0001144204-12-020113.txt : 20120404 0001144204-12-020113.hdr.sgml : 20120404 20120404153949 ACCESSION NUMBER: 0001144204-12-020113 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 8 FILED AS OF DATE: 20120404 DATE AS OF CHANGE: 20120404 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-180289 FILM NUMBER: 12741643 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FWP 1 v308568_fwp.htm FREE WRITING PROSPECTUS

 

Filed Pursuant to Rule 433

Registration No. 333-180289

April 4, 2012

FREE WRITING PROSPECTUS

(To Prospectus dated March 22, 2012,

Prospectus Supplement dated March 22, 2012, and

Equity Index Underlying Supplement dated March 22, 2012 or

ETF Underlying Supplement dated March 22, 2012)

 

 

HSBC USA Inc.
Buffered Accelerated Market Participation
SecuritiesTM (“AMPS”)

 

}This free writing prospectus relates to three separate offerings:

 

AMPSTM linked to the S&P 500® Index

 

AMPSTM linked to the Russell 2000® Index

 

AMPSTM linked to the iShares® MSCI Emerging Markets Index Fund

 

}18-month maturity

 

}2x exposure to any positive return in the relevant reference asset, subject to a maximum return

 

}Protection from the first 10% of any losses in the relevant reference asset, subject to the credit risk of HSBC USA Inc.

 

The Buffered Accelerated Market Participation SecuritiesTM (“AMPS” or, each a “security” and collectively the “securities") offered hereunder will not be listed on any U.S. securities exchange or automated quotation system. The securities will not bear interest.

 

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement or underlying supplements. Any representation to the contrary is a criminal offense. We have appointed HSBC Securities (USA) Inc., an affiliate of ours, as the agent for the sale of the securities. HSBC Securities (USA) Inc. will purchase the securities from us for distribution to other registered broker-dealers or will offer the securities directly to investors. In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions in any securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.

 

Investment in the securities involves certain risks. You should refer to “Risk Factors” beginning on page FWP-8 of this document, page S-3 of the accompanying prospectus supplement, page S-1 of the accompanying Equity Index Underlying Supplement, and page S-2 of the accompanying ETF Underlying Supplement.

  Price to Public Fees and Commissions1 Proceeds to Issuer
Per security / Total linked to the SPX $1,000 /    
Per security / Total linked to the RTY $1,000 /    
Per security / Total linked to the EEM $1,000 /    

 

 

1HSBC USA Inc. or one of our affiliates may pay varying discounts of up to 0.50% and referral fees of up to 0.60% per $1,000 Principal Amount of securities in connection with the distribution of the Securities. In no case will the sum of discounts and referral fees exceed 0.60% per $1,000 Principal Amount. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-16 of this free writing prospectus.

 

The Securities:

 

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

 

 
 

HSBC USA Inc.

 

 

Buffered Accelerated Market Participation SecuritiesTM (AMPS)

S&P 500® Index

Russell 2000® Index

iShares® MSCI Emerging Markets Index Fund

 

This FWP relates to three separate offerings of AMPSTM by HSBC USA Inc., each linked to the performance of a different Reference Asset as indicated below.

 

Reference Asset Market Exposure Ticker Maximum Cap1 CUSIP
S&P 500® Index (“SPX”) large-cap U.S. equities SPX 12.00% to 16.00% 4042K1E82
Russell 2000® Index (“RTY”) small-cap U.S. equities RTY 20.00% to 24.00% 4042K1E90
iShares® MSCI Emerging Markets Index Fund (“EEM”) emerging markets equities EEM 17.00% to 21.00% 4042K1F24

1 Expected range. The actual Maximum Cap with respect to each offering will be determined on the Pricing Date.

 

Indicative Terms*

 

Principal Amount $1,000 per security
Term 18 months
Upside Participation Rate 200% (2x) exposure to any positive Reference Return, subject to the relevant Maximum Cap
Buffer Value With respect to each offering, -10%
Payment at
Maturity
per security

If the relevant underlying Reference Return is greater than zero, you will receive the lesser of:

a) $1,000 + ($1,000 × Reference Return × Upside Participation Rate); and

b) $1,000 + ($1,000 × Maximum Cap).

If the relevant Reference Return is less than or equal to zero but greater than or equal to the Buffer Value:

$1,000 (zero return).

If the relevant Reference Return is less than the relevant Buffer Value:

$1,000 + [$1,000 × (Reference Return + 10%)]. For example, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount. If the Reference Return is less than the relevant Buffer Value, you may lose up to 90% of your investment.

Reference Return

Final Value – Initial Value

Initial Value

Initial Value See page FWP-5
Final Value See page FWP-5
Pricing Date April 20, 2012
Trade Date April 20, 2012
Original Issue Date April 25, 2012
Final Valuation Date October 21, 2013
Maturity Date October 24, 2013

* As more fully described beginning on page FWP-4.

