This pricing supplement
relates to an offering linked to the Index identified on the cover page. As a purchaser of a Security, you will acquire an investment
instrument linked to the Index. Although this offering relates to the Index identified on the cover page, you should not construe
that fact as a recommendation of the merits of acquiring an investment linked to the Index, or as to the suitability of an investment
in the Securities.
You should read this document
together with the Equity Index Underlying Supplement dated March 22, 2012, the prospectus dated March 22, 2012 and the prospectus
supplement dated March 22, 2012. If the terms of the Securities offered hereby are inconsistent with those described in the accompanying
Equity Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement will control.
You should carefully consider, among other things, the matters set forth in “Key Risks” beginning on page 4 of this
pricing supplement and in “Risk Factors” beginning on page S-1 of the Equity Index Underlying Supplement and beginning
on page S-3 of the prospectus supplement, as the Securities involve risks not associated with conventional debt securities. You
are urged to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities.
HSBC has filed a registration
statement (including the Equity Index Underlying Supplement, a prospectus and prospectus supplement) with the SEC for the offering
to which this pricing supplement relates. Before you invest, you should read the Equity Index Underlying Supplement, the prospectus
and prospectus supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information
about HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively,
HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the Equity Index Underlying Supplement,
prospectus and prospectus supplement if you request them by calling toll-free 1-866-811-8049.
You may access these documents on the SEC web site at www.sec.gov
as follows:
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Issuer
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HSBC USA Inc.
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Principal Amount
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$1,000 per Security.
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Term
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Approximately 10 years
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Index
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S&P 500
®
Index (Ticker: SPX)
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Payment at
Maturity (per
$1,000 Principal
Amount Security)
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If the Index Return is positive,
HSBC will pay you an
amount in cash equal to:
$1,000 + ($1,000 × Index
Return × Participation Rate)
If the Index Return is zero or negative
but equal to or greater than the Threshold Percentage
, HSBC will pay you an amount in cash equal to your Principal Amount,
or $1,000 per Security.
If the Index Return is negative and less than the Threshold
Percentage,
HSBC will pay you a cash payment at maturity that is less than the Principal Amount of $1,000 per Security, if
anything, equal to:
$1,000 + [$1,000 × (Index
Return – Threshold Percentage) × Threshold Multiplier]
In this scenario, you will
lose 2% of principal for each 1% that the Index Return is less than -50%, up to a loss of your entire investment.
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Participation Rate
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175%
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Threshold Percentage
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-50.00%
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Threshold Multiplier
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2
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Index Return
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Final
Level – Initial Level
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Initial Level
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Initial Level
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1,500.18, which was the Official Closing Level of the Index on the Trade Date.
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Final Level
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The Official Closing Level on the Final Valuation Date.
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Official Closing Level
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The Official Closing Level on any scheduled trading day will be the closing level of the Index as determined by the calculation agent and based on the value displayed on Bloomberg Professional
®
service page “SPX <INDEX>”, or on any successor page on the Bloomberg Professional
®
service or any successor service, as applicable.
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CUSIP / ISIN
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40433T398/US40433T3986
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Calculation Agent
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HSBC USA Inc. or one of its affiliates.
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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 at maturity, 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, but we urge you to read the more detailed explanation
of risks relating to the Securities generally in the “Risk Factors” section of the accompanying Equity Index Underlying
Supplement and the accompanying prospectus supplement. We also urge you to consult your investment, legal, tax, accounting and
other advisors before you invest in the Securities.
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¨
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Your Investment in the Securities May Result in a Loss
– The Securities differ from
ordinary debt securities in that the Issuer will not necessarily pay the full Principal Amount of the Securities at maturity. HSBC
will only pay you the Principal Amount of your Securities in cash if the Index Return is greater than or equal to the Threshold
Percentage and only at maturity. If the Index Return is below the Threshold Percentage of -50%, you will lose 2% of the Principal
Amount for each 1% that the Index Return is less than -50%. Accordingly, if the Index Return is below the Threshold Percentage,
the amount of cash you receive will be less than the Principal Amount resulting in a loss of some or all of the Principal Amount.
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¨
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The Contingent Repayment of Principal Applies Only if You Hold the Securities to Maturity
–
You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the
secondary market, you may have to sell them at a loss relative to your initial investment even if the return of the Index at that
time is above the Threshold Percentage.
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¨
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The Participation Rate Applies Only if You Hold the Securities to Maturity
– You
should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary
market, the price you receive will likely not reflect the full economic value of the Participation Rate or the Securities themselves,
and the return you realize may be less than the Index’s return, even if that return is positive. You can receive the full
benefit of the Participation Rate only if you hold your Securities to maturity.
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¨
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Certain Built-in Costs Are Likely to Adversely Affect the Value of the Securities Prior to
Maturity
– Generally, the price of the Securities in the secondary market, if any, is likely to be lower than the initial
offering price since the issue price includes, and the secondary market prices are likely to exclude, hedging costs or commissions
and other compensation paid with respect to the Securities. You should be willing to hold your Securities to maturity. The Securities
are not designed to be short-term trading instruments. The price at which you will be able to sell your Securities to us, our affiliates
or any party in the secondary market prior to maturity, if at all, may be at a substantial discount from the Principal Amount of
the Securities, even in cases where the Index has appreciated since the Trade Date.
