0001144204-14-011256.txt : 20140225 0001144204-14-011256.hdr.sgml : 20140225 20140224180704 ACCESSION NUMBER: 0001144204-14-011256 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 10 FILED AS OF DATE: 20140225 DATE AS OF CHANGE: 20140224 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: 14638244 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 v369583_fwp.htm FREE WRITING PROSPECTUS

 

Filed Pursuant to Rule 433

Registration No. 333-180289

February 24, 2014

FREE WRITING PROSPECTUS

(To Prospectus dated March 22, 2012,

Prospectus Supplement dated March 22, 2012 and

Equity Index Underlying Supplement dated March 22, 2012)

 

 

 

HSBC USA Inc.
Buffered Digital Notes

 

}Buffered Digital Notes linked to a basket consisting of the S&P 500® Index (60%) and the EURO STOXX 50® Index (40%)
}Maturity of 18 months
}Digital Upside Return of 4.50% if the Final Value of the Reference Asset is greater than or equal to its Initial Value
}Protection from the first 15% of any losses of the Reference Asset, with up to 85% of the principal amount at risk if the Reference Asset decreases by more than 15%
}All payments on the notes are subject to the credit risk of HSBC USA Inc.

The Buffered Digital 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 prospectus, prospectus supplement or Equity Index Underlying Supplement. 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 the pricing supplement to which this free writing prospectus relates in market-making transactions in any notes 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-18 of this free writing prospectus.

Investment in the notes involves certain risks. You should refer to “Risk Factors” beginning on page FWP-9 of this document, page S-3 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.

 

The Estimated Initial Value of the notes on the Pricing Date is expected to be between $965 and $985 per note, which will be less than the price to public. The market value of the notes at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Initial Value” on page FWP-5 and “Risk Factors” beginning on page FWP-9 of this document for additional information.

 

  Price to Public Underwriting Discount1 Proceeds to Issuer
Per note $1,000      
Total      

 

1 HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 1.25% per $1,000 Principal Amount in connection with the distribution of the notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-18 of this free writing prospectus.

 

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

 

 

 
 

 

HSBC USA Inc.

Buffered Digital Notes

Linked to a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index

 

This FWP relates to an offering of notes by HSBC USA Inc., linked to the performance of the Reference Asset as indicated below.

Reference Asset Reference Asset Components Ticker

Component

Weighting

Maximum Cap CUSIP
SPX/SX5E Basket

S&P 500® Index (“SPX”)

EURO STOXX 50® Index (“SX5E”)

SPX

SX5E

60%

40%

4.50% 40432XU58

 

Indicative Terms*

Principal Amount $1,000 per note
Term 18 months
Digital Upside Return 4.50%
Buffer Value -15%
Payment at
Maturity
per Note

If the Reference Return is greater than or equal to zero, you will receive:

$1,000 + ($1,000 × Digital Upside Return).

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

$1,000 (zero return).

If the Reference Return is less than the Buffer Value:

$1,000 + [$1,000 × (Reference Return + 15%)].

If the Reference Return is less than the Buffer Value, you will lose up to 85% of your investment.

Reference Return

Final Value – Initial Value

            Initial Value

Initial Value Set to 100 on the Pricing Date.
Final Value See page FWP-4
Pricing Date February 25, 2014
Trade Date Februay 25, 2014
Original Issue Date February 28, 2014
Final Valuation Date August 25, 2015
Maturity Date August 28, 2015

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

†Subject to adjustment as described under “Additional Terms of the Notes” in the accompanying Equity Index Underlying Supplement.

The Notes

These Buffered Digital Notes may be suitable for investors who believe that the Reference Asset will increase modestly over the term of the notes. If the Reference Return is positive, but less than the Digital Upside Return, the notes will outperform the Reference Return.

