Filed Pursuant
to Rule 433
Registration
No. 333-180289
March 3,
2015
FREE WRITING
PROSPECTUS
(To Prospectus
dated March 22, 2012,
Prospectus
Supplement dated March 22, 2012 and
Equity
Index Underlying Supplement dated March 22, 2012)
HSBC USA Inc.
Buffered Uncapped Market
Participation Securities
| } | Buffered Uncapped Market Participation Securities linked to an equally weighted basket consisting of the S&P 500®
Index, the EURO STOXX 50® Index and the Hang Seng China Enterprises Index |
| } | 1.2x exposure to any positive return of the basket |
| } | Protection from at least the first 15% of any losses in the basket (to be determined on the pricing date) |
| } | All payments on the securities are subject to the credit risk of HSBC USA Inc. |
The Buffered Uncapped Market Participation
Securities (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, Equity Index Underlying
Supplement. Any representation to the contrary is a criminal offense.
We have appointed HSBC Securities (USA)
Inc., an affiliate of ours, as the agent for the sale of the 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 the pricing supplement to which this free writing prospectus
relates in market-making transactions in any securities after their initial sale. Unless we or our agent informs you otherwise
in the confirmation of sale, the pricing supplement to which this free writing prospectus relates is being used in a market-making
transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-18 of this free writing prospectus.
Investment in the securities involves
certain risks. You should refer to “Risk Factors” beginning on page FWP-9 of this document, page S-3 of the accompanying
prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.
The Estimated Initial Value of the securities
on the Pricing Date is expected to be between $910 and $960 per security, which will be less than the price to public. The market
value of the securities at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Initial
Value” on page FWP-5 and “Risk Factors” beginning on page FWP-9 of this document for additional information.
|
Price to Public |
Underwriting Discount1 |
Proceeds to Issuer |
Per security |
$1,000 |
|
|
Total |
|
|
|
1 HSBC USA Inc. or one of our
affiliates may pay varying underwriting discounts of up to 3.75% per $1,000 Principal Amount of the securities in connection with
the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts
of Interest)” on page FWP-18 of this free writing prospectus.
The securities:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
HSBC USA Inc.
Buffered Uncapped Market Participation Securities
Linked to a Basket
of the S&P 500® Index, the EURO STOXX 50® Index and the Hang Seng China Enterprises Index
Indicative Terms*
Principal Amount |
$1,000 per security |
Term |
Five years |
Reference Asset |
An equally weighted basket consisting of the S&P 500® Index (“SPX”), the EURO STOXX 50® Index (“SX5E”) and the Hang Seng China Enterprises Index (“HSCEI”) (each, an “Index” and together, the “Indices”) |
Upside
Participation Rate |
120% (1.2x) exposure to any positive Reference Return |
Buffer Value |
Equal to or less than -15% (to be determined on the Pricing Date) |
Payment at
Maturity
per Security |
If the Reference Return is greater than zero:
$1,000 + ($1,000 × Reference Return ×
Upside Participation Rate).
If the Reference Return is less than or equal
to zero but greater than or equal to the Buffer Value:
$1,000 (zero return).
If the Reference Return is less than the Buffer
Value:
$1,000 + [$1,000 × (Reference Return + 15%**)].
For example, assuming a Buffer Value of -15%, if the Reference
Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit risk of HSBC. If the
Reference Return is less than the Buffer Value, you will lose up to 85% (to be determined on the Pricing Date) of your investment. |
Reference Return |
Final Value – Initial
Value
Initial Value |
Initial Value |
Set to 100 on the Pricing Date. |
Final Value |
See page FWP-4 |
Trade Date |
March 23, 2015 |
Pricing Date |
March 24, 2015 |
Original Issue Date |
March 27, 2015 |
Final Valuation Date† |
March 24, 2020 |
Maturity Date† |
March 27, 2020 |
CUSIP/ISIN |
40433BB98 / US40433BB985 |
* As more fully described beginning on page FWP-4.
** To
be determined on the Pricing Date and will not be less than 15%.
† Subject to adjustment as described under “Additional Terms of the
Notes” in the accompanying Equity Index Underlying Supplement.
