Calculation
of Registration Fee
Title of Each Class of
Securities Offered |
|
Maximum Aggregate
Offering Price |
|
Amount of
Registration Fee(1) |
Debt Securities |
|
$6,986,000 |
|
$ 809.68 |
(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. 333-202524
March 28, 2017
PRICING SUPPLEMENT
(To Prospectus dated March 5, 2015,
Prospectus Supplement dated March 5, 2015
and
Equity Index Underlying Supplement dated
March 5, 2015)
HSBC USA Inc.
Autocallable Barrier Notes
with Contingent Return
| 4 | $6,986,000 Autocallable Barrier Notes with Contingent Return Linked to the Least Performing of the S&P 500®
Index and the Russell 2000® Index |
| 4 | Quarterly contingent coupon payments at a rate of 1.9375% (or 7.75% per annum), payable in equal installments if the closing
level of each underlying on the applicable coupon observation date is greater than or equal to 70% of its initial level |
| 4 | Automatically callable quarterly on or after September 26, 2017 at the principal amount plus the applicable contingent coupon
if the closing level of each underlying is at or above its initial level |
| 4 | If the Notes are not called and a Trigger Event occurs, full exposure to declines in the least performing reference asset if
its return is less than -30% |
| 4 | All payments on the Notes are subject to the credit risk of HSBC USA Inc. |
The Autocallable
Barrier Notes with Contingent Return (each a “Note” and collectively the “Notes”) offered hereunder will
not be listed on any U.S. securities exchange or automated quotation system.
Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Notes 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 Notes. HSBC Securities (USA) Inc. will purchase the Notes from us
for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. or
another of its affiliates or agents may use this pricing supplement in market-making transactions in any Notes 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-14 of this pricing supplement.
Investment in the Notes involves certain
risks. You should refer to “Risk Factors” beginning on page PS-7 of this document, page S-1 of the accompanying prospectus
supplement and page S-2 of the accompanying Equity Index Underlying Supplement.
The Estimated Initial Value of the Notes
on the Pricing Date is $988.50 per Note, which is less than the price to public. The market value of the Notes at any time will
reflect many factors and cannot be predicted with accuracy. See “Estimated Initial Value” on page PS-3 and “Risk
Factors” beginning on page PS-7 of this document for additional information.
|
Price to Public |
Underwriting Discount1 |
Proceeds to Issuer |
Per Note |
$1,000.00 |
$3.50 |
$996.50 |
Total |
$6,986,000.00 |
$24,451.00 |
$6,961,549.00 |
1HSBC USA Inc. or one of our
affiliates may pay varying underwriting discounts of up to 0.35% and referral fees of up to 0.60% per $1,000 Principal Amount of
Notes in connection with the distribution of the Notes to other registered broker-dealers. In no case will the sum of the underwriting
discounts and referral fees exceed 0.60% per $1,000 Principal Amount. See “Supplemental Plan of Distribution (Conflicts of
Interest)” on page PS-14 of this pricing supplement.
The Notes:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
HSBC USA Inc. |
|
12-Month Autocallable
Barrier Notes with Contingent Return
This pricing supplement
relates to a single offering of Autocallable Barrier Notes with Contingent Return. The offering 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 Notes 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.
This pricing supplement
relates to an offering of Notes linked to the least performing of two indices. The purchaser of a Note will acquire a senior unsecured
debt security of HSBC USA Inc. as described below. The following key terms relate to the offering of Notes:
Issuer: |
HSBC USA Inc. |
Principal Amount: |
$1,000 per Note |
Reference Asset: |
The S&P 500® Index (“SPX”) and the Russell 2000® Index (“RTY”) (each, an “Underlying” and together, the “Underlyings”) |
Trade Date: |
March 28, 2017 |
Pricing Date: |
March 28, 2017 |
Original Issue Date: |
March 31, 2017 |
Final Valuation Date: |
March 26, 2018, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
Maturity Date: |
March 29, 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. |
Call Feature: |
We will automatically call the Notes if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after September 26, 2017. If the Notes are automatically called, you will receive the Principal Amount plus the applicable Contingent Coupon on the corresponding Call Payment Date. |
Contingent Coupon Rate: |
7.75% per annum, which equals 1.9375% per quarter payable in equal installments. |
Contingent Coupon: |
If the Official Closing Level of each Underlying is greater
than or equal to its Coupon Trigger on the relevant Coupon Observation Date, you will receive the Contingent Coupon on
the applicable Coupon Payment Date.
If the Official Closing Level of either Underlying is
less than its Coupon Trigger on the relevant Coupon Observation Date, the Contingent Coupon applicable to such Coupon
Observation Date will not be payable.
You may not receive any Contingent Coupons over the
term of the Notes. |
Coupon Trigger: |
1,650.999 with respect to the SPX, and 957.0827 with respect to the RTY, each of which is 70% of its Initial Level. |
Barrier Level: |
1,650.999 with respect to the SPX, and 957.0827 with respect to the RTY, each of which is 70% of its Initial Level. |
Payment at Maturity: |
Unless the Notes are automatically called, on the Maturity Date, for each $1,000 Principal Amount of Notes, we will pay you the Final Settlement Value. |
Final Settlement Value: |
4 If
a Trigger Event does not occur, 100% of the Principal Amount plus the final coupon.
4 If
a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or zero, 100% of the Principal Amount
plus the final coupon.
