Calculation of Registration Fee
| Title of Each Class of Securities Offered |
Maximum Aggregate Offering Price |
Amount of Registration Fee(1) | ||
| Debt Securities | $1,500,000 | $171.90 |
(1) Calculated in accordance with Rule 457 (r) of the Securities Act of 1933, as amended.
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-180289
PRICING SUPPLEMENT
Dated July 25, 2012
(To Prospectus dated March 22, 2012,
Prospectus Supplement dated March 22, 2012 and
Equity Index Underlying Supplement dated March 22, 2012)
HSBC USA Inc.
Performance Notes Linked to the S&P 500® Low Volatility Index
| } | $1,500,000 Performance Notes linked to the S&P 500® Low Volatility Index |
| } | The S&P 500® Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P 500® Index |
| } | Exposure to any positive return in the reference asset |
| } | Return of principal at maturity, subject to the credit risk of HSBC USA Inc. |
The Performance Notes (each a “Note” and collectively the “Notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation system. The Notes 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 Notes or passed upon the accuracy or the adequacy of this document, the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus. 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 Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to other registered broker-dealers or will offer the Notes directly to investors. In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-11 of this pricing supplement.
Investment in the Notes involves certain risks. You should refer to “Risk Factors” beginning on page PS-5 of this document, page S-3 of the accompanying prospectus supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.
| Price to Public | Fees and Commissions1 | Proceeds to Issuer | |
| Per Note | $1,000 | $20 | $980 |
| Total | $1,500,000 | $30,000 | $1,470,000 |
1 See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-11 of this pricing supplement.
The Notes:
| Are Not FDIC Insured | Are Not Bank Guaranteed | May Lose Value |
HSBC USA Inc. Performance Notes |
 |
Linked to the S&P 500® Low Volatility Index
This offering of Notes has the terms described in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement shall control. You should be willing to forgo interest and dividend payments during the term of the Notes.
This pricing supplement relates to an offering of Notes linked to the performance of the S&P 500® Low Volatility Index (the “Reference Asset”). The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of Notes:
| Issuer: | HSBC USA Inc. |
| Principal Amount: | $1,000 per Note |
| Reference Asset: | The S&P 500® Low Volatility Index (Ticker: SP5LVI) |
| Trade Date: | July 25, 2012 |
| Pricing Date: | July 25, 2012 |
| Original Issue Date: | August 8, 2012 |
| Final Valuation Date: | August 1, 2019. The Final Valuation Date is subject to adjustment as described under “Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
| Maturity Date: | August 8, 2019, which is 3 business days after the Final Valuation Date. The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. |
| Payment at Maturity: | On the Maturity Date, for each Note, we will pay you the Final Settlement Value. |
| Final Settlement Value: |
If the Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to: $1,000 + ($1,000 × Reference Return). If the Reference Return is less than or equal to zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to the $1,000 Principal Amount. Any payments on the Notes are subject to the credit risk of HSBC. |
| Reference Return: | The quotient, expressed as a percentage, calculated as follows: |
|
Final Level – Initial Level Initial Level | |
| Initial Level: | 4,405.58, which was the Official Closing Level of the Reference Asset on the Pricing Date. |
| Final Level: | The Official Closing Level of the Reference Asset on the Final Valuation Date. |
| Official Closing Level: | The closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the level displayed on Bloomberg Professional® service page “SP5LVI <INDEX>”, or on any successor page on the Bloomberg Professional® service or any successor service, as applicable. |
| Form of Notes: | Book-Entry |
| Listing: | The Notes will not be listed on any U.S. securities exchange or quotation system. |
| CUSIP / ISIN: | 4042K1Z63/US4042K1Z632 |
| PS-2 |
GENERAL
This pricing supplement relates to an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. Although the offering of Notes relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset or any component security included in the Reference Asset or as to the suitability of an investment in the Notes.
You should read this document together with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement dated March 22, 2012. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement shall control. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-5 of this pricing supplement, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the Notes 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 Notes. 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, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this pricing supplement relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying 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, prospectus supplement and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
| } | The Equity Index Underlying Supplement at: www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm |
| } | The prospectus supplement at: www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm |
| } | The prospectus at: www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm |
PAYMENT AT MATURITY
On the Maturity Date, for each Note you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:
If the Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to:
$1,000 + ($1,000 × Reference Return).
If the Reference Return is less than or equal to zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of Notes, equal to the $1,000 Principal Amount.
