$ Securities Linked to the Common Stock of Hertz Global Holdings, Inc. due on or about October 20, 2015

Features
q	Contingent Coupon: HSBC will pay a quarterly Contingent Coupon payment if the Official Closing Price of the Underlying Stock on the applicable Observation Date is equal to or greater than the Coupon Barrier. Otherwise, no coupon will be paid for the quarter.
q	Optional Call Feature: HSBC may redeem the Securities at its option, in whole, but not in part, and pay you the Principal Amount of your Securities plus the Contingent Coupon if due for that quarter, on any Coupon Payment Date, upon giving notice on or prior to the corresponding Observation Date, regardless of the performance of the Underlying Stock. If the Securities are not called, investors will potentially lose a portion of their principal amount at maturity.
q	Contingent Repayment of Principal Amount at Maturity: If the Securities have not been previously called and the Official Closing Price of the Underlying Stock is not less than the Trigger Price on the Final Valuation Date, HSBC will pay you the Principal Amount per Security at maturity. If the Official Closing Price of the Underlying Stock on the Final Valuation Date is less than the Trigger Price, HSBC will pay a cash amount that is less than the Principal Amount, if anything, resulting in a loss of principal that is proportionate to the decline in the Official Closing Price of the Underlying Stock from the Trade Date to the Final Valuation Date. The contingent repayment of principal only applies if you hold the Securities until maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC.

Key Dates¹
Pricing Date	October 13, 2014
Trade Date	October 15, 2014
Settlement Date	October 20, 2014
Observation Dates²	Quarterly
Final Valuation Date²	October 15, 2015
Maturity Date²	October 20, 2015

¹ Expected ² See page 4 for additional details

The Securities are significantly riskier than conventional debt INSTRUMENTS. the terms of the securities may not obligate HSBC TO REPAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES. the Securities CAN have downside MARKET risk SIMILAR TO the Underlying Stock, WHICH CAN RESULT IN A LOSS OF SOME OR ALL OF the principal amount at maturity. This MARKET risk is in addition to the CREDIT risk INHERENT IN PURCHASING a DEBT OBLIGATION OF hsbc. You should not PURCHASE the Securities if you do not understand or are not comfortable with the significant risks INVOLVED in INVESTING IN the Securities.

YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY RISKS’’ BEGINNING ON PAGE 6 OF THIS FREE WRITING PROSPECTUS AND THE MORE DETAILED ‘‘RISK FACTORS’’ BEGINNING ON PAGE S-1 OF THE ACCOMPANYING STOCK-LINKED UNDERLYING SUPPLEMENT AND BEGINNING ON PAGE S-3 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES.

See “Additional Information about HSBC USA Inc. and the Securities” on page 2 of this free writing prospectus. The Securities offered will have the terms specified in the accompanying prospectus dated March 22, 2012, the accompanying prospectus supplement dated March 22, 2012, the accompanying stock-linked underlying supplement dated March 22, 2012 and the terms set forth herein.

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement or stock-linked underlying supplement. Any representation to the contrary is a criminal offense. The Securities are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction.

The Securities will not be listed on any U.S. securities exchange or quotation system. HSBC Securities (USA) Inc., an affiliate of HSBC USA Inc., will purchase the Securities from HSBC USA Inc. for distribution to UBS Financial Services Inc., acting as agent. See “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this free writing prospectus for a description of the distribution arrangements.

The Estimated Initial Value of the Securities on the Trade Date is expected to be between $9.65 and $9.95 per Security, which will be less than the price to public. The market value of the Securities at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Initial Value” on page 5 and “Key Risks” beginning on page 6 of this document for additional information.

This free writing prospectus relates to the offering of Securities identified on the cover page. As a purchaser of a Security, you will acquire an investment instrument linked to the Underlying Stock. Although the offering relates to the Underlying Stock, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to the Underlying Stock, or as to the suitability of an investment in the Securities.

You should read this document together with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the stock-linked underlying supplement dated March 22, 2012. If the terms of the Securities offered hereby are inconsistent with those described in the accompanying stock-linked underlying supplement, prospectus supplement or prospectus, the terms described in this free writing prospectus shall control. You should carefully consider, among other things, the matters set forth in “Key Risks” beginning on page 6 of this free writing prospectus and in “Risk Factors” beginning on page S-3 of the prospectus supplement and beginning on page S-1 of the accompanying stock-linked underlying supplement, as the Securities involve risks not associated with conventional debt securities. HSBC urges you to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities.

