Calculation
of Registration Fee
Title of Each Class of
Securities Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of
Registration Fee
(1)
|
|
Debt Securities
|
|
$2,402,000.00
|
|
$327.64
|
(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.
50/150 Performance Securities
Linked to the S&P 500
®
Low Volatility Index
|
|
}
|
$2,402,000 50/150 Performance Securities linked to the S&P 500
®
Low Volatility Index
|
|
|
}
|
The S&P 500
®
Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P
500
®
Index
|
|
|
}
|
1.5x uncapped exposure to any positive return in the reference asset
|
|
|
}
|
0.5x exposure to any negative return in the reference asset
|
|
|
}
|
All payments on the securities are subject to the credit risk of HSBC USA Inc.
|
The 50/150 Performance 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 Equity Index Underlying Supplement, prospectus or
prospectus 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
|
$35
|
$965
|
|
Total
|
$2,402,000
|
$84,070
|
$2,317,930
|
1
HSBC USA Inc.
or one of our affiliates may pay varying underwriting discounts of up to 3.50% and referral fees of up to 2.20% per $1,000 Principal
Amount of securities in connection with the distribution of the securities to other registered broker-dealers. In no case will
the sum of the underwriting discounts and the referral fees exceed 4.70% per $1,000 Principal Amount. 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.
50/150
Performance Securities
|
|
Linked to the S&P 500
®
Low Volatility Index
This offering of securities
has the terms described in this pricing supplement and the accompanying Equity Index Underlying Supplement, prospectus supplement
and prospectus. If the terms of the securities offered hereby are inconsistent with those described in the accompanying Equity
Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement shall control.
You should be willing to forgo interest and dividend payments during the term of the securities.
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:
|
September 25
, 2018.
The Final Valuation Date is subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
|
|
Maturity Date:
|
September 28, 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.
|
|
Upside Participation Rate:
|
150% (1.5x)
|
|
Downside Participation Rate
|
50% (0.5x)
|
|
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 or equal to
zero,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to:
$1,000 + ($1,000 × Reference Return × Upside Participation
Rate).
If the Reference Return is less than zero
, you
will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to:
$1,000 + ($1,000 × Reference Return x Downside Participation
Rate).
Under these circumstances, you will lose 0.5% of the Principal Amount
of your securities for each percentage point that the Reference Return is below zero. For example, if the Reference Return is -30%,
you will suffer a 15% loss and receive 85% of the Principal Amount.
If the Reference Return is less than the zero, you will
lose up to 50% of your investment, subject to the credit risk of HSBC.
|
|
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:
|
40432XC66/US40432XC666
|
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 Equity
Index Underlying Supplement, prospectus supplement or prospectus, 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 or equal to zero
, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal
to:
$1,000 + ($1,000
× Reference Return × Upside Participation Rate).
If the Reference Return is less than
zero,
you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, equal to:
$1,000 + ($1,000
× Reference Return × Downside Participation Rate).
Under these circumstances, you will lose
0.5% of the Principal Amount of your securities for each percentage point that the Reference Return is below zero. For example,
if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount.
If the Reference Return
is less than zero, you will lose up to 50% of your investment, subject to the credit risk of HSBC.
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 an enhanced 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 on a 0.5-to-1 basis to declines in the level of the Reference Asset.
}
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 on a 0.5-to-1 basis to declines in the level of the Reference Asset.
}
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 on a 0.5-to-1 basis
to declines in the level of the Reference Asset. Accordingly, if the Reference Return is less than zero, your Payment at Maturity
will be less than the Principal Amount of your securities. You will lose up to 50% of your investment at maturity if the Reference
Return is negative, subject to the credit risk of HSBC.
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 actual
Final Level. 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 +60%. 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 Final Settlement Value 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
terms:
|
}
|
Principal Amount:
|
$1,000
|
|
}
|
Upside Participation Rate:
|
150% (1.5x)
|
|
}
|
Downside Participation Rate:
|
50% (0.5x)
|
|
}
|
Initial Level:
|
4,892.67
|
|
Hypothetical
Final Level
|
Hypothetical
Reference Return
|
Hypothetical
Final Settlement Value
|
Hypothetical
Return on the Security
|
|
7,828.27
|
60.00%
|
$1,900
|
90.00%
|
|
6,849.74
|
40.00%
|
$1,600
|
60.00%
|
|
6,360.47
|
30.00%
|
$1,450
|
45.00%
|
|
5,871.20
|
20.00%
|
$1,300
|
30.00%
|
|
5,626.57
|
15.00%
|
$1,225
|
22.50%
|
|
5,381.94
|
10.00%
|
$1,150
|
15.00%
|
|
5,137.30
|
5.00%
|
$1,075
|
7.50%
|
|
4,990.52
|
2.00%
|
$1,030
|
3.00%
|
|
4,941.60
|
1.00%
|
$1,015
|
1.50%
|
|
4,892.67
|
0.00%
|
$1,000
|
0.00%
|
|
4,843.74
|
-1.00%
|
$995
|
-0.50%
|
|
4,794.82
|
-2.00%
|
$990
|
-1.00%
|
|
4,648.04
|
-5.00%
|
$975
|
-2.50%
|
|
4,403.40
|
-10.00%
|
$950
|
-5.00%
|
|
4,158.77
|
-15.00%
|
$925
|
-7.50%
|
|
3,914.14
|
-20.00%
|
$900
|
-10.00%
|
|
3,424.87
|
-30.00%
|
$850
|
-15.00%
|
|
2,935.60
|
-40.00%
|
$800
|
-20.00%
|
|
1,957.07
|
-60.00%
|
$700
|
-30.00%
|
|
978.53
|
-80.00%
|
$600
|
-40.00%
|
|
0.00
|
-100.00%
|
$500
|
-50.00%
|
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 6,849.74.
|
|
|
|
Reference Return:
|
40%
|
|
Final Settlement Value:
|
$1,600
|
Because the Reference Return is positive,
the Final Settlement Value would be $1,600 per $1,000 Principal Amount of securities, calculated as follows:
|
$1,000 + ($1,000 × Reference Return × Upside Participation Rate)
|
|
= $1,000 + ($1,000 × 40% × 150%)
|
|
= $1,600
|
Example 1 shows that you will receive
the return of your principal investment plus a return equal to the Reference Return multiplied by the Upside Participation Rate
of 150% (1.5x) when such Reference Return is positive.
Example 2: 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%
|
|
Final Settlement Value:
|
$800
|
Because the Reference
Return is less than zero, the Final Settlement Value would be $800 per $1,000 Principal Amount of securities, calculated as follows:
|
$1,000 + ($1,000 × Reference Return × Downside Participation Rate)
|
|
= $1,000 + ($1,000 × -40% × 50%)
|
|
= $800
|
Example 2 shows that you
are exposed on a 0.5-to-1 basis to declines in the level of the Reference Asset. YOU MAY LOSE UP TO 50% (0.5x) OF THE PRINCIPAL
AMOUNT OF YOUR SECURITIES, SUBJECT TO THE CREDIT RISK OF HSBC.
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 Underlying
Supplement.
Hypothetical and Actual
Historical Performance of the SP5LVI
The following graph sets forth the hypothetical
back-tested performance of the SP5LVI from March 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
.
License Agreement
Standard
& Poor’s
®
and S&P
®
are registered trademarks of Standard & Poor’s Financial
Services LLC (“S&P”); Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow
Jones”); and these trademarks have been licensed 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 SP5LVI (the “Index”)
is a product of S&P Dow Jones Indices LLC, and has been licensed for use by HSBC.
The
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