ISSUER FREE WRITING PROSPECTUS |
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Filed Pursuant to Rule 433 |
Registration Statement No. 333-202524 |
Dated July 2, 2015
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HSBC USA Inc. Trigger Performance
Securities
Linked to the EURO STOXX 50®
Index due on or about July 31, 2020
These Trigger Performance Securities (the “Securities”)
are senior unsecured debt securities issued by HSBC USA Inc. (“HSBC”) with returns linked to the performance of the
EURO STOXX 50® Index (the “Index”). The Securities will rank equally with all of our other unsecured
and unsubordinated debt obligations. If the Index Return is greater than zero, HSBC will repay the Principal Amount at maturity
plus a return equal to the product of (i) the Principal Amount multiplied by (ii) the Index Return multiplied by the Participation
Rate of between 154% and 164% (the actual Participation Rate will be determined on the Trade Date). If the
Index Return is less than or equal to zero, HSBC will either repay the full Principal Amount at maturity or, if the Final Level
is less than the Trigger Level, HSBC will pay less than the full Principal Amount at maturity, if anything, resulting in a loss
of principal that is proportionate to the negative Index Return. Investing in the Securities involves significant risks. You
will not receive interest or dividend payments during the term of the Securities. You may lose some or all of your Principal Amount.
The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including
any repayment of principal at maturity, is subject to the creditworthiness of HSBC. If HSBC were to default on its payment obligations,
you may not receive any amounts owed to you under the Securities and you could lose your entire investment.
q Participation
in Positive Index Returns: If the Index Return is greater than zero, HSBC will repay the Principal Amount at maturity
plus a return equal to the Index Return multiplied by the Participation Rate. If the Index Return is less than zero, investors
may be exposed to the negative Index Return at maturity.
q Contingent
Repayment of Principal at Maturity: If the Index Return is equal to or less than zero and the Final Level is not less than
the Trigger Level, HSBC will repay the Principal Amount at maturity. However, if the Final Level is less than the Trigger Level,
HSBC will pay less than the full Principal Amount, if anything, resulting in a loss of principal that is proportionate to the
negative Index Return. The contingent repayment of principal applies only if you hold the Securities to maturity. Any payment
on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC. |
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Trade
Date |
July
29, 2015
|
|
Settlement
Date |
July
31, 2015 |
|
Final
Valuation Date2 |
July
27, 2020 |
|
Maturity
Date2 |
July
31, 2020 |
|
|
|
|
1
Expected. In the event
we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date will be changed
so that the stated term of the Securities remains the same.
2
See page 4 for additional
details. |
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|
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The Securities are
significantly riskier than conventional debt INSTRUMENTS. the terms of the securities may not obligate HSBC TO REPAY THE FULL PRINCIPAL
AMOUNT OF THE SECURITIES. the Securities CAN have downside MARKET risk SIMILAR TO the INDEX, WHICH CAN RESULT IN A LOSS OF SOME
OR ALL OF THE PRINCIPAL AMOUNT at maturity. This MARKET risk is in addition to the CREDIT risk INHERENT IN PURCHASING a DEBT OBLIGATION
OF hsbc. You should not PURCHASE the Securities if you do
not understand or are not comfortable with the significant risks INVOLVED in INVESTING IN the Securities.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY
RISKS’’ BEGINNING ON PAGE 5 OF THIS FREE WRITING PROSPECTUS AND THE MORE DETAILED ‘‘RISK FACTORS’’
BEGINNING ON PAGE S-2 OF THE ACCOMPANYING EQUITY INDEX UNDERLYING SUPPLEMENT AND BEGINNING ON PAGE S-1 OF THE ACCOMPANYING PROSPECTUS
SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY
AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
HSBC is offering Trigger Performance Securities linked
to the EURO STOXX 50® Index. The Securities are not subject to a predetermined maximum gain and, accordingly, any
return at maturity will be determined by the performance of the Index. The Securities are offered at a minimum investment of 100
Securities at the Price to Public described below. The Initial Level, Participation Rate and Trigger Level will be determined on
the Trade Date.