 

The AMPSTM

 

For investors who seek a particular Market Exposure and who believe the corresponding Reference Asset will appreciate over the term of the AMPS, the AMPS provide an opportunity for accelerated returns (subject to a Maximum Cap). If the Reference Return is below the Buffer Value, then the AMPS provide 1:1 exposure to any potential decline in the Reference Asset beyond -10%.

 

If the relevant Reference Asset appreciates over the term of the securities, you will realize 200% (2x) of the relevant Reference Asset appreciation up to the relevant Maximum Cap. Should the relevant Reference Asset decline, you will lose 1% of your investment for every 1% decline in the relevant Reference Asset beyond the -10% Buffer Value. 

 

The offering period for the AMPS is through April 20, 2012

 

  

 

FWP-2
 

 

Payoff Example

 

The table at right shows the hypothetical payout profile of an investment in the securities reflecting the 200% (2x) Upside Participation Rate and assuming a 12.00% Maximum Cap. The actual Maximum Cap with respect to your AMPS will be determined on the Pricing Date.

 

  

Information about each Reference Asset

 

S&P 500® Index   Russell 2000® Index

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

 

The top 5 industry groups by market capitalization as of March 30, 2012 were: Information Technology, Financials, Health Care, Energy, and Consumer Discretionary.

 

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 February 29, 2012 were: Financial Services, Consumer Discretionary, Producer Durables, Technology and Health Care.

 

iShares® MSCI Emerging Markets Index Fund    

The EEM seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is intended to measure the performance of equity markets in the global emerging markets. As of March 30, 2012, the MSCI Emerging Markets Index consisted of the following 21 component country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey.
 

  

 

For further information on each Reference Asset please see “The S&P 500® Index”, “The Russell 2000® Index”, or “The iShares® MSCI Emerging Markets Index Fund”, as applicable, on page FWP-13, FWP-14 or FWP-15, as applicable, and in the accompanying Equity Index Underlying Supplement or ETF Underlying Supplement, as applicable. We have derived all disclosure regarding the Reference Assets from publicly available information. Neither HSBC USA Inc. or any of its affiliates assumes any responsibilities for the adequacy or accuracy of information about the Reference Assets.

FWP-3
 

 

HSBC USA Inc.

Buffered Accelerated Market Participation SecuritiesTM (AMPS) 

 

S&P 500® Index

Russell 2000® Index

iShares® MSCI Emerging Markets Index Fund

  

This free writing prospectus relates to three offerings of Buffered Accelerated Market Participation Securities. Each offering will have the respective terms described in this free writing prospectus and the accompanying prospectus supplement, prospectus and relevant underlying supplement. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or relevant underlying supplement, the terms described in this free writing prospectus shall control. You should be willing to forgo interest and dividend payments during the term of the securities and, if the relevant Reference Return is negative, lose up to 90% of your principal.

 

This free writing prospectus relates to multiple offerings of securities, each linked to the performance of a specific index or index fund (each index or index fund, a “Reference Asset”). Each of the three offerings of securities is linked to a different index or index fund and each of the three securities will likely have a different Maximum Cap. The performance of each offering of securities does not depend on the performance of any other offering of securities. The purchaser of a security will acquire a senior unsecured debt security of HSBC USA Inc. linked to the relevant Reference Asset, as described below. The following key terms relate to the offerings of securities:

 

Issuer: HSBC USA Inc.
Issuer Rating: A+ (S&P), A1 (Moody’s), AA (Fitch)†
Principal Amount: $1,000 per security
Reference Asset: The relevant underlying index or index fund, as indicated below
Reference Asset Ticker Upside Participation Rate Maximum Cap1 CUSIP/ISIN
S&P 500® Index SPX 200% 12.00% to 16.00% 4042K1E82 /
Russell 2000® Index RTY 200% 20.00% to 24.00% 4042K1E90 /
iShares® MSCI Emerging Markets Index Fund EEM 200% 17.00% to 21.00% 4042K1F24 /
Trade Date: April 20, 2012
Pricing Date:         April 20, 2012
Original Issue Date: April 25, 2012
Final Valuation Date:                October 21, 2013, subject to adjustment as described under “Valuation Dates” in the relevant accompanying underlying supplement.
Maturity Date: 3 business days after the Final Valuation Date and is expected to be October 24, 2013.  The Maturity Date is subject to adjustment as described under “Coupon Payment Dates, Call Payment Dates and Maturity Date” in the relevant accompanying underlying supplement.
Payment at Maturity: On the Maturity Date, for each security, we will pay you the Final Settlement Value.

 

FWP-4
 

 

Final Settlement Value:               

If the relevant Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to the lesser of:

 

(a) $1,000 + ($1,000 × Reference Return × Upside Participation Rate); and

 

(b) $1,000 + ($1,000 × Maximum Cap).

 

If the relevant Reference Return is less than or equal to zero but greater than or equal to the Buffer Value, you will receive $1,000 per $1,000 Principal Amount of securities (zero return).

 

If the relevant Reference Return is less than the Buffer Value, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 10%)].

