CALCULATION OF REGISTRATION FEE
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Title of Each Class of
Securities Offered
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Maximum Aggregate
Offering Price
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Amount of
Registration Fee (1)
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HSBC USA Inc. Accelerated Return Notes® Linked to the MSCI Emerging Markets Index due February 25, 2013
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$9,802,540
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$1,123.37
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980,254 Units
$10 principal amount per unit
CUSIP No. 40433K603
Term Sheet No. 8
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Pricing Date
Settlement Date
Maturity Date
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January 4, 2012
January 11, 2012
February 25, 2013
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§
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Maturity of approximately 14 months
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§
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3-to-1 upside exposure to increases in the Index subject to a capped return of 25.50%
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§
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1-to-1 downside exposure to decreases in the Index, with 100% of your investment at risk
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§
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All payments at maturity subject to the credit risk of HSBC USA Inc.
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§
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No periodic interest payments
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§
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No listing on any securities exchange
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Per Unit
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Total
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Public offering price(1)
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$10.00
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$9,802,540.00
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Underwriting discount(1)
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$0.20
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$196,050.80
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Proceeds, before expenses, to HSBC
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$9.80
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$9,606,489.20
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(1)
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See as well “Supplement to Plan of Distribution.”
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Are Not FDIC Insured
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Are Not Bank Guaranteed
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May Lose Value
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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§
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Product supplement ARN-1 dated November 22, 2011:
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§
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Prospectus supplement dated April 9, 2009:
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§
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Prospectus dated April 9, 2009:
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Terms of the Notes
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Issuer:
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HSBC USA Inc. (“HSBC”)
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Original Offering Price:
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$10.00 per unit
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Term:
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Approximately 14 months
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Market Measure:
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The MSCI Emerging Markets Index (Bloomberg symbol: “MXEF”), a price return index
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Starting Value:
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937.54
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Ending Value:
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The average of the closing levels of the Market Measure on each scheduled calculation day occurring during the Maturity Valuation Period. The calculation days are subject to postponement in the event of Market Disruption Events, as described on page S-21 of product supplement ARN-1.
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Capped Value:
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$12.55 per unit of the notes, which represents a return of 25.50% over the Original Offering Price
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Maturity Valuation Period:
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February 13, 2013, February 14, 2013, February 15, 2013, February 19, 2013 and February 20, 2013
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Participation Rate:
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300%
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Calculation Agent:
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Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") and HSBC USA Inc., acting jointly
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Fees Charged:
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The public offering price of the notes includes the underwriting discount of $0.20 per unit as listed on the cover page and an additional charge of $0.075 per unit more fully described on page TS-10
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Accelerated Return Notes®
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TS-2
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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§
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You anticipate that the level of the Index will increase moderately from the Starting Value to the Ending Value.
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§
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You accept that your investment will result in a loss, which could be significant, if the level of the Index decreases from the Starting Value to the Ending Value.
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§
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You accept that the return on the notes, if any, will be capped.
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§
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You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.
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§
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You are willing to forego dividends or other benefits of owning the stocks included in the Index.
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§
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You are willing to accept that a secondary market is not expected to develop for the notes, and understand that the market prices for the notes, if any, may be less than their Original Offering Price and will be affected by various factors, including our actual and perceived creditworthiness, and the fees charged, as described on page TS-2.
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§
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You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
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§
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You believe that the Index level will decrease from the Starting Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
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§
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You seek 100% return of principal at maturity.
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§
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You seek an uncapped return on your investment.
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§
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You seek interest payments or other current income on your investment.
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§
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You want to receive dividends or other distributions paid on the stocks included in the Index.
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§
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You seek an investment for which there will be a liquid secondary market.
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§
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You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
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Accelerated Return Notes®
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This graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $12.55 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends.
This graph has been prepared for purposes of illustration only.
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Accelerated Return Notes®
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TS-3
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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Ending Value
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Percentage Change from the Starting Value to the Ending Value
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Redemption Amount per Unit
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Total Rate of Return on the Notes
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50.00
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-50.00%
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$5.00
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-50.00%
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60.00
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-40.00%
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$6.00
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-40.00%
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70.00
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-30.00%
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$7.00
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-30.00%
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80.00
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-20.00%
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$8.00
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-20.00%
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90.00
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-10.00%
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$9.00
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-10.00%
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92.00
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-8.00%
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$9.20
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-8.00%
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94.00
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-6.00%
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$9.40
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-6.00%
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96.00
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-4.00%
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$9.60
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-4.00%
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98.00
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-2.00%
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$9.80
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-2.00%
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100.00(1)
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0.00%
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$10.00
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0.00%
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102.00
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2.00%
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$10.60
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6.00%
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104.00
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4.00%
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$11.20
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12.00%
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106.00
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6.00%
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$11.80
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18.00%
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108.00
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8.00%
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$12.40
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24.00%
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110.00
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10.00%
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$12.55(2)
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25.50%
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120.00
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20.00%
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$12.55
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25.50%
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126.00
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26.00%
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$12.55
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25.50%
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130.00
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30.00%
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$12.55
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25.50%
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140.00
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40.00%
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$12.55
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25.50%
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150.00
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50.00%
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$12.55
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25.50%
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(1)
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The hypothetical Starting Value of 100 used in these examples has been chosen for illustrative purposes only, and does not represent the actual Starting Value of 937.54 for the Market Measure.