The Securities
The securities
are designed for investors who believe the Reference Asset will appreciate over the term of the securities. If the Reference Return
is below the Buffer Value, then the securities are subject to 1:1 exposure to any potential decline in the Reference Asset beyond
the Buffer Value.
If the Reference Asset appreciates
over the term of the securities, you will realize 120% (1.2x) of the Reference Asset appreciation. If the Reference Asset declines,
you will lose 1% of your investment for every 1% decline in the Reference Asset beyond the Buffer Value.
The offering period for the securities is through March 23, 2015 |
Payoff Example
The table at right shows the hypothetical
payout profile of an investment in the securities reflecting the 120% (1.2x) Upside Participation Rate and assuming a Buffer Value
of -15%. The actual Buffer Value will be determined on the Pricing Date.
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|
Information about the Reference
Asset
The S&P 500® Index (“SPX”) |
|
The SPX is a capitalization-weighted index
of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market
value of 500 stocks representing all major industries.
The top 5 industry groups by market capitalization
as of January 30, 2015 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.
|
|
EUROSTOXX
50® INDEX
|
The SX5E is composed of 50 stocks from the Eurozone (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) portion of the STOXX Europe 600 Supersector indices. The STOXX Europe 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure and utilities. |
|
Hang Seng China Enterprises Index® |
The HSCEI is a free float-adjusted market capitalization weighted index. Launched on August 8, 1994, the HSCEI is comprised of H-shares, Hong Kong listed shares of Chinese state-owned enterprises. The HSCEI had a base value of 1,000 at launch, but was re-based as of January 3, 2000 with a value of 2,000 to align with the Hang Seng Composite Index Series, which launched on October 3, 2001. |
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The graphs
above illustrate the daily performance of each Index from January 1, 2008 through February 20, 2015. Past performance is not necessarily
an indication of future results. For further information on each Index, please see “Information Relating to the Reference
Asset” beginning on page FWP-14 and “The S&P 500® Index,” “The EUROSTOXX 50®
Index” and “The Hang Seng China Enterprises Index®” in the accompanying Equity Index Underlying
Supplement. We have derived all disclosure regarding the Indices from publicly available information. Neither HSBC USA Inc. nor
any of its affiliates have undertaken any independent review of, or made any due diligence inquiry with respect to, the publicly
available information about the Indices.
HSBC USA
Inc.
Buffered
Uncapped Market Participation Securities |
|
Linked to a Basket of the S&P 500®
Index, the EURO STOXX 50® Index and the Hang Seng China Enterprises Index
This free writing prospectus
relates to a single offering of Buffered Uncapped Market Participation Securities. The securities will have the terms described
in this free writing prospectus and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement.
If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus, prospectus
supplement or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.
You should be willing to forgo interest and dividend payments during the term of the securities and, if the Reference
Return is less than the Buffer Value, lose up to 85% (to be determined on the Pricing Date) of your principal.
This free writing prospectus
relates to an offering of securities linked to the performance of the S&P 500®
Index, the EURO STOXX 50® Index and the Hang Seng
China Enterprises Index (together, the “Reference Asset”). The purchaser of a security will acquire a senior unsecured
debt security of HSBC USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering
of securities:
Issuer: |
HSBC USA Inc. |
Principal Amount: |
$1,000 per security |
Reference Asset: |
An equally weighted basket consisting of the S&P 500® Index (Ticker: SPX) (the “SPX”), the EURO STOXX 50® Index (Ticker: SX5E) (the “SX5E”) and the Hang Seng China Enterprises Index (Ticker: HSCEI) (the “HSCEI”) (each, an “Index” and together, the “Indices”) |
Trade Date: |
March 23, 2015 |
Pricing Date: |
March 24, 2015 |
Original Issue Date: |
March 27, 2015 |
Final Valuation Date: |
March 24, 2020, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
Maturity Date: |
3 business days after the Final Valuation Date, expected to be March 27, 2020. The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. |
Upside Participation Rate: |
120% (1.2x) |
Payment at Maturity: |
On the Maturity Date, for each security, we will pay you the Final Settlement Value. |
Final Settlement Value: |
If the Reference Return is greater than zero, you
will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
$1,000 + ($1,000 × Reference Return × Upside Participation
Rate).
If the 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 (zero return).