 

Under these circumstances, you will lose 1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Value. For example, because the buffer protects the first 10% of loss, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount. If the Reference Return is less than the Buffer Value, you may lose up to 90% of your investment. 

Reference Return:                With respect to each Reference Asset, the quotient, expressed as a percentage, calculated as follows:
 

Final Value – Initial Value

         Initial Value 

Buffer Value With respect to each offering, -10%
Initial Value:          The Official Closing Value of the relevant Reference Asset on the Pricing Date.
Final Value:           With respect to each of the SPX and the RTY, the Official Closing Value of such Reference Asset on the Final Valuation Date.  With respect to the EEM, the Official Closing Value of such Reference Asset on the Final Valuation Date, adjusted by the calculation agent as described under “Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying ETF Underlying Supplement. 
Official Closing Value:                The closing level or closing price, as applicable, of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the value displayed on the relevant Bloomberg Professional® service page (with respect to the SPX, “SPX <INDEX>”, with respect to the RTY, “RTY <INDEX>” and with respect to the EEM, “EEM UP <EQUITY>”) or, for each Reference Asset, any successor page on Bloomberg Professional® service or any successor service, as applicable.
Form of securities: Book-Entry
Listing: The securities will not be listed on any U.S. securities exchange or quotation system.

 

 

 

1 Expected with respect to each offering of securities. The actual Maximum Cap for each offering of securities will be determined on the Pricing Date and, with respect to the securities linked to the SPX, will not be less than 12.00% or greater than 16.00%, with respect to the securities linked to the RTY, will not be less than 20.00% or greater than 24.00% and with respect to the securities linked to the EEM, will not be less than 17.00% or greater than 21.00%.

A credit rating reflects the creditworthiness of HSBC USA Inc. and is not a recommendation to buy, sell or hold securities, and it may be subject to revision or withdrawal at any time by the assigning rating organization. The securities themselves have not been independently rated. Each rating should be evaluated independently of any other rating.

FWP-5
 

 

GENERAL

 

This free writing prospectus relates to three separate offerings of securities, each linked to a different Reference Asset identified on the cover page. The purchaser of a security will acquire a senior unsecured debt security of HSBC USA Inc. linked to a single Reference Asset. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. Although each offering of securities relates to a Reference Asset identified on the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to such Reference Asset or any component security included in such Reference Asset or as to the suitability of an investment in the securities.

 

You should read this document together with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and either the Equity Index underlying supplement dated March 22, 2012 (for securities linked to the SPX or the RTY) or the ETF Underlying Supplement dated March 22, 2012 (for securities linked to the EEM), as applicable. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus, or relevant underlying supplement, the terms described in this free writing prospectus shall control. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-8 of this free writing prospectus, page S-3 of the prospectus supplement and either page S-1 of the Equity Index Underlying Supplement or page S-2 of the ETF underlying supplement as applicable, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the securities. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our” are to HSBC USA Inc.

 

HSBC has filed a registration statement (including a prospectus, a prospectus supplement and underlying supplements) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus and prospectus supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively, HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus and prospectus supplement if you request them by calling toll-free 1-866-811-8049.

 

You may also obtain:

 

}The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm

 

}The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm

 

For securities linked to the SPX or the RTY:

 

}The Equity Index Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm

 

For securities linked to the EEM:

 

}The ETF Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420412016689/v306692_424b2.htm

 

We are using this free writing prospectus to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will notify you.

 

PAYMENT AT MATURITY

 

On the Maturity Date, for each security you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:

 

If the relevant Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to the lesser of:

 

(a) $1,000 + ($1,000 × Reference Return × Upside Participation Rate); and

 

(b) $1,000 + ($1,000 × Maximum Cap).

 

If the relevant Reference Return is less than or equal to zero but greater than or equal to the Buffer Value, you will receive $1,000 per $1,000 Principal Amount of securities (zero return).

 

If the relevant Reference Return is less than the Buffer Value, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 10%)].

 

FWP-6
 

 

 

Under these circumstances, you will lose 1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Value. For example, because the buffer protects the first 10% loss, subject to the credit risk of HSBC, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount. You should be aware that if the relevant Reference Return is less than the Buffer Value, you may lose up to 90% of your investment.

 

Interest

The securities will not pay interest.

 

Calculation Agent

We or one of our affiliates will act as calculation agent with respect to the securities.

 

Reference Sponsor and Reference Issuer

With respect to securities linked to the SPX, Standard and Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor. With respect to securities linked to the RTY, the Russell Investment Group is the reference sponsor. With respect to securities linked to the EEM, iShares, Inc. is the reference issuer.

  

INVESTOR SUITABILITY

 

The securities may be suitable for you if:

 

}You seek an investment with an enhanced return linked to the potential positive performance of the relevant Reference Asset and you believe the value of such Reference Asset will increase over the term of the securities.

 

}You are willing to invest in the securities based on the Maximum Cap indicated herein with respect to that security offering, which may limit your return at maturity. The actual Maximum Cap for each offering of securities will be determined on the Pricing Date.