HSBC USA Inc. has filed a registration statement (including a prospectus, a prospectus supplement and the stock-linked underlying supplement) with the SEC for the offerings to which this free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and stock-linked underlying supplement in that registration statement and other documents HSBC USA Inc. has filed with the SEC for more complete information about HSBC USA Inc. and these offerings. 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 Stock-linked underlying supplement if you request them by calling toll-free 1-866-811-8049.

You may access these documents on the SEC’s web site at www.sec.gov as follows:

As used herein, references to the “Issuer,” “HSBC”, “we,” “us” and “our” are to HSBC USA Inc. References to the “stock-linked underlying supplement” mean the stock-linked underlying supplement dated March 22, 2012, references to the “prospectus supplement” mean the prospectus supplement dated March 22, 2012 and references to “accompanying prospectus” mean the HSBC USA Inc. prospectus, dated March 22, 2012.

The suitability considerations identified above are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the "Key Risks" beginning on page 6 of this free writing prospectus and the more detailed “Risk Factors” beginning on page S-1 of the stock-linked underlying supplement and beginning on page S-3 of the accompanying prospectus supplement.

¹ Expected. In the event HSBC makes any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date will be changed so that the stated term of the Securities remains the same and the Observation Dates may be adjusted in a similar manner. Each Observation Date and Coupon Payment Date is subject to postponement in the event of a Market Disruption Event or non-trading day, as described under “Additional Note Terms—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying stock-linked underlying supplement.

² Contingent repayment of principal is dependent on the ability of HSBC USA Inc. to satisfy its obligations when they come due.

Investing in the Securities involves significant risks. You may lose some or all of your principal amount. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC. If HSBC were to default on its payment obligations, you may not receive any amounts owed to you under the Securities and you could lose your entire investment.

An investment in the Securities involves significant risks. Some of the risks that apply to the Securities are summarized here. However, HSBC urges you to read the more detailed explanation of risks relating to the Securities generally in the “Risk Factors” section of the accompanying stock-linked underlying supplement and the accompanying prospectus supplement. HSBC also urges you to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities.

In addition, the Securities are not intended for purchase by any investor that is not a United States person, as that term is defined for U.S. federal income tax purposes, and the underwriters will not make offers of the Securities to any such investor. If, however, a Security is transferred to a non-U.S. holder (as defined in the prospectus supplement) in the secondary market, because the tax treatment of the Contingent Coupons is unclear, such non-U.S. holder may be subject to 30% withholding tax applicable to any Contingent Coupon, subject to reduction or elimination by applicable treaty, unless income from such Contingent Coupon is effectively connected with your conduct of a trade or business within the United States.

In Notice 2008-2, the Internal Revenue Service (“IRS”) and the Treasury Department requested comments as to whether the purchaser of an exchange traded note or pre-paid forward contract (which may include the Securities) should be required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain on such a note or contract should be ordinary or capital, and whether foreign holders should be subject to withholding tax on any deemed income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder (as defined in the prospectus supplement) of a Security is required to accrue income in respect of the Securities prior to the receipt of payments with respect to the Securities or their earlier sale. Moreover, it is possible that any such regulations or other guidance could treat all income and gain of a U.S. holder in respect of the Securities as ordinary income (including gain on a sale). Finally, it is possible that a non-U.S. holder (as defined in the prospectus supplement) of the Securities could be subject to additional U.S. withholding tax in respect of the Securities. It is unclear whether any regulations or other guidance would apply to the Securities (possibly on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice 2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax treatment of the Securities.

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

The scenario analysis and examples below are hypothetical and provided for illustrative purposes only. They do not purport to be representative of every possible scenario concerning increases or decreases in the price of the Underlying Stock relative to the Initial Price. We cannot predict the Final Price or the Official Closing Price on any Observation Date. You should not take the scenario analysis and these examples as an indication or assurance of the expected performance of the Underlying Stock. The numbers appearing in the examples below may have been rounded for ease of analysis. The following scenario analysis and examples illustrate the Payment at Maturity or upon an earlier call per $10.00 Security on a hypothetical offering of the Securities, based on the following assumptions (the actual Initial Price, Coupon Barrier and Trigger Price for the Securities are set forth on the cover page of this document and in “Indicative Terms” above):

Since the Securities are called on the first Observation Date, HSBC will pay you on the Call Settlement Date a total of $10.3525 per Security reflecting your Principal Amount plus the applicable Contingent Coupon, for a 3.525% total return on the Securities. No further amount will be owed to you under the Securities.

Since the Securities are called on the third Observation Date, HSBC will pay you on the Call Settlement Date a total of $10.3525 per Security reflecting your Principal Amount plus the applicable Contingent Coupon. When added to the Contingent Coupon payments of $0.705 received in respect of the prior Observation Dates, HSBC will have paid you a total of $11.0575 per Security for a 10.575% total return on the Securities. No further amount will be owed to you under the Securities.

