Calculation
of Registration Fee
Title of Each Class of
Securities Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of
Registration Fee
(1)
|
|
Debt Securities
|
|
$480,000.00
|
|
$65.47
|
(1)
Calculated in accordance with Rule 457(r) of
the Securities Act of 1933, as amended.
Filed Pursuant
to Rule 424(b)(2)
Registration
No. 333-180289
PRICING
SUPPLEMENT
Dated March
25, 2013
(To Prospectus
dated March 22, 2012,
Prospectus
Supplement dated March 22, 2012 and
Equity
Index Underlying Supplement dated March 22, 2012)
HSBC USA Inc.
Buffered Uncapped Market Participation Securities
|
|
}
|
$480,000 Buffered Uncapped Market Participation Securities linked to the S&P 500
®
Low Volatility Index
|
|
|
}
|
Maturity of approximately three years
|
|
|
}
|
Exposure to any positive return in the reference asset
|
|
|
}
|
Protection from the first 15% of any losses in the reference asset.
|
|
|
}
|
All payments on the securities are subject to the credit risk of HSBC USA Inc.
|
The Buffered Uncapped Market
Participation Securities (each a “security” and collectively the “securities”) offered hereunder will not
be listed on any U.S. securities exchange or automated quotation system. The securities will not bear interest.
Neither the U.S. Securities
and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities
or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement 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 this pricing supplement in market-making transactions in any securities
after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is
being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page
PS-12 of this pricing supplement.
Investment in the securities
involves certain risks. You should refer to “Risk Factors” beginning on page PS-5 of this document, page S-3 of the
accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.
|
|
Price to Public
|
Underwriting Discount
1
|
Proceeds to Issuer
|
|
Per security
|
$1,000.00
|
$17.75
|
$982.25
|
|
Total
|
$480,000.00
|
$8,520.00
|
$471,480.00
|
1
HSBC USA Inc.
or one of our affiliates may pay varying underwriting discounts of up to 1.775% per $1,000 Principal Amount of the securities in
connection with the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page PS-12 of this pricing supplement.
The
securities:
|
Are Not FDIC Insured
|
Are Not Bank Guaranteed
|
May Lose Value
|
|
HSBC USA
Inc.
Buffered
Uncapped Market Participation Securities
|
|
Linked to the S&P 500
®
Low Volatility Index
This pricing supplement
relates to a single offering of Buffered Uncapped Market Participation Securities. The securities will have the terms described
in this pricing supplement 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 pricing supplement shall control.
You should be willing to forgo interest and dividend payments during the term of the securities and, if the Reference
Return is less than the Buffer Level, lose up to 85% of your principal.
This pricing supplement
relates to an offering of securities linked to the performance of the S&P 500
®
Low Volatility 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:
|
Issuer:
|
HSBC USA Inc.
|
|
Principal Amount:
|
$1,000 per security
|
|
Reference Asset:
|
The S&P 500
®
Low Volatility Index (Ticker: SP5LVI)
|
|
Trade Date:
|
March 25, 2013
|
|
Pricing Date:
|
March 25, 2013
|
|
Original Issue Date:
|
March 28, 2013
|
|
Final Valuation Date:
|
March 28, 2016, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
Maturity Date:
|
March 31, 2016.
The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
|
|
Upside Participation Rate:
|
100% (1.0x)
|
|
Payment at Maturity:
|
On the Maturity Date, for each security, we will pay you the Final Settlement Value.
|
|
Reference Return:
|
The quotient, expressed as a percentage, calculated as follows:
|
|
|
Final Level – Initial Level
Initial Level
|
|
Final Settlement Value:
|
If the Reference Return is greater than zero,
you
will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Reference Return × Upside Participation
Rate).
If the Reference Return is less than or equal to zero
but greater than or equal to the Buffer Level,
you will receive $1,000 per $1,000 Principal Amount of securities (zero
return).
If the Reference Return is less than the Buffer Level,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × (Reference Return + 15%)).
Under these circumstances, you will lose 1% of the Principal
Amount of your securities for each percentage point that the Reference Return is below the Buffer 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.