 

}You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point that the relevant Reference Return is less than -10%.

 

}You are willing to accept the risk and return profile of the Notes versus a conventional debt security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.

 

}You are willing to forego dividends or other distributions paid to holders of stocks comprising the relevant Reference Asset, or the Reference Asset itself, as applicable.

 

}You do not seek current income from your investment.

 

}You do not seek an investment for which there is an active secondary market.

 

}You are willing to hold the securities to maturity.

 

}You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.

 

The securities may not be suitable for you if:

 

}You believe the relevant Reference Return will be negative on the Final Valuation Date or that the relevant Reference Return will not be sufficiently positive to provide you with your desired return.

 

}You are unwilling to invest in the securities based on the Maximum Cap indicated herein with respect to that security offering, which may limit your return at maturity. The actual Maximum Cap for each offering of securities will be determined on the Pricing Date.

 

}You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point that the relevant Reference Return is below -10%.

 

}You seek an investment that provides a full return of principal.

 

}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 stocks comprising the relevant Reference Asset, or the Reference Asset itself, as applicable.

 

}You seek current income from your investment.

 

}You seek an investment for which there will be an active secondary market.

 

}You are unable or unwilling to hold the securities to maturity.

 

}You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the securities.

 

FWP-7
 

RISK FACTORS

 

We urge you to read the section “Risk Factors” on page S-3 in the accompanying prospectus supplement and on either page S-1 of the Equity Index Underlying Supplement or page S-2 of the ETF Underlying Supplement, as applicable. Investing in the securities is not equivalent to investing directly in any of the stocks comprising the relevant Reference Asset or the Reference Asset itself, as applicable. You should understand the risks of investing in the securities and should reach an investment decision only after careful consideration, with your advisors, of the suitability of the securities in light of your particular financial circumstances and the information set forth in this free writing prospectus and the accompanying prospectus supplement, prospectus and relevant underlying supplement.

 

In addition to the risks discussed below, you should review “Risk Factors” in the accompanying prospectus supplement and relevant underlying supplement including the explanation of risks relating to the securities described in the following sections:

 

}“— Risks Relating to All Note Issuances” in the prospectus supplement;

 

If your securities are linked to the RTY:

 

}“—Small-Capitalization or Mid-Capitalization Companies Risk” in Equity Index Underlying Supplement;

 

If your securities are linked to the EEM:

 

}“— The Notes are Subject to Currency Exchange Risk” in ETF Underlying Supplement;

 

}“— Securities Prices Generally are Subject to Political, Economic, Financial and Social Factors that Apply to the Markets in which they Trade and, to a Lesser Extent, Foreign Markets” in ETF Underlying Supplement; and

 

}“— There are Risks Associated with Emerging Markets” in ETF Underlying Supplement.

 

You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.

 

Your investment in the securities may result in a loss.

You will be exposed to the decline in the Final Value from the Initial Value beyond the Buffer Value of -10%. Accordingly, if the relevant Reference Return is less than -10%, your Payment at Maturity will be less than the Principal Amount of your securities. You may lose up to 90% of your investment at maturity if the relevant Reference Return is negative.

 

The appreciation on the securities is limited by the relevant Maximum Cap.

You will not participate in any appreciation in the value of the relevant Reference Asset (as magnified by the Upside Participation Rate) beyond the relevant Maximum Cap. The Maximum Cap (to be determined on the Pricing Date) will not be less than 12.00% or greater than 16.00% with respect to the securities linked to the SPX, will not be less than 20.00% or greater than 24.00% with respect to the securities linked to the RTY and will not be less than 17.00% or greater than 21.00% with respect to the securities linked to the EEM. You will not receive a return on the securities greater than the relevant Maximum Cap.

 

Credit risk of HSBC USA Inc.

The securities 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 securities 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 securities, 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 securities 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 securities.

 

An index fund and its underlying index are different.

The performance of an index fund may not exactly replicate the performance of its underlying index, because the index fund will reflect transaction costs and fees that are not included in the calculation of its underlying index. It is also possible that an index fund may not fully replicate or may in certain circumstances diverge significantly from the performance of its underlying index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the index fund or due to other circumstances. An index fund may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to its underlying index and in managing cash flows.

 

FWP-8
 

 

 

The Reference Assets that are index funds are subject to management risk.

The Reference Assets that are index funds are not managed according to traditional methods of ‘‘active’’ investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the index funds, utilizing a ‘‘passive’’ or indexing investment approach, attempt to approximate the investment performance of their respective underlying indices by investing in a portfolio of securities that generally replicate the respective underlying index. Therefore, unless a specific security is removed from the respective underlying index, the respective index fund generally would not sell a security because the security’s issuer was in financial trouble. In addition, the index funds are subject to the risk that the investment strategy of the index funds’ investment advisors may not produce the intended results.

 

There is limited anti-dilution protection.