If the Reference Return is greater than or equal to zero, you will realize the Digital Upside Return at maturity (subject to the credit risk of HSBC). If the Reference Return is less than zero but greater than or equal to -15%, you will receive your Principal Amount. If the Reference Asset declines by more than 15%, you will lose 1% of your investment for every 1% decline of the Reference Asset beyond -15%.

The offering period for the notes is through Feburary 25, 2014

 

 

 

FWP-2
 

 

 

Payoff Example

 

The table at right shows the hypothetical payout profile of an investment in the notes reflecting a Digital Upside Return of 4.50%.

  

 

Information about the Reference Asset

 

The following graph illustrates the hypothetical daily historical performance of the SPX/SX5E Basket from January 1, 2008 through February 21, 2014 based on information from the Bloomberg Professional® service, if the value of the Basket was made to equal 100 on January 1, 2008. The hypothetical historical performance reflects the performance the Basket would have exhibited based on (i) the actual historical performance of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Level occurred from January 1, 2008 through February 21, 2014 for any Reference Asset Component. Neither the hypothetical historical performance of the Basket nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.

We cannot give you assurance that the performance of the Basket will result in the return of your initial investment. You may lose up to 85% of your investment.

 

 

For further information on each Reference Asset Component, please see “Information Relating to the S&P 500® Index” and “Information Relating to the EURO STOXX 50® Index,” as applicable, on page FWP-14 and FWP-16, as applicable, and “The S&P 500® Index” and “The EURO STOXX 50® Index,” as applicable, in the accompanying Equity Index Underlying Supplement. We have derived all disclosure regarding the Reference Asset Components from publicly available information. Neither HSBC USA Inc. nor any of its affiliates have undertaken any independent review of, or made any due diligence inquiry with respect to, the publicly available information about the Reference Asset Components.

 

FWP-3
 

 

HSBC USA Inc.

Buffered Digital Notes

 

Linked to a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index

This free writing prospectus relates to an offering of Buffered Digital Notes. The notes will have the terms described in this free writing prospectus and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement. If the terms of the notes offered hereby are inconsistent with those described in the accompanying prospectus, prospectus supplement, or Equity Index 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 notes and, if the Reference Return is less than -15%, lose up to 85% of your principal.

This free writing prospectus relates to an offering of notes linked to the performance of an unequally weighted basket (the “Reference Asset”). The purchaser of a note will acquire a senior unsecured debt security of HSBC USA Inc., 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: SPX/SX5E Basket
Reference Asset Components:

S&P 500® Index (“SPX”)

EURO STOXX 50® Index (“SX5E”)

Component Weightings: 60% for the SPX and 40% for the SX5E
Trade Date: February 25, 2014
Pricing Date: February 25, 2014
Original Issue Date: February 28, 2014
Final Valuation Date: August 25, 2015, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
Maturity Date: 3 business days after the Final Valuation Date, and expected to be August 28, 2015.  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.
Digital Upside Return: 4.50%
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 or equal to zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to:

$1,000 + ($1,000 × Digital Upside Return).

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

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

$1,000 + [$1,000 × (Reference Return + 15%)].

Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Value. For example, if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit risk of HSBC If the Reference Return is less than the Buffer Value, you will lose up to 85% of your investment.

Reference Return: The quotient, expressed as a percentage, calculated as follows:
 

Final Value – Initial Value

Initial Value

Buffer Value: -15%
Initial Value: Set to 100 on the Pricing Date.
Final Value: The Reference Asset Closing Value on the Final Valuation Date.  
Reference Asset Closing Value:

On any scheduled trading day, the Reference Asset Closing Value will be calculated as follows:

100 × (1 + (sum of the Reference Asset Component Return multiplied by the respective Component Weighting for each

 

FWP-4
 

 

Reference Asset Component))

For each Reference Asset Component, the Reference Asset Component Return set forth in the formula above refers to the return for that Reference Asset Component, which is equal to:

Final Component Level – Initial Component Level

Initial Component Level

Initial Component Level: With respect to each Reference Asset Component, its Official Closing Level (as defined below) on the Pricing Date as determined by the calculation agent.
Final Component Level: With respect to each Reference Asset Component, the Official Closing Level of the respective Reference Asset Component on the Final Valuation Date.  
Official Closing Level: The closing level of each Reference Asset Component on any scheduled trading day as determined by the calculation agent based upon the level displayed on the relevant Bloomberg Professional® service page (with respect to the SPX, “SPX <INDEX>”, and with respect to the SX5E, “SX5E <INDEX>”, or, for each Reference Asset Component, 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.
Estimated Initial Value: The Estimated Initial Value of the notes will be less than the price you pay to purchase the notes.  The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your notes in the secondary market, if any, at any time. The Estimated Initial Value will be calculated on the Pricing Date and will be set forth in the pricing supplement to which this free writing prospectus relates.  See “Risk Factors — The Estimated Initial Value of the notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the notes in the secondary market, if any.”
CUSIP/ISIN: 40432XU58 /US40432XU585

 

The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the notes.

 

FWP-5
 

 

GENERAL

This free writing prospectus 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. We reserve the right to withdraw, cancel or modify the offering and to reject orders in whole or in part. 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 prospectus, prospectus supplement, or Equity Index 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-9 of this free writing prospectus, 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, a prospectus supplement and an Equity Index Underlying Supplement) with the SEC for the offering to which this free writing prospectus 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, the prospectus supplement and the Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.

You may also obtain:

}The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm
}The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm
}The Equity Index Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm

We are using this free writing prospectus to solicit from you an offer to purchase the notes. You may revoke your offer to purchase the notes 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 notes prior to their issuance. In the event of any material changes to the terms of the notes, we will notify you.

 

FWP-6
 

 

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 or equal to zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to:

$1,000 + ($1,000 × Digital Upside Return).

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

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

$1,000 + [$1,000 × (Reference Return + 15%)].

Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Value. For example, if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit risk of HSBC. You should be aware that if the Reference Return is less than the Buffer Value, you will lose up to 85% of your investment.

Interest

The notes will not pay interest.

Business Day

A “business day” means any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in the City of New York.

Payment When Offices or Settlement Systems Are Closed

If any payment is due on the notes on a day that would otherwise be a “business day” but is a day on which the office of a paying agent or a settlement system is closed, we will make the payment on the next business day when that paying agent or system is open. Any such payment will be deemed to have been made on the original due date, and no additional payment will be made on account of the delay.

Calculation Agent

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

Reference Sponsors

With respect to the SPX, S&P Dow Jones Indices LLC, a part of McGraw-Hill Financial, is the reference sponsor. With respect to SX5E, the Deutsche Börse AG and SIX Group AG are the reference sponsors.

 

FWP-7
 

 

INVESTOR SUITABILITY

The notes may be suitable for you if:

}You seek an investment with a return linked to the Reference Asset and you believe that the value of the Reference Asset will not decrease or will not increase above the Digital Upside Return over the term of the notes.
}You are willing to invest in the notes based on the Digital Upside Return, which will limit your return at maturity.
}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 Reference Return is less than the Buffer Value.
}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 forgo dividends or other distributions paid to holders of the stocks comprising the Reference Asset Components.
}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.

The notes may not be suitable for you if:

}You believe that the Reference Return will be negative or that the Reference Return will exceed the Digital Upside Return.
}You are unwilling to invest in the notes based on the Digital Upside Return, which will limit your return at maturity.
}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 Reference Return is less than the Buffer Value.
}You seek an investment that provides 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 the stocks comprising the Reference Asset Components.
}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.

 

FWP-8
 

 

RISK FACTORS

We urge you to read the section “Risk Factors” beginning on page S-3 of the accompanying prospectus supplement and 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 any Reference Asset Component. 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 free writing prospectus and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement

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;
}“—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 the Equity Index Underlying Supplement; and
}“—Time Differences Between the Domestic and Foreign Markets and New York City May Create Discrepancies in the Trading Level or Price of the Notes” in the Equity Index Underlying Supplement.