If the Reference Return is less than the Buffer Value,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
$1,000 + ($1,000 × (Reference Return + 15%*).
* To be determined on the Pricing Date and will not be less
than 15%.
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, assuming a Buffer Value of -15%, if the Reference Return is -30%, you will suffer
a 15% loss and receive 85% of the Principal Amount, subject to the credit risk of HSBC. If the Reference Return is less than
the Buffer Value, you will lose up to 85% (to be determined on the Pricing Date) of your investment.
|
Buffer Value: |
Equal to or less than -15% (to be determined on the Pricing Date) |
Initial Value: |
Set to 100 on the Pricing Date. |
Final Value: |
100 × (1 + Reference Return) |
Reference Return: |
The Reference Return will equal the sum of the following products: each Index Return multiplied by its respective Component Weight. |
Component Weights: |
1/3 for each Index |
Index Return: |
For each Index, the Index Return refers to the return for that Index, which reflects the performance of such Index, expressed as the percentage change from the Initial Component Level of that Index to the Final Component Level of that Index, as follows: |
|
Final Component Level – Initial
Component Level
Initial Component Level |
Initial Component Level: |
The Official Closing Level of an Index on the Pricing Date. |
Final Component Level: |
The Official Closing Level of an Index on the Final Valuation Date. |
Official Closing Level: |
With respect to each Index, its closing level on any trading day as determined by the calculation agent based upon the level displayed on the relevant Bloomberg Professional® service page (with respect to the SPX, “SPX <INDEX>”, with respect to the SX5E, “SX5E <INDEX>” and with respect to the HSCEI, “HSCEI <INDEX>”) or, for each Index, on 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. |
CUSIP/ISIN: |
40433BB98 / US40433BB985 |
Estimated Initial Value: |
The Estimated Initial Value of the securities will be less than the price you pay to purchase the securities. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your securities in the secondary market, if any, at any time. The Estimated Initial Value will be calculated on the Pricing Date and will be set forth in the pricing supplement to which this free writing prospectus relates. See “Risk Factors — The Estimated Initial Value of the securities, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the securities in the secondary market, if any.” |
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|
The Trade Date, the Pricing
Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating
to the securities.
GENERAL
This free writing prospectus relates to
an offering of securities linked to the Reference Asset. The purchaser of a security will acquire a senior unsecured debt security
of HSBC USA Inc. We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part. Although
the offering of securities relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits
of acquiring an investment linked to the Reference Asset or any component security included in the Reference Asset or as to the
suitability of an investment in the securities.
You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement
dated March 22, 2012. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus,
prospectus supplement or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.
You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-9
of this free writing prospectus, page S-3 of the prospectus supplement and page S-1 of the
Equity Index Underlying Supplement, as the 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, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this
free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying
Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC
and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively,
HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement
and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
We are using this free writing prospectus
to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior
to the time at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of,
or reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms of the
securities, we will notify you.
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 Reference Return is greater than
zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
$1,000 + ($1,000 ×
Reference Return × Upside Participation Rate).
If the 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 (zero return).
If the Reference Return is less than
the Buffer Value, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
$1,000 + [$1,000 ×
(Reference Return + 15%*)].
* To be determined on the Pricing Date
and will not be less than 15%.
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, assuming a Buffer Value of -15%, if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal
Amount, subject to the credit risk of HSBC. You should be aware that if the Reference Return is less than the Buffer Value,
you will lose up to 85% (to be determined on the Pricing Date) of your investment.
Interest
The securities will not pay interest.
Business Day
A “business day”
means any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized
or required by law or regulation to close in the City of New York.
Payment When Offices or Settlement
Systems Are Closed
If any payment is due on the
securities on a day that would otherwise be a “business day” but is a day on which the office of a paying agent or
a settlement system is closed, we will make the payment on the next business day when that paying agent or system is open. Any
such payment will be deemed to have been made on the original due date, and no additional payment will be made on account of the
delay.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the securities.
Reference Sponsors
With respect to the SPX, S&P Dow Jones
Indices LLC, a part of McGraw-Hill Financial, is the reference sponsor. With respect to SX5E, the Deutsche Börse AG and SIX
Group AG are the reference sponsors. With respect to securities linked to the HSCEI, Hang Seng Indexes Company Limited, a wholly-owned
subsidiary of Hang Seng Bank, is the reference sponsor.