For certain events affecting shares of a Reference Asset that is an index fund, such as stock splits or extraordinary dividends, the calculation agent may make adjustments to the relevant Final Value which may affect your Final Settlement Value. However, the calculation agent is not required to make an adjustment for every corporate action which affects the shares of the relevant Reference Asset. If an event occurs that does not require the calculation agent to adjust the amount of the shares of the relevant Reference Asset, the market price of the securities and the Final Settlement Value may be materially and adversely affected.

 

The securities will not bear interest.

As a holder of the securities, you will not receive interest payments.

 

Changes that affect the relevant Reference Asset will affect the market value of the securities and the amount you will receive at maturity.

The policies of the reference sponsor or reference issuer of the relevant Reference Asset concerning additions, deletions and substitutions of the constituents comprising such Reference Asset and the manner in which the reference sponsor or reference issuer takes account of certain changes affecting those constituents included in such Reference Asset may affect the value of such Reference Asset. The policies of the reference sponsor or reference issuer with respect to the calculation of the relevant Reference Asset could also affect the value of such Reference Asset. The reference sponsor or reference issuer may discontinue or suspend calculation or dissemination of its relevant Reference Asset. Any such actions could affect the value of the securities.

 

The securities are not insured by any governmental agency of the United States or any other jurisdiction.

The securities are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the securities is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity of the securities.

 

Certain built-in costs are likely to adversely affect the value of the securities prior to maturity.

While the Payment at Maturity described in this free writing prospectus is based on the full Principal Amount of your securities, the original issue price of the securities includes the placement agent’s commission and the estimated cost of HSBC hedging its obligations under the securities. As a result, the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.

 

The securities lack liquidity.

The securities will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market, if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.

 

Potential conflicts.

HSBC and its affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. 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 securities. We will not have any obligation to consider your interests as a holder of the securities in taking any action that might affect the value of your securities.

 

FWP-9
 

 

 

Uncertain tax treatment.

For a discussion of the U.S. federal income tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations” herein, the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.

 

FWP-10
 

ILLUSTRATIVE EXAMPLES

 

The following table and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the value of the relevant Reference Asset relative to its Initial Value. We cannot predict the Final Value of the relevant Reference Asset. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected performance of the relevant Reference Asset to which your securities are linked or the return on your securities. With respect to the securities, the Final Settlement Value may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and following examples have been rounded for ease of analysis.

 

The table below illustrates the Payment at Maturity on a $1,000 investment in the securities for a hypothetical range of performance for the relevant Reference Return from -100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the Security” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of securities to $1,000. The potential returns described here assume that your securities are held to maturity. You should consider carefully whether the securities are suitable to your investment goals. The following table and examples assume the following:

 

} Principal Amount: $1,000
     
} Upside Participation Rate: 200%
     
} Hypothetical Maximum Cap: 12.00% (The actual Maximum Cap for each offering of securities will be determined on the Pricing Date and, with respect to the securities linked to the SPX, will not be less than 12.00% or greater than 16.00%; with respect to the securities linked to the RTY, will not be less than 20.00% or greater than 24.00%; and, with respect to the securities linked to the EEM, will not be less than 17.00% or greater than 21.00%)
     

The actual Initial Value and Maximum Cap with respect to each offering of securities will be determined on the Pricing Date.

 

Hypothetical Reference Return Hypothetical Payment at Maturity Hypothetical Return on the Security
100.00% $1,120.00 12.00% 
80.00% $1,120.00 12.00% 
60.00% $1,120.00 12.00% 
40.00% $1,120.00 12.00% 
20.00% $1,120.00 12.00% 
15.00% $1,120.00 12.00% 
10.00% $1,120.00 12.00% 
6.00% $1,120.00 12.00% 
5.00% $1,100.00 10.00%
2.00% $1,040.00 4.00%
1.00% $1,020.00 2.00%
0.00% $1,000.00 0.00%
-1.00% $1,000.00 0.00%
-2.00% $1,000.00 0.00%
-5.00% $1,000.00 0.00%
-10.00% $1,000.00 0.00%
-15.00% $950.00 -5.00%
-20.00% $900.00 -10.00%
-30.00% $800.00 -20.00%
-40.00% $700.00 -30.00%
-60.00% $500.00 -50.00%
-80.00% $300.00 -70.00%
-100.00% $100.00 -90.00%

 

 

FWP-11
 

The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.

 

Example 1: The relevant Reference Return is 3.00%.

 

   
Reference Return: 3.00%
Final Settlement Value: $1,060.00

 

Because the relevant Reference Return is positive, and such Reference Return multiplied by the Upside Participation Rate is less than the hypothetical Maximum Cap, the Final Settlement Value would be $1,060.00 per $1,000 Principal Amount of securities, calculated as follows:

 

$1,000 + ($1,000 × Reference Return × Upside Participation Rate)

 

= $1,000 + ($1,000 × 3.00% × 200%)

 

= $1,060.00

 

Example 1 shows that you will receive the return of your principal investment plus a return equal to the relevant Reference Return multiplied by 200% when such Reference Return is positive and, as multiplied by the Upside Participation Rate, equal to or less than the relevant Maximum Cap.