Example 3 — Securities are NOT Called and the Final Price of the Underlying Stock is at or above the Trigger Price (and Coupon Barrier)

At maturity, HSBC will pay you a total of $10.3525 per Security, reflecting your principal amount plus the applicable Contingent Coupon. When added to the Contingent Coupon payment of $0.3525 received in respect of the prior Observation Dates, HSBC will have paid you a total of $10.705 per Security for a 7.05% total return on the Securities.

Example 4 — Securities are NOT Called and the Final Price of the Underlying Stock is below the Trigger Price (and Coupon Barrier)

Since the Securities are not called and the Final Price of the Underlying Stock is below the Trigger Price, HSBC will pay you at maturity $4.00 per Security. When added to the Contingent Coupon payments of $1.0575 received in respect of the prior Observation Dates, HSBC will have paid you $5.0575 per Security, for a loss on the Securities of 49.425%.

You should carefully consider, among other things, the matters set forth in the section “U.S. Federal Income Tax Considerations” in the prospectus supplement. The following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of the Securities. This summary supplements the section “U.S. Federal Income Tax Considerations” in the 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 securities with terms that are substantially the same as those of the Securities. Under one reasonable approach, the Securities should be treated as income bearing pre-paid executory contracts with respect to the Underlying Stock. HSBC intends to treat the Securities consistent with this approach, and pursuant to the terms of the Securities, you agree to treat the Securities under this approach for all U.S. federal income tax purposes. Subject to certain limitations described in the prospectus supplement, and based on certain factual representations received from HSBC, in the opinion of HSBC’s special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat the Securities in accordance with this approach. Pursuant to this approach, HSBC intends to treat any gain or loss upon maturity or an earlier sale, exchange or call as capital gain or loss in an amount equal to the difference between the amount you receive at such time (other than with respect to a Contingent Coupon) and your tax basis in the Security. Any such gain or loss will be short-term capital gain or loss. Your tax basis in a Security generally will equal your cost of the Security. In addition, the tax treatment of the Contingent Coupons is unclear. Although the tax treatment of the Contingent Coupons is unclear, HSBC intends to treat any Contingent Coupon paid by HSBC, including on the Maturity Date or upon an earlier call, as ordinary income includible in income by you at the time it accrues or is received in accordance with your normal method of accounting for U.S. federal income tax purposes. See “U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes — Certain Notes Treated as Forward Contracts or Executory Contracts” in the prospectus supplement for the U.S. federal income tax considerations applicable to securities that are treated as income-bearing pre-paid executory contracts.

The Securities are not intended for purchase by any investor that is not a United States person, as that term is defined for U.S. federal income tax purposes, and the underwriters will not make offers of the Securities to any such investor. If, however, a Security is transferred to a non-U.S. holder (as defined in the prospectus supplement) in the secondary market, because the tax treatment of the Contingent Coupons is unclear, such non-U.S. holder may be subject to 30% withholding tax applicable to any Contingent Coupon, subject to reduction or elimination by applicable treaty, unless income from such Contingent Coupon is effectively connected with your conduct of a trade or business within the United States.

Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Securities, other characterizations and treatments are possible and the timing and character of income in respect of the Securities might differ from the treatment described above. For example, the Securities could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal income tax purposes, subject to the treatment described under the heading “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” in the prospectus supplement.

In Notice 2008-2, the Internal Revenue Service (“IRS”) and the Treasury Department requested comments as to whether the purchaser of an exchange traded note or pre-paid forward contract (which may include the Securities) should be required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain on such a note or contract should be ordinary or capital, and whether foreign holders should be subject to withholding tax on any deemed income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder (as defined in the prospectus supplement) of a Security is required to accrue income in respect of the Securities prior to the receipt of payments with respect to the Securities or their earlier sale. Moreover, it is possible that any such regulations or other guidance could treat all income and gain of a U.S. holder in respect of the Securities as ordinary income (including gain on a sale). Finally, it is possible that a non-U.S. holder of the Securities could be subject to U.S. withholding tax in respect of the Securities. It is unclear whether any regulations or other guidance would apply to the Securities (possibly on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice 2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax treatment of the Securities.

We will not attempt to ascertain whether the Underlying Stock 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 the Underlying Stock 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 Underlying Stock and consult your tax advisor regarding the possible consequences to you if the Underlying Stock is or becomes a PFIC or 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. Additionally, with respect to non-U.S. holders, 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. However, the Treasury Department and IRS have announced that they intend to limit this withholding to equity-linked instruments issued on or after the date that is 90 days after the date of publication in the U.S. Federal Register of final regulations addressing dividend equivalent withholding. Holders are urged to consult with their own tax advisors regarding the possible implications of this recently enacted legislation on their investment in the Securities.

