<SEC-DOCUMENT>0001144204-15-013184.txt : 20150302
<SEC-HEADER>0001144204-15-013184.hdr.sgml : 20150302 <ACCEPTANCE-DATETIME>20150302132852 ACCESSION NUMBER: 0001144204-15-013184 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 8 FILED AS OF DATE: 20150302 DATE AS OF CHANGE: 20150302 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-180289 FILM NUMBER: 15663518 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 </SEC-HEADER> <DOCUMENT> <TYPE>FWP <SEQUENCE>1 <FILENAME>v403333_fwp.htm <DESCRIPTION>FREE WRITING PROSPECTUS <TEXT> <HTML> <HEAD> <TITLE></TITLE> </HEAD> <BODY STYLE="font: 10pt Times New Roman, Times, Serif"> <P STYLE="margin: 0"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">	Filed Pursuant to Rule 433</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Registration No. 333-180289</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">March 2, 2015</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">FREE WRITING PROSPECTUS </FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">(To Prospectus dated March 22, 2012,</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Prospectus Supplement dated March 22, 2012 and</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Equity Index Underlying Supplement dated March 22, 2012)</FONT></P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 18pt">HSBC USA Inc. </FONT><BR> <FONT STYLE="font-size: 12pt">Buffered Market Participation Securities</FONT></P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="color: Black"> </FONT></P> <table cellspacing="0" cellpadding="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <tr style="vertical-align: top"> <TD STYLE="width: 3%; padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="font: 10pt Wingdings 3; color: Black">}</FONT></td> <TD STYLE="width: 97%; padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="color: Black">Buffered Market Participation Securities linked to the S&P 500<SUP>®</SUP> Index</FONT></td></tr> <tr style="vertical-align: top"> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="font: 10pt Wingdings 3; color: Black">}</FONT></td> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="color: Black">Maturity of three years</FONT></td></tr> <tr style="vertical-align: top"> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="font: 10pt Wingdings 3; color: Black">}</FONT></td> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="color: Black">Exposure to any positive return of the reference asset, subject to a maximum return of at least 21% (to be determined on the Pricing Date)</FONT></td></tr> <tr style="vertical-align: top"> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="font: 10pt Wingdings 3; color: Black">}</FONT></td> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="color: Black">Protection from the first 15% of any losses of the reference asset</FONT></td></tr> <tr style="vertical-align: top"> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="font: 10pt Wingdings 3; color: Black">}</FONT></td> <TD STYLE="padding-bottom: 4pt; text-indent: 0in; color: white"><FONT STYLE="color: Black">All payments on the securities are subject to the credit risk of HSBC USA Inc.</FONT></td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="color: Black"> </FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="color: Black"> </FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Buffered 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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. 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-14 of this free writing prospectus.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Estimated Initial Value of the securities on the Pricing Date is expected to be between $[ ] and $[ ] 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-4 and “Risk Factors” beginning on page FWP-7 of this document for additional information.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Investment in the securities involves certain risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-3 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B> </B></P> <table cellspacing="0" cellpadding="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <tr style="vertical-align: top"> <td style="width: 48%; border-bottom: #CCCCCC 1pt solid; padding-top: 6pt; text-align: justify"> </td> <td style="width: 16%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; text-align: left"><font style="font-size: 10pt">Price to Public</font></td> <td style="width: 17%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; text-align: justify"><font style="font-size: 10pt">Underwriting Discount<sup>1</sup></font></td> <td style="width: 19%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; text-align: justify"><font style="font-size: 10pt">Proceeds to Issuer</font></td></tr> <tr style="vertical-align: top"> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"><font style="font-size: 10pt">Per security</font></td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"><font style="font-size: 10pt">$1,000 </font></td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"> </td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"> </td></tr> <tr style="vertical-align: top"> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"><font style="font-size: 10pt">Total</font></td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"> </td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"> </td> <td style="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify"> </td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><SUP> </SUP></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><SUP>1</SUP> HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 2.50% per $1,000 Principal Amount in connection with the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this free writing prospectus.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>The Securities:</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: top"> <td style="width: 34%; border: black 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><font style="font-size: 10pt"><b>Are Not FDIC Insured</b></font></td> <td style="width: 33%; border-top: black 1pt solid; border-right: black 1pt solid; border-bottom: black 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><font style="font-size: 10pt"><b>Are Not Bank Guaranteed</b></font></td> <td style="width: 33%; border-top: black 1pt solid; border-right: black 1pt solid; border-bottom: black 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><font style="font-size: 10pt"><b>May Lose Value</b></font></td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><IMG SRC="image_001.jpg" ALT=""></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B> </B></P> <!