupon Rate =
|
0.00%
|
|
Coupon =
|
$0.00
|
Reference Stock
|
Hypothetical Reference Stock
Return
|
Hypothetical Stock
Performance
|
VZ
|
1.00%
|
7.00%
|
KFT
|
8.50%
|
7.00%
|
GG
|
-9.00%
|
7.00%
|
MCD
|
25.00%
|
7.00%
|
PAYX
|
13.00%
|
7.00%
|
RTN
|
9.00%
|
7.00%
|
RAI
|
-7.00%
|
7.00%
|
FCX
|
9.00%
|
7.00%
|
DOW
|
16.00%
|
7.00%
|
LLY
|
-4.00%
|
7.00%
|
Average Stock Performance =
|
7.00%
|
|
Coupon Rate =
|
7.00%
|
|
Coupon =
|
$70.00
|
Reference Stock
|
Hypothetical Reference Stock
Return
|
Hypothetical Stock
Performance
|
VZ
|
20.00%
|
7.00%
|
KFT
|
18.50%
|
7.00%
|
GG
|
-70.00%
|
-30.00%
|
MCD
|
65.00%
|
7.00%
|
PAYX
|
10.00%
|
7.00%
|
RTN
|
-5.00%
|
7.00%
|
RAI
|
-15.00%
|
-15.00%
|
FCX
|
9.00%
|
7.00%
|
DOW
|
-7.00%
|
7.00%
|
LLY
|
6.75%
|
7.00%
|
Average Stock Performance =
|
1.10%
|
|
Coupon Rate =
|
1.10%
|
|
Coupon =
|
$11.00
|
TABLE OF CONTENTS
|
You should only rely on the information contained in this free writing prospectus, any accompanying product 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, any accompanying product supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This free writing prospectus, any accompanying product 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, any accompanying product supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
HSBC USA Inc.
$ Head Start Annual Income
Opportunity Notes with Auto Cap
December 30, 2011
FREE WRITING PROSPECTUS
|
|||
Free Writing Prospectus
|
||||
General
|
FWP-5
|
|||
Payment at Maturity
|
FWP-5
|
|||
Investor Suitability
|
FWP-6
|
|||
Risk Factors
|
FWP-6
|
|||
Description of the Reference Stocks
|
FWP-9
|
|||
Illustrative Examples
|
FWP-19
|
|||
Market Disruption Events
|
FWP-21
|
|||
Merger Event And Tender Offer
|
FWP-21
|
|||
Share Delisting, Nationalization, Insolvency
|
FWP-22
|
|||
Adjustments
|
FWP-22
|
|||
Events of Default and Acceleration
|
FWP-23
|
|||
Supplemental Plan of Distribution (Conflicts of Interest)
|
FWP-23
|
|||
U.S. Federal Income Tax Considerations
|
FWP-23
|
|||
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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