PROSPECTIVE PURCHASERS OF SECURITIES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE U.S. FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF SECURITIES.

Included on the following pages is a brief description of the Underlying Stock issuer. This information has been obtained from publicly available sources. Set forth below is a table that provides the quarterly high, low and period end closing prices the Underlying Stock. The information given below is for the fourth calendar quarter of 2008 and the calendar quarters in each of 2009, 2010, 2011, 2012 and 2013. Complete data is provided for the first three calendar quarter of 2014, and partial data is provided for the fourth calendar quarter of 2014. HSBC obtained the closing prices set forth below from the Bloomberg Professional^® service (“Bloomberg”) without independent verification. You should not take the historical prices of the Underlying Stock as an indication of future performance.

The Underlying Stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required to periodically file financial and other information specified by the SEC. Information filed by the Underlying Stock issuer with the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov. Information filed with the SEC by the Underlying Stock issuer under the Exchange Act can be located by reference to its SEC file number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public Reference Section, at prescribed rates.

According to publicly available information, Hertz Global Holdings, Inc. operates car and equipment rental centers throughout the United States and Europe. Information filed by the company with the SEC under the Exchange Act can be located by reference to its CIK Code: 0001364479.

The following table sets forth the quarterly high, low and period end closing prices for HTZ, based on daily closing prices on its primary exchange, as reported by Bloomberg. HTZ’s Official Closing Price on October 13, 2014 was $19.38. Past performance of the Underlying Stock is not indicative of its future performance.

* As of the date of this free writing prospectus, available information for the fourth calendar quarter of 2014 includes data for the period from October 1, 2014 through October 13, 2014. Accordingly the “Quarterly High,” “Quarterly Low,” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the fourth quarter of 2014.

The graph below illustrates the performance of HTZ from January 1, 2008 through October 13, 2014, based on information from Bloomberg. The Official Closing Price of the Underlying Stock on October 13, 2014 was $19.38. The dotted line represents the Trigger Price and Coupon Barrier of $11.63, which is equal to 60.00% of the Initial Price. Past performance of the Underlying Stock is not indicative of its future performance.

	Price to Public		Underwriting Discount		Proceeds to Us
Securities Linked to:	Total	Per Security	Total	Per Security	Total	Per Security
Common Stock of Hertz Global Holdings, Inc.	●	$10.000	●	$0.035	●	$9.965

Indicative Terms
Issuer	HSBC USA Inc. (“HSBC”)
Issue Price	$10 per Security
Principal Amount	$10 per Security (subject to a minimum investment of $1,000).
Term	Approximately one year, unless earlier called.
Pricing Date	October 13, 2014
Trade Date¹	October 15, 2014
Settlement Date¹	October 20, 2014
Final Valuation Date¹	October 15, 2015, subject to adjustment if a Market Disruption Event occurs, as described under “Additional Note Terms—Valuation Dates” in the accompanying stock-linked underlying supplement.
Maturity Date¹	October 20, 2015, subject to adjustment if a Market Disruption Event occurs, as described under “Additional Note Terms—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying stock-linked underlying supplement.
Underlying Stock	Common stock of Hertz Global Holdings, Inc. (Ticker: HTZ)
Optional Call Feature	The Securities may be called, in whole, but not in part, at HSBC’s option, on any Coupon Payment Date, upon giving notice on or prior to the corresponding Observation Date, regardless of the performance of the Underlying Stock. If the Securities are called, HSBC will pay you on the applicable Coupon Payment Date (which will also be the “Call Settlement Date”) a cash payment per Security equal to your Principal Amount plus the Contingent Coupon if due on that date. No further amounts will be owed to you under the Securities.
Coupon Payment Dates	Two business days following the applicable Observation Date, except that as to the final Observation Date, the Coupon Payment Date will be the Maturity Date. The expected Observation Dates and Coupon Payment Dates are set forth in the table below.
Contingent Coupon Rate	14.10% per annum

	Contingent Coupon payments on the Securities are not guaranteed. HSBC will not pay you the Contingent Coupon for any Observation Date on which the Official Closing Price of the Underlying Stock is less than the Coupon Barrier.
Payment at Maturity (per $10 Security)	If the Securities are not called, you will receive a payment on the Maturity Date calculated as follows: If the Final Price is equal to or greater than the Trigger Price (and Coupon Barrier), HSBC will pay you a cash payment on the Maturity Date equal to $10 per $10 Principal Amount of Securities plus the Contingent Coupon otherwise due on the Maturity Date.² If the Final Price of the Underlying Stock is less than the Trigger Price, HSBC will pay you a cash payment on the Maturity Date that is less than the Principal Amount, equal to: $10 × (1 + Underlying Return). In this case, you will have a loss of principal that is proportionate to the decline in the Final Price from the Initial Price and you will lose some or all of your Principal Amount.
Underlying Return	Final Price - Initial Price Initial Price
Trigger Price	$11.63, which is 60.00% of the Initial Price, rounded to two decimal places.