INVESTOR SUITABILITY
The securities may be suitable for you if: |
The securities may not be suitable for you if: |
} You
seek an investment with a return linked to the potential positive performance of the Reference Asset and you believe the value
of the Reference Asset will increase over the term of the securities.
} You
are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point
that the Reference Return is less than the Buffer Value.
} You
are willing to forgo dividends or other distributions paid on the stocks comprising the Indices.
} 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
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 Reference Return will be negative or that the Reference Return will not be sufficiently positive to provide you with
your desired return.
} You
are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point
that the Reference Return is below the Buffer Value.
} You
seek an investment that provides full return of principal.
} You
prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities
issued by HSBC or another issuer with a similar credit rating.
} You
prefer to receive the dividends or other distributions paid on the stocks comprising the Indices.
} 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 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index
Underlying Supplement. Investing in the securities is not equivalent to investing directly in any of the stocks comprising any
Index. 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 free writing prospectus and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the securities described in the following sections:
| } | “—Risks Relating to All Note Issuances” in the prospectus supplement; |
| } | “—General Risks Related to Indices” in the Equity Index Underlying Supplement; |
| } | “—Securities Prices Generally Are Subject to Political, Economic, Financial and Social
Factors that Apply to the Markets in which They Trade and, to a Lesser Extent, Foreign Markets” in the Equity Index Underlying
Supplement; and |
| } | “—Time Differences Between the Domestic and Foreign Markets and New York City May Create
Discrepancies in the Trading Level or Price of the Notes” in the Equity Index Underlying Supplement. |
You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.
Your investment in the 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. Accordingly, if the Reference Return is less than the Buffer Value,
your Payment at Maturity will be less than the Principal Amount of your securities. You will lose up to 83% (to be determined on
the Pricing Date) of your investment at maturity if the Reference Return is less than the Buffer Value.
The amount payable on the securities
is not linked to the value of the Reference Asset at any time other than on the Final Valuation Date.
The Final Value of the Reference Asset
will be based on the Official Closing Level of each Index on the Final Valuation Date, subject to postponement for non-trading
days and certain Market Disruption Events. Even if the value of the Reference Asset appreciates prior to the Final Valuation Date
but then decreases on the Final Valuation Date to a value that is equal to or less than the Initial Value, the Payment at Maturity
will be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the
Reference Asset prior to that decrease. Although the actual value of the Reference Asset on the Maturity Date or at other times
during the term of the securities may be higher than the Final Value, the Payment at Maturity will be based solely on the Official
Closing Levels of the Indices on the Final Valuation Date.
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.
You will not have any ownership interest
in the stocks represented by the Indices.
As a holder of the securities, you will
not have any ownership interest in the stocks represented by the Indices, such as rights to vote, dividend payments or other distributions.
Because the Upside Participation Rate is only 120%, and the return on the securities will not reflect any dividends on those stocks,
the securities may underperform an investment in the stocks represented by the Indices.
Changes in the levels of the Indices
may offset each other.
Changes
in the levels of the Indices may not correlate with each other. The level of one or more of the Indices may increases, while the
levels of the other Indices may not increase as much or may even decrease. Therefore, in calculating the Final Value of the Reference
Asset, increases in the level of one or more of the Indices may be moderated, or wholly offset, by lesser increases or decreases
in the levels of the other Indices.
Changes that affect the Indices will
affect the market value of the securities and the amount you will receive at maturity.
The policies of the applicable reference
sponsor concerning additions, deletions and substitutions of the constituents comprising the relevant Index and the manner in
which the applicable reference sponsor takes account of certain changes affecting those constituents may affect the level of that
Index. The policies of the applicable reference sponsor with respect to the calculation of the relevant Index could also affect
the level of that Index. The applicable reference sponsor may discontinue or suspend calculation or dissemination of the relevant
Index. Any such actions could affect the value of the securities and the return on the securities.
Risks associated with
non-U.S. companies.
The levels of the SX5E and the HSCEI depend
upon the stocks of non-U.S. companies, and thus involve risks associated with the home countries of those non-U.S. companies.