Index |
Initial Level |
Participation Rate |
Trigger Level |
CUSIP/ISIN |
EURO STOXX 50® Index |
● |
154% to 164% |
75% of the Initial Level |
[ ]/US[ ] |
See “Additional Information About HSBC USA
Inc. and the Securities” on page 2 of this free writing prospectus. The Securities offered will have the terms specified
in the accompanying prospectus dated March 5, 2015, the accompanying prospectus supplement dated March 5, 2015, the accompanying
Equity Index Underlying Supplement dated March 5, 2015 and the terms set forth herein.
Neither the U.S. Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy
or the adequacy of this document, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any
representation to the contrary is a criminal offense. The Securities are not deposit liabilities or other obligations of a bank
and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other
jurisdiction.
The Securities will not be listed on any U.S. securities
exchange or quotation system. HSBC Securities (USA) Inc., an affiliate of HSBC USA Inc., will purchase the Securities from HSBC
USA Inc. for distribution to UBS Financial Services Inc., acting as agent. See “Supplemental Plan of Distribution (Conflicts
of Interest)” on the last page of this free writing prospectus for a description of the distribution arrangements.
The Estimated Initial Value of the Securities
on the Trade Date is expected to be between $9.15 and $9.65 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 4 and “Key Risks” beginning on page 5 of this document for additional information.
|
Price to Public(1) |
Underwriting Discount(1) |
Proceeds to Issuer |
Per Security |
$10.00 |
$0.35 |
$9.65 |
Total |
● |
● |
● |
(1). See
“Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this free writing prospectus.
The Securities:
Are
Not FDIC Insured |
Are
Not Bank Guaranteed |
May
Lose Value |
UBS Financial Services Inc. |
HSBC Securities (USA) Inc. |
Additional Information About HSBC USA Inc. and the Securities |
This free writing prospectus
relates to the offering of Securities linked to the Index. As a purchaser of a Security, you will acquire a senior unsecured debt
instrument linked to the Index, which will rank equally with all of our other unsecured and unsubordinated debt obligations. Although
the offering of Securities relates to the Index, you should not construe that fact as a recommendation of the merits of acquiring
an investment linked to the Index, or as to the suitability of an investment in the Securities.
You should read this document
together with the prospectus dated March 5, 2015, the prospectus supplement dated March 5, 2015 and the Equity Index Underlying
Supplement dated March 5, 2015. If the terms of the Securities offered hereby are inconsistent with those described in the accompanying
Equity Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this free writing prospectus shall
control. You should carefully consider, among other things, the matters set forth in “Key Risks” beginning on page
5 of this free writing prospectus and in “Risk Factors” beginning on page S-2 of the Equity Index Underlying Supplement
and beginning on page S-1 of the prospectus supplement, as the Securities involve risks not associated with conventional debt securities.
You are urged to consult your investment, legal, tax, accounting and other advisors before you invest in the Securities.
HSBC USA Inc. has filed
a registration statement (including the Equity Index Underlying Supplement, prospectus and prospectus supplement) with the SEC
for the offering to which this free writing prospectus relates. Before you invest, you should read the Equity Index Underlying
Supplement, prospectus and prospectus supplement in that registration statement and other documents HSBC USA Inc. has filed with
the SEC for more complete information about HSBC USA Inc. and 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 Equity Index Underlying Supplement, prospectus and prospectus supplement if you request them by calling
toll-free 1-866-811-8049.
You may access these documents on the SEC web site at www.sec.gov
as follows:
| ¨ | Equity Index Underlying Supplement dated March 5, 2015: |
http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm
| ¨ | Prospectus supplement dated March 5, 2015: |
http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm
| ¨ | Prospectus dated March 5, 2015: |
http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm
As used herein, references to the “Issuer,”
“HSBC,” “we,” “us” and “our” are to HSBC USA Inc. References to the “prospectus
supplement” mean the prospectus supplement dated March 5, 2015, references to “accompanying prospectus” mean
the HSBC USA Inc. prospectus, dated March 5, 2015 and references to the “Equity Index Underlying Supplement” mean the
Equity Index Underlying Supplement dated March 5, 2015.