 

Example 2: The relevant Reference Return is 15.00%.

 

   
Reference Return: 15.00%
Final Settlement Value: $1,120.00

 

Because the relevant Reference Return is positive, and such Reference Return multiplied by the Upside Participation Rate is greater than the hypothetical Maximum Cap, the Final Settlement Value would be $1,120.00 per $1,000 Principal Amount of securities, calculated as follows:

 

$1,000 + ($1,000 × Maximum Cap)

 

= $1,000 + ($1,000 × 12.00%)

 

= $1,120.00

 

Example 2 shows that you will receive the return of your principal investment plus a return equal to the Maximum Cap when the relevant Reference Return is positive and such Reference Return multiplied by 200% exceeds the relevant Maximum Cap.

 

Example 3: The relevant Reference Return is -5.00%.

 

   
Reference Return: -5.00%
Final Settlement Value: $1,000.00

 

Because the relevant Reference Return is less than zero but greater than the Buffer Value, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount of securities (a zero return).

 

Example 3 shows that you will receive the return of your principal investment where the value of the relevant Reference Asset declines by no more than 10% over the term of the securities.

 

Example 4: The relevant Reference Return is -30.00%.

 

   
Reference Return: -30.00%
Final Settlement Value: $800.00
     

Here, the relevant Reference Return is -30.00%. Because the Reference Return is less than the Buffer Value of -10%, the Final Settlement Value would be $800.00 per $1,000 Principal Amount of securities, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 10%)]

 

= $1,000 + [$1,000 × (-30.00% + 10%)]

 

= $800.00

 

Example 4 shows that you are exposed on a 1-to-1 basis to declines in the value of the Reference Asset beyond the Buffer Amount of -10%. YOU MAY LOSE UP TO 90% OF THE PRINCIPAL AMOUNT OF YOUR SECURITIES.

 

FWP-12
 

INFORMATION RELATING TO THE SECURITIES LINKED TO THE S&P 500Ò INDEX

 

The disclosure relating to the SPX contained below relates only to the offering of securities linked to the SPX.

 

Description of the SPX

 

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

 

The top 5 industry groups by market capitalization as of March 30, 2012 were: Information Technology, Financials, Health Care, Energy, and Consumer Discretionary.

 

For more information about the SPX, see “The S&P 500Ò Index” on page S-6 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the SPX

 

The following graph sets forth the historical performance of the SPX based on the daily historical closing levels from March 27, 2007 through March 26, 2012. The closing level for the SPX on March 26, 2012 was 1,416.51. 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 SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the SPX on the Final Valuation Date.

 

 

 

 

FWP-13
 

INFORMATION RELATING TO THE SECURITIES LINKED TO THE RUSSELL 2000® INDEX

 

The disclosure relating to the RTY contained below relates only to the offering of securities linked to the RTY.

 

Description of the RTY

 

The 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 the 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 February 29, 2012 were: Financial Services, Consumer Discretionary, Producer Durables, Technology and Health Care.

 

For more information about the RTY, see “The Russell 2000Ò Index” on page S-21 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the RTY

 

The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from March 27, 2007 through March 26, 2012. The closing level for the RTY on March 26, 2012 was 846.13. 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 Official Closing Value of the RTY on the Final Valuation Date.

FWP-14
 

INFORMATION RELATING TO THE SECURITIES LINKED TO THE iSHARES® MSCI EMERGING MARKETS INDEX FUND

 

The disclosure relating to the EEM contained below relates only to the offering of securities linked to the EEM.

 

Description of the EEM

 

The EEM seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The Emerging Markets Index is intended to measure the performance of equity markets in the global emerging markets. As of March 30, 2012, the MSCI Emerging Markets Index consisted of the following 21 component country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey. MSCI is no longer affiliated with Morgan Stanley.

 

For more information about the EEM, see “The iSharesÒ MSCI Emerging Markets Index Fund” on page S-21 of the accompanying ETF Underlying Supplement.

Historical Performance of the EEM

 

The following graph sets forth the historical performance of the EEM based on the daily historical closing prices from March 27, 2007 through March 26, 2012. The closing price for the EEM on March 26, 2012 was $43.65. We obtained the closing prices 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 prices of the EEM should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the EEM on the Final Valuation Date.