The prices of these non-U.S. stocks may be affected by political, economic, financial and social factors in the home country of
each applicable company, including changes in that country’s government, economic and fiscal policies, currency exchange
laws or other laws or restrictions, which could affect the value of the securities. These foreign securities may have less liquidity
and could be more volatile than many of the securities traded in U.S. or other securities markets. Direct or indirect government
intervention to stabilize the relevant foreign securities markets, as well as cross shareholdings in foreign companies, may affect
trading levels or prices and volumes in those markets. The other special risks associated with foreign securities may include,
but are not limited to: less liquidity and smaller market capitalizations; less rigorous regulation of securities markets; different
accounting and disclosure standards; governmental interference; currency fluctuations; higher inflation; and social, economic
and political uncertainties. These factors may adversely affect the performance of the SX5E or the HSCEI and, as a result, the
value of the securities.
The securities will
not be adjusted for changes in exchange rates.
Although the equity securities
that comprise the SX5E and the HSCEI are traded in currencies other than U.S. dollars, and your securities are denominated in
U.S. dollars, the amount payable on your securities at maturity, if any, will not be adjusted for changes in the exchange rates
between the U.S. dollar and the currencies in which these non-U.S. equity securities are denominated. Changes in exchange rates,
however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the level of the SX5E or the HSCEI,
and therefore your securities. The amount we pay in respect of your securities on the Maturity Date, if any, will be determined
solely in accordance with the procedures described in this free writing prospectus.
Risks associated with emerging markets.
An investment linked to the HSCEI involves
risks not generally associated with investments which have no emerging market component. In particular, many emerging nations
are undergoing rapid change, involving the restructuring of economic, political, financial and legal systems. Regulatory and tax
environments may be subject to change without review or appeal. Many emerging markets suffer from underdevelopment of capital
markets and tax regulation. The risk of expropriation and nationalization remains a threat. Guarding against such risks is made
more difficult by low levels of corporate disclosure and unreliability of economic and financial data.
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.
The Estimated Initial Value of the
securities, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market
value of the securities in the secondary market, if any.
The Estimated
Initial Value of the securities will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated
Initial Value will reflect our internal funding rate, which is the borrowing rate we pay to issue market-linked securities, as
well as the mid-market value of the embedded derivatives in the securities. This internal funding rate is typically lower than
the rate we would use when we issue conventional fixed or floating rate debt securities. As a result of the difference between
our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the Estimated
Initial Value of the securities may be lower if it were based on the levels at which our fixed or floating rate debt securities
trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt
issuances, we would expect the economic terms of the securities to be more favorable to you. We will determine the value of the
embedded derivatives in the securities by reference to our or our affiliates’ internal pricing models. These pricing models
consider certain assumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions
could provide valuations for the securities that are different from our Estimated Initial Value. These pricing models rely in part
on certain forecasts about future events, which may prove to be incorrect. The Estimated Initial Value does not represent a minimum
price at which we or any of our affiliates would be willing to purchase your securities in the secondary market (if any exists)
at any time.
The price of your securities in the
secondary market, if any, immediately after the Pricing Date will be less than the price to public.
The price
to public takes into account certain costs. These costs, which will be used or retained by us or one of our affiliates, include
the underwriting discount, our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks
inherent in hedging our obligations under the securities and the costs associated with structuring and hedging our obligations
under the securities. If you were to sell your securities in the secondary market, if any, the price you would receive for your
securities may be less than the price you paid for them because secondary market prices will not take into account these costs.
The price of your securities in the secondary market, if any, at any time after issuance will vary based on many factors, including
the value of the Reference Asset and changes in market conditions, and cannot be predicted with accuracy. The securities are not
designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the securities to maturity.
Any sale of the securities prior to maturity could result in a loss to you.
If we were to repurchase your securities
immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the securities.
Assuming that all relevant factors remain
constant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the securities
in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer
account statements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately
14 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to
effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the securities and other costs
in connection with the securities that we will no longer expect to incur over the term of the securities. We will make such discretionary
election and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the securities
and any agreement we may have with the distributors of the securities. The amount of our estimated costs which we effectively reimburse
to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement
at any time or revise the duration of the reimbursement period after the Original Issue Date of the securities based on changes
in market conditions and other factors that cannot be predicted.
