Calculation
of Registration Fee
Title of Each Class of
Securities Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of
Registration Fee
(1)
|
Debt Securities
|
|
$978,000
|
|
$133.40
|
Debt Securities
|
|
$845,000
|
|
$115.26
|
Debt Securities
|
|
$40,000
|
|
$5.46
|
(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
March 22, 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 three separate offerings:
|
–
$978,000
Buffered AMPS
TM
linked to the Russell 2000
®
Index
–
$845,000
Buffered AMPS
TM
linked to the iShares
®
MSCI EAFE Index Fund
–
$40,000
Buffered AMPS
TM
linked to the WisdomTree
®
India Earnings 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 RTY
|
$1,000/$978,000
|
$18/$17,604
|
$982/$960,396
|
Per security
/ Total linked to the EFA
|
$1,000/$845,000
|
$20/$16,900
|
$980/$828,100
|
Per security
/ Total linked to the EPI
|
$1,000/$40,000
|
$15.30/$612
|
$984.70/$39,388
|
1
HSBC USA Inc. or
one of our affiliates may pay varying underwriting discounts of up to 2.00% and referral fees of up to 0.60% per $1,000 Principal
Amount of securities in connection with the distribution of the securities
to other registered broker-dealers. In no case will the sum of the underwriting discounts and referral fees exceed 2.10%
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)
|
|
Russell 2000
®
Index
iShares
®
MSCI EAFE Index Fund
WisdomTree
®
India Earnings Fund
This pricing supplement
relates to three offerings of Buffered Accelerated Market Participation Securities. Each of the three 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 less than the Buffer Value, 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 three securities has a different Maximum Cap. The performance of each of the
three 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
|
Russell 2000
®
Index
|
RTY
|
200%
|
9.50%
|
40432XBW0/US40432XBW02
|
iShares
®
MSCI EAFE Index Fund
|
EFA
|
200%
|
10.50%
|
40432XBX8/US40432XBX84
|
WisdomTree
®
India Earnings Fund
|
EPI
|
200%
|
14.50%
|
40432XBY6/US40432XBY67
|
Trade Date:
|
March 22, 2013
|
|
|
Pricing Date:
|
March 22, 2013
|
|
|
Original Issue Date:
|
March 27, 2013
|
|
|
Final Valuation Date:
|
September 22, 2014, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates”
in the relevant accompanying underlying supplement.
|
|
|
Maturity Date:
|
September 25, 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 will lose up to 90% of your investment.
|
|
|
Buffer Value
|
With respect to each offering, -10%
|
|
|
Initial Value:
|
946.27 for the securities linked to the RTY, $59.36 for the securities linked to the EFA, and $17.90 for the securities
linked to the EPI, in each case the Official Closing Value of the relevant Reference Asset on the Pricing Date.
|
|
|
Final Value:
|
With respect to the RTY, the Official Closing Value of the RTY on the Final Valuation Date. With respect to
the EFA and EPI, 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 RTY, “RTY <INDEX>”, with respect to the EFA, “EFA UP <EQUITY>”, and with
respect to the EPI, “EPI <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 three
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 RTY) or the ETF Underlying Supplement dated March 22, 2012 (for
securities linked to the EFA or EPI), 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 RTY:
For securities linked to the EFA or
EPI:
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 will 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
RTY, the Russell Investment Group is the reference sponsor. With respect to securities linked to the EFA, iShares, Inc. is the
reference issuer. With respect to securities linked to the EPI, WisdomTree Trust is the reference issuer.
INVESTOR SUITABILITY
The securities may be suitable for you if:
|
|
The securities may not 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.
|
|
}
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 less than -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 RTY:
|
}
|
“—
General Risks
Related to
Indices”
in the Equity
Index Underlying
Supplement;
|
|
}
|
“—
Small-Capitalization
or Mid-Capitalization
Companies
Risk”
in the Equity
Index Underlying
Supplement;
|
If your securities are linked to the
EFA or EPI:
|
}
|
“—
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;
and
|
|
}
|
“—
The Notes
Are Subject
to Currency
Exchange Risk”
in the ETF
Underlying
Supplement;
|
If your securities
are linked to the EFA:
|
}
|
“—
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;
|
If your securities
are linked to the EPI:
|
}
|
“—There
are risks
associated
with emerging
markets”
in the ETF
Underlying
Supplement.
|
You will be subject
to significant risks not associated with conventional fixed-rate or floating-rate debt securities.
