Calculation
of Registration Fee
Title of Each Class of
Securities Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of
Registration Fee
(1)
|
|
Debt Securities
|
|
$2,410,000
|
|
$328.73
|
|
Debt Securities
|
|
$2,092,000
|
|
$285.35
|
|
Debt Securities
|
|
$333,000
|
|
$45.43
|
|
Debt Securities
|
|
$621,000
|
|
$84.71
|
(1)
Calculated in accordance with Rule 457(r) of
the Securities Act of 1933, as amended.
Filed Pursuant
to Rule 424(b)(2)
Registration
No. 333-180289
PRICING
SUPPLEMENT
Dated January
25, 2013
(To Prospectus
dated March 22, 2012,
Prospectus
Supplement dated March 22, 2012 and
Equity
Index Underlying Supplement dated March 22, 2012 or
ETF Underlying
Supplement dated March 22, 2012)
HSBC USA Inc.
Buffered Accelerated Market Participation Securities
TM
(“Buffered AMPS”)
|
|
}
|
This pricing supplement relates to four separate offerings:
|
|
|
–
|
$2,410,000 Buffered AMPS
TM
linked to the S&P 500
®
Index
|
|
|
–
|
$2,092,000 Buffered AMPS
TM
linked to the Russell 2000
®
Index
|
|
|
–
|
$333,000 Buffered AMPS
TM
linked to the iShares
®
MSCI Emerging
Markets Index Fund
|
|
|
–
|
$621,000 Buffered AMPS
TM
linked to the iShares
®
MSCI EAFE Index
Fund
|
|
|
}
|
2x exposure to any positive return in the relevant reference asset, subject to a maximum return
|
|
|
}
|
Protection from the first 10% of any losses in the relevant reference asset
|
|
|
}
|
All payments on the securities are subject to the credit risk of HSBC USA Inc.
|
The Buffered Accelerated
Market Participation Securities
TM
(“Buffered AMPS” or, each a “security” and collectively the
“securities") offered hereunder will not be listed on any U.S. securities exchange or automated quotation system. The
securities will not bear interest.
Neither the U.S. Securities
and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities
or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement or underlying
supplements. Any representation to the contrary is a criminal offense. We have appointed HSBC Securities (USA) Inc., an affiliate
of ours, as the agent for the sale of the securities. HSBC Securities (USA) Inc. will purchase the securities from us for distribution
to other registered broker-dealers or will offer the securities directly to investors. In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use this pricing supplement in market-making transactions in any securities after their
initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in
a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-16 of this
pricing supplement.
Investment in the securities
involves certain risks. You should refer to “Risk Factors” beginning on page PS-6 of this document, page S-3 of the
accompanying prospectus supplement and either page S-1 of the accompanying Equity Index Underlying Supplement or page S-2 of the
accompanying ETF Underlying Supplement, as applicable.
|
|
Price to Public
|
Underwriting Discount
1
|
Proceeds to Issuer
|
|
Per security / Total linked to the SPX
|
$1,000 / $2,410,000
|
$5 / $12,050
|
$995 / $2,397,950
|
|
Per security / Total linked to the RTY
|
$1,000 / $2,092,000
|
$0 / $0
|
$1,000 / $2,092,000
|
|
Per security / Total linked to the EEM
|
$1,000 / $333,000
|
$0 / $0
|
$1,000 / $333,000
|
|
Per security / Total linked to the EFA
|
$1,000 / $621,000
|
$5 / $3,105
|
$995 / $617,895
|
1
HSBC USA Inc.
or one of our affiliates may pay varying underwriting discounts of up to 0.50% and referral fees of up to 0.60% per $1,000 Principal
Amount of securities in connection with the distribution of the securities. In no case will the sum of the underwriting discounts
and referral fees exceed 0.60% per $1,000 Principal Amount. See “Supplemental Plan of Distribution (Conflicts of Interest)”
on page PS-16 of this pricing supplement.
The
Securities:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
|
HSBC USA
Inc.
Buffered
Accelerated Market Participation Securities
TM
(Buffered AMPS)
|
|
S&P 500
®
Index
Russell 2000
®
Index
iShares
®
MSCI Emerging Markets
Index Fund
iShares
®
MSCI EAFE Index
Fund
This pricing supplement
relates to four offerings of Buffered Accelerated Market Participation Securities. Each of the four securities will have the respective
terms described in this pricing supplement and the accompanying prospectus supplement, prospectus and relevant underlying supplement.
If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement,
prospectus or relevant underlying supplement, the terms described in this pricing supplement shall control.
You should be willing to forgo interest and dividend payments during the term of the securities and, if the relevant
Reference Return is negative, lose up to 90% of your principal.