The securities lack liquidity.
The securities will not be listed on any
securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market, if
any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.
Potential conflicts of interest may
exist.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the securities. We will not have any obligation to consider your interests as a holder
of the securities in taking any action that might affect the value of your securities.
Uncertain tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
ILLUSTRATIVE EXAMPLES
The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the value of the Reference Asset relative to its Initial Value. We cannot predict the Final Value of
the 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 Reference
Asset or the return on your 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 such a security 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 Securities” as used below
is the number, expressed as a percentage, that results from comparing the Final Settlement Value per $1,000 Principal Amount to
$1,000. The potential returns described here assume that your 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 |
} |
Initial Value: |
100 |
} |
Upside Participation Rate: |
120% |
} |
Hypothetical Buffer Value: |
-15% (The actual Buffer Value will be determined on the Pricing Date and will be equal to or less than -15%) |
Hypothetical
Final Value |
Hypothetical Reference Return |
Payment at Maturity |
Hypothetical
Return on the Securities |
200.00 |
100.00% |
$2,200.00 |
120.00% |
180.00 |
80.00% |
$1,960.00 |
96.00% |
160.00 |
60.00% |
$1,720.00 |
72.00% |
140.00 |
40.00% |
$1,480.00 |
48.00% |
130.00 |
30.00% |
$1,360.00 |
36.00% |
120.00 |
20.00% |
$1,240.00 |
24.00% |
115.00 |
15.00% |
$1,180.00 |
18.00% |
110.00 |
10.00% |
$1,120.00 |
12.00% |
105.00 |
5.00% |
$1,060.00 |
6.00% |
102.00 |
2.00% |
$1,024.00 |
2.40% |
101.00 |
1.00% |
$1,012.00 |
1.20% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
99.00 |
-1.00% |
$1,000.00 |
0.00% |
98.00 |
-2.00% |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
$1,000.00 |
0.00% |
85.00 |
-15.00% |
$1,000.00 |
0.00% |
70.00 |
-30.00% |
$850.00 |
-15.00% |
60.00 |
-40.00% |
$750.00 |
-25.00% |
40.00 |
-60.00% |
$550.00 |
-45.00% |
20.00 |
-80.00% |
$350.00 |
-65.00% |
0.00 |
-100.00% |
$150.00 |
-85.00% |
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 value of the Reference
Asset increases from the Initial Value of 100.00 to a Final Value of 110.00.
|
|
Reference Return: |
10.00% |
Final Settlement Value: |
$1,120.00 |
Because the Reference Return is positive,
the Final Settlement Value would be $1,120.00 per $1,000 Principal Amount, calculated as follows:
$1,000 + ($1,000 × Reference
Return × Upside Participation Rate)
= $1,000 + ($1,000 × 10.00%
× 120%)
= $1,120.00
Example 1 shows that you will receive the
return of your principal investment plus a return equal to the Reference Return multiplied by the Upside Participation Rate of
120% when the Reference Return is positive.
Example 2: The value of the Reference
Asset decreases from the Initial Value of 100.00 to a Final Value of 95.00.
|
|
Reference Return: |
-5.00% |
Final Settlement Value: |
$1,000.00 |
Because the Reference Return is less than
zero but greater than the hypothetical Buffer Value of -17%, the Final Settlement Value would be $1,000.00 per $1,000 Principal
Amount (a zero return).
Example 3: The value of the Reference
Asset decreases from the Initial Value of 100.00 to a Final Value of 60.00.
|
|
Reference Return: |
-40.00% |
Final Settlement Value: |
$750.00 |
Because the
Reference Return is less than the hypothetical Buffer Value of -15%, the Final Settlement Value would be $750.00 per $1,000 Principal
Amount, calculated as follows:
$1,000 + [$1,000 × (Reference
Return + 15%)]
= $1,000 + [$1,000 × (-40.00%
+ 15%)]
= $750.00
Example 3 shows that you
are exposed on a 1-to-1 basis to declines in the value of the Reference Asset beyond the hypothetical Buffer Value of -15%. YOU
MAY LOSE UP TO 85% (TO BE DETERMINED ON THE PRICING DATE) OF THE PRINCIPAL AMOUNT OF YOUR SECURITIES.