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¨
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No Interest Payments
–
HSBC will not make any interest payments with respect
to the Securities.
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¨
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The Securities Are Subject to the Credit Risk of the Issuer
– The Securities are
senior unsecured debt obligations of 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 repayment 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 any amount owed to you under the terms of the Securities
and you could lose your entire investment.
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¨
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The Securities Lack Liquidity
– The Securities will not be listed on any securities
exchange or quotation system. An affiliate of HSBC intends to offer to repurchase the Securities in the secondary market but is
not required to do so and may cease any such market-making activities at any time without notice. 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 an affiliate of HSBC is willing to buy the Securities. The price, if any, will exclude any
fees or commissions paid by brokerage account holders when the Securities were purchased and therefore will generally be lower
than such purchase price.
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¨
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Owning the Securities Is Not the Same as Owning the Stocks Comprising the Index
–
The return on your Securities may not reflect the return you would realize if you actually owned the stocks included in the Index.
As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or other rights
that holders of the stocks included in the Index would have.
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¨
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Market Price Prior to Maturity
– The market price of the Securities will be influenced
by many unpredictable and interrelated factors, including the level of the Index; the volatility of the Index; dividends paid on
the stocks included in the Index; the time remaining to the maturity of the Securities; interest rates in the markets in general;
geopolitical conditions and economic, financial, political, regulatory, judicial or other events; and the creditworthiness of HSBC.
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¨
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Changes Affecting the Index
– The policies of the reference sponsor concerning additions,
deletions and substitutions of the stocks included in the Index and the manner in which the reference sponsor takes account of
certain changes affecting those stocks included in the Index may adversely affect the level of the Index. The policies of the reference
sponsor with respect to the calculation of the Index could also adversely affect the level of the Index. The reference sponsor
may discontinue or suspend calculation or dissemination of the Index. Any such actions could have an adverse effect on the value
of the Securities.
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¨
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Potential HSBC and UBS Financial Services Inc. Impact on Price
– Trading or transactions
by HSBC, UBS Financial Services Inc., or any of their respective affiliates in the stocks comprising the Index or in futures, options,
exchange-traded funds or other derivative products on stocks comprising the Index, may adversely affect the market value of the
stocks comprising the Index, the level of the Index, and, therefore, the market value of your Securities.
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¨
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Potential Conflict of Interest
– HSBC, UBS Financial Services Inc., or any of their
respective affiliates may engage in business with the issuers of the stocks comprising the Index, which could affect the price
of such stocks or the level of the Index and thus, may present a conflict between the obligations of HSBC and you, as a holder
of the Securities. Additionally, potential conflicts of interest may exist between the Calculation Agent, which may be HSBC or
any of its affiliates, and you with respect to certain determinations and judgments that the Calculation Agent must make, which
include determining the Payment at Maturity based on the Final Level as well as whether to postpone the determination of the Final
Level and the Maturity Date if a Market Disruption Event occurs and is continuing on the Final Valuation Date.
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¨
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Potentially Inconsistent Research, Opinions or Recommendations by HSBC, UBS Financial Services
Inc., or Their Respective Affiliates
– HSBC, UBS Financial Services Inc., or any of their respective affiliates may publish
research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities and such
research, opinions or recommendations may be revised at any time. Any such research, opinions or recommendations could affect the
level of the Index or the price of the stocks included in the Index, and therefore, the market value of the Securities.
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¨
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The Securities Are Not Insured or Guaranteed 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 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 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 and you could lose your entire investment.
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¨
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Uncertain Tax Treatment
– Significant aspects of the tax treatment of the Securities
are uncertain. You should consult your tax advisor about your own tax situation. See “What Are the Tax Consequences of the
Securities?” beginning on page 8.
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Scenario Analysis and Examples at Maturity
|
The scenario analysis and
examples below are provided for illustrative purposes only and are purely hypothetical. They do not purport to be representative
of every possible scenario concerning increases or decreases in the level of the Index relative to the Initial Level. We cannot
predict the Final Level. You should not take the scenario analysis and these examples as an indication or assurance of the expected
performance of the Index. The numbers set forth in the examples below have been rounded for ease of analysis. The following scenario
analysis and examples illustrate the Payment at Maturity for a $1,000 Principal Amount of Securities.
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Term:
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10 years
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Principal Amount:
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$1,000
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Initial Level:
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1,500.18
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Threshold Percentage:
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-50%
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Participation Rate:
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175%
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Threshold Multiplier:
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2
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Example 1: The Final Level is
1,650.20
for an Index Return of 10%.
Since the Index Return is positive, the Payment
at Maturity per Security will be calculated as follows:
$1,000 + ($1,000 × 10% × 175%)
= $1,175 per Security
Example 2: The Final Level is
1,050.13
for an Index Return of -30%.