Any payments on the Notes are subject to the credit risk of HSBC.
Interest
The Notes will not pay interest.
Calculation Agent
We or one of our affiliates will act as calculation agent with respect to the Notes.
Reference Sponsor
Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, is the reference sponsor.
| PS-3 |
INVESTOR SUITABILITY
| The Notes may be suitable for you if: | The Notes may not be suitable for you if: |
|
} You seek an investment with a return linked to the potential positive performance of the Reference Asset and you believe the level of the Reference Asset will increase over the term of the Notes.
} You are willing to make an investment based on a minimum payment of $1,000 per $1,000 Principal Amount of Notes at maturity.
} You are willing to forgo dividends or other distributions paid to holders of the stocks comprising the Reference Asset.
} 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 Notes to maturity.
} You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.
|
} You believe the Reference Return will be negative or that the Reference Return will not be sufficiently positive to provide you with your desired return.
} You are unwilling to make an investment based on a minimum payment of $1,000 per $1,000 Principal Amount of Notes 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 the stocks comprising the Reference Asset.
} 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 Notes to maturity.
} You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes. |
| PS-4 |
RISK FACTORS
We urge you to read the section “Risk Factors” beginning on page S-3 in the accompanying prospectus supplement and on page S-1 of the accompanying Equity Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks comprising the Reference Asset. You should understand the risks of investing in the Notes and should reach an investment decision only after careful consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstances and the information set forth in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus.
In addition to the risks discussed below, you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including the explanation of risks relating to the Notes described in the following sections:
| } | “— Risks Relating to All Note Issuances” in the prospectus supplement; |
| } | “— General risks related to Indices” in the Equity Index Underlying Supplement; and |
| } | “— If the Reference Asset is or includes the S&P 500 Low Volatility Index or otherwise includes an Index that tracks a low volatility index” in the Equity Index Underlying Supplement. |
You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.
Credit risk of HSBC USA Inc.
The Notes are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including the return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes.
The Notes will not bear interest.
As a holder of the Notes, you will not receive interest payments.
The Reference Asset has limited actual historical information.
The Reference Asset was created in April 2011. The reference sponsor has published limited actual information about how the Reference Asset would have performed had it been calculated in the past. Because the Reference Asset is of recent origin and limited actual historical performance data exists with respect to it, your investment in the Notes may involve a greater risk than investing in securities linked to one or more indices with a more established record of performance.
Changes that affect the Reference Asset will affect the market value of the Notes and the amount you will receive at maturity.
The policies of the reference sponsor concerning additions, deletions and substitutions of the constituents comprising the Reference Asset and the manner in which the reference sponsor takes account of certain changes affecting those constituents may affect the level of the Reference Asset. The policies of the reference sponsor with respect to the calculation of the Reference Asset could also affect the level of the Reference Asset. The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset. Any such actions could affect the value of the Notes and the return on the Notes.
The Notes are not insured by any governmental agency of the United States or any other jurisdiction.
The Notes are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of 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 Notes.
Certain built-in costs are likely to adversely affect the value of the Notes prior to maturity.
While the Payment at Maturity described in this pricing supplement is based on the full Principal Amount of your Notes, the original issue price of the Notes includes the agent’s commission and the estimated cost of HSBC hedging its obligations under the Notes. As a result, the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase Notes from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
| PS-5 |
The Notes lack liquidity.
The Notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes 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 Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.
Potential conflicts.
HSBC and its affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a holder of the Notes in taking any action that might affect the value of your Notes.
Tax treatment.
For a discussion of the U.S. federal income tax consequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations” herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
| PS-6 |
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 level of the Reference Asset relative to its Initial Level. We cannot predict the actual Final Level. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events, and the hypothetical Initial Level used in the table and examples below is not the actual Initial Level. You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset or the return on your Notes. 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 such a security 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 Final Settlement Value on a $1,000 investment in Notes for a hypothetical range of Reference Returns from -100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the Note” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of Notes to $1,000. The potential returns described here assume that your Notes are held to maturity. You should consider carefully whether the Notes are suitable to your investment goals. The following table and examples assume the following:
| } | Principal Amount: | $1,000 |
| } | Hypothetical Initial Level: | 4,500 |
| } | Minimum payment: | $1,000 |
The actual Initial Level was determined on the Pricing Date.