INFORMATION RELATING TO THE REFERENCE ASSET |
Description of the SPX
The SPX is a capitalization-weighted index
of 500 U.S. stocks. It is designed to measure the performance of the broad U.S. 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 30, 2015 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials
In September 2012, S&P Dow Jones Indices
LLC updated its index methodology so that, subject to several exceptions, shareholdings by specified types of insiders that represent
more than 5% of the outstanding shares of a security are removed from the float for purposes of calculating the SPX.
For more
information about the SPX, see “The S&P 500® Index” beginning on page S-6 of the accompanying Equity
Index Underlying Supplement. |
Historical Performance of the SPX
The following graph sets forth the historical
performance of the SPX based on the daily historical closing levels from January 1, 2008 through February 20, 2015. The closing
level for the SPX on February 20, 2015 was 2,110.30. We obtained the closing levels below from the Bloomberg Professional®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional® service.
|
|
The historical levels
of the SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the SPX on the Final Valuation Date.
License Agreement
Standard & Poor’s®
and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”);
Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks
have been licensed for use by S&P Dow Jones Indices LLC. “Standard & Poor’s®”, “S&P
500®” and “S&P®” are trademarks of S&P and have been licensed for use by
S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by HSBC. The SPX (the “Index”)
is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.
The 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.
Description of the SX5E
The SX5E is composed of 50 stocks from
the Eurozone (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain)
portion of the STOXX Europe 600 Supersector indices. The STOXX Europe 600 Supersector indices contain the 600 largest stocks traded
on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts;
banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial
goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications;
travel & leisure and utilities.
For
more information about the SX5E, see “The EURO STOXX 50Ò
Index” beginning on page S-40 of the accompanying Equity Index Underlying Supplement. |
Historical Performance of the SX5E
The following graph sets forth the historical
performance of the SX5E based on the daily historical closing levels from January 1, 2008 through February 20, 2015. The closing
level for the SX5E on February 20, 2015 was 3,490.53. We obtained the closing levels below from the Bloomberg Professional®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional® service.
|
The historical levels of the SX5E should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SX5E on the Final Valuation Date. |
Description of the HSCEI
The HSCEI is a free float-adjusted market
capitalization weighted index. Launched on August 8, 1994, the HSCEI is comprised of H-shares, Hong Kong listed shares of Chinese
state-owned enterprises. The HSCEI had a base value of 1,000 at launch, but was re-based as of January 3, 2000 with a value of
2,000 to align with the Hang Seng Composite Index Series, which launched on October 3, 2001.
For more
information about the HSCEI, see “The Hang Seng China Enterprises Index®” beginning on page S-27 of
the accompanying Equity Index Underlying Supplement. |
Historical
Performance of the HSCEI
The following graph sets forth the historical
performance of the HSCEI based on the daily historical closing levels from January 1, 2008 through February 18, 2015. The closing
level for the HSCEI on February 18, 2015 was 12,066.10. 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
HSCEI should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level
of the HSCEI on the Final Valuation Date.
Historical Performance of the Reference
Asset
The following graph illustrates the hypothetical
daily historical performance of the Reference Asset from January 1, 2008 through February 20, 2015 based on closing value information
from the Bloomberg Professional® service, if the value of the Reference Asset was made to equal 100 on January 1,
2008. The hypothetical historical performance reflects the performance the Reference Asset would have exhibited based on the actual
historical performance of the Indices. Neither the hypothetical historical performance of the Reference Asset nor the actual historical
performance of any Index should be taken as indications of future performance.
We cannot give you assurance that the performance
of the Reference Asset will result in the return of your initial investment. You may lose up to 85% (to be determined on the pricing
date) of your investment.
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 due and payable at maturity in the same general manner as described in “Payment
at Maturity” in this free writing prospectus. In that case, the scheduled trading day immediately preceding the date of acceleration
will be used as the Final Valuation Date for purposes of determining the Reference Return, and the accelerated maturity date will
be three business days after the accelerated Final Valuation Date. If a Market Disruption Event exists with respect to an Index
on that scheduled trading day, then the accelerated Final Valuation Date for that Index will be postponed for up to five scheduled
trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated maturity date
will also be postponed by an equal number of business days. For the avoidance of doubt, if no Market Disruption Event exists with
respect to an Index on the scheduled trading day immediately preceding the date of acceleration, the determination of such Index’s
Final Component Level will be made on such date, irrespective of the existence of a Market Disruption Event with respect to any
other Index occurring on such date.