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 will lose up to 90% of your
investment at maturity if the relevant Reference Return is less than the Buffer Value.
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 9.50% with respect to the securities linked to the RTY, 10.50% with respect to the securities linked to the
EFA, and 14.50% with respect to the securities linked to the EPI. 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 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.
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.
The securities linked to the EPI are subject to risks associated
with a Reference Asset with limited trading history.
The EPI has been publicly traded only since 2008. Similarly,
the levels of its underlying index have only been published since December 2007. Accordingly, there is only a limited trading
history available for the EPI and its underlying index upon which you can evaluate their prior performance.
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:
|
9.50% (The actual Maximum Cap with respect to the securities linked to the
RTY is 9.50%, with respect to the securities linked to the EFA is 10.50%, and with respect to
the securities linked to the EPI is 14.50%).
|
Hypothetical
Reference Return
|
Hypothetical Payment
at Maturity
|
Hypothetical Return on
the Security
|
100.00%
|
$1,095.00
|
9.50%
|
80.00%
|
$1,095.00
|
9.50%
|
60.00%
|
$1,095.00
|
9.50%
|
40.00%
|
$1,095.00
|
9.50%
|
20.00%
|
$1,095.00
|
9.50%
|
15.00%
|
$1,095.00
|
9.50%
|
10.00%
|
$1,095.00
|
9.50%
|
4.75%
|
$1,095.00
|
9.50%
|
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:
|
$1,095.00
|
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 $1,095.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Maximum Cap)
= $1,000 + ($1,000 × 9.50%)
= $1,095.00
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 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 February 28, 2013 were: Financial Services,
Consumer
Discretionary, Producer Durables, Technology, and Health Care.
For
more information about the RTY, see “The Russell 2000
Ò
Index” beginning 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 March 22, 2008 through March 22,
2013. The closing level for the RTY on March 22, 2013 was 946.27. 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
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 February 28, 2013, 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,
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” beginning 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 March 22, 2008 through March 22,
2013. The closing price for the EFA on March 22, 2013 was $59.36. 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
|
1/2/2008
|
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
|
1/1/2013*
|
3/22/2013*
|
$59.99
|
$56.07
|
$59.36
|
* As of the date of this
pricing supplement, available information for the first calendar quarter of 2013 includes data for the period from January 1,
2013 through March 22, 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 WISDOMTREE
®
INDIA EARNINGS FUND
The disclosure relating
to the EPI contained below relates only to the offering of securities linked to the EPI.
Description of the EPI
We have derived all information relating to the EPI, including,
without limitation, its make-up, method of calculation and changes in its components, from publicly available information. This
information reflects the policies of, and is subject to change by, the WisdomTree Trust (“WTT”). We have not independently
verified the accuracy or completeness of the information derived from these public sources. The EPI is an investment portfolio
maintained and managed by WTT. Wisdom Tree Asset Management, Inc. (“WTAM”) is currently the investment adviser to
the EPI, and Mellon Capital Management Corporation is the sub-adviser to the EPI. The EPI is an exchange traded fund that trades
on the NYSE Arca, Inc. under the ticker symbol “EPI.”
WTT is a registered investment company that consists of numerous
separate investment portfolios, including the EPI. Information provided to or filed with the SEC by WTT under the Securities Act
of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-132380
and 811-21864, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from
other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents, and
we have not participated in the preparation of, or verified, such publicly available information. None of the forgoing documents
or filings are incorporated by reference in this pricing supplement.
Investment Objective and Strategy
The EPI is an exchange-traded fund that seeks to track the
price and yield performance, before fees and expenses, of the WisdomTree India Earnings Index (the “Underlying Index”).