|
Hypothetical Final Level |
Hypothetical Reference Return |
Hypothetical Final Settlement Value |
Hypothetical Return on the Note |
| 9,000 | 100.00% | $2,000 | 100.00% |
| 8,100 | 80.00% | $1,800 | 80.00% |
| 7,200 | 60.00% | $1,600 | 60.00% |
| 6,300 | 40.00% | $1,400 | 40.00% |
| 5,850 | 30.00% | $1,300 | 30.00% |
| 5,400 | 20.00% | $1,200 | 20.00% |
| 5,175 | 15.00% | $1,150 | 15.00% |
| 4,950 | 10.00% | $1,100 | 10.00% |
| 4,725 | 5.00% | $1,050 | 5.00% |
| 4,590 | 2.00% | $1,020 | 2.00% |
| 4,545 | 1.00% | $1,010 | 1.00% |
| 4,500 | 0.00% | $1,000 | 0.00% |
| 4,455 | -1.00% | $1,000 | 0.00% |
| 4,410 | -2.00% | $1,000 | 0.00% |
| 4,275 | -5.00% | $1,000 | 0.00% |
| 3,825 | -15.00% | $1,000 | 0.00% |
| 3,600 | -20.00% | $1,000 | 0.00% |
| 3,150 | -30.00% | $1,000 | 0.00% |
| 2,700 | -40.00% | $1,000 | 0.00% |
| 1,800 | -60.00% | $1,000 | 0.00% |
| 900 | -80.00% | $1,000 | 0.00% |
| 0 | -100.00% | $1,000 | 0.00% |
The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.
Example 1: The level of the Reference Asset increases from the Initial Level of 4,500 to a Final Level of 6,300.
| Reference Return: | 40% |
| Final Settlement Value: | $1,400 |
Because the Reference Return is positive, the Final Settlement Value would be $1,400 per $1,000 Principal Amount of Notes, calculated as follows:
$1,000 + ($1,000 × Reference Return)
= $1,000 + ($1,000 × 40%)
= $1,400
Example 1 shows that you will receive the return of your principal investment plus a return equal to the Reference Return when such Reference Return is positive.
| PS-7 |
Example 2: The level of the Reference Asset decreases from the Initial Level of 4,500 to a Final Level of 2,700.
| Reference Return: | -40% |
| Final Settlement Value: | $1,000 |
Because the Reference Return is less than zero, the Final Settlement Value would be $1,000 per $1,000 Principal Amount of Notes, the minimum payment on the Notes.
| PS-8 |
THE S&P 500® LOW VOLATILITY INDEX (“SP5LVI”)
Description of the Reference Asset
The SP5LVI measures the performance of the 100 least volatile stocks over the previous year in the S&P 500® Index. It is designed to serve as a benchmark for low volatility strategies in the U.S. stock market.
As of the May 2012 rebalancing, the sector weightings in the SP5LVI were as follows: Consumer Discretionary: 8.10%, Consumer Staples: 29.40%, Energy: 1.70%, Financials: 0.80%, Healthcare: 12.40%, Industrials: 4.40%, Information Technology: 4.30%, Materials: 2.40%, Telecommunication Services: 4.90% and Utilities: 31.40%.
For more information about the SP5LVI, see “The S&P 500 Low Volatility Index” on page S-18 of the accompanying Equity Index Underlying Supplement.
License Agreement with S&P
HSBC has entered into a license agreement providing for the license to it, in exchange for a fee, of the right to use indices owned and published by S&P in connection with some products, including the Notes.
The Notes are not sponsored, endorsed, sold or promoted by Standard & Poor’s Financial Services LLC (“S&P”, “Standard & Poor’s” and “S&P Indices”) or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the S&P 500® Low Volatility Index to track general stock market performance. S&P's and its third party licensor’s only relationship to HSBC USA Inc. is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the S&P 500® Low Volatility Index which is determined, composed and calculated by S&P or its third party licensors without regard to HSBC USA Inc. or the Notes. S&P and its third party licensors have no obligation to take the needs of HSBC USA Inc. or the owners of the Notes into consideration in determining, composing or calculating the S&P 500® Low Volatility Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Notes.
NEITHER STANDARD & POOR’S, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE S&P 500® LOW VOLATILITY INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. STANDARD & POOR’S, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. STANDARD & POOR’S MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE S&P 500® LOW VOLATILITY INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL STANDARD & POOR’S, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.