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(2)
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The Redemption Amount per unit cannot exceed the Capped Value.
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Accelerated Return Notes®
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TS-4
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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§
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Your investment may result in a loss; there is no guaranteed return of principal.
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§
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Your yield may be less than the yield on a conventional debt security of comparable maturity.
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§
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Payments on the notes are subject to our credit risk.
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§
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Your return, if any, is limited to the return represented by the Capped Value.
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§
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Your investment return may be less than a comparable investment directly in the Market Measure, or the components included in the Market Measure.
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§
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You must rely on your own evaluation of the merits of an investment linked to the Market Measure.
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§
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Commissions, fees and hedging costs as described on page TS-10 may affect the price at which you will be able to sell the notes in secondary market transactions.
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§
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We cannot assure you that a trading market for your notes will ever develop or be maintained. MLPF&S is not obligated to make a market for, or to repurchase, the notes.
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§
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The Redemption Amount will not be affected by all developments relating to the Market Measure.
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§
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The publisher of the Market Measure may adjust the Market Measure in a way that affects its value, and the Market Measure publisher has no obligation to consider your interests.
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§
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If you attempt to sell the notes prior to maturity, their market value, if any, will be affected by various factors that interrelate in complex ways and their market value may be less than their Original Offering Price.
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§
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Purchases and sales by us, MLPF&S and our respective affiliates of the securities represented by the Index may affect your return.
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§
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Our trading and hedging activities, and those of MLPF&S, may create conflicts of interest with you.
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§
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Our hedging activities, and those of MLPF&S, may affect your return on the notes and their market value.
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§
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There may be potential conflicts of interest involving the calculation agent. We may appoint and remove the calculation agent.
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§
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The notes are not insured by any governmental agency of the United States or any other jurisdiction.
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§
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You will have no rights as a security holder, you will have no rights to receive any of the securities represented by the Market Measure, and you will not be entitled to dividends or other distributions by the issuers of these securities.
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§
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Your return may be affected by factors affecting international securities markets.
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§
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Exchange rate movements may impact the value of the notes.
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§
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We and MLPF&S do not control any company included in the Market Measure and are not responsible for any disclosure made by any other company.
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§
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Our business activities and those of MLPF&S relating to the companies represented by the Market Measure may create conflicts of interest with you.
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§
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The U.S. federal income tax consequences of the notes are uncertain and may be adverse to a holder of the notes. See “Summary Tax Consequences” below and “U.S. Federal Income Tax Summary” beginning on page S-30 of product supplement ARN-1.
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Accelerated Return Notes®
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TS-5
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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(A)
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the London Stock Exchange, the Hong Kong Stock Exchange, the São Paulo Stock Exchange, and the Korea Stock Exchange (or any successor to the foregoing exchanges) are open for trading; and
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(B)
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the Index or any successor thereto is calculated and published.
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Accelerated Return Notes®
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TS-6
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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·
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semi-annual reviews, which will occur each May and November and will involve a comprehensive reevaluation of the market, the universe of eligible securities and other factors involved in composing the Index;
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·
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quarterly reviews, which will occur each February and August and will focus on significant changes in the market since the last semi-annual review; and
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·
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ongoing event-related changes, which will generally be reflected in the indices at the time of the event and will include changes resulting from mergers, acquisitions, spin-offs, bankruptcies, reorganizations, issuances and other extraordinary transactions, corporate actions and events.
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Accelerated Return Notes®
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TS-7
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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Accelerated Return Notes®
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TS-8
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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Accelerated Return Notes®
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TS-9
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Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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Accelerated Return Notes®
|
TS-10
|
Accelerated Return Notes®
Linked to the MSCI Emerging Markets Index due February 25, 2013
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§
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There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes.
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§
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You agree with us (in the absence of an administrative determination, or judicial ruling to the contrary) to characterize and treat the notes for all tax purposes as pre-paid forward contracts or executory contracts with respect to the Market Measure.
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§
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Under this characterization and tax treatment of the notes, a U.S. Holder (as defined in product supplement ARN-1) generally will recognize capital gain or loss upon maturity or upon a sale or exchange of the notes prior to maturity. This capital gain or loss generally will be long-term capital gain or loss if you held the notes for more than one year.
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§
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No assurance can be given that the IRS or any court will agree with this characterization and tax treatment.
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Accelerated Return Notes®
|
TS-11
|
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