HSBC Accelerated Market Participation Notes, Series 1

Secondary market price*:
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HSBC “Accelerated Market Participation” Notes, Series 1 (the "Note Securities") are principal at risk Note Securities issued by HSBC. The return on the Note Securities is linked to the change in the value (positive or negative) of a notional Portfolio (the “Portfolio”) comprised of three (3) equity indices and one (1) exchange traded index fund (each a “Reference Asset”, collectively, the “Reference Assets”), equally weighted. The performance (positive or negative) of each Reference Asset will be measured from its Initial Value to its Final Value in order to calculate its Reference Asset Return. Each Reference Asset Return will then be weighted equally within the notional Portfolio and will be used to calculate the Portfolio Return and the Maturity Payment Amount. No interest or other amount will be paid during the Term of the Note Securities.

Key features

Issue date: 1 February 2012
Maturity date: 1 February 2017
Note term: 5 years
CUSIP #: CA40427HSN49
Currency: CAD
Upside Participation Rate: 200%
Maximum Cap: 110%
Selling agent fees: CAD3.00 per Note Security

Highlights

  • Non-Principal Protected: 99% of an Investor’s Principal investment is fully exposed
  • Private Placement: Available to Accredited Investors Only
  • Eligible for registered accounts

Maturity Payment Amount Scenarios:

Positive Portfolio Return
If the Portfolio Return is calculated to be greater than 0% on the Final Valuation Date, Investors will be entitled to receive at maturity a Maturity Payment Amount per Note Security equal to the Principal Amount plus the product of the Principal Amount multiplied by Variable Return, according to the following formula:

Principal Amount + (Principal Amount x Variable Return)

The Variable Return is subject the Cap and will be a number expressed as a percentage, calculated as the product of a) the Participation Rate multiplied by b) the Portfolio Return, according to the following formula:

(Participation Rate x Portfolio Return), subject to the Cap of 110%

As a result of the Cap, the Variable Return cannot exceed 110%, regardless of the extent, if at all, that the actual percentage increase in the price performance of the Reference Asset Returns or the Portfolio Return may exceed 110%. Therefore, the maximum amount of cumulative interest that may be payable is $110.00 per Note Security if held to maturity. See “Risk Factors”.

Negative Portfolio Return
If the Portfolio Return is calculated to be 0% or less than 0% on the Final Valuation Date, Investors will be entitled to receive a Maturity Payment Amount per Note Security equal to the Principal Amount plus the product of a) the Principal Amount multiplied by b) the Portfolio Return, according to the following formula:

Principal Amount + (Principal Amount x Portfolio Return)

An Investor will lose 1% of the Principal Amount invested per Note Security for every 1% that the Portfolio Return is less than 0%, subject to a minimum Maturity Payment Amount of 1% of the original Principal Amount invested. As a result, the Note Securities are not suitable for Investors who cannot withstand a loss of up to 99% of their initial investment.

Underlying asset(s)

Reference Asset Ticker Weighting Ticker Weighting Initial Value
S&P TSX60® Index SPTSX60 1/4 710.77
S&P 500® Index SPX 1/4 1,318.43
Taiwan TAIEX Index TWSE 1/4 7,407.41
iShares®MSCI Brazil Index Fund EWZ 1/4 65.91

Early trading charges/Secondary market

As a result of hold periods and resale restrictions under applicable securities laws, Investors will not be able to sell their Note Securities within the first four (4) months following the Issue Date except in compliance with applicable securities laws. HSBC Securities intends, in normal market conditions, but is under no obligation, to use reasonable efforts to have posted on FundSERV a daily secondary price for the Note Securities. If a secondary market develops, it may be suspended or discontinued at any time without notice to Investors. After the 4 month hold period (June 2, 2012) following the Issue Date, any sales of Note Securities prior to maturity may be subject to an “Early Trading Charge” which will be equal to a percentage of the bid price for the Note Securities posted on FundSERV and will be determined as follows:

Time period Early trading charge
June 2, 2012 to and including August 1, 2012 4.00%
August 2, 2012 to and including Feb 1, 2013 2.00%
February 2, 2013 to and including the Maturity Date 0.00%

During the term of the Notes, you may inquire as to the net asset value of a Note or the level of the underlying Index and how it relates to the Variable Return that may be payable under the Notes, if any, by contacting HSBC at the number below.

Please see the Information Statement for further details or contact your investment advisor.

Additional information

Please do not hesitate to call us at +1 866 511 4722 or send us an e-mail for more information.

*The secondary market price for a Note Security, if available, represents the bid price of such Note Security as a percentage (%) of the original principal amount invested. The bid price stated is only as of the date indicated.