This pricing supplement
relates to multiple offerings of securities, each linked to the performance of a specific index or index fund (each index or index
fund, a “Reference Asset”). Each of the four securities will have a different Maximum Cap. The performance of each
of the four securities does not depend on the performance of any of the other securities. The purchaser of a security will acquire
a senior unsecured debt security of HSBC USA Inc. linked to the relevant Reference Asset, as described below. The following key
terms relate to the offerings of securities:
|
Issuer:
|
HSBC USA Inc.
|
|
Principal Amount:
|
$1,000 per security
|
|
Reference Asset:
|
The relevant underlying index or index fund, as indicated below
|
|
Reference Asset
|
Ticker
|
Upside Participation Rate
|
Maximum Cap
|
CUSIP/ISIN
|
|
S&P 500
®
Index
|
SPX
|
200%
|
13.00%
|
40432X6E6/US40432X6E65
|
|
Russell 2000
®
Index
|
RTY
|
200%
|
17.00%
|
40432X6F3/US40432X6F31
|
|
iShares
®
MSCI Emerging Markets Index Fund
|
EEM
|
200%
|
13.00%
|
40432X6G1/US40432X6G14
|
|
iShares
®
MSCI EAFE Index Fund
|
EFA
|
200%
|
15.00%
|
40432X6H9/US40432X6H96
|
|
Trade Date:
|
January 25, 2013
|
|
Pricing Date:
|
January 25, 2013
|
|
Original Issue Date:
|
January 30, 2013
|
|
Final Valuation Date:
|
July 25, 2014, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the relevant accompanying underlying supplement.
|
|
Maturity Date:
|
July 30, 2014. 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 relevant accompanying underlying supplement.
|
|
Payment at Maturity:
|
On the Maturity Date, for each security, we will pay you the Final Settlement Value.
|
|
Reference Return:
|
With respect to each Reference Asset,
the quotient, expressed as a percentage, calculated as follows:
Final Value – Initial Value
Initial Value
|
|
Final Settlement Value:
|
If the relevant Reference Return is greater than zero,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to the lesser of:
(a) $1,000 + ($1,000 × Reference Return × Upside
Participation Rate); and
(b) $1,000 + ($1,000 × Maximum Cap).
If the relevant Reference Return is less than
or equal to zero but greater than or equal to the Buffer Value
, you will receive $1,000 per $1,000 Principal Amount of
securities (zero return).
|
|
|
If the relevant Reference Return is less than the Buffer
Value
,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × (Reference Return + 10%)).
Under these circumstances, you will lose 1% of the Principal Amount
of your securities for each percentage point that the Reference Return is below the Buffer Value. For example, if the Reference
Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit risk of HSBC.
If the
Reference Return is less than the Buffer Value, you may lose up to 90% of your investment.
|
|
Buffer Value
|
With respect to each offering, -10%
|
|
Initial Value:
|
1,502.96 for the securities linked to the SPX, 905.24 for the securities linked to the RTY, 44.16 for the securities linked to the EEM, and 59.03 for the securities linked to the EFA, in each case the Official Closing Value of the relevant Reference Asset on the Pricing Date.
|
|
Final Value:
|
With respect to each of the SPX and the RTY, the Official Closing Value of such Reference Asset on the Final Valuation Date. With respect to the EEM and the EFA, the Official Closing Value of such Reference Asset on the Final Valuation Date, adjusted by the calculation agent as described under “Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying ETF Underlying Supplement.
|
|
Official Closing Value:
|
The closing level or closing price, as applicable, of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the value displayed on the relevant Bloomberg Professional
®
service page (with respect to the SPX, “SPX <INDEX>”, with respect to the RTY, “RTY <INDEX>” , with respect to the EEM, “EEM UP <EQUITY>”, and with respect to the EFA, “EFA UP <EQUITY>”), or, for each Reference Asset, any successor page on the Bloomberg Professional
®
service or any successor service, as applicable.
|
|
Form of Securities:
|
Book-Entry
|
|
Listing:
|
The securities will not be listed on any U.S. securities exchange or quotation system.
|
GENERAL
This pricing supplement relates to four
separate offerings of securities, each linked to a different Reference Asset identified on the cover page. The purchaser of a security
will acquire a senior unsecured debt security of HSBC USA Inc. linked to a single Reference Asset. Although each offering of securities
relates to a Reference Asset identified on the cover page, you should not construe that fact as a recommendation as to the merits
of acquiring an investment linked to such Reference Asset or any component security included in such Reference Asset or as to the
suitability of an investment in the securities.