 

Quarter Begin Quarter End Quarterly High Quarterly Low Quarterly Close
1/3/2007 3/30/2007 $39.85 $34.52 $38.75
4/2/2007 6/29/2007 $44.62 $38.74 $43.82
7/2/2007 9/28/2007 $50.49 $37.15 $49.78
10/1/2007 12/31/2007 $55.83 $47.22 $50.10
1/2/2008 3/31/2008 $50.75 $40.68 $44.79
4/1/2008 6/30/2008 $52.48 $44.43 $45.19
7/1/2008 9/30/2008 $44.76 $30.88 $34.53
10/1/2008 12/31/2008 $34.29 $18.22 $24.97
1/2/2009 3/31/2009 $27.28 $19.87 $24.81
4/1/2009 6/30/2009 $34.88 $24.72 $32.23
7/1/2009 9/30/2009 $39.51 $30.25 $38.91
10/1/2009 12/31/2009 $42.52 $37.30 $41.50
1/4/2010 3/31/2010 $43.47 $35.01 $42.12
4/1/2010 6/30/2010 $44.02 $35.21 $37.32
7/1/2010 9/30/2010 $44.99 $36.76 $44.77
10/1/2010 12/31/2010 $48.62 $44.51 $47.62
1/3/2011 3/31/2011 $48.75 $44.25 $48.69
4/1/2011 6/30/2011 $50.43 $44.77 $47.60
7/1/2011 9/30/2011 $48.63 $34.71 $35.07
10/3/2011 12/30/2011 $43.21 $33.43 $37.94
1/3/2012* 3/26/2012* $44.91 $37.87 $43.65

* As of the date of this free writing prospectus available information for the first calendar quarter of 2012 includes data for the period from January 3, 2012 through March 26, 2012. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2012.

FWP-15
 

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)

 

We have appointed HSBC Securities (USA) Inc., an affiliate of HSBC, as the agent for the sale of the securities. Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc. will purchase the securities from HSBC for distribution to other registered broker-dealers or will offer the securities directly to investors. HSBC Securities (USA) Inc. proposes to offer the securities at the offering price set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying discounts of up to 0.50% and referral fees of up to 0.60% per $1,000 Principal Amount of securities. In no case will the sum of discounts and referral fees exceed 0.60% per $1,000 Principal Amount.

 

An affiliate of HSBC has paid or may pay in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support these securities.

 

In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions after the initial sale of the securities, but is under no obligation to do so and may discontinue any market-making activities at any time without notice.

 

See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-49 in the prospectus supplement.

  

U.S. FEDERAL INCOME TAX CONSIDERATIONS

 

There is no direct legal authority as to the proper tax treatment of the securities, and therefore significant aspects of the tax treatment of the securities are uncertain as to both the timing and character of any inclusion in income in respect of the securities. Under one approach, a security should be treated as a pre-paid forward or other executory contract with respect to the relevant Reference Asset. We intend to treat the securities consistent with this approach. Pursuant to the terms of the securities, you agree to treat the securities under this approach for all U.S. federal income tax purposes. 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 a security as a pre-paid forward or other executory contract with respect to the relevant Reference Asset. Pursuant to this approach and subject to the discussion below regarding “constructive ownership transactions”, we do not intend to report any income or gain with respect to the securities prior to their maturity or an earlier sale or exchange and we intend to treat any gain or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the security for more than one year at such time for U.S. federal income tax purposes.

 

Despite the foregoing, U.S. holders (as defined under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement) should be aware that the Internal Revenue Code of 1986, as amended (the “Code”) contains a provision, Section 1260 of the Code, which sets forth rules which are applicable to what it refers to as “constructive ownership transactions.” Due to the manner in which it is drafted, the precise applicability of Section 1260 of the Code to any particular transaction is often uncertain. In general, a “constructive ownership transaction” includes a contract under which an investor will receive payment equal to or credit for the future value of any equity interest in a regulated investment company (such as shares of the EEM (the “Underlying Shares”)). Under the “constructive ownership” rules, if an investment in the securities is treated as a “constructive ownership transaction,” any long-term capital gain recognized by a U.S. holder in respect of a security will be recharacterized as ordinary income to the extent such gain exceeds the amount of “net underlying long-term capital gain” (as defined in Section 1260 of the Code) of the U.S. holder determined as if the U.S. holder had acquired the Underlying Shares on the original issue date of the security at fair market value and sold them at fair market value on the Maturity Date (if the security was held until the Maturity Date) or on the date of sale or exchange of the security (if the security was sold or exchanged prior to the Maturity Date) (the “Excess Gain”). In addition, an interest charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in gross income inclusion for the U.S. holder in taxable years prior to the taxable year of the sale, exchange or maturity of the security (assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange or maturity of the security).

 

Although the matter is not clear, there exists a risk that an investment in the securities linked to the EEM will be treated as a “constructive ownership transaction.” If such treatment applies, it is not entirely clear to what extent any long-term capital gain recognized by a U.S. holder in respect of a security linked to the EEM will be recharacterized as ordinary income. It is possible, for example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary income in respect of each security linked to the EEM will equal the excess of (i) any long-term capital gain recognized by the U.S. holder in respect of such a security over (ii) the “net underlying long-term capital gain” such U.S. holder would have had if such U.S. holder had acquired a number of the Underlying Shares at fair market value on the original issue date of such security for an amount equal to the “issue price” of the security and, upon the date of sale, exchange or maturity of the security, sold such Underlying Shares at fair market value (which would reflect the percentage increase in the value of the Underlying Shares over the term of the security). Accordingly, U.S. holders should consult their tax advisors regarding the potential application of the “constructive ownership” rules.

