used in this free writing prospectus are described or defined herein and in the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. The Notes will

0001144204-12-069825.txt : 201212270001144204-12-069825.hdr.sgml : 2012122720121227160202ACCESSION NUMBER:0001144204-12-069825CONFORMED SUBMISSION TYPE:FWPPUBLIC DOCUMENT COUNT:5FILED AS OF DATE:20121227DATE AS OF CHANGE:20121227

SUBJECT COMPANY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWPSEC ACT:1934 ActSEC FILE NUMBER:333-180289FILM NUMBER:121287531

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FILED BY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWP

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FWP1v797025_fwp.htmFREE WRITING PROSPECTUS

Filed Pursuant to Rule 433

Registration No. 333-180289

Dated December 27, 2012

FREE WRITING PROSPECTUS

(To Prospectus dated March 22, 2012

Prospectus Supplement dated March 22, 2012,

and Equity Index Underlying Supplement dated March 22, 2012)

Structured
Investments HSBC USA Inc.
$
Knock-Out Buffer Notes Linked to the S&P 500 Index due July 2,
2014 (the Notes)

General

Terms used in this free writing prospectus are described or defined herein and in the accompanyingEquity Index Underlying Supplement, prospectus supplement and prospectus. The Notes will have the terms described herein and inthe accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. The Notes do not guarantee any returnof principal, and you may lose up to 100% of your initial investment. The Notes will not bear interest.

This free writing prospectus relates to a single note offering. The purchaser of a Note will acquirea security linked to a single Reference Asset described below.

Although the offering relates to a Reference Asset, you should not construe that fact as a recommendationas to the merits of acquiring an investment linked to the Reference Asset or any component security included in the Reference Assetor as to the suitability of an investment in the Notes.

The Issuer has not undertaken any independent review of, or made any due diligence inquiry withrespect to, publicly available information regarding the Reference Asset.

Senior unsecured debt obligations of HSBC USA Inc. maturing July 2, 2014.

Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.

If the terms of the Notes set forth below are inconsistent with those described in the accompanyingEquity Index Underlying Supplement, prospectus supplement and prospectus, the terms set forth below will supersede.

Any payment on the Notes is subject to the Issuers credit risk.

Key Terms

Issuer: HSBC USA Inc.

Reference Asset: The S&P 500 Index (SPX)

Knock-Out Event: A Knock-Out Event occurs if, on any scheduled trading day during the Observation Period, the Official Closing Level (as defined below) has decreased, as compared to the Initial Level, by a percentage that is more than the Knock-Out Buffer Amount.

Knock-Out Buffer Amount: 29.00%

Contingent Minimum Return: 0.00%

Principal Amount: $1,000 per Note

Trade Date: December 28, 2012

Pricing Date: December 28, 2012

Original Issue Date: January 3, 2013

Final Valuation Date: June 27, 2014, subject to adjustment as described under Additional Terms of the NotesValuation Dates in the accompanying Equity Index Underlying Supplement.

Observation Period: The period beginning on and excluding the Pricing Date and ending on and including the Final Valuation Date.

Maturity Date: 3 business days after the Final Valuation Date and is expected to be July 2, 2014. The Maturity Date is subject to adjustment as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Payment at Maturity: If a Knock-Out Event has occurred, you will receive a cash payment on the Maturity Date that will reflect the performance of the Reference Asset. Under these circumstances, your Payment at Maturity per $1,000 Principal Amount of Notes will be calculated as follows:

$1,000 + ($1,000 Reference Return)

If a Knock-Out Event has occurred, you may lose some or all of your investment. This means that if the Reference Return is 100%, you will lose your entire investment.

If a Knock-Out Event has not occurred, you will receive a cash payment on the Maturity Date that will reflect the performance of the Reference Asset, subject to the Contingent Minimum Return. If a Knock-Out Event has not occurred, your Payment at Maturity per $1,000 Principal Amount of Notes will equal $1,000 plus the product of (a) $1,000 multiplied by (b) the greater of (i) the Reference Return and (ii) the Contingent Minimum Return. For additional clarification, please see What is the Total Return on the Notes at Maturity Assuming a Range of Performances for the Reference Asset? herein.