Investor Suitability |
The Securities may be suitable for you if:
¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial
investment.
¨ You
can tolerate a loss of all or a substantial portion of your Principal Amount and are willing to make an investment that
may have the same downside market risk as the Index.
¨ You
believe the Index will appreciate over the term of the Securities and you would be willing to invest in the Securities
if the Participation Rate was set equal to the bottom of the range indicated on the cover hereof (the actual Participation
Rate will be set on the Trade Date).
¨ 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 and are willing to forgo dividends paid on the stocks included in the
Index.
¨ You
seek an investment with returns based on the performance of companies in the Eurozone.
¨ You
are willing to hold the Securities to maturity and accept that there may be little or no secondary market for the Securities.
¨ You
are willing to assume the credit risk of HSBC, as Issuer of the Securities, and understand that if HSBC defaults on its obligations,
you may not receive any amounts due to you, including any repayment of principal.
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|
The Securities may not be suitable for you if:
¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire
initial investment.
¨ You
cannot tolerate a loss of all or a substantial portion of your Principal Amount, and you are not willing to make an investment
that may have the same downside market risk as the Index.
¨ You
believe that the level of the Index will decline during the term of the Securities and is likely to close below the Trigger Level
on the Final Valuation Date.
¨ You
would be unwilling to invest in the Securities if the Participation Rate was set equal to the bottom of the range indicated
on the cover hereof (the actual Participation Rate will be set on the Trade Date).
¨ 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
seek current income from your investment or prefer to receive the dividends paid on the stocks included in the Index.
¨ You
do not seek an investment with returns based on the performance of companies in the Eurozone.
¨ You
are unable or unwilling to hold the Securities to maturity or you seek an investment for which there will be an active
secondary market.
¨ You
are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Securities, for any payment on
the Securities, including any repayment of principal. |
The suitability considerations identified above are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the suitability of an investment in the Securities in light of your particular circumstances. You should also carefully review
“Key Risks” beginning on page 5 of this free writing prospectus and “Risk Factors” beginning on page S-2
of the Equity Index Underlying Supplement and beginning on page S-1 of the prospectus supplement.
Issuer |
HSBC USA Inc. |
Issue Price |
$10.00 per Security. |
Principal Amount |
$10.00 per Security. |
Term |
Five years |
Trade Date1 |
July 29, 2015 |
Settlement Date1 |
July 31, 2015 |
Final Valuation Date1 |
July 27, 2020, subject to adjustment as described under “Additional Terms of the Notes” in the accompanying Equity Index Underlying Supplement. |
Maturity Date1 |
July 31, 2020, subject to adjustment as described under “Additional Terms of the Notes” in the accompanying Equity Index Underlying Supplement. |
Index |
EURO STOXX 50® Index (Ticker: SX5E) |
Trigger Level |
75% of the Initial Level. |
Participation Rate |
154% to 164%. The actual Participation Rate will be determined on the Trade Date. |
Payment at Maturity (per $10 Security)2 |
If the Index Return is greater than zero, HSBC will pay
a cash payment per Security that provides you with the $10 Principal Amount plus a return equal to the Index Return multiplied
by the Participation Rate, calculated as follows:
$10 + [$10 × (Index Return ×
Participation Rate)]
If the Index Return is less than or equal to zero and the
Final Level is greater than or equal to the Trigger Level on the Final Valuation Date, HSBC will pay you a cash payment
of:
$10 per $10 Security
If the Final Level is less than the Trigger Level on the
Final Valuation Date, HSBC will pay you a cash payment at maturity less than the Principal Amount of $10 per Security, if anything,
resulting in a loss of principal that is proportionate to the negative Index Return, equal to:
$10 + ($10 ×
Index Return) |
Index Return
|
Final Level – Initial Level
Initial Level |
Initial Level |
The Official Closing Level of the Index on the Trade Date. |
Final Level |
The Official Closing Level of the Index on the Final Valuation Date. |
Official Closing Level |
The Official Closing Level on any scheduled trading day will be the closing level of the Index as determined by the calculation agent and based on the value displayed on Bloomberg Professional® service page “SX5E <INDEX>,” or on any successor page on the Bloomberg Professional® service or any successor service, as applicable. |
Calculation Agent |
HSBC USA Inc. or one of its affiliates |
CUSIP/ISIN |
[ ]/US[ ] |
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 Trade Date and will be set forth in the pricing supplement to which this free writing prospectus relates. See “Key Risks — ¨The Estimated Initial Value of the Securities, Which Will Be Determined by Us on the Trade Date, Will Be Less than the Price to Public and May Differ from the Market Value of the Securities in the Secondary Market, if Any.” |
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT
RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL
AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF HSBC. IF HSBC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT
RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
1 Expected. In the event any change is made to the
expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date will be changed so that the stated term of
the Securities remains the same.