 

FWP-16
 

 

 

We will not attempt to ascertain whether any of the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, would be treated as a passive foreign investment company (“PFIC”) or United States real property holding corporation (“USRPHC”), both as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.

 

For a discussion of the U.S. federal income tax consequences of your investment in a security, please see the discussion under “U.S Federal Income Tax Considerations” in the accompanying prospectus supplement.

 

 

 

FWP-17
 

       
TABLE OF CONTENTS    
Free Writing Prospectus  

You should only rely on the information contained in this free writing prospectus, any 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, any 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, any accompanying underlying supplement, prospectus supplement and prospectus are not an offer to sell these securities, and these documents are not soliciting an offer to buy these securities, 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 underlying supplement, prospectus supplement and prospectus is correct on any date after their respective dates.

 

 

HSBC USA Inc.

 

$ Buffered Accelerated Market Participation Securities Linked to the S&P 500® Index

 

$ Buffered Accelerated Market Participation Securities Linked to the Russell 2000® Index

 

$ Buffered Accelerated Market Participation Securities Linked to the iShares® MSCI Emerging Markets Index Fund

 

 

 

April 4, 2012

 

FREE WRITING PROSPECTUS

 

 

 

General FWP-6  
Payment at Maturity FWP-6  
Investor Suitability FWP-7  
Risk Factors FWP-8  
Illustrative Examples FWP-11  
Information Relating to the Securities Linked to the S&P 500Ò Index FWP-13  
Information Relating to the Securities Linked to the Russell 2000Ò Index FWP-14  
Information Relating to the Securities Linked to the iShares® MSCI Emerging Markets Index Fund FWP-15  
Supplemental Plan of Distribution (Conflicts of Interest) FWP-16  
U.S. Federal Income Tax Considerations FWP-16  
     
Equity Index Underlying Supplement  
Risk Factors S-1  
The S&P 500® Index S-6  
The S&P 100® Index S-10  
The S&P MidCap 400® Index S-14  
The S&P 500 Low Volatility Index S-18  
The Russell 2000® Index S-21  
The Dow Jones Industrial AverageSM S-25  
The Hang Seng China Enterprises Index® S-27  
The Hang Seng® Index S-30  
The Korea Stock Price Index 200 S-33  
MSCI Indices S-36  
The EURO STOXX 50® Index S-40  
The PHLX Housing SectorSM Index S-42  
The TOPIX® Index S-46  
The NASDAQ-100 Index® S-49  
S&P BRIC 40 Index S-53  
The Nikkei 225 Index S-56  
The FTSE™ 100 Index S-58  
Other Components S-60  
Additional Terms of the Notes S-60  
     
ETF Underlying Supplement  
Risk Factors S-2  
Reference Sponsors S-8  
The SPDR® Dow Jones Industrial AverageSM ETF Trust S-8  
The POWERSHARES QQQ TRUSTSM, SERIES 1 S-11  
The iShares® MSCI Mexico Investable Market Index Fund S-15  
The iShares® MSCI Brazil Index Fund S-18  
The iShares® MSCI Emerging Markets Index Fund S-21  
The iShares® MSCI EAFE Index Fund S-24  
The SPDR S&P 500 ETF Trust S-26  
The Market Vectors Gold Miners ETF S-30  
The iShares® Dow Jones U.S. Real Estate Index Fund S-33  
The iShares® FTSE China 25 Index Fund S-36  
The iShares® S&P Latin America 40 Index Fund S-39  
The Financial Select Sector SPDR® Fund S-42  
The iShares® Dow Jones Transportation Average Index Fund S-45  
The Energy Select SPDR® Fund S-47  
The Health Care Select SPDR® Fund S-50  
Other Components S-52  
Additional Terms of the Notes S-52  
     
Prospectus Supplement  
Risk Factors S-3  
Risks Relating to Our Business   S-3  
Risks Relating to All Note Issuances   S-3  
Pricing Supplement    S-7  
Description of Notes S-8  
Use of Proceeds and Hedging S-30  
Certain ERISA Considerations S-30  
U.S. Federal Income Tax Considerations S-32  
Supplemental Plan of Distribution (Conflicts of Interest) S-49  
     
Prospectus  
About this Prospectus 1  
Risk Factors 1  
Where You Can Find More Information 1  
Special Note Regarding Forward-Looking Statements 2  
HSBC USA Inc. 3  
Use of Proceeds 3  
Description of Debt Securities 3  
Description of Preferred Stock 15  
Description of Warrants 21  
Description of Purchase Contracts 25  
Description of Units 28  
Book-Entry Procedures 30  
Limitations on Issuances in Bearer Form 35  
U.S. Federal Income Tax Considerations Relating to Debt Securities 35  
Plan of Distribution (Conflicts of Interest) 51  
Notice to Canadian Investors 53  
Notice to EEA Investors 58  
Certain ERISA Matters 59  
Legal Opinions 60  
Experts 60    

 

 
 

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