“Standard & Poor’s®”, “S&P®” and “S&P 500®” are trademarks of Standard & Poor’s and have been licensed for use by HSBC USA Inc.
| PS-9 |
Hypothetical and Actual Historical Performance of the SP5LVI
The following graph sets forth the hypothetical back-tested performance of the SP5LVI from July 26, 2007 through April 19, 2011 and the historical performance of the SP5LVI from April 20, 2011 to July 25, 2012. The SP5LVI has only been calculated since April 20, 2011. The hypothetical back-tested performance of the SP5LVI set forth in the following graph was calculated using the selection criteria and methodology employed to calculate the SP5LVI since its inception on April 20, 2011. However, the hypothetical back-tested SP5LVI data only reflects the application of that methodology in hindsight, since the SP5LVI was not actually calculated and published prior to April 20, 2011. The hypothetical back-tested SP5LVI data cannot completely account for the impact of financial risk in actual trading. There are numerous factors related to the equities markets in general that cannot be, and have not been, accounted for in the hypothetical back-tested SP5LVI data, all of which can affect actual performance. Consequently, you should not rely on that data in forecasting future SP5LVI performance. Because the SP5LVI is a price return index, and not a total return index, the data presented below does not reflect the payment of dividends. The graph below also reflects the actual closing levels from April 20, 2011 to July 25, 2012 that we obtained from the Bloomberg Professional® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional® service. The closing level for the SP5LVI on July 25, 2012 was 4,405.58. The hypothetical and actual performance is not necessarily an indication of future results.
The hypothetical and actual historical levels of the SP5LVI should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SP5LVI on the Final Valuation Date.
The tables below are a comparison of the 1997 through 2011 annual returns and the 1,3,5,10,15 and 20 year annualized returns and standard deviations for the S&P 500® Low Volatility Index and the S&P 500® Index. The SP5LVI has only been calculated since April 20, 2011. Accordingly, while the hypothetical tables set forth below are based on the selection criteria and methodology described herein and in the Equity Index Underlying Supplement, the SP5LVI was not actually calculated and published prior to April 20, 2011. The hypothetical and actual historical performance is not necessarily an indication of future results. Because the SP5LVI is a price return index, and not a total return index, the return data presented below does not reflect the payment of dividends.
| Annual Returns | ||
| S&P 500® Low Volatility Index | S&P 500® Index | |
| 1997 | 26.27% | 31.01% |
| 1998 | 4.80% | 26.67% |
| 1999 | -10.72% | 19.53% |
| 2000 | 20.68% | -10.14% |
| 2001 | 1.54% | -13.04% |
| 2002 | -9.83% | -23.37% |
| 2003 | 19.43% | 26.38% |
| 2004 | 14.38% | 8.99% |
| 2005 | -0.67% | 3.00% |
| 2006 | 16.49% | 13.62% |
| 2007 | -2.16% | 3.53% |
| 2008 | -23.61% | -38.49% |
| 2009 | 15.52% | 23.45% |
| 2010 | 9.79% | 12.78% |
| 2011 | 10.88% | 0.00% |
| Price Return Data as of December 31, 2011 | ||
| S&P 500® Low Volatility Index | S&P 500® Index | |
| 1 Yr. | 10.88% | 0.00% |
| 3 Yrs. | 12.04% | 11.66% |
| 5 Yrs. | 1.00% | -2.38% |
| 10 Yrs. | 4.12% | 0.92% |
| 15 Yrs. | 5.30% | 3.59% |
| 20 Yrs. | 6.36% | 5.67% |
| PS-10 |
| Annualized Standard Deviation | |||
| S&P 500® Low Volatility Index | S&P 500® Index | ||
| 1 Yr. | 8.78% | 15.97% | |
| 3 Yrs. | 11.88% | 19.00% | |
| 5 Yrs. | 12.87% | 18.91% | |
| 10 Yrs. | 10.77% | 15.93% | |
| 15 Yrs. | 12.14% | 16.59% | |
| 20 Yrs. | 11.33% | 15.01% | |
Sector Weightings
The table below shows the current weight, average weight and maximum weight of each industry sector included in the SP5LVI. The SP5LVI has only been calculated since April 20, 2011. Accordingly, while the hypothetical tables set forth below are based on the selection criteria and methodology described herein and in the Equity Index Underlying Supplement, the SP5LVI was not actually calculated and published prior to April 20, 2011. No assurance can be given that these weightings will not change.
The hypothetical back-tested weights of the SP5LVI set forth above were calculated using the selection criteria and methodology employed to calculate the SP5LVI since its inception on April 20, 2011.