2 Payment at maturity and any repayment of principal
is provided by HSBC USA Inc., and therefore, is dependent on the ability of HSBC USA Inc. to satisfy its obligations when they
come due.
|
The Initial Level and the Trigger Level are determined and the
Participation Rate is set.
|
The Final Level and Index Return are determined on the Final
Valuation Date.
If the Index Return is greater than zero, HSBC will pay you
a cash payment per Security that provides you with the $10 Principal Amount plus a return equal to the product of (i) the Principal
Amount multiplied by (ii) the Index Return multiplied by the Participation Rate, calculated as follows:
$10 + [$10 × (Index Return × Participation Rate)].
If the Index Return is less than or equal to zero and the Final
Level is greater than or equal to the Trigger Level on the Final Valuation Date, HSBC will pay you a cash payment of $10 per $10
Security.
If the Final Level is less than the Trigger Level on the Final
Valuation Date, HSBC will pay you a cash payment at maturity that will be less than the Principal Amount of $10 per Security, resulting
in a loss of principal that is proportionate to the negative Index Return, equal to:
$10 + ($10 × Index Return).
Under these circumstances, you will lose a significant portion,
and could lose all, of your Principal Amount. |
An investment in the Securities involves significant risks.
Some of the risks that apply to the Securities are summarized here, but you are urged to read the more detailed explanation of
risks relating to the Securities generally in the “Risk Factors” section of the accompanying Equity Index Underlying
Supplement and the accompanying prospectus supplement. You are also urged to consult your investment, legal, tax, accounting and
other advisors before you invest in the Securities.
¨ Risk
of Loss at Maturity – The Securities differ from ordinary debt securities in that HSBC will not necessarily pay the
full Principal Amount of the Securities at maturity. The return on the Securities at maturity is linked to the performance of
the Index and will depend on whether, and to the extent which, the Index Return is positive or negative and if the Index Return
is negative, whether the Final Level is less than the Trigger Level. If the Final Level is less than the Trigger Level, you will
be fully exposed to any negative Index Return and HSBC will pay you less than the Principal Amount at maturity, if anything, resulting
in a loss of principal that is proportionate to the decline in the Final Level as compared to the Initial Level. Under these
circumstances, you will lose a significant portion, and could lose all, of the Principal Amount.
¨ The
Contingent Repayment of Principal Applies Only if You Hold the Securities to Maturity – You should be willing to hold
your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to
sell them at a loss even if the Index level is above the Trigger Level.
¨ The
Participation Rate Applies Only if You Hold the Securities to Maturity – You should be willing to hold your Securities
to maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you receive will likely
not reflect the full economic value of the Participation Rate or the Securities themselves, and the return you realize may be
less than the Index's return, even if that return is positive. You can receive the full benefit of the Participation Rate from
HSBC only if you hold your Securities to maturity.
¨ The
Securities Are Subject to the Credit Risk of the Issuer – 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 repayment of principal at maturity, depends on the ability of HSBC to
satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market
value of the Securities and, in the event HSBC were to default on its obligations, you may not receive any amounts owed to you
under the terms of the Securities and could lose your entire investment.