You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and either the Equity Index Underlying
Supplement dated March 22, 2012 (for securities linked to the SPX or the RTY) or the ETF Underlying Supplement dated March 22,
2012 (for securities linked to the EEM or the EFA), as applicable. If the terms of the securities offered hereby are inconsistent
with those described in the accompanying prospectus supplement, prospectus, or relevant underlying supplement, the terms described
in this pricing supplement shall control. You should carefully consider, among other things, the matters set forth in “Risk
Factors” beginning on page PS-6 of this pricing supplement, page S-3 of the prospectus supplement and either page S-1 of
the Equity Index Underlying Supplement or page S-2 of the ETF Underlying Supplement, as applicable, as the securities involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors
before you invest in the securities. As used herein, references to the “Issuer”, “HSBC”, “we”,
“us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement
(including a prospectus, a prospectus supplement and underlying supplements) with the SEC for the offerings to which this pricing
supplement relates. Before you invest, you should read the prospectus, prospectus supplement and relevant underlying supplement
in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC 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 these offerings will arrange to send you the prospectus, prospectus supplement
and relevant underlying supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
For securities linked to the SPX or
the RTY:
For securities linked to the EEM or
the EFA:
PAYMENT AT MATURITY
On the Maturity Date, for each security
you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:
If the relevant Reference Return is
greater than zero
, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to
the lesser of:
(a) $1,000 + ($1,000 × Reference
Return × Upside Participation Rate); and
(b) $1,000 + ($1,000 × Maximum
Cap).
If the relevant Reference Return is
less than or equal to zero but greater than or equal to the Buffer Value,
you will receive $1,000 per $1,000 Principal Amount
of securities (zero return).
If the relevant Reference Return is
less than the Buffer Value,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities,
calculated as follows:
$1,000 + ($1,000
× (Reference Return + 10%)).
Under these circumstances, you will lose
1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Value. For
example, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit
risk of HSBC.
You should be aware that if the relevant Reference Return is less than the Buffer Value, you may lose up to 90%
of your investment.
Interest
The securities will not pay interest.
Calculation Agent
We or one of our affiliates will act
as calculation agent with respect to the securities.
Reference Sponsor and Reference Issuer
With respect to securities linked to
the SPX, S&P Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor. With respect
to securities linked to the RTY, the Russell Investment Group is the reference sponsor. With respect to securities linked to the
EEM and the EFA, iShares, Inc. is the reference issuer.
INVESTOR SUITABILITY
The securities may be suitable for
you if:
|
|
}
|
You seek an investment with an enhanced return linked to the potential positive performance of
the relevant Reference Asset and you believe the value of such Reference Asset will increase over the term of the securities.
|
|
|
}
|
You are willing to invest in the securities based on the Maximum Cap indicated herein with respect
to that security offering, which may limit your return at maturity.
|
|
|
}
|
You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the relevant Reference Return is less than -10%.
|
|
|
}
|
You are willing to accept the risk and return profile of the securities versus a conventional debt
security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.
|
|
|
}
|
You are willing to forego dividends or other distributions paid to holders of the stocks comprising
the relevant Reference Asset, or the Reference Asset itself, as applicable.
|
|
|
}
|
You do not seek current income from your investment.
|
|
|
}
|
You do not seek an investment for which there is an active secondary market.
|
|
|
}
|
You are willing to hold the securities to maturity.
|
|
|
}
|
You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.
|
The securities may not be suitable
for you if:
|
|
}
|
You believe the relevant Reference Return will be negative on the Final Valuation Date or that
the relevant Reference Return will not be sufficiently positive to provide you with your desired return.
|
|
|
}
|
You are unwilling to invest in the securities based on the Maximum Cap indicated herein with respect
to that security offering, which may limit your return at maturity.
|
|
|
}
|
You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the relevant Reference Return is below -10%.
|
|
|
}
|
You seek an investment that provides 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 relevant
Reference Asset, or the Reference Asset itself, as applicable.
|
|
|
}
|
You seek current income from your investment.
|
|
|
}
|
You seek an investment for which there will be an active secondary market.
|
|
|
}
|
You are unable or unwilling to hold the securities to maturity.
|
|
|
}
|
You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of
the securities.