-- Field: Page; Sequence: 1 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-size: 12pt"><B>HSBC USA Inc.</B></FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 12pt">Buffered Market Participation Securities</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 12pt">Linked to the S&P 500<SUP>® </SUP>Index</FONT></P> <P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-style: normal"><B> </B></FONT></P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0">Indicative Terms*</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr> <TD STYLE="width: 20%; border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Principal Amount</b></font></td> <TD STYLE="width: 80%; border-bottom: silver 1pt solid"><font style="font-size: 10pt">$1,000 per security </font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Reference Asset</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">S&P 500<sup>®</sup> Index<sup> </sup>(“SPX”)</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Term</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">Three years</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Buffer Level</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">-15%</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Maximum Cap</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">At least 21%, which will be determined on the Pricing Date.</font></td></tr> <tr style="vertical-align: top"> <TD><font style="font-size: 10pt; color: #777777"><b>Payment at </b></font><br> <font style="font-size: 10pt; color: #777777"><b>Maturity</b></font><br> <font style="font-size: 10pt; color: #777777"><b>per Security</b></font></td> <TD> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"><b>If the Reference Return is greater than zero</b>, you will receive the lesser of:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 8.8pt; text-indent: -8.8pt">a) $1,000 + ($1,000 × Reference Return); and</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 8.8pt; text-indent: -8.8pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0">b) $1,000 + ($1,000 × Maximum Cap).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"><b>If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Level:</b></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0">$1,000 (zero return).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"><b>If the Reference Return is less than the Buffer Level:</b></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 9.35pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return + 15%)]. For example, 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 Level, you will lose up to 85% of your investment.</P></td></tr> <tr> <TD STYLE="border-top: silver 1pt solid; border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Reference Return</b></font></td> <TD STYLE="border-top: silver 1pt solid; border-bottom: silver 1pt solid"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><u>Final Level – Initial Level</u></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Initial Level</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Initial Level</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">The Official Closing Level of the Reference Asset on the Pricing Date.</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Final Level</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">The Official Closing Level of the Reference Asset on the Final Valuation Date.</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Pricing Date</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">March 20, 2015</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Trade Date</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">March 20, 2015</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Original Issue Date</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">March 25, 2015</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Final Valuation Date</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">March 21, 2018</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>Maturity Date</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">March 26, 2018</font></td></tr> <tr> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt; color: #777777"><b>CUSIP/ISIN</b></font></td> <TD STYLE="border-bottom: silver 1pt solid"><font style="font-size: 10pt">40433BYE2/US40433BYE28</font></td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">* As more fully described beginning on page FWP-4.</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Securities</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">For investors who seek exposure to the Reference Asset and who believe the Reference Asset will appreciate over the term of the securities, the securities provide an opportunity for 1:1 exposure to any positive Reference Return (subject to the Maximum Cap). If the Reference Return is below the Buffer Level, then the securities are subject to 1:1 exposure to any potential decline of the Reference Asset beyond -15%.</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">If the Reference Asset appreciates over the term of the securities, you will realize 100% (1.0x) of the Reference Asset appreciation, up to the Maximum Cap. If the Reference Asset declines, you will lose 1% of your investment for every 1% decline in the Reference Asset beyond the -15% Buffer Level.</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal"></FONT></P> <table cellspacing="0" cellpadding="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <tr style="background-color: #E0E0E0"> <td style="width: 100%; padding: 6pt 5.4pt 5.5pt; text-align: center; color: red; font-weight: bold"><FONT STYLE="font-size: 10pt; font-weight: normal; color: Black">The offering period for the securities is through </FONT><FONT STYLE="font-size: 10pt; color: Black">March 20, 2015</FONT></td></tr> </table> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 9pt Sans-Serif; color: Red"><B></B></FONT><FONT STYLE="font-size: 10pt; font-weight: normal; color: black"><IMG SRC="image_002.jpg" ALT=""></FONT></P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <!-- Field: Page; Sequence: 2; Options: NewSection; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0">Payoff Example</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 283.3pt 0pt 0; text-align: justify"> </P> <P STYLE="margin: 0pt 0">The table at right shows the hypothetical payout profile of an investment in the securities reflecting the Buffer Level of -15%, and assuming a Maximum Cap of 21%. The actual Maximum Cap will be determined on the Pricing Date.