Since the Index Return is negative but greater
than the Threshold Percentage of -50%, HSBC will repay the full Principal Amount and the Payment at Maturity is equal to $1,000
per Security (a zero percent return).
Example 3: The Final Level is
600.07
for an Index Return of -60%.
Since the Index Return is negative and less
than the Threshold Percentage of -50%, the
Securities will be exposed to the negative Index Return
beyond the Threshold Percentage multiplied by the Threshold Multiplier. Therefore, the Payment at Maturity per Security will be
calculated as follows:
$1,000 + [$1,000 × (-60% + 50%) ×
2] = $800 per Security
If the Index Return is below the Threshold
Percentage on the Final Valuation Date, your investment in the Securities will be exposed to the downside market risk of the Index
and you will lose some or all of your principal at maturity.
Scenario Analysis –
Hypothetical Payment at Maturity for each $1,000 Principal Amount of Securities.
Hypothetical
Final Level (1)
|
Hypothetical
Index Return
|
Hypothetical
Payment at
Maturity
|
Hypothetical
Return on
Securities
|
|
3,000.36
|
100.00%
|
$2,750.00
|
175.00%
|
|
2,850.34
|
90.00%
|
$2,575.00
|
157.50%
|
|
2,700.32
|
80.00%
|
$2,400.00
|
140.00%
|
|
2,550.31
|
70.00%
|
$2,225.00
|
122.50%
|
|
2,400.29
|
60.00%
|
$2,050.00
|
105.00%
|
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2,250.27
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50.00%
|
$1,875.00
|
87.50%
|
|
2,100.25
|
40.00%
|
$1,700.00
|
70.00%
|
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1,950.23
|
30.00%
|
$1,525.00
|
52.50%
|
|
1,800.22
|
20.00%
|
$1,350.00
|
35.00%
|
|
1,650.20
|
10.00%
|
$1,175.00
|
17.50%
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1,500.18
|
0.00%
|
$1,000.00
|
0.00%
|
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1,350.16
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-10.00%
|
$1,000.00
|
0.00%
|
|
1,200.14
|
-20.00%
|
$1,000.00
|
0.00%
|
|
1,050.13
|
-30.00%
|
$1,000.00
|
0.00%
|
|
900.11
|
-40.00%
|
$1,000.00
|
0.00%
|
|
750.09
|
-50.00%
|
$1,000.00
|
0.00%
|
|
600.07
|
-60.00%
|
$800.00
|
-20.00%
|
|
450.05
|
-70.00%
|
$600.00
|
-40.00%
|
|
300.04
|
-80.00%
|
$400.00
|
-60.00%
|
|
150.02
|
-90.00%
|
$200.00
|
-80.00%
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
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(1)
|
The Index excludes cash dividend payments of stocks included in the Index.
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What are the tax consequences of the Securities?
|
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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 each 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.
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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 pre-paid cash-settled executory contracts with respect to the Index. 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 accompanying 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 does not intend to report any income or gain with respect to the Securities prior to their maturity or an earlier sale or
exchange and HSBC intends to treat any gain or loss upon maturity or such 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. 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 certain U.S. federal income tax considerations applicable to Securities that are
treated as pre-paid cash-settled executory contracts.
|
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 Security prior to the receipt of payments with respect to the Security or its 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 a Security 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 Security could be subject to U.S. withholding tax in respect of a Security. 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 any of the entities whose stock is included in, or owned by, the Index, 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
Index, 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 Index, 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 Index, as the case may be, is or becomes a PFIC or a USRPHC.
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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.
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Description of the Index
The Index 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
28, 2013 were: (1) Information Technology, (2) Financials, (3) Health Care, (4) Consumer Discretionary, and (5) Energy.
For more information about the Index, see “The S&P
500
Ò
Index” on page S-6 of the accompanying Equity Index Underlying
Supplement.
|
Historical Performance of the Index
The following graph sets forth the historical performance of
the Index based on the daily historical closing levels from January 28, 2008 to January 28, 2013 as reported on the Bloomberg Professional
®
service. The Official Closing Level of the Index on January 28, 2013 was 1,500.18. 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 Index should not be taken as an indication of future performance.
Source: Bloomberg Professional
®
service
|
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 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.
|
Events of Default and Acceleration
|
If the Securities have become immediately due and payable following
an event of default (as defined in the accompanying prospectus) with respect to the Securities, the Calculation Agent will determine
the accelerated Payment at Maturity due and payable in the same general manner as described in “Final Terms” in this
pricing supplement. In that case, the scheduled trading day preceding the date of acceleration will be used as the Final Valuation
Date for purposes of determining the accelerated Index Return. If a market disruption event exists on that scheduled trading day,
then the accelerated Final Valuation Date will be postponed for up to five scheduled trading days (in the same general 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.
If the Securities have become immediately due and payable following
an event of default, you will not be entitled to any additional payments with respect to the Securities. For more information,
see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the accompanying prospectus.