¨ The
Estimated Initial Value of the Securities, Which Will Be Determined by Us on the Trade 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 Trade 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 Trade Date Will Be Less than the Price to Public
– The price to public takes into account certain costs. These costs will include our affiliates’ projected hedging
profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the Securities, the underwriting
discount and the costs associated with structuring and hedging our obligations under the Securities. These costs, except for the
underwriting discount, will be used or retained by us or one of our affiliates. 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 level of the Index 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
One of Our Affiliates Were to Repurchase Your Securities Immediately After the Settlement 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 Settlement
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 Trade Date for a temporary period expected to be approximately 12 months after the
Settlement 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 Settlement Date of the Securities based on changes in
market conditions and other factors that cannot be predicted.
¨ No
Interest Payments – HSBC will not make any interest payments with respect to the Securities.
¨ Owning
the Securities Is Not the Same as Owning the Stocks Comprising the Index – The return on your Securities may not reflect
the return you would realize if you actually owned the stocks included in the Index. As a holder of the Securities, you will not
have voting rights or rights to receive dividends or other distributions or other rights that holders of the stocks included in
the Index would have. The Index is a price return index, and the Index Return excludes any cash dividend payments paid on its
component stocks.
¨ 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 HSBC is unable to pay its obligations when due, you
may not receive any amounts owed to you under the Securities and you could lose your entire investment.
¨ Lack
of Liquidity – The Securities will not be listed on any securities exchange or quotation system. One of our affiliates
may offer to repurchase the Securities in the secondary market but is not required to do so and may cease any such market-making
activities at any time without notice. Because other dealers are not likely to make a secondary market for the Securities, the
price at which you may be able to trade your Securities is likely to depend on the price, if any, at which one of our affiliates
is willing to buy the Securities. This price, if any, will exclude any fees or commissions paid when the Securities were purchased
and therefore will generally be lower than such purchase price.
¨ Non-U.S.
Securities Markets Risks – The stocks included in the Index are issued by non-U.S. companies and are traded on various
non-U.S. exchanges. These stocks may be more volatile and may be subject to different political, market, economic, exchange rate,
regulatory and other risks than stocks issued by U.S. companies and listed on U.S. exchanges.
¨ The
Index Return Will Not Be Adjusted for Changes in Exchange Rates Relative to the U.S. Dollar Even Though the Index Constituent
Stocks Are Traded in a Foreign Currency and the Securities Are Denominated in U.S. Dollars – The value of your Securities
will not be adjusted for exchange rate fluctuations between the U.S. dollar and the euro, which is the currency in which the index
constituent stocks are principally traded. Therefore, if the euro appreciates or depreciates relative to the U.S. dollar over
the term of the Securities, you will not receive any additional payment or incur any reduction in your return, if any, at maturity.
¨ Changes
Affecting the Index – The policies of the index sponsor concerning additions, deletions and substitutions of the stocks
included in the Index and the manner in which the index sponsor takes account of certain changes affecting those stocks included
in the Index may adversely affect the level of the Index. The policies of the index sponsor with respect to the calculation of
the Index could also adversely affect the level of the Index. The index sponsor may discontinue or suspend calculation or dissemination
of the Index. Any such actions could have an adverse effect on the value of the Securities.
¨ Potential
Conflicts of Interest – HSBC, UBS Financial Services Inc., or any of our or their respective affiliates may engage in
business with the issuers of the stocks comprising the Index, which could affect the price of such stocks or the level of the
Index and thus, may present a conflict between the obligations of HSBC and you, as a holder of the Securities. Additionally, potential
conflicts of interest may exist between the Calculation Agent, which may be HSBC or any of its affiliates, and you with respect
to certain determinations and judgments that the Calculation Agent must make, which include determining the Payment at Maturity
based on the Final Level as well as whether to postpone the determination of the Final Level and the Maturity Date if a Market
Disruption Event occurs and is continuing on the Final Valuation Date.