The Underlying Index is a weighted index that measures the performance of companies incorporated and traded in India that are
profitable and that are eligible to be purchased by foreign investors as of the annual index rebalance. The inception date of
the Underlying Index was December 3, 2007. The level of the Underlying Index is reported by Bloomberg L.P. under the ticker symbol
“MVIDX.”
The EPI pursues a “passive” or indexing approach
in attempting to track the performance of the Underlying Index. The EPI attempts to invest all, or substantially all, of its assets
in the common stocks that make up the Underlying Index. The EPI generally uses a “Representative Sampling” strategy
to achieve its investment objective, meaning that it generally will invest in a sample of the securities whose risk, return and
other characteristics closely resemble the risk, return and other characteristics of the Underlying Index as a whole.
Under normal circumstances, at least 95% of the EPI’s
total assets (exclusive of collateral held from securities lending) will be invested in the component securities of the Underlying
Index. To the extent that the Underlying Index concentrates (
i.e.
, holds 25% or more of its total assets) in the securities
of a particular industry or group of industries, the EPI will concentrate its investments to approximately the same extent as
the Underlying Index.
The Underlying Index
The Underlying Index is a weighted index that measures the
performance of companies incorporated and traded in India that are profitable and that are eligible to be purchased by foreign
investors as of the annual index rebalance.
The Underlying Index consists only of companies that:
|
·
|
are incorporated
in India;
|
|
·
|
are listed
on a major stock
exchange in India;
|
|
·
|
have generated
at least $5 million
in earnings in
their fiscal year
prior to the annual
index rebalance;
|
|
·
|
have a market
capitalization
of at least $200
million on the
annual index rebalance;
|
|
·
|
have an average
daily dollar trading
volume of at least
$200,000 for each
of the six months
prior to the annual
index rebalance;
|
|
·
|
have traded
at least 250,000
shares per month
for each of the
six months prior
to the annual index
rebalance; and
|
|
·
|
have a price
to earnings ratio
(“P/E ratio”)
of at least 2 as
of the annual index
rebalance.
|
Companies are weighted in the Underlying Index based on reported
net income in their fiscal year prior to the annual index rebalance. The reported net income number is then multiplied by a second
factor developed by Standard & Poor’s called the “Investability Weighting Factor” (“IWF”). The
IWF is used to scale the earnings generated by each company by restrictions on shares available to be purchased. The product of
the reported net income and IWF is known at the “Earnings Factor.” Companies are weighted by the proportion of each
individual earnings factor relative to the sum of all earnings factors within the Underlying Index.
Notwithstanding the criteria used to determine and calculate
the Underlying Index, no assurances can be given that the Underlying Index will have a positive return during the term of the
securities.
The maximum weight of any one sector in the Underlying Index,
at the time of the Underlying Index’s annual rebalance, is capped at 25%. In response to market conditions, sector weights
may fluctuate above 25% between annual index rebalance dates.
WisdomTree Investments, Inc. (“WTI”), as index
provider, currently uses Standard & Poor’s Global Industry Classification Standards to define companies in each sector
of the Underlying Index. The following sectors are included in the Underlying Index: consumer
discretionary, consumer staples, energy, financials, health
care, industrials, information technology, materials, telecommunication services, and utilities. A sector is comprised of multiple
industry groups. For example, the energy sector is comprised of companies in, among others, the natural gas, oil and petroleum
industries.