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

Your investment in the notes may result in a loss.

You will be exposed to the decline in the value of the Reference Asset beyond the Buffer Value of -15%. Accordingly, if the Reference Return is less than -15%, your Payment at Maturity will be less than the Principal Amount of your notes. You may lose up to 85% of your investment at maturity if the Reference Return is less than the Buffer Value.

Your return on the notes, if any, is limited to the Digital Upside Return, regardless of any appreciation in the value of the Reference Asset beyond the Digital Upside Return.

If the Reference Return is greater than or equal to zero, you will receive a positive return on the notes equal to the Digital Upside Return, regardless of the appreciation in the value of the Reference Asset, which may be significantly greater than the Digital Upside Return. Under no circumstances will your return exceed the Digital Upside Return. Accordingly, the return on the notes may be significantly less than the return on a direct investment in the securities included in the Reference Asset Components.

The amount payable on the notes is not linked to the value of the Reference Asset at any time other than the Final Valuation Date.

The Final Value will be based on the Official Closing Levels of the Reference Asset Components on the Final Valuation Date, subject to postponement for non-trading days and certain market disruption events. Even if the value of the Reference Asset appreciates during the term of the notes other than on the Final Valuation Date but then drops on the Final Valuation Date to a value that is less than the Initial Value or the Buffer Value, the Payment at Maturity may be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Reference Asset prior to such decrease. Although the actual value of the Reference Asset on the Maturity Date or at other times during the term of the notes may be higher than the Final Value, the Payment at Maturity will be based solely on the value of the Reference Asset on the Final Valuation Date.

Credit risk of HSBC USA Inc.

The notes are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the notes will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the notes, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the notes.

The notes will not bear interest.

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

Changes that affect the Reference Asset Components may affect the market value of the notes and the amount you will receive at maturity.

The policies of the reference sponsors concerning additions, deletions and substitutions of the constituents comprising the relevant Reference Asset Components and the manner in which the reference sponsors take account of certain changes affecting those constituents may affect the levels of those Reference Asset Components. The policies of the reference sponsors with respect to the calculation of the relevant Reference Asset Components could also affect the levels of those Reference Asset Components. The

 

FWP-9
 

 

reference sponsors may discontinue or suspend calculation or dissemination of the relevant Reference Asset Components. Any such actions could affect the value of the notes and their return.

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

The notes are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the notes is subject to the credit risk of 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.

The Estimated Initial Value of the notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the notes in the secondary market, if any.

The Estimated Initial Value of the notes will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflect our internal funding rate, which is the borrowing rate we use to issue market-linked notes, as well as the mid-market value of the embedded derivatives in the notes. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the notes may be lower if it were based on the levels at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the notes to be more favorable to you. We will determine the value of the embedded derivatives in the notes by reference to our or our affiliates’ internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions could provide valuations for the notes that are different from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your notes in the secondary market (if any exists) at any time.

The price of your notes in the secondary market, if any, immediately after the Pricing Date will be less than the price to public.

The price to public takes into account certain costs. These costs, which will be used or retained by us or one of our affiliates, include the underwriting discount, our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the notes and the costs associated with structuring and hedging our obligations under the notes. If you were to sell your notes in the secondary market, if any, the price you would receive for your notes may be less than the price you paid for them because secondary market prices will not take into account these costs. The price of your notes in the secondary market, if any, at any time after issuance will vary based on many factors, including the value of the Reference Asset and changes in market conditions, and cannot be predicted with accuracy. The notes are not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the notes to maturity. Any sale of the notes prior to maturity could result in a loss to you.

If we were to repurchase your notes immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the notes.