¨ Potentially
Inconsistent Research, Opinions or Recommendations by HSBC, UBS or Their Respective Affiliates – HSBC, UBS Financial
Services Inc., or their respective affiliates may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the Securities and which may be revised at any time. Any such research, opinions or recommendations
could affect the level of the Index or the price of the stocks included in the Index, and therefore, the market value of the Securities.
¨ Market
Price Prior to Maturity – The market price of the Securities will be influenced by many unpredictable and interrelated
factors, including the level of the Index; the volatility of the Index; the dividend rate paid on stocks included in the Index;
the time remaining to the maturity of the Securities; interest rates in the markets in general; geopolitical conditions and economic,
financial, political, regulatory, judicial or other events; and the creditworthiness of HSBC.
¨ Potential
HSBC and UBS Impact on Price – Trading or transactions by HSBC, UBS Financial Services Inc. or any of our or their respective
affiliates in the stocks comprising the Index or in futures, options, exchange-traded funds or other derivative products on stocks
comprising the Index, may adversely affect the market value of the stocks comprising the Index, the level of the Index, and, therefore,
the market value of your Securities.
¨ Uncertain
Tax Treatment – Significant aspects of the tax treatment of the Securities are uncertain. You should consult your tax
advisor about your own tax situation. See “What Are the Tax Consequences of the Securities?” beginning on page 10
of this free writing prospectus and the discussion under “U.S. Federal Income Tax Considerations” in the prospectus
supplement.
Scenario Analysis and Examples at Maturity |
The scenario analysis and
examples below 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 level of the Index relative to the Initial Level. We cannot predict
the Final Level. You should not take the scenario analysis and these examples as an indication or assurance of the expected performance
of the Index. The numbers appearing in the examples below have been rounded for ease of analysis. The following scenario analysis
and examples illustrate the Payment at Maturity for a $10.00 Security on a hypothetical offering of the Securities, with the following
assumptions*:
Investment term: |
Five years |
Hypothetical Initial Level: |
3,000.00 |
Hypothetical Trigger Level: |
1,800.00 (60.00% of the hypothetical Initial Level) |
Hypothetical Participation Rate: |
159.00% (the midpoint of the range of 154.00% to 164.00%) |
* The actual
Initial Level, Trigger Level and Participation Rate for the Securities will be determined on the Trade Date.
Example 1— The level of the
Index increases from an Initial Level of 3,000.00 to a Final Level of 3,300.00. The Index Return is greater than zero
and expressed as a formula:
Index Return = (3,300.00
– 3,000.00) / 3,000.00 = 10.00%
Payment at Maturity = $10
+ [$10 × (10.00% ×
159.00%)] = $11.59
Because the Index Return is equal
to 10.00%, the Payment at Maturity is equal to $11.59 per $10.00 Principal Amount of Securities, and the return on the Securities
is 15.90%.
Example 2— The Final Level is
equal to an Initial Level of 3,000.00. The Index Return is zero and expressed as a formula:
Index Return = (3,000.00
– 3,000.00) / 3,000.00 = 0.00%
Payment at Maturity = $10.00
Because the Index Return is zero, the Payment
at Maturity per Security is equal to the original $10.00 Principal Amount per Security (a return of zero percent).
Example 3— The level of the
Index decreases from an Initial Level of 3,000.00 to a Final Level of 2,700.00. The Index Return is negative and expressed
as a formula:
Index Return = (2,700.00
– 3,000.00) / 3,000.00 = -10.00%
Payment at Maturity = $10.00
Because the Index Return is less than zero,
but the Final Level is greater than or equal to the Trigger Level on the Final Valuation Date, HSBC will pay you a Payment at Maturity
equal to $10.00 per $10.00 Principal Amount of Securities (a return of zero percent).
Example 4— The level of the
Index decreases from an Initial Level of 3,000.00 to a Final Level of 600.00. The Index Return is negative and expressed
as a formula:
Index Return = (600.00 –
3,000.00) / 3,000.00 = -80.00%
Payment at Maturity = $10
+ ($10 × -80.00%) = $2.00
Because the Index Return is less than zero and
the Final Level is below the Trigger Level on the Final Valuation Date, the Securities will be fully exposed to any decline in
the level of the Index on the Final Valuation Date. Therefore, the return on the Securities is -80.00%. In this case, you would
incur a loss of 80.00% on your Securities.