Reference Return: The quotient, expressed as a percentage, calculated as follows:

Final Level Initial Level

Initial Level

Initial Level: The Official Closing Level of the Reference Asset on the Pricing Date.

Final Level: The Official Closing Level of the Reference Asset on the Final Valuation Date.

Official Closing Level: The Official Closing Level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the value displayed on Bloomberg Professional service page SPX or 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: 40432X5S6/US40432X5S60

Form of Notes: Book-Entry

Listing: The Notes will not be listed on any U.S. securities exchange or quotation system.

Investment in theNotes involves certain risks. You should refer to Selected Risk Considerations beginning on page 4 of this documentand Risk Factors beginning on page S-1 of the Equity Index Underlying Supplement and page S-3 of the prospectus supplement.

Neither the U.S. Securitiesand Exchange Commission, or the SEC, nor any state securities commission has approved or disapproved of the Notes or determinedthat this free writing prospectus, or the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus,is truthful or complete. Any representation to the contrary is a criminal offense.

HSBC Securities (USA)Inc. or another of our affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-makingtransactions in any Notes 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 will be used in a market-making transaction. HSBC Securities(USA) Inc., an affiliate of ours, will purchase the Notes from us for distribution to the placement agent. See SupplementalPlan of Distribution (Conflicts of Interest) on the last page of this free writing prospectus.

We have appointed J.P. Morgan SecuritiesLLC and certain of its registered broker-dealer affiliates as placement agent for the sale of the Notes. J.P. Morgan SecuritiesLLC and certain of its registered broker-dealer affiliates will offer the Notes to investors directly or through other registeredbroker-dealers.

Price to Public(1) Fees and Commissions Proceeds to Issuer

Per Note $1,000.00 $12.50 $987.50

Total $ $ $

(1) Certain fiduciary accounts purchasing the Noteswill pay a purchase price of $987.50 per Note, and the placement agents with respect to sales made to such accounts will forgoany fees.

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

JPMorgan

Placement Agent

December [], 2012

Additional Terms Specific to the Notes

This free writingprospectus relates to a single note offering linked to the Reference Asset identified on the cover page. The purchaser of a Notewill acquire a senior unsecured debt security linked to the Reference Asset. We reserve the right to withdraw, cancel or modifythis offering and to reject orders in whole or in part. Although the Note offering relates only to the Reference Asset identifiedon the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked tothe Reference Asset or any securities comprising the Reference Asset or as to the suitability of an investment in the Notes.

Youshould read this document together with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 andthe Equity Index Underlying Supplement dated March 22, 2012. Ifthe terms of the Notes 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 Selected Risk Considerations beginning on page 4 of this free writingprospectus and Risk Factors beginning on page S-1 of the Equity Index Underlying Supplement and page S-3 of the prospectussupplement, as the Notes 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 Notes. As used herein, references to the Issuer,HSBC, we, us and our are to HSBC USA Inc.

HSBC has filed a registrationstatement (including a prospectus, prospectus supplement and an Equity Index Underlying Supplement) with the SEC for the offeringto which this free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and EquityIndex Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete informationabout HSBC and this offering. You may get these documents for free by visiting EDGAR on the SECs web site at www.sec.gov.Alternatively, HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus,prospectus supplement and Equity Index Underlying Supplement if you request them by calling toll-free 1 866 811 8049.

You may also obtain:

The Equity Index Underlying Supplement at:

http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm

The prospectus supplement at:

www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm

The prospectus at:

www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm

We are using thisfree writing prospectus to solicit from you an offer to purchase the Notes. You may revoke your offer to purchase the Notes atany time prior to the time at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to changethe terms of, or reject any offer to purchase, the Notes prior to their issuance. The Trade Date, the Pricing Date and the otherterms of the Notes are subject to change, and will be set forth in the final pricing supplement relating to the Notes. In the eventof any material changes to the terms of the Notes, we will notify you.

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Summary

The four charts below provide a summary of the Notes, includingNote characteristics and risk considerations as well as an illustrative diagram and table reflecting hypothetical returns at maturity.These charts should be reviewed together with the disclosure regarding the Notes contained in this free writing prospectusas well as in the accompanying Equity Index Underlying Supplement, prospectus and prospectus supplement.