If the
Reference Return is less than the Buffer Level, you will lose up to 85% of your investment.
|
|
Buffer Level:
|
-15%
|
|
Initial Level:
|
4,892.67, which was 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 closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the level displayed on Bloomberg Professional
®
service page “SP5LVI <INDEX>”, or on any successor page on the Bloomberg Professional
®
service or any successor service, as applicable.
|
|
Form of Securities:
|
Book-Entry
|
|
Listing:
|
The securities will not be listed on any U.S. securities exchange or quotation system.
|
|
CUSIP/ISIN:
|
40432XCK5/US40432XCK54
|
|
|
GENERAL
This pricing supplement relates to an offering
of securities linked to the Reference Asset. The purchaser of a security will acquire a senior unsecured debt security of HSBC
USA Inc. Although the offering of securities relates to the Reference Asset, you should not construe that fact as a recommendation
as to the merits of acquiring an investment linked to the Reference Asset or any component security included in the Reference Asset
or as to the suitability of an investment in the securities.
You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement
dated March 22, 2012. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus
supplement, prospectus or Equity Index Underlying Supplement, the terms described in this pricing supplement shall control. You
should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-5 of this
pricing supplement, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the securities
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the securities. As used herein, references to the “Issuer”, “HSBC”,
“we”, “us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement
(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this
pricing supplement relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying
Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC
and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively,
HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement
and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
PAYMENT AT MATURITY
On the Maturity Date, for each security
you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:
If the Reference Return is greater than
zero
, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 ×
Reference Return × Upside Participation Rate).
If the Reference Return is less than
or equal to zero but greater than or equal to the Buffer Level,
you will receive $1,000 per $1,000 Principal Amount of securities
(zero return).
If the Reference Return is less than
the Buffer Level,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated
as follows:
$1,000 + ($1,000 ×
(Reference Return + 15%)).
Under these circumstances, you will lose
1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer 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.
You should be aware that if the Reference Return is less than the Buffer Level, you will lose up to 85% of your
investment.
Interest
The securities will not pay interest.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the securities.
Reference Sponsor
S&P
Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor
.
INVESTOR SUITABILITY
|
The securities may be suitable for you if:
|
The securities may not be suitable for you if:
|
|
|
|
|
}
You seek an investment with a return linked to the potential positive performance of the Reference Asset and you believe
the level of the Reference Asset will increase over the term of the securities.
}
You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage
point that the Reference Return is less than the Buffer Level of -15%.
}
You are willing to forgo dividends or other distributions paid to holders of the stocks comprising the Reference Asset.
}
You are willing to accept the risk and return profile of the securities versus a conventional debt security with a comparable
maturity issued by HSBC or another issuer with a similar credit rating.
}
You do not seek current income from your investment.
}
You do not seek an investment for which there is an active secondary market.
}
You are willing to hold the securities to maturity.
}
You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.
|
}
You believe the Reference Return will be negative or that the Reference Return will not be sufficiently positive to provide
you with your desired return.
}
You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage
point that the Reference Return is below the Buffer Level of -15%.
}
You seek an investment that provides full return of principal.
}
You prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable
maturities issued by HSBC or another issuer with a similar credit rating.
}
You prefer to receive the dividends or other distributions paid on the stocks comprising the Reference Asset.
}
You seek current income from your investment.
}
You seek an investment for which there will be an active secondary market.
}
You are unable or unwilling to hold the securities to maturity.
}
You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the securities.
|
RISK FACTORS
We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and on page S-1 of the accompanying Equity
Index Underlying Supplement. Investing in the securities is not equivalent to investing directly in any of the stocks comprising
the Reference Asset. You should understand the risks of investing in the securities and should reach an investment decision only
after careful consideration, with your advisors, of the suitability of the securities in light of your particular financial circumstances
and the information set forth in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the securities described in the following sections:
|
|
}
|
“— Risks Relating to All Note Issuances” in the prospectus supplement;
|
|
|
}
|
“— General risks related to Indices” in the Equity Index Underlying Supplement;
and
|
|
|
}
|
“— If the Reference Asset is or includes the S&P 500 Low Volatility Index or otherwise
includes an Index that tracks a low volatility index” in the Equity Index Underlying Supplement.
|
You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.
Your investment in the securities
may result in a loss.
You will be exposed to the decline in the
Final Level from the Initial Level beyond the Buffer Level of -15%. Accordingly, if the Reference Return is less than -15%, your
Payment at Maturity will be less than the Principal Amount of your securities. You will lose up to 85% of your investment at maturity
if the Reference Return is below the Buffer Level.
Credit risk of HSBC USA Inc.
The securities are senior unsecured debt
obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described
in the accompanying prospectus supplement and prospectus, the securities will rank on par with all of the other unsecured and unsubordinated
debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the securities,
including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a
result, the actual and perceived creditworthiness of HSBC may affect the market value of the securities and, in the event HSBC
were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities.