Assuming that all relevant factors remain constant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately three months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the notes and other costs in connection with the notes that we will no longer expect to incur over the term of the notes. We will make such discretionary election and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the notes and any agreement we may have with the distributors of the notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the Original Issue Date of the notes based on changes in market conditions and other factors that cannot be predicted.

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 of interest may exist.

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.

FWP-10
 

Change in the level of one Reference Asset Component may be offset by change in the level of the other Reference Asset Component.

A change in the level of one Reference Asset Component on the Final Valuation Date may not correlate with change in the level of the other Reference Asset Component. The level of one Reference Asset Component may increase, while the level of the other Reference Asset Component may not increase as much, or may even decrease. Therefore, in calculating the value of the Reference Asset, increases in the level of one Reference Asset Component may be moderated, or wholly offset, by lesser increases or decreases in the level of the other Reference Asset Component. This effect is further amplified by the differing weights of the Reference Asset Components. Changes in the level of the SPX, which is more heavily weighted in the Reference Asset, will have a larger impact than changes in the level of the SX5E.

Risks associated with non-U.S. companies.

The level of the SX5E depends upon the stocks of non-U.S. companies, and thus involve risks associated with the home countries of those non-U.S. companies. The prices of these non-U.S. stocks may be affected by political, economic, financial and social factors in the home country of each applicable company, including changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions, which could affect the value of the notes. These foreign securities may have less liquidity and could be more volatile than many of the securities traded in U.S. or other securities markets. Direct or indirect government intervention to stabilize the relevant foreign securities markets, as well as cross shareholdings in foreign companies, may affect trading levels or prices and volumes in those markets. The other special risks associated with foreign securities may include, but are not limited to: less liquidity and smaller market capitalizations; less rigorous regulation of securities markets; different accounting and disclosure standards; governmental interference; currency fluctuations; higher inflation; and social, economic and political uncertainties. These factors may adversely affect the performance of the SX5E and, as a result, the value of the notes.

The notes will not be adjusted for changes in exchange rates.

Although the equity securities that comprise the SX5E are traded in euro, and your notes are denominated in U.S. dollars, the amount payable on your notes at maturity, if any, will not be adjusted for changes in the exchange rates between the U.S. dollar and the euro. Changes in exchange rates, however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the level of the SX5E, and therefore your notes. The amount we pay in respect of your notes on the maturity date, if any, will be determined solely in accordance with the procedures described in this free writing prospectus.

Uncertain tax treatment.

For a discussion of the U.S. federal income tax consequences of your investment in the notes, 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.

 

FWP-11
 

 

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 Reference Asset relative to its Initial Value. We cannot predict the Final Value of the Reference Asset or the Official Closing Level of any Reference Asset Component. 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 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 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 Final Settlement Value on a $1,000 investment in the 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 Notes” as used below is the number, expressed as a percentage, that results from comparing the Final Settlement Value per $1,000 Principal Amount 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
} Buffer Value: 15%
} Digital Upside Return: 4.50%

 

Hypothetical
Reference Return

Hypothetical

Final Settlement Value

Hypothetical

Return on the Notes

100.00% $1,045.00 4.50%
80.00% $1,045.00 4.50%
60.00% $1,045.00 4.50%
40.00% $1,045.00 4.50%
30.00% $1,045.00 4.50%
20.00% $1,045.00 4.50%
10.00% $1,045.00 4.50%
4.50% $1,045.00 4.50%
2.00% $1,045.00 4.50%
1.00% $1,045.00 4.50%
0.00% $1,045.00 4.50%
-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% $1,000.00 0.00%
-20.00% $950.00 -5.00%
-30.00% $850.00 -15.00%
-40.00% $750.00 -25.00%
-60.00% $550.00 -45.00%
-80.00% $350.00 -65.00%
-100.00% $150.00 -85.00%

 

FWP-12
 

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 Reference Return is 2.00%.