The following charts illustrate the hypothetical total return at maturity on the Notes. The totalreturn as used in this free writing prospectus is the number, expressed as a percentage, that results from comparing thePayment at Maturity per $1,000 Principal Amount of Notes to $1,000. The hypothetical total returns set forth below reflect ahypothetical Initial Level of 1,400.00, the Knock-Out Buffer Amount of 29.00%, and the Contingent Minimum Return on the Notes of0.00%. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returnsapplicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease ofanalysis.

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Selected Purchase Considerations

APPRECIATION POTENTIAL The Notes provide the opportunity to participate in the appreciation of the Reference Asset at maturity. If a Knock-Out Event has not occurred, in addition to the Principal Amount, you will receive at maturity at least the Contingent Minimum Return of 0.00% on the Notes, or a minimum Payment at Maturity of $1,000 for every $1,000 Principal Amount of the Notes. Because the Notes are our senior unsecured debt obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.

THE CONTINGENT MINIMUM RETURN APPLIES ONLY IF A KNOCK-OUT EVENT HAS NOT OCCURRED If a Knock-Out Event has not occurred, you will receive at least the Principal Amount at maturity, even if the FinalLevel is below the Initial Level. If a Knock-Out Event has occurred and the Final Level is less than the Initial Level,you will lose 1.00% of your Principal Amount for every 1.00% that the Final Level is less than the Initial Level. If a Knock-OutEvent has occurred and the Reference Return is -100.00%, you will lose your entire investment.

DIVERSIFICATION OF THE S&P 500 INDEX The return on the Notesis linked to the S&P 500 Index. The S&P 500 Index consists of 500 component stocks selectedto provide a performance benchmark for the U.S. equity markets. For additional information about the Reference Asset, see the informationset forth under The S&P 500 Index in the Equity Index Underlying Supplement.

TAX TREATMENT Thereis no direct legal authority as to the proper tax treatment of the Notes, and therefore significant aspects of the tax treatmentof the Notes are uncertain as to both the timing and character of any inclusion in income in respect of the Notes. Under one approach,the Notes should be treated as pre-paid executory contracts with respect to the Reference Asset. We intend to treat the Notes consistentwith this approach. Pursuant to the terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal incometax purposes. Subject to the limitations described therein, and based on certain factual representations received from us, in theopinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat the Notes as pre-paid executorycontracts with respect to the Reference Asset. Pursuant to this approach, we do not intend to report any income or gain with respectto the Notes prior to their maturity or an earlier sale or exchange and we generally intend to treat any gain or loss upon maturityor an earlier sale or exchange as long-term capital gain or loss, provided that you have held the Note for more than one year atsuch time for U.S. federal income tax purposes.

We will notattempt to ascertain whether any of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, would be treated as a passive foreign investment company (PFIC)or United States real property holding corporation (USRPHC), both as defined for U.S. federal income tax purposes.If one or more of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, were so treated,certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC and otherauthorities by the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, and consult yourtax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in, or owned by,the Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.

For a furtherdiscussion of the U.S. federal income tax consequences related to the Notes, see the section U.S. Federal Income Tax Considerationsin the accompanying prospectus supplement.

Selected Risk Considerations

An investment in the Notes involves significantrisks. Investing in the Notes is not equivalent to investing directly in any of the component securities of the Reference Asset.These risks are explained in more detail in the Risk Factors sections of the accompanying Equity Index UnderlyingSupplement and prospectus supplement.

YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS The Notes do not guarantee any return of principal. The return on the Notes at maturity is linked to the performance of the Reference Asset and will depend on whether a Knock-Out Event has occurred and whether, and the extent to which, the Reference Return is positive or negative. If the Official Closing Level during the Observation Period is ever below the Initial Level, by a percentage that is more than the Knock-Out Buffer Amount of 29.00% during the Observation Period, a Knock-Out Event will have occurred, and the benefit provided by the Knock-Out Buffer Amount will terminate. Under these circumstances, you will lose 1.00% of the Principal Amount of your investment for every 1.00% decline of the Final Level as compared to the Initial Level. IF A KNOCK-OUT EVENT OCCURS, YOU MAY LOSE UP TO 100.00% OF YOUR INVESTMENT.