|
RISK FACTORS
We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and either page S-1 of the Equity Index Underlying
Supplement or page S-2 of the ETF Underlying Supplement, as applicable. Investing in the securities is not equivalent to investing
directly in any of the stocks comprising the relevant Reference Asset or the Reference Asset itself, as applicable. You should
understand the risks of investing in the securities and should reach an investment decision only after careful consideration, with
your advisors, of the suitability of the securities in light of your particular financial circumstances and the information set
forth in this pricing supplement and the accompanying prospectus supplement, prospectus and relevant underlying supplement.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and relevant underlying supplement including
the explanation of risks relating to the securities described in the following sections:
|
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
If your securities
are linked to the SPX or RTY:
|
|
}
|
“— General risks related to Indices” in the Equity Index Underlying Supplement;
|
If your securities are linked to the
RTY:
|
|
}
|
“—Small-Capitalization or Mid-Capitalization Companies Risk” in the Equity Index
Underlying Supplement;
|
If your securities are linked to the
EEM or EFA:
|
|
}
|
“— General risks related to Index Funds” in the ETF Underlying Supplement;
|
|
|
}
|
“— Securities Prices Generally are Subject to Political, Economic, Financial, and Social
Factors that Apply to the Markets in which they Trade and, to a Lesser Extent, Foreign Markets” in the ETF Underlying Supplement;
|
|
|
}
|
“— Risks Associated with Non-U.S. Companies” in the ETF Underlying Supplement;
|
|
|
}
|
“— 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 ETF Underlying Supplement;
|
|
|
}
|
“— The Notes are Subject to Currency Exchange Risk” in the ETF Underlying Supplement;
|
|
|
}
|
“— Even if our or our Affiliates’ Securities are held by an Index Fund, We or
our Affiliates will not have any Obligation to Consider Your Interests” in the ETF Underlying Supplement; and
|
If your securities
are linked to the EEM:
|
|
}
|
“—There are risks associated with Emerging Markets” in the ETF Underlying Supplement.
|
Your investment in the securities
may result in a loss.
You will be exposed to the decline in
the Final Value from the Initial Value beyond the Buffer Value of -10%. Accordingly, if the relevant Reference Return is less than
-10%, your Payment at Maturity will be less than the Principal Amount of your securities. You may lose up to 90% of your investment
at maturity if the relevant Reference Return is negative.
The appreciation on the securities
is limited by the relevant Maximum Cap.
You will not participate in any appreciation
in the value of the relevant Reference Asset (as multiplied by the Upside Participation Rate) beyond the relevant Maximum Cap.
The Maximum Cap is 13.00% with respect to the securities linked to the SPX, 17.00% with respect to the securities linked to the
RTY, 13.00% with respect to the securities linked to the EEM, and 15.00% with respect to the securities linked to the EFA. You
will not receive a return on the securities greater than the relevant Maximum Cap.
Credit risk of HSBC USA Inc.
The securities are senior unsecured
debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further
described in the accompanying prospectus supplement and prospectus, the securities will rank on par with all of the other unsecured
and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be
made on the securities, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations
as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the securities
and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities.
The securities will not bear interest.
As a holder of the securities, you will
not receive interest payments.
Changes that affect the relevant
Reference Asset will affect the market value of the securities and the amount you will receive at maturity.
The policies of the reference sponsor
or reference issuer of the relevant Reference Asset concerning additions, deletions and substitutions of the constituents comprising
such Reference Asset and the manner in which the reference sponsor or reference issuer takes account of certain changes affecting
those constituents included in such Reference Asset may affect the value of such Reference Asset. The policies of the reference
sponsor or reference issuer with respect to the calculation of the relevant Reference Asset could also affect the value of such
Reference Asset. The reference sponsor or reference issuer may discontinue or suspend calculation or dissemination of its relevant
Reference Asset. Any such actions could affect the value of the securities.
The securities are not insured
by any governmental agency of the United States or any other jurisdiction.
The securities are not deposit liabilities
or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
or program of the United States or any other jurisdiction. An investment in the securities is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity
of the securities.
Certain built-in costs are likely
to adversely affect the value of the securities prior to maturity.
While the Payment at Maturity described in
this pricing supplement is based on the full Principal Amount of your securities, the original issue price of the securities includes
the agent’s commission and the estimated cost of HSBC hedging its obligations under the securities. As a result, the price,
if any, at which HSBC Securities (USA) Inc. will be willing to purchase securities from you in secondary market transactions,
if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial
loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your securities to maturity.
The securities lack liquidity.
The securities will not be listed on
any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market,
if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.
Potential conflicts of interest
may exist.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the securities. We will not have any obligation to consider your interests as a holder
of the securities in taking any action that might affect the value of your securities.
Uncertain tax treatment.
For a discussion of the U.S. federal
income tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
ILLUSTRATIVE EXAMPLES
The following table and examples are
provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario
concerning increases or decreases in the value of the relevant Reference Asset relative to its Initial Value. We cannot predict
the Final Value of the relevant Reference Asset. The assumptions we have made in connection with the illustrations set forth below
may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected
performance of the relevant Reference Asset to which your securities are linked or the return on your securities
.
With respect
to the securities, the Final Settlement Value may be less than the amount that you would have received from a conventional debt
security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and following
examples have been rounded for ease of analysis.