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.
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 the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers,
or will offer the securities directly to investors. HSBC Securities (USA) Inc. proposes to offer the securities at the price to
public set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our
affiliates may pay varying underwriting discounts of up to 3.75% per $1,000 Principal Amount in connection with the distribution
of the securities to other registered broker-dealers.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the
securities.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making
transactions after the initial sale of the securities, but is under no obligation to make a market in the securities 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 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 Reference Asset. Pursuant to this approach, 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.
We will not attempt to ascertain whether
any of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, would be treated as a passive
foreign investment company (“PFIC”) or United States real property holding corporation (“USRPHC”), both
as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in, or owned by, the Reference
Asset, as the case may be, were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer
to information filed with the SEC and other authorities by the entities whose stock is included in, or owned by, the Reference
Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in, or owned by, the Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.
Withholding and reporting requirements
under the legislation enacted on March 18, 2010 (as discussed beginning on page S-48 of the prospectus supplement) generally apply
to payments made after June 30, 2014. Additionally, withholding due to any payment being treated as a “dividend equivalent”
(as discussed beginning on page S-47 of the prospectus supplement) will begin no earlier than January 1, 2016. However, the U.S.
Treasury Department and Internal Revenue Service have announced that they intend to limit this withholding to equity-linked instruments
issued on or after the date that is 90 days after the date of publication in the U.S. Federal Register of final regulations addressing
dividend equivalent withholding. Holders are urged to consult with their own tax advisors regarding the possible implications of
this 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.
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TABLE OF CONTENTS |
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You should only rely
on the information contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not
contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus.
If anyone provides you with different or inconsistent information, you should not rely on it. This free writing prospectus, the
accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these 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 free writing prospectus, the accompanying Equity Index
Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
HSBC USA Inc.
$ Buffered Uncapped
Market
Participation Securities Linked to a
Basket of the S&P 500® Index, the
EURO STOXX 50®
Index and the
Hang Seng China Enterprises Index
March 3, 2015
FREE WRITING PROSPECTUS
|
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|
Free Writing Prospectus |
|
|
General |
FWP-6 |
|
Payment at Maturity |
FWP-7 |
|
Investor Suitability |
FWP-8 |
|
Risk Factors |
FWP-9 |
|
Illustrative Examples |
FWP-12 |
|
Information Relating to the Reference Asset |
FWP-14 |
|
Events of Default and Acceleration |
FWP-18 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
FWP-18 |
|
U.S. Federal Income Tax Considerations |
FWP-19 |
|
|
|
|
Equity Index Underlying Supplement |
|
|
Risk Factors |
S-1 |
|
The S&P 500® Index |
S-6 |
|
The S&P 100® Index |
S-10 |
|
The S&P MidCap 400® Index |
S-14 |
|
The S&P 500 Low Volatility Index |
S-18 |
|
The Russell 2000® Index |
S-21 |
|
The Dow Jones Industrial AverageSM |
S-25 |
|
The Hang Seng China Enterprises Index® |
S-27 |
|
The Hang Seng® Index |
S-30 |
|
The Korea Stock Price Index 200 |
S-33 |
|
MSCI Indices |
S-36 |
|
The EURO STOXX 50® Index |
S-40 |
|
The PHLX Housing SectorSM Index |
S-42 |
|
The TOPIX® Index |
S-46 |
|
The NASDAQ-100 Index® |
S-49 |
|
S&P BRIC 40 Index |
S-53 |
|
The Nikkei 225 Index |
S-56 |
|
The FTSE™ 100 Index |
S-58 |
|
Other Components |
S-60 |
|
Additional Terms of the Notes |
S-60 |
|
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|
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 |
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Notice to EEA Investors |
58 |
|
Certain ERISA Matters |
59 |
|
Legal Opinions |
60 |
|
Experts |
60 |
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