   
Reference Return: 2.00%
Final Settlement Value: $1,045.00

 

Because the Reference Return is positive, the investor receives the Digital Upside Return, and the Final Settlement Value would be $1,045.00 per $1,000 Principal Amount, calculated as follows:

$1,000 + ($1,000 × Digital Upside Return)
= $1,000 + ($1,000 × 4.50%)
= $1,045.00

Example 1 shows that you will benefit from the Digital Upside Return at maturity when the Reference Return is positive.

Example 2: The Reference Return is 60.00%.

   
Reference Return: 60.00%
Final Settlement Value: $1,045.00

 

Although the Reference Return is greater than the Digital Upside Return, the investor still receives the Digital Upside Return, and the Final Settlement Value would be $1,045.00 per $1,000 Principal Amount, calculated as follows:

$1,000 + ($1,000 × Digital Upside Return)
= $1,000 + ($1,000 × 4.50%)
= $1,045.00

Example 2 shows that you will receive the Digital Upside Return if the Reference Return is positive, but you will not participate in increases in the Reference Asset beyond the Digital Upside Return.

Example 3: The Reference Return is -5.00%.

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

 

Because the Reference Return is less than zero but greater than the Buffer Value of -15%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount (a zero return).

Example 4: The Reference Return is -40.00%.

   
Reference Return: -40.00%
Final Settlement Value: $750.00

 

Because the Reference Return is less than the Buffer Value of -15%, the Final Settlement Value would be $750.00 per $1,000 Principal Amount, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 15%)]
= $1,000 + [$1,000 × (-40.00% + 15%)]
= $750.00

Example 4 shows that you are exposed on a 1-to-1 basis to declines in the level of the Reference Asset beyond the Buffer Value of -15%. YOU MAY LOSE UP TO 85% OF THE PRINCIPAL AMOUNT OF YOUR NOTES.

 

FWP-13
 

 

INFORMATION RELATING TO THE S&P 500® INDEX

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 February 21, 2014 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.

In September 2012, S&P Dow Jones Indices LLC updated its index methodology so that, subject to several exceptions, shareholdings by specified types of insiders that represent more than 5% of the outstanding shares of a security are removed from the float for purposes of calculating the SPX.

For more information about the SPX, see “The S&P 500® Index” beginning 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 January 1, 2008 through February 21, 2014. The closing level for the SPX on February 21, 2014 was 1,836.25. We obtained the closing levels below 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 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 Level of the SPX on the Final Valuation Date.

 

License Agreement

 

Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC.  “Standard & Poor’s®”, “S&P 500®” and “S&P®” are trademarks of S&P and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by HSBC.  The SPX (the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.  

 

The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).  S&P Dow Jones Indices makes no representation or warranty, express or implied, to the holders 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 Index to track general market performance.  S&P Dow Jones Indices’ only relationship to HSBC with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices.  The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to HSBC or the notes.  S&P Dow Jones Indices has no obligation to take the needs of HSBC or the holders of the notes into consideration in determining, composing or calculating the Index.  S&P Dow Jones Indices is not 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 Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns.  S&P Dow Jones Indices LLC is not an investment advisor.  Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.   Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by HSBC, but which may be similar to and competitive with the notes.  In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Index.  It is possible that this trading activity will affect the value of the Index and the notes.

 

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO.  S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN.  S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY HSBC, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE

 

FWP-14
 

 

OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO.  WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES 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 POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE.  THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND HSBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

 

 

 

FWP-15
 

 

INFORMATION RELATING TO THE EUROSTOXX 50® INDEX

Description of the SX5E

The SX5E is composed of 50 stocks from the Eurozone (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) portion of the STOXX Europe 600 Supersector indices. The STOXX Europe 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure and utilities.

 

 

For more information about the SX5E, see “The EURO STOXX 50Ò Index” beginning on page S-40 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the SX5E

The following graph sets forth the historical performance of the SX5E based on the daily historical closing levels from January 1, 2008 through February 21, 2014. The closing level for the SX5E on February 21, 2014 was 3,131.67. We obtained the closing levels below 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 historical levels of the SX5E should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SX5E on the Final Valuation Date.