The table below illustrates the Payment
at Maturity on a $1,000 investment in the securities for a hypothetical range of Reference Returns from -100% to +100%. The following
results are based solely on the assumptions outlined below. The “Hypothetical Return on the Security” as used below
is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of securities
to $1,000. The potential returns described here assume that your securities are held to maturity. You should consider carefully
whether the securities are suitable to your investment goals. The following table and examples assume the following:
|
}
|
Principal Amount:
|
$1,000
|
|
|
|
|
|
}
|
Upside Participation Rate:
|
200%
|
|
|
|
|
|
}
|
Hypothetical Maximum Cap:
|
13.00% (The actual Maximum Cap is 13.00% with respect to the securities linked to the SPX, 17.00% with respect to the securities linked to the RTY, 13.00% with respect to the securities linked to the EEM, and 15.00% with respect to the securities linked to the EFA).
|
Hypothetical
Reference Return
|
Hypothetical Payment
at Maturity
|
Hypothetical Return on
the Security
|
|
100.00%
|
$1,130.00
|
13.00%
|
|
80.00%
|
$1,130.00
|
13.00%
|
|
60.00%
|
$1,130.00
|
13.00%
|
|
40.00%
|
$1,130.00
|
13.00%
|
|
20.00%
|
$1,130.00
|
13.00%
|
|
15.00%
|
$1,130.00
|
13.00%
|
|
10.00%
|
$1,130.00
|
13.00%
|
|
6.50%
|
$1,130.00
|
13.00%
|
|
5.00%
|
$1,100.00
|
10.00%
|
|
2.00%
|
$1,040.00
|
4.00%
|
|
1.00%
|
$1,020.00
|
2.00%
|
|
0.00%
|
$1,000.00
|
0.00%
|
|
-1.00%
|
$1,000.00
|
0.00%
|
|
-2.00%
|
$1,000.00
|
0.00%
|
|
-5.00%
|
$1,000.00
|
0.00%
|
|
-10.00%
|
$1,000.00
|
0.00%
|
|
-15.00%
|
$950.00
|
-5.00%
|
|
-20.00%
|
$900.00
|
-10.00%
|
|
-30.00%
|
$800.00
|
-20.00%
|
|
-40.00%
|
$700.00
|
-30.00%
|
|
-60.00%
|
$500.00
|
-50.00%
|
|
-80.00%
|
$300.00
|
-70.00%
|
|
-100.00%
|
$100.00
|
-90.00%
|
The following examples indicate how
the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.
Example 1: The relevant Reference
Return is 2.00%.
|
|
|
|
Reference Return:
|
2.00%
|
|
Final Settlement Value:
|
$1,040.00
|
Because the relevant Reference Return
is positive, and such Reference Return multiplied by the Upside Participation Rate is less than the hypothetical Maximum Cap, the
Final Settlement Value would be $1,040.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Reference
Return × Upside Participation Rate)
= $1,000 + ($1,000 × 2.00%
× 200%)
= $1,040.00
Example 1 shows that you will receive
the return of your principal investment plus a return equal to the relevant Reference Return multiplied by 200% when such Reference
Return is positive and, as multiplied by the Upside Participation Rate, equal to or less than the relevant Maximum Cap.
Example 2: The relevant Reference
Return is 15.00%.
|
|
|
|
Reference Return:
|
15.00%
|
|
Final Settlement Value:
|
$1,130.00
|
Because the relevant Reference Return
is positive, and such Reference Return multiplied by the Upside Participation Rate is greater than the hypothetical Maximum Cap,
the Final Settlement Value would be $1,130.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Maximum
Cap)
= $1,000 + ($1,000 × 13.00%)
= $1,130.00
Example 2 shows that you will receive
the return of your principal investment plus a return equal to the Maximum Cap when the relevant Reference Return is positive and
such Reference Return multiplied by 200% exceeds the relevant Maximum Cap.
Example 3: The relevant Reference
Return is -5.00%.
|
|
|
|
Reference Return:
|
-5.00%
|
|
Final Settlement Value:
|
$1,000.00
|
Because the relevant Reference Return
is less than zero but greater than the Buffer Value of -10%, the Final Settlement Value would be $1,000.00 per $1,000 Principal
Amount of securities (a zero return).
Example 3 shows that you will receive
the return of your principal investment where the value of the relevant Reference Asset declines by no more than 10% over the term
of the securities.
Example 4: The relevant Reference
Return is -30.00%.
|
|
|
|
Reference Return:
|
-30.00%
|
|
Final Settlement Value:
|
$800.00
|
Because the relevant Reference Return
is less than the Buffer Value of -10%, the Final Settlement Value would be $800.00 per $1,000 Principal Amount of securities, calculated
as follows:
$1,000 + ($1,000 × (Reference
Return + 10%))
= $1,000 + ($1,000 × (-30.00%
+ 10%))
= $800.00
Example 4 shows that you are exposed
on a 1-to-1 basis to declines in the value of the Reference Asset beyond the Buffer Value of -10%. YOU MAY LOSE UP TO 90% OF THE
PRINCIPAL AMOUNT OF YOUR SECURITIES.