Coupon Barrier	$11.63, which is 60.00% of the Initial Price, rounded to two decimal places.
Initial Price	$19.38, which was the Official Closing Price of one share of the Underlying Stock on the Pricing Date.
Final Price	The Official Closing Price of one share of the Underlying Stock on the Final Valuation Date.
Official Closing Price	On any scheduled trading day, the last reported sale price of the Underlying Stock on the relevant exchange as determined by the Calculation Agent, adjusted by the Calculation Agent as described under “Additional Note Terms—Antidilution and Reorganization Adjustments” in the accompanying stock-linked underlying supplement.
Calculation Agent	HSBC USA Inc. or one of its affiliates.
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 Securities 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.
Estimated Initial Value	The Estimated Initial Value of the Securities may be less than the price you pay to purchase the Securities. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Securities in the secondary market, if any, at any time. The Estimated Initial Value will be calculated on the Trade Date and will be set forth in the pricing supplement to which this free writing prospectus relates. See “Key Risks — ¨The Estimated Initial Value of the Securities, Which Will Be Determined by Us on the Trade Date, May Be Less than the Price to Public and May Differ from the Market Value of the Securities in the Secondary Market, if Any.”

Investment term:	One year (unless earlier called)
Hypothetical Initial Price:	$100.00
Contingent Coupon Rate:	14.10% per annum (or 3.525% per quarter)
Contingent Coupon:	$0.3525 per quarter
Observation Dates:	Quarterly
Hypothetical Coupon Barrier:	$60.00 (60% of the Initial Price)
Hypothetical Trigger Price:	$60.00 (60% of the Initial Price)

Expected Observation Dates¹	Coupon Payment Dates	Contingent Coupon
January 14, 2015	January 20, 2015	$0.3525
April 15, 2015	April 20, 2015	$0.3525
July 15, 2015	July 20, 2015	$0.3525
October 15, 2015	October 20, 2015	$0.3525

Date	Official Closing Price	Payment (per Security)
First Observation Date	$115.00 (at or above Initial Price)	$10.3525 (Settlement Amount)
	Total Payment: $10.3525 (3.525% return)

Quarter Begin	Quarter End	Quarterly High	Quarterly Low	Quarterly Close
10/1/2008	12/31/2008	$7.83	$1.55	$5.07
1/2/2009	3/31/2009	$6.27	$1.97	$3.93
4/1/2009	6/30/2009	$9.52	$3.63	$7.99
7/1/2009	9/30/2009	$11.99	$7.72	$10.83
10/1/2009	12/31/2009	$12.55	$8.82	$11.92
1/3/2010	3/31/2010	$12.24	$9.06	$9.99
4/1/2010	6/30/2010	$15.60	$9.13	$9.46
7/1/2010	9/30/2010	$12.20	$8.36	$10.59
10/1/2010	12/31/2010	$14.92	$9.59	$14.49
1/3/2011	3/31/2011	$16.63	$13.58	$15.63
4/1/2011	6/30/2011	$17.64	$13.77	$15.88
7/1/2011	9/30/2011	$16.87	$8.65	$8.90
10/3/2011	12/30/2011	$12.36	$7.81	$11.72
1/3/2012	3/30/2012	$15.50	$11.74	$15.04
4/2/2012	6/29/2012	$16.51	$11.58	$12.80
7/2/2012	9/28/2012	$15.29	$10.22	$13.73
10/1/2012	12/31/2012	$16.78	$12.97	$16.27
1/2/2013	3/29/2013	$22.68	$16.69	$22.26
4/1/2013	6/28/2013	$26.448	$21.05	$24.80
7/1/2013	9/30/2013	$27.75	$21.20	$22.16
10/1/2013	12/31/2013	$28.89	$19.73	$28.62
1/2/2014	3/31/2014	$29.79	$24.83	$26.64
4/1/2014	6/30/2014	$30.51	$25.32	$28.03
7/1/2014	9/30/2014	$31.59	$24.67	$25.39
10/1/2014*	10/13/2014*	$26.28	$19.34	$19.38