The securities will not bear interest.
As a holder of the securities, you will
not receive interest payments.
The Reference Asset has limited actual
historical information.
The Reference Asset was created in April
2011. The reference sponsor has published limited actual information about how the Reference Asset would have performed had it
been calculated in the past. Because the Reference Asset is of recent origin and limited actual historical performance data exists
with respect to it, your investment in the securities may involve a greater risk than investing in securities linked to one or
more indices with a more established record of performance.
Changes that affect the Reference
Asset will affect the market value of the securities and the amount you will receive at maturity.
The policies of the reference sponsor concerning
additions, deletions and substitutions of the constituents comprising the Reference Asset and the manner in which the reference
sponsor takes account of certain changes affecting those constituents may affect the level of the Reference Asset. The policies
of the reference sponsor with respect to the calculation of the Reference Asset could also affect the level of the Reference Asset.
The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset. Any such actions could affect
the value of the securities and the return on the securities.
The securities are not insured or
guaranteed by any governmental agency of the United States or any other jurisdiction.
The securities are not deposit liabilities
or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the securities is subject to the credit risk
of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at
Maturity of the securities.
Certain built-in costs are likely
to adversely affect the value of the securities prior to maturity.
While the Payment at Maturity described
in this pricing supplement is based on the full Principal Amount of your securities, the original issue price of the securities
includes the agent’s commission and the estimated cost of HSBC hedging its obligations under the securities. As a result,
the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase securities from you in secondary market transactions,
if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial
loss to you. The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
The securities lack liquidity.
The securities will not be listed on any
securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market, if
any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.
Potential conflicts.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the securities. We will not have any obligation to consider your interests as a holder
of the securities in taking any action that might affect the value of your securities.
Uncertain tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
ILLUSTRATIVE
EXAMPLES
The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the level of the Reference Asset relative to its Initial Level. We cannot predict the Final Level of
the Reference Asset. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events.
You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference
Asset or the return on your securities
.
The Final Settlement Value may be less than the amount that you would have received
from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers appearing
in the table below and following examples have been rounded for ease of analysis.
The table below illustrates the Final Settlement
Value on a $1,000 investment in securities for a hypothetical range of Reference Returns from -100% to +100%. The following results
are based solely on the assumptions outlined below. The “Hypothetical Return on the Security” as used below is the
number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount of securities
to $1,000. The potential returns described here assume that your securities are held to maturity. You should consider carefully
whether the securities are suitable to your investment goals. The following table and examples are based on the following:
|
}
|
Principal Amount:
|
$1,000
|
|
}
|
Initial Level:
|
4,892.67
|
|
}
|
Upside Participation Rate:
|
100%
|
|
}
|
Buffer Level:
|
-15%
|
|
Hypothetical
Final
Level
|
Hypothetical
Reference Return
|
Hypothetical
Payment
at Maturity
|
Hypothetical
Return
on the Security
|
|
9,785.34
|
100.00%
|
$2,000.00
|
100.00%
|
|
8,806.81
|
80.00%
|
$1,800.00
|
80.00%
|
|
7,828.27
|
60.00%
|
$1,600.00
|
60.00%
|
|
6,849.74
|
40.00%
|
$1,400.00
|
40.00%
|
|
6,360.47
|
30.00%
|
$1,300.00
|
30.00%
|
|
5,871.20
|
20.00%
|
$1,200.00
|
20.00%
|
|
5,626.57
|
15.00%
|
$1,150.00
|
15.00%
|
|
5,381.94
|
10.00%
|
$1,100.00
|
10.00%
|
|
5,137.30
|
5.00%
|
$1,050.00
|
5.00%
|
|
4,990.52
|
2.00%
|
$1,020.00
|
2.00%
|
|
4,941.60
|
1.00%
|
$1,010.00
|
1.00%
|
|
4,892.67
|
0.00%
|
$1,000.00
|
0.00%
|
|
4,843.74
|
-1.00%
|
$1,000.00
|
0.00%
|
|
4,794.82
|
-2.00%
|
$1,000.00
|
0.00%
|
|
4,648.04
|
-5.00%
|
$1,000.00
|
0.00%
|
|
4,158.77
|
-15.00%
|
$1,000.00
|
0.00%
|
|
3,914.14
|
-20.00%
|
$950.00
|
-5.00%
|
|
3,424.87
|
-30.00%
|
$850.00
|
-15.00%
|
|
2,935.60
|
-40.00%
|
$750.00
|
-25.00%
|
|
1,957.07
|
-60.00%
|
$550.00
|
-45.00%
|
|
978.53
|
-80.00%
|
$350.00
|
-65.00%
|
|
0.00
|
-100.00%
|
$150.00
|
-85.00%
|
The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.