INFORMATION RELATING TO THE SECURITIES
LINKED TO THE S&P 500
Ò
INDEX
The disclosure
relating to the SPX contained below relates only to the offering of securities linked to the SPX.
|
Description of the SPX
The SPX is a capitalization-weighted
index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate
market value of 500 stocks representing all major industries.
The top 5 industry groups by market capitalization
as of January 25, 2013 were: Information Technology, Financials, Health Care, Consumer Discretionary, and Energy.
For
more information about the SPX, see “The S&P 500
Ò
Index” on page S-6 of the accompanying Equity Index
Underlying Supplement.
|
Historical Performance of the SPX
The following graph sets forth the historical
performance of the SPX based on the daily historical closing levels from January 25, 2008 through January 25, 2013. The closing
level for the SPX on January 25, 2013 was 1,502.96. 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 Value 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 S&P 500
®
Index (the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.
The
securities 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 securities or any member of the public regarding the advisability of investing
in securities generally or in the securities 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 securities. S&P Dow Jones Indices has no obligation to take
the needs of HSBC or the holders of the securities 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
securities or the timing of the issuance or sale of the securities or in the determination or calculation of the equation by which
the securities 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 securities. 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 securities currently being issued by HSBC,
but which may be similar to and competitive with the securities. 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 securities.
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 SECURITIES,
OR ANY OTHER PERSON OR ENTITY FROM THE USE 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.
|
INFORMATION RELATING TO THE SECURITIES
LINKED TO THE RUSSELL 2000
®
INDEX
The disclosure relating
to the RTY contained below relates only to the offering of securities linked to the RTY.
|
|
Description of the RTY
The RTY is designed to track the performance
of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange
or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell
3000
®
Index is composed of the 3,000 largest United States companies as determined by market capitalization and
represents approximately 98% of the United States equity market.
The
top 5 industry groups by market capitalization as of December 31, 2012 were: Financial Services,
Consumer
Discretionary, Producer Durables, Technology, and Health Care.
For
more information about the RTY, see “The Russell 2000
Ò
Index” on page S-21 of the accompanying Equity Index Underlying Supplement.
|
Historical Performance of the RTY
The
following graph sets forth the historical performance of the RTY based on the daily historical closing levels from January 25,
2008 through
January 25, 2013. The closing level for the RTY on January
25, 2013 was
905.24. 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
RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value
of the RTY on the Final Valuation Date.
|
INFORMATION RELATING TO
THE SECURITIES LINKED TO THE iSHARES
®
MSCI EMERGING
MARKETS INDEX FUND
The disclosure relating
to the EEM contained below relates only to the offering of securities linked to the EEM.
|
|
Description of the EEM
The EEM seeks investment results that correspond
generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The MSCI Emerging Markets
Index is intended to measure the performance of equity markets in the global emerging markets. As of December 31, 2012, the MSCI
Emerging Markets Index consisted of the following 21 component country indices: Brazil, Chile, China, Colombia, Czech Republic,
Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand,
and Turkey.
For
more information about the EEM, see “The iShares
Ò
MSCI Emerging Markets Index Fund” on page S-21 of the accompanying ETF Underlying Supplement.
|
Historical Performance of the EEM
The following graph sets forth the historical
performance of the EEM based on the daily historical closing prices from January 25, 2008 through January 25, 2013. The closing
price for the EEM on January 25, 2013 was $44.16. We obtained the closing prices 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 prices of the EEM should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the EEM on the Final Valuation Date.