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><IMG SRC="image_003.jpg" ALT=""></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Information about the Reference Asset</B></P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"> </P> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="background-color: #E0E0E0"> <td style="width: 47%; padding: 0.3pt 5.4pt 0.15pt"><font style="font: 10pt Times New Roman, Times, Serif; color: windowtext"><b>S&P 500</b></font><font style="font: 10pt Times New Roman, Times, Serif"><sup>®</sup><font style="color: windowtext"><b> Index</b></font></font></td> <td style="vertical-align: top; width: 53%; padding: 0.3pt 5.4pt 0.15pt"> </td></tr> <tr style="vertical-align: top"> <td style="padding: 0.3pt 5.4pt 0.15pt"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The top 5 industry groups by market capitalization as of February 27, 2015 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P></td> <td style="padding: 0.3pt 5.4pt 11pt; text-align: center"><IMG SRC="image_004.jpg" ALT=""></td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-size: 10pt">The graph above illustrates the performance of the Reference Asset from January 1, 2008 through</FONT> <FONT STYLE="font-size: 10pt">February 24, 2015. The closing levels in the graph above were obtained from the Bloomberg Professional<SUP>®</SUP> Service. Past performance is not necessarily an indication of future results. For further information on the Reference Asset, please see “Information Relating to the Reference Asset” beginning on page FWP-12 and “The S&P 500<SUP>®</SUP> Index” beginning on page S-6 of the accompanying Equity Index Underlying Supplement. We have derived all disclosure regarding the Reference Asset 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 Reference Asset.</FONT></P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <!-- Field: Page; Sequence: 3; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><IMG SRC="image_005.jpg" ALT=""> </P> <P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 12pt">HSBC USA Inc.</FONT></P> <P STYLE="color: red; font: 18pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 12pt">Buffered Market Participation Securities</FONT></P> <P STYLE="color: red; font: 18pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">Linked to the S&P 500<SUP>®</SUP> Index</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"> </P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This free writing prospectus relates to an offering of Buffered Market Participation Securities. The securities will have the terms described in this free writing prospectus and the accompanying prospectus supplement, prospectus and Equity Index Underlying Supplement. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.<FONT STYLE="font-family: Times New Roman, Times, Serif"> </FONT><B>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 Level, lose up to 85% of your principal.</B></P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>This free writing prospectus relates to an offering of securities linked to the performance of the S&P 500<SUP>®</SUP> Index (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:</B></P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B></B></P> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: bottom"> <td style="width: 20%; padding-bottom: 1pt"><font style="color: #777777"><b>Issuer:</b></font></td> <td style="width: 80%; padding-bottom: 1pt">HSBC USA Inc.</td></tr> <tr style="vertical-align: bottom"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Principal Amount:</b></font></td> <td style="padding-bottom: 1pt">$1,000 per security</td></tr> <tr style="vertical-align: bottom"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Reference Asset:</b></font></td> <td style="padding-bottom: 1pt">S&P 500<sup>®</sup> Index (“SPX”)</td></tr> <tr> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Trade Date:</b></font></td> <td style="padding-bottom: 1pt">March 20, 2015</td></tr> <tr> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Pricing Date:</b></font></td> <td style="padding-bottom: 1pt">March 20, 2015</td></tr> <tr> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Original Issue Date:</b></font></td> <td style="padding-bottom: 1pt">March 25, 2015</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Final Valuation Date:</b></font></td> <td style="padding-bottom: 1pt">March 21, 2018, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Maturity Date:</b></font></td> <td style="padding-bottom: 1pt">3 business days after the Final Valuation Date, and expected to be March 26, 2018. 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.</td></tr> <tr> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Payment at Maturity:</b></font></td> <td style="padding-bottom: 1pt">On the Maturity Date, for each security, we will pay you the Final Settlement Value.</td></tr> </table> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P> <table cellspacing="0" cellpadding="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <tr style="vertical-align: top"> <td style="width: 20%; padding-bottom: 1pt"><font style="color: #777777"><b>Final Settlement Value:</b></font></td> <td style="width: 80%"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><b><i>If the Reference Return is greater than zero, </i></b>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to the lesser of:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) $1,000 + ($1,000 × Reference Return); and</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(b) $1,000 + ($1,000 × Maximum Cap).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><b><i>If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Level</i></b>, you will receive $1,000 per $1,000 Principal Amount (zero return).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><b><i>If the Reference Return is less than the Buffer Level</i>, </b>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return + 15%)].</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Level. For example, 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. <b>If the Reference Return is less than the Buffer Level, you will lose up to 85% of your investment.</b></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P></td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Reference Return:</b></font></td> <td> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The quotient, expressed as a percentage, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: -3.45pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><u>Final Level – Initial Level</u></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Initial Level</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P></td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Maximum Cap: </b></font></td> <td style="padding-bottom: 1pt">At least 21%, which will be determined on the Pricing Date.