As of March 22, 2013, there were 220 components in the Underlying
Index, with a total index market capitalization of $0.96 trillion. As of March 22, 2013, 54.62% of the weight of the index consisted
of securities with market capitalizations of over $10 billion, 32.38% of the Underlying Index consisted of securities with market
capitalizations of between $2 and $10 billion, and 13.00% of the Underlying Index consisted of companies with market capitalizations
of less than $2 billion. Set forth in the table below are the top ten components of the Underlying Index by weight, as of March
22, 2013:
Component
|
|
Weight
|
1. Reliance
Industries Ltd
|
|
8.71%
|
2. Infosys
Ltd
|
|
7.32%
|
3. Oil
& Natural Gas Corp Ltd
|
|
6.77%
|
4. Housing
Development Finance Co
|
|
4.60%
|
5. Tata
Motors Ltd
|
|
4.45%
|
6. ICICI
Bank Ltd
|
|
2.84%
|
7. Tata
Consultancy Services Ltd
|
|
2.82%
|
8. State
Bank of India Ltd
|
|
2.30%
|
9. HDFC
Bank Ltd
|
|
1.99%
|
10. Axis Bank Ltd
|
|
1.94%
|
Set forth in the table below are the industry groups of the
Underlying Index by weight, as of March 22, 2013.
Industry Group
|
|
Weight
|
1. Energy
|
|
20.42%
|
2. Banks
|
|
19.56%
|
3. Software
& Services
|
|
14.41%
|
4. Materials
|
|
10.07%
|
5. Capital
Goods
|
|
9.23%
|
6. Diversified
Financials
|
|
5.10%
|
7. Utilities
|
|
4.19%
|
8. Automobiles
& Components
|
|
3.92%
|
9. Pharmaceuticals
Biotechnology & Life Sciences
|
|
3.46%
|
10. Food Beverage &
Tobacco
|
|
2.60%
|
Historical Performance of the EPI
The following graph sets forth the historical
performance of the EPI based on the daily historical closing prices from March 22, 2008 through March 22, 2013. The closing price
for the EPI on March 22, 2013 was $17.90. 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 EPI should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value
of the EPI on the Final Valuation Date.
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
2/25/2008*
|
3/31/2008
|
$26.27
|
$21.00
|
$22.82
|
4/1/2008
|
6/30/2008
|
$25.65
|
$18.06
|
$18.22
|
7/1/2008
|
9/30/2008
|
$21.98
|
$14.42
|
$15.97
|
10/1/2008
|
12/31/2008
|
$16.06
|
$8.74
|
$11.35
|
1/2/2009
|
3/31/2009
|
$12.21
|
$8.82
|
$10.94
|
4/1/2009
|
6/30/2009
|
$19.15
|
$11.08
|
$17.35
|
7/1/2009
|
9/30/2009
|
$21.10
|
$15.63
|
$21.03
|
10/1/2009
|
12/31/2009
|
$22.47
|
$18.88
|
$22.07
|
1/4/2010
|
3/31/2010
|
$23.49
|
$19.78
|
$23.33
|
4/1/2010
|
6/30/2010
|
$24.34
|
$11.63
|
$22.75
|
7/1/2010
|
9/30/2010
|
$26.60
|
$22.49
|
$26.37
|
10/1/2010
|
12/31/2010
|
$28.71
|
$24.28
|
$26.39
|
1/3/2011
|
3/31/2011
|
$26.72
|
$21.73
|
$24.79
|
4/1/2011
|
6/30/2011
|
$25.58
|
$22.10
|
$23.96
|
7/1/2011
|
9/30/2011
|
$24.47
|
$18.04
|
$18.15
|
10/3/2011
|
12/30/2011
|
$20.72
|
$15.45
|
$15.60
|
1/3/2012
|
3/30/2012
|
$21.59
|
$16.12
|
$19.28
|
4/2/2012
|
6/29/2012
|
$19.70
|
$15.42
|
$17.23
|
7/2/2012
|
9/30/2012
|
$19.01
|
$16.27
|
$18.94
|
10/1/2012
|
12/31/2012
|
$19.90
|
$17.56
|
$19.37
|
1/2/2013
|
3/22/2013**
|
$20.50
|
$17.78
|
$17.90
|
* The EPI began trading publicly on February 25, 2008. As a
result, there is limited trading information for the first quarter of 2008 and no trading information prior to that date. This
limited historical performance for the EPI is not necessarily indicative of its future performance.
** 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 March 22,
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.
SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)
We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the securities. Pursuant to the terms of a distribution agreement, HSBC
Securities (USA) Inc. will purchase the securities from HSBC at the price to public less the underwriting discount set forth on
the cover page of this pricing supplement, for distribution to other registered broker-dealers, or will offer the securities directly
to investors. HSBC Securities (USA) Inc. will offer the securities at the price to public set forth on the cover page of this
pricing supplement. HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 2.00% and referral
fees of up to 0.60% per $1,000 Principal Amount of securities in connection with the distribution of the securities to other registered
broker-dealers. In no case will the sum of the underwriting discounts and referral fees exceed 2.10% per $1,000 Principal Amount.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support
the securities.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use this pricing supplement in market-making transactions after the initial sale of
the securities, but is under no obligation to do so and may discontinue any market-making activities at any time without notice.
See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-49 in the prospectus supplement.
U.S. FEDERAL INCOME TAX CONSIDERATIONS
There is no direct legal authority as
to the proper tax treatment of the 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 EFA and
EPI (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 EFA or EPI 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 EFA or EPI 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 EFA or EPI 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. Additionally, withholding due to any payment being treated as a “dividend equivalent”
(as discussed beginning on page S-47 of the prospectus supplement) will begin no earlier than January 1, 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.
VALIDITY OF THE SECURITIES
In the opinion of Morrison & Foerster
LLP, as counsel to the Issuer, when the securities offered by this pricing supplement have been executed and delivered by the
Issuer and authenticated by the trustee pursuant to the Senior Indenture referred to in the prospectus supplement dated March
22, 2012, and issued and paid for as contemplated herein, such securities will be valid, binding and enforceable obligations of
the Issuer, entitled to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting
creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is
limited to the laws of the State of New York, the Maryland General Corporation Law (including the statutory provisions, all applicable
provisions of the Maryland Constitution and the reported judicial decisions interpreting the foregoing) and the federal laws of
the United States of America. This opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and
other sources as to certain factual matters, all as stated in the legal opinion dated July 27, 2012, which has been filed as Exhibit
5.1 to the Issuer’s Current Report on Form 8-K dated July 27, 2012.
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TABLE OF CONTENTS
|
|
You
should only rely on the information contained in this pricing supplement, any
accompanying underlying supplement, prospectus supplement and prospectus. We
have not authorized anyone to provide you with information or to make any representation
to you that is not contained in this pricing supplement, any accompanying underlying
supplement, prospectus supplement and prospectus. If anyone provides you with
different or inconsistent information, you should not rely on it. This pricing
supplement, any accompanying underlying supplement, prospectus supplement and
prospectus are not an offer to sell these securities, and these documents are
not soliciting an offer to buy these securities, in any jurisdiction where
the offer or sale is not permitted. You should not, under any circumstances,
assume that the information in this pricing supplement, any accompanying underlying
supplement, prospectus supplement and prospectus is correct on any date after
their respective dates.
HSBC
USA Inc.