THE NOTES ARE SUBJECT TO THE CREDIT RISK OF HSBC USA INC. The Notes are senior unsecureddebt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As furtherdescribed in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecuredand unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to bemade on the Notes, including any return of principal at maturity, depends on the

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abilityof HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affectthe market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owedto you under the terms of the Notes.

SUITABILITY OF THE NOTES FOR INVESTMENT You should only reach a decision to investin the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectivesand the information set out in this free writing prospectus. Neither HSBC nor any dealer participating in the offering makes anyrecommendation as to the suitability of the Notes for investment.

YOUR ABILITY TO RECEIVE THE CONTINGENT MINIMUM RETURN MAY TERMINATE AT ANY TIME DURING THE TERMOF THE NOTES If the Official Closing Level is ever below the Initial Level during the Observation Period by a percentagethat is more than the Knock-Out Buffer Amount of 29.00% during the Observation Period, you will be fully exposed to any declinein the Reference Asset and will not be entitled to receive the Contingent Minimum Return on the Notes. Under these circumstances,if the Final Level is less than the Initial Level on the Final Valuation Date, you will lose 1.00% of the Principal Amount of yourinvestment for every 1.00% decrease in the Final Level as compared to the Initial Level. You will be subject to this potentialloss of principal even if the level of the Reference Asset subsequently increases such that the Official Closing Level is lessthan the Initial Level by not more than the Knock-Out Buffer Amount of 29.00%, or is equal to or greater than the Initial Level.As a result, you may lose some or all of your investment. Your return on the Notes may not reflect the return you would receiveon a conventional fixed or floating rate debt instrument with a comparable term to maturity issued by HSBC or any other issuerwith a similar credit rating.

CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY While the Payment at Maturity described in this free writing prospectus is based on the full Principal Amount of your Notes,the original issue price of the Notes includes the placement agents commission and the estimated cost of hedging our obligationsunder the Notes through one or more of our affiliates. As a result, the price, if any, at which HSBC Securities (USA) Inc. willbe willing to purchase Notes from you in secondary market transactions, if at all, will likely be lower than the original issueprice, and any sale of Notes by you prior to the Maturity Date could result in a substantial loss to you. The Notes are not designedto be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.

NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of the Notes, youwill not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributionsor other rights that holders of securities composing the Reference Asset would have.

THE NOTES LACK LIQUIDITY The Notes will not be listed on any securities exchange.HSBC Securities (USA) Inc. may offer to purchase the Notes in the secondary market but is not required to do so and may cease makingsuch offers at any time. Because other dealers are not likely to make a secondary market for the Notes, the price atwhich you may be able to trade your Notes is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willingto buy the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Noteseasily.

POTENTIAL CONFLICTS HSBC and its affiliates play a variety of roles in connection with the issuance of the Notes, including acting as Calculation Agent and hedging its obligations under the Notes. In performing these duties, the economic interests of the Calculation Agent and other affiliates of HSBC are potentially adverse to your interests as an investor in the Notes. HSBC and the Calculation Agent are under no obligation to consider your interests as a holder of the Notes in taking any corporate actions or other actions that might affect the level of the Reference Asset and the value of the Notes.

The Notes are Not Insured OR GUARANTEED by any Governmental Agency of the United States or any Other Jurisdiction The Notes 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 Notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity of the Notes.

MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES In additionto the level of the Reference Asset on any day, the value of the Notes will be affected by a number of economic and market factorsthat may either offset or magnify each other, including:

the expected volatility of the Reference Asset;

the time to maturity of the Notes;

whether a Knock-Out Event has occurred;

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the dividend rate on the equity securities underlying the Reference Asset;

interest and yield rates in the market generally;

a variety of economic, financial, political, regulatory or judicial events that affect the ReferenceAsset or the stock markets generally; and

our creditworthiness, including actual or anticipated downgradesin our credit ratings.

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What Is the Total Return on the Notes at Maturity Assuminga Range of Performances for the Reference Asset?

The following table illustrates the hypotheticaltotal return at maturity on the Notes. The total return as used in this free writing prospectus is the number, expressedas a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of Notes to $1,000. The hypotheticaltotal returns set forth below reflect the Knock-Out Buffer Amount of 29.00% and the Contingent Minimum Return on the Notes of 0.00%and assume an Initial Level of 1,400.00. The actual Initial Level will be determined on the Pricing Date. The hypothetical totalreturns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser ofthe Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.