If the Final Level is below the Trigger
Level on the Final Valuation Date, the Securities will be fully exposed to any decline in the Index, and you will lose some or
all of your Principal Amount at maturity.
Scenario Analysis – Hypothetical
Payment at Maturity for each $10.00 Principal Amount of Securities.
Performance
of the Index*
|
Performance
of the Securities
|
Hypothetical
Final
Level
|
Hypothetical
Index Return
|
Participation
Rate
|
Payment
at Maturity
|
Return
on Securities
at Maturity
|
6,000.00 |
100.00% |
159.00% |
$25.90 |
159.00% |
5,700.00 |
90.00% |
159.00% |
$24.31 |
143.10% |
5,400.00 |
80.00% |
159.00% |
$22.72 |
127.20% |
5,100.00 |
70.00% |
159.00% |
$21.13 |
111.30% |
4,800.00 |
60.00% |
159.00% |
$19.54 |
95.40% |
4,500.00 |
50.00% |
159.00% |
$17.95 |
79.50% |
4,200.00 |
40.00% |
159.00% |
$16.36 |
63.60% |
3,900.00 |
30.00% |
159.00% |
$14.77 |
47.70% |
3,600.00 |
20.00% |
159.00% |
$13.18 |
31.80% |
3,300.00 |
10.00% |
159.00% |
$11.59 |
15.90% |
3,000.00 |
0.00% |
N/A |
$10.00 |
0.00% |
2,700.00 |
-10.00% |
N/A |
$10.00 |
0.00% |
2,400.00 |
-20.00% |
N/A |
$10.00 |
0.00% |
2,250.00 |
-25.00% |
N/A |
$10.00 |
0.00% |
2,100.00 |
-30.00% |
N/A |
$7.00 |
-30.00% |
1,800.00 |
-40.00% |
N/A |
$6.00 |
-40.00% |
1,500.00 |
-50.00% |
N/A |
$5.00 |
-50.00% |
1,200.00 |
-60.00% |
N/A |
$4.00 |
-60.00% |
900.00 |
-70.00% |
N/A |
$3.00 |
-70.00% |
600.00 |
-80.00% |
N/A |
$2.00 |
-80.00% |
300.00 |
-90.00% |
N/A |
$1.00 |
-90.00% |
0.00 |
-100.00% |
N/A |
$0.00 |
-100.00% |
*
The Index Return excludes cash dividend payments on the stocks included in the Index.
What Are the Tax Consequences of the Securities? |
You should carefully consider, among other things, the matters
set forth in the section “U.S. Federal Income Tax Considerations” in the prospectus supplement. The following discussion
summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of each of the Securities.
This summary supplements the section “U.S. Federal Income Tax Considerations” in the prospectus supplement and supersedes
it to the extent inconsistent therewith.
There are no statutory provisions, regulations, published rulings
or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially
the same as those of the Securities. Under one reasonable approach, the Securities should be treated as pre-paid cash-settled executory
contracts with respect to the Index. HSBC intends to treat the Securities consistent with this approach and pursuant to the terms
of the Securities, you agree to treat the Securities under this approach for all U.S. federal income tax purposes. Subject to certain
limitations described in the prospectus supplement, and based on certain factual representations received from HSBC, in the opinion
of HSBC’s special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat the Securities in accordance with
this approach. Pursuant to this approach, HSBC does not intend to report any income or gain with respect to the Securities prior
to their maturity or an earlier sale or exchange and HSBC intends to treat any gain or loss upon maturity or 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. See "U.S. Federal Income Tax Considerations — — Tax Treatment of U.S. Holders —
Certain Notes Treated as a Put Option and a Deposit or an Executory Contract — Certain Notes Treated as Executory Contracts"
in the prospectus supplement for the U.S. federal income tax considerations applicable to Securities that are treated as pre-paid
cash-settled executory contracts.