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 Notes. Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc. will purchase the Notes from HSBC for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. will offer the Notes at the offering price set forth on the cover page of this pricing supplement. HSBC USA Inc. or one of our affiliates may pay varying discounts of up to 2.00% and referral fees of up to 2.00% per $1,000 Principal Amount of Notes in connection with the distribution of the Notes to other registered broker-dealers. In no case will the sum of the discounts and referral fees exceed 2.00% 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 the Notes.
In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use this pricing supplement in market-making transactions after the initial sale of the Notes, 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
You should carefully consider
the matters set forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. The
following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition
of the Notes. This summary supplements the section “U.S. Federal Income Tax Considerations” in the accompanying
prospectus supplement and supersedes it to the extent inconsistent therewith.
There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S.
federal income tax purposes of notes with terms that are substantially the same as those of the Notes. We intend to
treat the Notes as contingent payment debt instruments for U.S. federal income tax purposes. Pursuant to the terms of
the Notes, you agree to treat the Notes as contingent payment debt instruments for all U.S. federal income tax purposes and, in
the opinion of Morrison & Foerster LLP, special U.S. tax counsel to us, it is reasonable to treat the Notes as contingent payment
debt instruments. Assuming the Notes are treated as contingent payment debt instruments, a U.S. holder will be required
to include original issue discount (“OID”) in gross income each year, even though no payments will be made on the Notes
until maturity.
| PS-11 |
Based on the factors described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment
of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments”, we have determined
that the comparable yield of the Notes, solely for U.S. federal income tax purposes, will be 2.63% per annum (compounded annually). Further,
based upon the method described in the section, “U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment
of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments” and based
upon the comparable yield, we have determined that the projected payment schedule for Notes that have a Principal Amount of $1,000
and an issue price of $1,000 consists of a single payment of $1,199.47 at maturity.
Based upon the estimate of the comparable yield, a U.S. holder that pays taxes on a calendar year basis, buys a Note for $1,000,
and holds the Note until maturity will be required to pay taxes on the following amounts of ordinary income in respect of the Notes
in each year:
| Year | OID |
| 2012 | $10.45 |
| 2013 | $26.57 |
| 2014 | $27.27 |
| 2015 | $27.99 |
| 2016 | $28.73 |
| 2017 | $29.48 |
| 2018 | $30.26 |
| 2019 | $18.72 |
However, the ordinary income reported in the taxable year the Notes mature will be adjusted to reflect the actual payment received at maturity. U.S. holders may also obtain the comparable yield and projected payment schedule as determined by us by submitting a written request to: Structured Equity Derivatives – Structuring HSBC Bank USA, National Association, 452 Fifth Avenue, 3rd Floor, New York, NY 10018. A U.S. holder is generally bound by the comparable yield and the projected payment schedule established by us for the Notes. However, if a U.S. holder believes that the projected payment schedule is unreasonable, a U.S. holder must determine its own projected payment schedule and explicitly disclose the use of such schedule and the reason the holder believes the projected payment schedule is unreasonable on its timely filed U.S. federal income tax return for the taxable year in which it acquires the Notes.
The comparable yield and projected payment schedule are not provided for any purpose other than the determination of a U.S. holder’s interest accruals for U.S. federal income tax purposes and do not constitute a projection or representation by us regarding the actual yield on a Note. We do not make any representation as to what such actual yield will be.
Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of notes with terms that are substantially the same as those of the Notes, other characterizations and treatments are possible. As a result, the timing and character of income in respect of the Notes might differ from the treatment described above. You should carefully consider the discussion of all potential tax consequences as set forth in “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
PROSPECTIVE PURCHASERS OF THE NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF THE NOTES.
| PS-12 |
| TABLE OF CONTENTS |
You should only rely on the information contained in this pricing supplement, the accompanying Equity Index 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 pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
HSBC USA Inc.
$1,500,000
Performance Notes S&P 500® Low Volatility Index
July 25, 2012
PRICING SUPPLEMENT
| |
| Pricing Supplement | ||
| General | PS-3 | |
| Payment at Maturity | PS-3 | |
| Investor Suitability | PS-4 | |
| Risk Factors | PS-5 | |
| Illustrative Examples | PS-7 | |
| The S&P 500® Low Volatility Index (“SP5LVI”) | PS-9 | |
| Supplemental Plan of Distribution (Conflicts of Interest) | PS-11 | |
| U.S. Federal Income Tax Considerations | PS-11 | |
| 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 | |
| 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 | |