Hypothetical Final
Level Hypothetical
Reference Return Hypothetical Total Return

Knock-Out Event Has
Not Occurred

Knock-Out Event

Has Occurred

2,520.00 80.00% 80.00% 80.00%

2,380.00 70.00% 70.00% 70.00%

2,100.00 50.00% 50.00% 50.00%

1,960.00 40.00% 40.00% 40.00%

1,820.00 30.00% 30.00% 30.00%

1,680.00 20.00% 20.00% 20.00%

1,540.00 10.00% 10.00% 10.00%

1,470.00 5.00% 5.00% 5.00%

1,400.00 0.00% 0.00% 0.00%

1,330.00 -5.00% 0.00% -5.00%

1,260.00 -10.00% 0.00% -10.00%

1,190.00 -15.00% 0.00% -15.00%

1,120.00 -20.00% 0.00% -20.00%

994.00 -29.00% 0.00% -29.00%

980.00 -30.00% N/A -30.00%

840.00 -40.00% N/A -40.00%

700.00 -50.00% N/A -50.00%

560.00 -60.00% N/A -60.00%

280.00 -80.00% N/A -80.00%

0.00 -100.00% N/A -100.00%

Hypothetical Examples of Amounts Payableat Maturity

The following examples illustrate howthe total returns set forth in the table above are calculated.

Example 1: A Knock-Out Event doesnot occur, and the level of the Reference Asset decreases from the hypothetical Initial Level of 1,400.00 to a hypotheticalFinal Level of 1,260.00. Because a Knock-Out Event has not occurred and the Reference Return of -10.00% is less than theContingent Minimum Return of 0.00%, the investor benefits from the Contingent Minimum Return and receives a Payment atMaturity of $1,000.00 per $1,000 Principal Amount of Notes.

Example 2: A Knock-Out Eventdoes not occur, and the level of the Reference Asset increases from the hypothetical Initial Level of 1,400.00 to ahypothetical Final Level of 1,540.00. Because a Knock-Out Event has not occurred and the Reference Return of 10.00% is greater than the Contingent Minimum Return of 0.00%, the investor receives a Payment at Maturity of $1,100.00per $1,000 Principal Amount of Notes, calculated as follows:

$1,000 + ($1,000 10.00%) = $1,100.00

Example3: A Knock-Out Event has occurred, and the level of the Reference Asset decreases from the hypotheticalInitial Level of 1,400.00 to a Final Level of 1,260.00. Because a Knock-Out Event has occurred and the Reference Return is-10.00%, the investor receives a Payment at Maturity of $900.00per $1,000 Principal Amount of Notes, calculated as follows:

$1,000 + ($1,000 -10.00%) = $900.00

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Example4: A Knock-Out Event has occurred, and the level of the Reference Asset decreases from the hypotheticalInitial Level of $1,400 to a hypothetical Final Level of 840.00. Because a Knock-Out Event has occurred and the ReferenceReturn is -40.00%, the investor is exposed to the negative performance of the Reference Asset. The investor will receivea Payment at Maturity of $600.00 per $1,000 Principal Amount of Notes, calculated as follows:

$1,000 + ($1,000 -40.00%) = $600.00

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Description of theReference Asset

General

This free writingprospectus is not an offer to sell and it is not an offer to buy interests in the Reference Asset or any of the securities comprisingthe Reference Asset. All disclosures contained in this free writing prospectus regarding the Reference Asset, including its make-up,performance, method of calculation and changes in its components, where applicable, are derived from publicly available information.Neither HSBC nor any of its affiliates has made any independent investigation as to the information about the Reference Asset thatis contained in this free writing prospectus. You should make your own investigation into the Reference Asset.

TheS&P 500 Index

The SPX is a capitalization-weighted indexof 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate marketvalue of 500 stocks representing all major industries.

The top five industrygroups by market capitalization as of December 24, 2012 were: Information Technology, Financials, Health Care, Consumer Discretionaryand Energy.

Formore information about the SPX, see The S&P 500Index on page S-6 of the accompanying Equity Index Underlying Supplement.