Because there are no statutory provisions, regulations, published
rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that
are substantially the same as those of the Securities, other characterizations and treatments are possible and the timing and character
of income in respect of the Securities might differ from the treatment described above. For example, the Securities could be treated
as debt instruments that are “contingent payment debt instruments” for U.S. federal income tax purposes, subject to
the treatment described under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders —
U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Notes”
in the prospectus supplement.
In Notice 2008-2, the Internal Revenue Service and the Treasury Department requested
comments as to whether the purchaser of an exchange traded note or pre-paid forward contract (which may include the Securities)
should be required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain
on such a note or contract should be ordinary or capital, and whether foreign holders should be subject to withholding tax on any
deemed income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder (as defined
in the prospectus supplement) of the Securities is required to accrue income in respect of the Securities prior to the receipt
of payments with respect to the Securities or their earlier sale. Moreover, it is possible that any such regulations or other guidance
could treat all income and gain of a U.S. holder in respect of the Securities as ordinary income (including gain on a sale). Finally,
it is possible that a non-U.S. holder (as defined in the prospectus supplement) of the Securities could be subject to U.S. withholding
tax in respect of the Securities. It is unclear whether any regulations or other guidance would apply to the Securities (possibly
on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice 2008-2 and the possible
effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax treatment of the Securities.
We will not attempt to ascertain whether any of the entities whose stock is included in the Index 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 the Index 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 the Index and consult your tax advisor regarding the possible
consequences to you if one or more of the entities whose stock is included in the Index is or becomes a PFIC or USRPHC.
Under current law, while the matter is not entirely clear, individual non-U.S. holders, and entities whose property is potentially includible in those individuals’ gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent an applicable treaty benefit, the Securities are likely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their tax advisors regarding the U.S. federal estate tax consequences of investing in the Securities.
PROSPECTIVE PURCHASERS OF SECURITIES SHOULD CONSULT THEIR TAX
ADVISORS AS TO THE U.S. FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF
SECURITIES.
The EURO STOXX 50® Index |
Description of the 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.
For more information about the SX5E, see “The EURO
STOXX 50® Index” on page S-40 of the accompanying Equity Index Underlying Supplement.
|
Historical Performance of the Index
The following graph sets forth the historical
performance of the Index based on the daily historical closing levels from January 1, 2008 to June 25, 2015, as reported on 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
Index should not be taken as an indication of future performance.
Source: Bloomberg Professional®
service
The Official Closing Level of the Index on June 25, 2015 was
3,610.91.
|
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 “Indicative Terms” 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
the purposes of determining the Index Return. If a Market Disruption Event exists with respect to the Index on that scheduled
trading day, then the accelerated Final Valuation Date for the 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.
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) |
Pursuant to the terms
of a distribution agreement, HSBC Securities (USA) Inc., an affiliate of HSBC, will purchase the Securities from HSBC for distribution
to UBS Financial Services Inc. (the “Agent”). HSBC will agree to sell to the Agent, and the Agent will agree to purchase,
all of the Securities at the price indicated on the cover of the pricing supplement, which is the document that will be filed pursuant
to Rule 424(b)(2) containing the final pricing terms of the Securities. HSBC has agreed to indemnify the Agent against liabilities,
including liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agent may be required
to make relating to these liabilities as described in the prospectus supplement and the prospectus. The
Agent may allow a concession to its affiliates not in excess of the underwriting discount set forth on the cover of this free writing
prospectus.
Subject to regulatory constraints,
HSBC USA Inc. (or an affiliate thereof) intends to offer to purchase the Securities in the secondary market, but is not required
to do so and may cease making such offers at any time. HSBC or its affiliate will enter into swap agreements or related hedge transactions
with one of its other affiliates or unaffiliated counterparties, which may include the Agent, in connection with the sale of the
Securities and the Agent and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related
hedge transactions.
In addition, HSBC Securities (USA)
Inc. or another of its affiliates or agents may use the pricing supplement related to this free writing prospectus 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-59 in the accompanying prospectus supplement.