Example 1: The level of the Reference
Asset increases from the Initial Level of 4,892.67 to a Final Level of 5,381.94.
|
|
|
|
Reference Return:
|
10.00%
|
|
Final Settlement Value:
|
$1,100.00
|
Because the Reference Return is positive,
the Final Settlement Value would be $1,100.00 per $1,000 Principal Amount of securities, calculated as follows:
$1,000 + ($1,000 × Reference
Return × Upside Participation Rate)
= $1,000 + ($1,000 × 10.00% ×
100%)
= $1,100.00
Example 1 shows that you will receive the
return of your principal investment plus a return equal to the Reference Return multiplied by the Participation Rate of 100% when
the Reference Asset appreciates.
Example 2: The level of the Reference
Asset decreases from the Initial Level of 4,892.67 to a Final Level of 4,648.04.
|
|
|
|
Reference Return:
|
-5.00%
|
|
Final Settlement Value:
|
$1,000.00
|
Because the Reference Return is less than
zero but greater than the Buffer Level of -15%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount of securities
(a zero return).
Example 3: The level of the Reference
Asset decreases from the Initial Level of 4,892.67 to a Final Level of 2,935.60.
|
|
|
|
Reference Return:
|
-40.00%
|
|
Final Settlement Value:
|
$750.00
|
Because the Reference
Return is less than the Buffer Level of -15%, the Final Settlement Value would be $750.00 per $1,000 Principal Amount of securities,
calculated as follows:
$1,000 + ($1,000 ×
(Reference Return + 15%))
= $1,000 + ($1,000
× (-40.00% + 15%))
= $750.00
Example 3 shows that
you are exposed on a 1-to-1 basis to declines in the level of the Reference Asset beyond the Buffer Level of -15%. YOU MAY
LOSE UP TO 85% OF THE PRINCIPAL AMOUNT OF YOUR SECURITIES.
THE S&P
500
®
LOW VOLATILITY INDEX (“SP5LVI”)
Description of the Reference Asset
The
SP5LVI measures the performance of the 100 least volatile stocks over the previous year in the S&P 500
®
Index.
It is designed to serve as a benchmark for low volatility strategies in the U.S. stock market
.
As of the February 2013
rebalancing, the sector weightings in the SP5LVI were as follows: Consumer Discretionary: 2.78%, Consumer Staples: 27.31%, Energy:
1.80%, Financials: 10.65%, Healthcare: 11.58%, Industrials: 6.32%, Information Technology: 3.61%, Materials: 2.55%, Telecommunication
Services: 2.76% and Utilities: 30.64%.
For more information about the SP5LVI,
see “The S&P 500
Low Volatility Index”
on page S-18 of the accompanying Equity Index UnderlyingSupplement.
Hypothetical and Actual
Historical
Performance of the SP5LVI
The following graph sets forth the hypothetical
back-tested performance of the SP5LVI from February 25, 2008 through April 19, 2011 and the historical performance of the SP5LVI
from April 20, 2011 to March 25, 2013. The SP5LVI has only been calculated since April 20, 2011. The hypothetical back-tested performance
of the SP5LVI set forth in the following graph was calculated using the selection criteria and methodology employed to calculate
the SP5LVI since its inception on April 20, 2011. However, the hypothetical back-tested SP5LVI data only reflects the application
of that methodology in hindsight, since the SP5LVI was not actually calculated and published prior to April 20, 2011. The hypothetical
back-tested SP5LVI data cannot completely account for the impact of financial risk in actual trading. There are numerous factors
related to the equities markets in general that cannot be, and have not been, accounted for in the hypothetical back-tested SP5LVI
data, all of which can affect actual performance. Consequently, you should not rely on that data as a reflection of what the actual
SP5LVI performance would have been had the index been in existence or in forecasting future SP5LVI performance. Because the SP5LVI
is a price return index, and not a total return index, the data presented below does not reflect the payment of dividends. The
graph below also reflects the actual closing levels from April 20, 2011 to March 25, 2013 that we obtained from the Bloomberg Professional
®
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional
®
service. The closing level for the SP5LVI on March 25, 2013 was 4,892.67. The hypothetical
and actual performance is not necessarily an indication of future results.