 

FWP-16
 

 

THE SPX/SX5E BASKET

The following graph illustrates the hypothetical daily historical performance of the SPX/SX5E Basket from January 1, 2008 through February 21, 2014 based on information from the Bloomberg Professional® service, if the value of the Basket was made to equal 100 on January 1, 2008. The hypothetical historical performance reflects the performance the Basket would have exhibited based on (i) the actual historical performance of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Level occurred from January 1, 2008 through February 21, 2014 for any Reference Asset Component. Neither the hypothetical historical performance of the Basket nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.

We cannot give you assurance that the performance of the Basket will result in the return of your initial investment. You may lose up to 85% of your investment.

 

 

 

FWP-17
 

 

EVENTS OF DEFAULT AND ACCELERATION

If the notes have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the notes, the calculation agent will determine the accelerated payment due and payable at maturity in the same general manner as described in “Payment at Maturity” in this free writing prospectus. In that case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Reference Return, and the accelerated Maturity Date will be three business days after the accelerated Final Valuation Date. If a Market Disruption Event exists with respect to any Reference Asset Component on that scheduled trading day, then the accelerated Final Valuation Date for that Reference Asset Component will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed by an equal number of business days. For the avoidance of doubt, if no Market Disruption Event exists with respect to a Reference Asset Component on the scheduled trading day immediately preceding the date of acceleration, the determination of that Reference Asset Component’s relevant levels will be made on that date, irrespective of the existence of a Market Disruption Event with respect to another Reference Asset Component occurring on that date.

If the notes have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments with respect to the notes. For more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the accompanying prospectus.

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 at the price to public for distribution to other registered broker-dealers or will offer the notes directly to investors. HSBC Securities (USA) Inc. proposes to offer the notes at the price to public set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 1.25% per $1,000 Principal Amount in connection with the distribution of the notes to other registered broker-dealers.

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 the pricing supplement to which this free writing prospectus relates 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

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

We will not attempt to ascertain whether any of the entities whose stock is included in, or owned by, the 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 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 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 Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.

Withholding and reporting requirements under the legislation enacted on March 18, 2010 (as discussed beginning on page S-48 of the prospectus supplement) will generally apply to payments made after June 30, 2014. However, this withholding tax will not be imposed on payments pursuant to obligations outstanding on July 1, 2014. Additionally, withholding due to any payment being treated as a “dividend equivalent” (as discussed beginning on page S-47 of the prospectus supplement) will begin no earlier than January 1, 2016. Holders are urged to consult with their own tax advisors regarding the possible implications of this recently enacted legislation on their investment in the notes.

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” in the accompanying prospectus supplement.

 

FWP-18
 

 

         
TABLE OF CONTENTS  

You should only rely on the information contained in this free writing prospectus, 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 free writing prospectus, 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 free writing prospectus, 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 free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.

 

 

 

 

HSBC USA Inc.

 

$   Buffered Digital Notes
Linked to a Basket Consisting
of the S&P 500® Index and the
EURO STOXX 50® Index

 

 

 

 

February 24, 2014

FREE WRITING PROSPECTUS

 

       
Free Writing Prospectus  
General   FWP-6  
Payment at Maturity   FWP-7  
Investor Suitability   FWP-8  
Risk Factors   FWP-9  
Illustrative Examples   FWP-12  
Information Relating to the S&P 500® Index   FWP-14  
Information Relating to the EURO STOXX 50® Index   FWP-16  
The SPXSX5E Basket   FWP-17  
Events of Default and Acceleration   FWP-18  
Supplemental Plan of Distribution (Conflicts of Interest)   FWP-18  
U.S. Federal Income Tax Considerations   FWP-18  
       
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  
         

 

 

 

 

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