</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Buffer Level:</b></font></td> <td style="padding-right: 9.35pt; padding-bottom: 1pt"><font style="font-size: 10pt">-15%</font></td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Initial Level:</b></font></td> <td style="padding-bottom: 1pt">The Official Closing Level of the Reference Asset on the Pricing Date.</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Final Level:</b></font></td> <td style="padding-bottom: 1pt">The Official Closing Level of the Reference Asset on the Final Valuation Date. </td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Official Closing Level:</b></font></td> <td style="padding-bottom: 1pt">The closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the level displayed on the Bloomberg Professional<sup>®</sup> service page “SPX <INDEX>”, or on any successor page on the Bloomberg Professional<sup>®</sup> service or any successor service, as applicable.</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Form of Securities:</b></font></td> <td style="padding-bottom: 1pt">Book-Entry</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Listing:</b></font></td> <td style="padding-bottom: 1pt">The securities will not be listed on any U.S. securities exchange or quotation system.</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>CUSIP/ISIN:</b></font></td> <td style="padding-bottom: 1pt">40433BYE2/US40433BYE28</td></tr> <tr style="vertical-align: top"> <td style="padding-bottom: 1pt"><font style="color: #777777"><b>Estimated Initial Value:</b></font></td> <td style="padding-bottom: 1pt">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. 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.”</td></tr> </table> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I> </I></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>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.</I></P> <!-- Field: Page; Sequence: 4; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><SUP> </SUP></P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">GENERAL</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This free writing prospectus relates to a single 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 supplement, prospectus, 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-7 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">HSBC has filed a registration statement (including a prospectus, a 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You may also obtain:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">The Equity Index Underlying Supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm"><FONT STYLE="font-size: 10pt">http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm</FONT></A></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">The prospectus supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm"><FONT STYLE="font-size: 10pt">http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm</FONT></A></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: left">The prospectus at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm"><FONT STYLE="font-size: 10pt">http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm</FONT></A></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <!-- Field: Page; Sequence: 5; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">PAYMENT AT MATURITY</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>If the Reference Return is greater than zero</B>, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to the lesser of:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 21.3pt">(a)	$1,000 + ($1,000 × Reference Return); and</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 21.3pt">(b)	$1,000 + ($1,000 × Maximum Cap).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Level,</B> you will receive $1,000 per $1,000 Principal Amount (zero return).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>If the Reference Return is less than the Buffer Level,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 21.3pt">$1,000 + [$1,000 × (Reference Return + 15%)].</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 21.3pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Level. For example, 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. <B>You should be aware that if the Reference Return is less than the Buffer Level, you will lose up to 85% of your investment.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">Interest</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The securities will not pay interest.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">Business Day</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"><FONT STYLE="font-weight: normal">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.</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">Payment When Offices or Settlement Systems Are Closed</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"><FONT STYLE="font-weight: normal">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.</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">Calculation Agent</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We or one of our affiliates will act as calculation agent with respect to the securities.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0">Reference Sponsor</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"><FONT STYLE="font-size: 10pt; font-weight: normal; color: windowtext">S&P Dow Jones Indices LLC, a part of McGraw-Hill Financial, is the reference sponsor.</FONT>	</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"></P> <!-- Field: Page; Sequence: 6; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font-size: 10pt"><TR><TD STYLE="text-align: center; width: 100%">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV> <!-- Field: /Page --> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"><BR CLEAR="ALL"> INVESTOR SUITABILITY</P> <P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The securities may be suitable for you if:</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You seek an investment with a return linked to the potential positive performance of the Reference Asset and you believe the level of the Reference Asset will increase over the term of the securities.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to invest in the securities based on the Maximum Cap of at least 21% (to be determined of the Pricing Date), which may limit your return at maturity. The actual Maximum Cap will be determined on the Pricing Date.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><T