Source: Bloomberg Professional
®
service
The hypothetical and actual historical
levels of the SP5LVI should not be taken as an indication of future performance, and no assurance can be given as to the Official
Closing Level of the SP5LVI on the Final Valuation Date.
The tables below are a comparison of the
1997 through 2012 annual returns and the 1,3,5,10,15 and 20 year annualized returns and standard deviations for the S&P 500
®
Low Volatility Index and the S&P 500
®
Index. The SP5LVI has only been calculated since April 20, 2011. Accordingly,
while the hypothetical tables set forth below are based on the selection criteria and methodology described herein and in the Equity
Index Underlying Supplement, the SP5LVI was not actually calculated and published prior to April 20, 2011. The hypothetical and
actual historical performance is not necessarily an indication of future results. Because the SP5LVI is a price return index, and
not a total return index, the return data presented below does not reflect the payment of dividends.
|
Annual Returns¹
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
1997
|
26.27%
|
31.01%
|
|
1998
|
4.80%
|
26.67%
|
|
1999
|
-10.72%
|
19.53%
|
|
2000
|
20.68%
|
-10.14%
|
|
2001
|
1.54%
|
-13.04%
|
|
2002
|
-9.83%
|
-23.37%
|
|
2003
|
19.43%
|
26.38%
|
|
2004
|
14.38%
|
8.99%
|
|
2005
|
-0.67%
|
3.00%
|
|
2006
|
16.49%
|
13.62%
|
|
2007
|
-2.16%
|
3.53%
|
|
2008
|
-23.61%
|
-38.49%
|
|
2009
|
15.52%
|
23.45%
|
|
2010
|
9.79%
|
12.78%
|
|
2011
|
10.88%
|
0.00%
|
|
2012
|
6.70%
|
13.41%
|
¹ Annual Return is a return an
investment provides over a period of one year, expressed as (a) the difference between ending level and starting level, divided
by (b) starting level.
|
Annualized Return² Data as of December 31, 2012
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
1 Yr.
|
6.70%
|
13.41%
|
|
3 Yrs.
|
9.11%
|
8.55%
|
|
5 Yrs.
|
2.77%
|
-0.58%
|
|
10 Yrs.
|
5.89%
|
4.95%
|
|
15 Yrs.
|
4.12%
|
2.60%
|
|
20 Yrs.
|
6.45%
|
6.11%
|
² Annualized return is a return
an investment provides over a period of time, representing a geometric average of annual returns over that period. The geometric
average of annual returns represents the average rate per year on an investment that is compounded over a period of several years.
|
Annualized Standard Deviation³
|
|
|
|
|
|
S&P 500
®
Low Volatility Index
|
S&P 500
®
Index
|
|
|
1 Yr.
|
6.03%
|
10.56%
|
|
|
3 Yrs.
|
8.86%
|
15.34%
|
|
|
5 Yrs.
|
12.65%
|
19.06%
|
|
|
10 Yrs.
|
10.16%
|
14.78%
|
|
|
15 Yrs.
|
11.78%
|
16.24%
|
|
|
20 Yrs.
|
11.27%
|
15.11%
|
|
³ Standard Deviation is a statistical
measure of the distance a quantity is likely to lie from its average value. In finance, standard deviation is applied to the annual
rate of return of an investment, to measure the investment's volatility, or “risk”.
Sector Weightings
The table below shows the current weight,
average weight and maximum weight of each industry sector included in the SP5LVI. The SP5LVI has only been calculated since April
20, 2011. Accordingly, while the hypothetical tables set forth below are based on the selection criteria and methodology described
herein and in the Equity Index Underlying Supplement, the SP5LVI was not actually calculated and published prior to April 20, 2011.
No assurance can be given that these weightings will not change.
The hypothetical back-tested weights
of the SP5LVI set forth above were calculated using the selection criteria and methodology employed to calculate the SP5LVI since
its inception on April 20, 2011.
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®
and S&P
®
are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones
®
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for use by S&P Dow Jones Indices LLC. “Standard & Poor’s
®
”, “S&P 500
®
”
and “S&P
®
” are trademarks of S&P and have been licensed for use by S&P Dow Jones Indices
LLC and its affiliates and sublicensed for certain purposes by HSBC. The S&P 500
®
Low Volatility Index
(the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.
The securities are not sponsored, endorsed, sold or promoted
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