Historical Performance of Reference Asset

The following graph sets forth the historicalperformance of the Reference Asset based on the daily historical closing levels from December 24, 2007 through December 24, 2012.The closing level for the Reference Asset on December 24, 2012 was 1,426.66. We obtained the closing levels below from the BloombergProfessional service. We make no representation or warranty as to the accuracy or completeness of the informationobtained from the Bloomberg Professional service.

The historical levels of the ReferenceAsset should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Levelon the Final Valuation Date. We cannot give you assurance that the performance of the Reference Asset will result in the returnof any of your initial investment.

The historical levels of the SPX shouldnot be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SPXduring the Observation Period or on the Final Valuation Date.

License Agreement

Standard & Poorsand S&P are registered trademarks of Standard & Poors Financial Services LLC (S&P);Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarkshave been licensed for use by S&P Dow Jones Indices LLC. Standard & Poors, S&P500 and S&P are trademarks of S&P and have been licensed for use byS&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by HSBC. The S&P 500Index (the Index) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.

The Notes are not sponsored, endorsed,sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, S&PDow Jones Indices). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the holdersof the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularlyor the ability of the Index to track general market performance. S&P Dow Jones Indicess

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only relationship to HSBC withrespect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&PDow Jones Indices. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to HSBCor the Notes. S&P Dow Jones Indices has no obligation to take the needs of HSBC or the holders of the Notes intoconsideration in determining, composing or calculating the Index. S&P Dow Jones Indices is not responsible for andhas not participated in the determination of the prices, and amount of the Notes or the timing of the issuance or sale of theNotes or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&PDow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the Notes.There is no assurance that investment products based on the Index will accurately track index performance or provide positiveinvestment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security withinthe Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered tobe investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issueand/or sponsor financial products unrelated to the Notes currently being issued by HSBC, but which may be similar to andcompetitive with the Notes. In addition, CME Group Inc. and its affiliates may trade financial products which arelinked to the performance of the Index. It is possible that this trading activity will affect the value of the Indexand the Notes.

S&P DOW JONES INDICES DOES NOT GUARANTEETHE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDINGBUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOWJONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOWJONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FORA PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY HSBC, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THEUSE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVERSHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING,BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OFSUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTSOR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND HSBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

Events of Default and Acceleration

If the Notes have becomeimmediately due and payable following an event of default (as defined in the accompanying prospectus) with respect to the Notes,the Calculation Agent will determine the accelerated payment due and payable at maturity in the same general manner as describedin Payment at Maturity in this free writing prospectus. In that case, the scheduled trading day preceding the dateof acceleration will be used as the Final Valuation Date for purposes of determining the Final Level. If a market disruption eventexists with respect to the Reference Asset on that scheduled trading day, then the accelerated Final Valuation Date will be postponedfor up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date).The accelerated Maturity Date will then be the third business day following the postponed accelerated Final Valuation Date.

If the Notes have become immediately due and payablefollowing an event of default, you will not be entitled to any additional payments with respect to the Notes. For more information,see Description of Debt Securities Senior Debt Securities Events of Default in the accompanying prospectus.

Supplemental Plan of Distribution (Conflictsof Interest)

Pursuant to the terms of a distribution agreement, HSBCSecurities (USA) Inc., an affiliate of HSBC, will purchase the Notes from HSBC for distribution to J.P. Morgan Securities LLCand certain of its registered broker-dealer affiliates, acting as placement agent, at the price indicated on the cover ofthe pricing supplement, the document that will be filed pursuant to Rule 424(b)(2) containing the final pricing terms ofthe Notes. The placement agents for the Notes will receive a fee that will not exceed $12.50 per $1,000 Principal Amountof Notes. Certain fiduciary accounts purchasing the Notes will pay a purchase price of $987.50 per Note, and theplacement agents with respect to sales made to such accounts will forgo any fees.

In addition, HSBC Securities (USA) Inc. or another of its affiliatesor agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions after theinitial sale of the Notes, but is under no obligation to make a market in the Notes and may discontinue any market-makingactivities at any time without notice.

See Supplemental Plan of Distribution(Conflicts of Interest) on page S-49 in the prospectus supplement.

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used in this free writing prospectus are described or defined herein and in the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. The Notes will