$978,000
Buffered Accelerated
Market Participation Securities
Linked to the Russell 2000
®
Index
$845,000
Buffered Accelerated
Market
Participation Securities
Linked to the iShares
®
MSCI EAFE
Index Fund
$40,000
Buffered Accelerated
Market Participation Securities
Linked to the WisdomTree
®
India
Earnings Fund
March
22, 2013
PRICING
SUPPLEMENT
|
|
|
Pricing Supplement
|
|
|
|
General
|
PS-4
|
Payment at Maturity
|
PS-5
|
Investor Suitability
|
PS-6
|
Risk Factors
|
PS-6
|
Illustrative Examples
|
PS-9
|
Information Relating
to the Securities Linked to the Russell 2000
®
Index
|
PS-11
|
Information Relating
to the Securities Linked to the iShares
®
MSCI EAFE Index Fund
|
PS-12
|
|
|
Information Relating
to the Securities Linked to the WisdomTree
®
India Earnings Fund
|
PS-13
|
Supplemental Plan
of Distribution (Conflicts of Interest)
|
PS-16
|
U.S. Federal Income
Tax Considerations
|
PS-16
|
Validity of the Securities
|
PS-17
|
|
|
Equity Index Underlying Supplement
|
|
Risk Factors
|
S-1
|
The S&P 500
®
Index
|
S-6
|
The S&P 100
®
Index
|
S-10
|
The S&P MidCap 400
®
Index
|
S-14
|
The S&P 500 Low Volatility Index
|
S-18
|
The Russell 2000
®
Index
|
S-21
|
The Dow Jones Industrial
Average
SM
|
S-25
|
The Hang Seng China
Enterprises Index
®
|
S-27
|
The Hang Seng
®
Index
|
S-30
|
The Korea Stock Price
Index 200
|
S-33
|
MSCI Indices
|
S-36
|
The EURO STOXX 50
®
Index
|
S-40
|
The PHLX Housing Sector
SM
Index
|
S-42
|
The TOPIX
®
Index
|
S-46
|
The NASDAQ-100 Index
®
|
S-49
|
S&P BRIC 40 Index
|
S-53
|
The Nikkei 225 Index
|
S-56
|
The FTSE™ 100 Index
|
S-58
|
Other Components
|
S-60
|
Additional Terms of the Notes
|
S-60
|
|
|
ETF Underlying Supplement
|
|
Risk Factors
|
S-2
|
Reference Sponsors
|
S-8
|
The SPDR
®
Dow Jones Industrial Average
SM
ETF Trust
|
S-8
|
The POWERSHARES QQQ
TRUST
SM
, SERIES 1
|
S-11
|
The iShares
®
MSCI Mexico Investable Market Index Fund
|
S-15
|
The iShares
®
MSCI Brazil Index Fund
|
S-18
|
The iShares
®
MSCI Emerging Markets Index Fund
|
S-21
|
The iShares
®
MSCI EAFE Index Fund
|
S-24
|
The SPDR S&P 500 ETF Trust
|
S-26
|
The Market Vectors
Gold Miners ETF
|
S-30
|
The iShares
®
Dow Jones U.S. Real Estate Index Fund
|
S-33
|
The iShares
®
FTSE China 25 Index Fund
|
S-36
|
The iShares
®
S&P Latin America 40 Index Fund
|
S-39
|
The Financial Select
Sector SPDR
®
Fund
|
S-42
|
The iShares
®
Dow Jones Transportation Average Index Fund
|
S-45
|
The Energy Select
SPDR
®
Fund
|
S-47
|
The Health Care Select
SPDR
®
Fund
|
S-50
|
Other Components
|
S-52
|
Additional Terms of
the Notes
|
S-52
|
|
|
Prospectus Supplement
|
|
Risk Factors
|
S-3
|
Risks Relating to Our Business
|
S-3
|
Risks Relating to All Note Issuances
|
S-3
|
Pricing Supplement
|
S-7
|
Description of Notes
|
S-8
|
Use of Proceeds and
Hedging
|
S-30
|
Certain ERISA Considerations
|
S-30
|
U.S. Federal Income
Tax Considerations
|
S-32
|
Supplemental Plan
of Distribution (Conflicts of Interest)
|
S-49
|
|
|
Prospectus
|
|
About this Prospectus
|
1
|
Risk Factors
|
1
|
Where You Can Find
More Information
|
1
|
Special Note Regarding
Forward-Looking Statements
|
2
|
HSBC USA Inc.
|
3
|
Use of Proceeds
|
3
|
Description of Debt
Securities
|
3
|
Description of Preferred
Stock
|
15
|
Description of Warrants
|
21
|
Description of Purchase
Contracts
|
25
|
Description of Units
|
28
|
Book-Entry Procedures
|
30
|
Limitations on Issuances
in Bearer Form
|
35
|
U.S. Federal Income
Tax Considerations Relating to Debt Securities
|
35
|
Plan of Distribution
(Conflicts of Interest)
|
51
|
Notice to Canadian
Investors
|
53
|
Notice to EEA Investors
|
58
|
Certain ERISA Matters
|
59
|
Legal Opinions
|
60
|
Experts
|
60
|
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