|
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
|
4/2/2007
|
6/29/2007
|
$44.58
|
$38.71
|
$43.78
|
|
7/2/2007
|
9/28/2007
|
$50.45
|
$37.12
|
$49.74
|
|
10/1/2007
|
12/31/2007
|
$55.78
|
$47.18
|
$50.06
|
|
1/2/2008
|
3/31/2008
|
$50.71
|
$40.65
|
$44.76
|
|
4/1/2008
|
6/30/2008
|
$52.44
|
$44.40
|
$45.16
|
|
7/1/2008
|
9/30/2008
|
$44.72
|
$30.85
|
$34.50
|
|
10/1/2008
|
12/31/2008
|
$34.26
|
$18.20
|
$24.95
|
|
1/2/2009
|
3/31/2009
|
$27.26
|
$19.85
|
$24.79
|
|
4/1/2009
|
6/30/2009
|
$34.85
|
$24.70
|
$32.20
|
|
7/1/2009
|
9/30/2009
|
$39.48
|
$30.22
|
$38.88
|
|
10/1/2009
|
12/31/2009
|
$42.48
|
$37.27
|
$41.48
|
|
1/4/2010
|
3/31/2010
|
$43.45
|
$34.99
|
$42.10
|
|
4/1/2010
|
6/30/2010
|
$43.99
|
$35.19
|
$37.30
|
|
7/1/2010
|
9/30/2010
|
$44.97
|
$36.74
|
$44.75
|
|
10/1/2010
|
12/31/2010
|
$48.59
|
$44.49
|
$47.62
|
|
1/3/2011
|
3/31/2011
|
$48.75
|
$44.25
|
$48.69
|
|
4/1/2011
|
6/30/2011
|
$50.43
|
$44.77
|
$47.60
|
|
7/1/2011
|
9/30/2011
|
$48.63
|
$34.71
|
$35.07
|
|
10/3/2011
|
12/30/2011
|
$43.21
|
$33.43
|
$37.94
|
|
1/3/2012
|
3/30/2012
|
$44.91
|
$38.21
|
$42.94
|
|
4/2/2012
|
6/29/2012
|
$43.75
|
$36.58
|
$39.19
|
|
7/2/2012
|
9/28/2012
|
$42.83
|
$37.15
|
$41.32
|
|
10/1/2012
|
12/31/2012
|
$44.42
|
$39.93
|
$44.35
|
|
1/2/2013*
|
1/25/2013*
|
$45.28
|
$43.67
|
$44.16
|
* As of the date of this pricing
supplement available information for the first calendar quarter of 2013 includes data for the period from January 2, 2013 through
January 25, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly Close”
data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2013.
|
INFORMATION RELATING TO THE SECURITIES
LINKED TO THE
i
Shares
®
MSCI EAFE Index Fund
The disclosure relating
to the EFA contained below relates only to the offering of securities linked to the EFA.
|
|
Description of the EFA
The EFA seeks investment results that correspond
generally to the price and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian,
and Far Eastern markets, as measured by the MSCI EAFE
®
Index, which is the underlying index of the EFA. As of December
31, 2012, the MSCI EAFE Index consisted of the following 22 component country indices: Australia, Austria, Belgium, Denmark, Finland,
France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain,
Sweden, Switzerland, and the United Kingdom.
For
more information about the EFA, see “The iShares
Ò
MSCI EAFE Index Fund” on page S-24 of the accompanying ETF Underlying Supplement.
|
Historical Performance of the EFA
The following graph sets forth the historical
performance of the EFA based on the daily historical closing prices from January 25, 2008 through January 25, 2013. The closing
price for the EFA on January 25, 2013 was $59.03. We obtained the closing prices 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 prices of the EFA should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the EFA on the Final Valuation Date.
|
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
|
1/3/2007
|
3/30/2007
|
$76.94
|
$70.95
|
$76.27
|
|
4/2/2007
|
6/29/2007
|
$81.79
|
$76.05
|
$80.63
|
|
7/2/2007
|
9/28/2007
|
$85.50
|
$67.99
|
$82.56
|
|
10/1/2007
|
12/31/2007
|
$86.49
|
$78.00
|
$78.50
|
|
1/2/2008
|
3/31/2008
|
$79.22
|
$65.63
|
$71.90
|
|
4/1/2008
|
6/30/2008
|
$78.76
|
$68.06
|
$68.70
|
|
7/1/2008
|
9/30/2008
|
$68.39
|
$52.36
|
$56.30
|
|
10/1/2008
|
12/31/2008
|
$56.42
|
$35.53
|
$44.87
|
|
1/2/2009
|
3/31/2009
|
$45.61
|
$31.56
|
$37.59
|
|
4/1/2009
|
6/30/2009
|
$49.18
|
$37.28
|
$45.81
|
|
7/1/2009
|
9/30/2009
|
$56.31
|
$43.49
|
$54.70
|
|
10/1/2009
|
12/31/2009
|
$57.66
|
$52.42
|
$55.30
|
|
1/4/2010
|
3/31/2010
|
$58.00
|
$49.94
|
$56.00
|
|
4/1/2010
|
6/30/2010
|
$58.08
|
$45.86
|
$46.51
|
|
7/1/2010
|
9/30/2010
|
$55.81
|
$46.45
|
$54.92
|
|
10/1/2010
|
12/31/2010
|
$59.50
|
$53.85
|
$58.23
|
|
1/3/2011
|
3/31/2011
|
$61.98
|
$54.69
|
$60.09
|
|
4/1/2011
|
6/30/2011
|
$64.35
|
$56.71
|
$60.14
|
|
7/1/2011
|
9/30/2011
|
$60.86
|
$46.09
|
$47.75
|
|
10/3/2011
|
12/30/2011
|
$55.86
|
$45.46
|
$49.53
|
|
1/3/2012
|
3/30/2012
|
$55.91
|
$48.99
|
$54.90
|
|
4/2/2012
|
6/29/2012
|
$55.68
|
$46.55
|
$49.96
|
|
7/2/2012
|
9/28/2012
|
$55.57
|
$47.30
|
$53.00
|
|
10/1/2012
|
12/31/2012
|
$56.88
|
$51.63
|
$56.82
|
|
1/2/2013*
|
1/25/2013*
|
$59.03
|
$56.07
|
$59.03
|
* As of the date of
this pricing supplement available information for the first calendar quarter of 2013 includes data for the period from January
2, 2013 through January 25, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly
Close” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter
of 2013.
U.S. FEDERAL INCOME TAX CONSIDERATIONS
There is no direct legal authority as
to the proper tax treatment of the securities, and therefore significant aspects of the tax treatment of the securities are uncertain
as to both the timing and character of any inclusion in income in respect of the securities. Under one approach, a security should
be treated as a pre-paid executory contract with respect to the relevant Reference Asset. We intend to treat the securities consistent
with this approach. Pursuant to the terms of the securities, you agree to treat the securities under this approach for all U.S.
federal income tax purposes. Subject to the limitations described therein, and based on certain factual representations received
from us, in the opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a security as a
pre-paid executory contract with respect to the relevant Reference Asset. Pursuant to this approach and subject to the discussion
below regarding “constructive ownership transactions”, we do not intend to report any income or gain with respect to
the securities prior to their maturity or an earlier sale or exchange and we intend to treat any gain or loss upon maturity or
an earlier sale or exchange as long-term capital gain or loss, provided that you have held the security for more than one year
at such time for U.S. federal income tax purposes.
Despite the foregoing, U.S. holders (as
defined under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement) should be aware that
the Internal Revenue Code of 1986, as amended (the “Code”), contains a provision, Section 1260 of the Code, which sets
forth rules which are applicable to what it refers to as “constructive ownership transactions.” Due to the manner in
which it is drafted, the precise applicability of Section 1260 of the Code to any particular transaction is often uncertain. In
general, a “constructive ownership transaction” includes a contract under which an investor will receive payment equal
to or credit for the future value of any equity interest in a regulated investment company (such as shares of the EEM and EFA (the
“Underlying Shares”)). Under the “constructive ownership” rules, if an investment in the securities is
treated as a “constructive ownership transaction,” any long-term capital gain recognized by a U.S. holder in respect
of a security will be recharacterized as ordinary income to the extent such gain exceeds the amount of “net underlying long-term
capital gain” (as defined in Section 1260 of the Code) of the U.S. holder determined as if the U.S. holder had acquired the
Underlying Shares on the original issue date of the security at fair market value and sold them at fair market value on the Maturity
Date (if the security was held until the Maturity Date) or on the date of sale or exchange of the security (if the security was
sold or exchanged prior to the Maturity Date) (the “Excess Gain”). In addition, an interest charge will also apply
to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in gross income inclusion
for the U.S. holder in taxable years prior to the taxable year of the sale, exchange or maturity of the security (assuming such
income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange or maturity of the security).
Although the matter is not clear, there
exists a risk that an investment in the securities linked to the EEM or EFA will be treated as a “constructive ownership
transaction.” If such treatment applies, it is not entirely clear to what extent any long-term capital gain recognized by
a U.S. holder in respect of a security linked to the EEM or EFA will be recharacterized as ordinary income. It is possible, for
example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary income in respect of each security
linked to the EEM or EFA will equal the excess of (i) any long-term capital gain recognized by the U.S. holder in respect of such
a security over (ii) the “net underlying long-term capital gain” such U.S. holder would have had if such U.S. holder
had acquired a number of the Underlying Shares at fair market value on the original issue date of such security for an amount equal
to the “issue price” of the security and, upon the date of sale, exchange or maturity of the security, sold such Underlying
Shares at fair market value (which would reflect the percentage increase in the value of the Underlying Shares over the term of
the security). Accordingly, U.S. holders should consult their tax advisors regarding the potential application of the “constructive
ownership” rules.
We will not attempt to ascertain whether
any of the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, would be treated
as a passive foreign investment company (“PFIC”) or United States real property holding corporation (“USRPHC”),
both as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in, or owned by, the
relevant Reference Asset, as the case may be, were so treated, certain adverse U.S. federal income tax consequences might apply.
You should refer to information filed with the SEC and other authorities by the entities whose stock is included in, or owned by,
the relevant Reference Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one
or more of the entities whose stock is included in, or owned by, the relevant Reference Asset, as the case may be, is or becomes
a PFIC or a USRPHC.
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 December 31, 2013. However, this withholding tax will not be imposed on payments pursuant to obligations
outstanding on January 1, 2014. 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.
For a discussion of the U.S. federal
income tax consequences of your investment in a security, please see the discussion under “U.S Federal Income Tax Considerations”
in the accompanying prospectus supplement.