4 If
a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative, 100% of the Principal Amount multiplied
by the sum of one plus the Final Return of the Least Performing Underlying plus the final coupon if applicable. In such a case,
you may lose up to 100% of your Principal Amount regardless of the performance of the other Underlying. |
Trigger Event: |
A Trigger Event occurs if the Official Closing Level of either Underlying is below its Trigger Level on any trading day during the Observation Period. |
Trigger Level: |
For each Underlying, 70% of the Initial Level of such Underlying. |
Least Performing Underlying: |
The Underlying with the lowest Final Return. |
Observation Period: |
The period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under “Additional Terms of the Notes―Observation Periods” in the accompanying Equity Index Underlying Supplement. |
Coupon Observation Dates: |
June 26, 2017, September 26, 2017, December 26, 2017 and March 26, 2018 (the Final Valuation Date). The Coupon Observation Dates are subject to postponement as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
Coupon Payment Dates: |
June 29, 2017, September 29, 2017, December 29, 2017 and the Maturity Date. The Coupon Payment Dates are subject to postponement as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. |
Call Observation Dates: |
The Coupon Observation Dates on or after September 26, 2017 and ending on December 26, 2017 |
Call Payment Dates: |
The relevant Coupon Payment Date on or after September 29, 2017 and ending on December 29, 2017 |
Final Return: |
With respect to each Underlying, the quotient,
expressed as a percentage, calculated as follows:
Final Level – Initial Level
Initial Level |
Initial Level: |
2,358.57 with respect to the SPX, and 1,367.261 with respect to the RTY, each of which was its Official Closing Level on the Pricing Date. |
Final Level: |
With respect to each Underlying, its Official Closing Level on the Final Valuation Date. |
Official Closing Level: |
With respect to each Underlying, the Official Closing Level on any trading day will be determined by the calculation agent based upon the closing level of such index, displayed on the following pages on the Bloomberg Professional® service: for the SPX, page “SPX <INDEX>” and for the RTY, page “RTY <INDEX>” or, for each Underlying, if the closing level is not so displayed, any successor page on the Bloomberg Professional® service or any successor service, as applicable. |
CUSIP/ISIN: |
40433UV86 / US40433UV868 |
Form of Notes: |
Book-Entry |
Listing: |
The Notes will not be listed on any U.S. securities exchange or quotation system. |
Estimated Initial Value: |
The Estimated Initial Value of the Notes is less than the price you pay to purchase the Notes. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. See “Risk Factors—The Estimated Initial Value of the Notes, which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the Notes in the secondary market, if any.” |
GENERAL
This pricing supplement relates to the
offering of Notes identified on the cover page. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA
Inc. Although the offering of Notes relates to the Underlyings, you should not construe that fact as a recommendation as to the
merits of acquiring an investment linked to either Underlying or any component security included in any Underlying or as to the
suitability of an investment in the Notes.
You should read this document together
with the prospectus dated March 5, 2015, the prospectus supplement dated March 5, 2015 and the Equity Index Underlying Supplement
dated March 5, 2015. If the terms of the Notes 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-7 of this
pricing supplement, beginning on page S-1 of the prospectus supplement and beginning on page S-2 of the Equity Index Underlying
Supplement, 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 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 ON THE NOTES
Call Feature
The Notes will be automatically
called if the Official Closing Value of each and every Underlying is at or above its Initial Value on any Call Observation Date.
If the Notes are automatically called, investors will receive a cash payment, per $1,000 Principal Amount of Notes, equal to the
Principal Amount, plus the applicable Contingent Coupon.
Contingent Coupon
We will pay a quarterly Contingent Coupon
payment on a Coupon Payment Date if the Official Closing Level of each Underlying on the applicable Coupon Observation Date is
equal to or greater than its Coupon Trigger. Otherwise, no coupon will be paid on such Coupon Payment Date. For information regarding
the record dates applicable to the Contingent Coupons payable on the Notes, please see the section entitled “Recipients of
Interest Payments” beginning on page S-12 in the accompanying prospectus supplement. The Contingent Coupon Rate is 7.75%
per annum ($19.375 per $1,000 in Principal Amount per quarter, if payable, payable in equal installments).
Maturity
Unless the Notes are automatically called,
on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a cash payment equal to the final coupon payment
(if applicable) plus the Final Settlement Value determined as follows:
| 4 | If a Trigger Event does not occur, 100% of the Principal Amount. |
| 4 | If a Trigger Event occurs and the Final Return of the Least Performing
Underlying is positive or zero, 100% of the Principal Amount. |
| 4 | If a Trigger Event occurs and the Final Return of the Least Performing
Underlying is negative, 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least Performing
Underlying, which will result in a Final Settlement Value less than the Principal Amount. |
Observation Period
The period from but excluding the Trade
Date to and including the Final Valuation Date, subject to adjustment as described under “Additional
Terms of the Notes―Observation Periods” in the accompanying Equity Index Underlying Supplement.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the Notes.
Reference Sponsors
With
respect to the SPX, S&P
Dow Jones Indices LLC, a division of S&P Global, is the reference sponsor. With respect to the RTY, FTSE Russell is the reference
sponsor.
INVESTOR SUITABILITY
The Notes may be suitable for you
if:
| 4 | You believe that the Official Closing Level of each of the Underlyings will not be below its Trigger
Level on any trading day during the Observation Period. |
| 4 | You are willing to accept that the quarterly Contingent Coupon is payable only if the Official
Closing Level of each Underlying is greater than or equal to its Coupon Trigger on the applicable Coupon Observation Date. |
| 4 | You do not seek an investment that provides an opportunity to participate in the appreciation of
either Underlying. |
| 4 | You are willing to make an investment that is exposed to the potential downside performance of
the Least Performing Underlying on a 1-to-1 basis if the Final Return of the Least Performing Underlying is less than -30%. |
| 4 | You are willing to hold Notes that will be automatically called on any Call Observation Date on
which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise willing to hold the
Notes to maturity. |
| 4 | You do not seek an investment for which there will be an active secondary market. |
| 4 | You are willing to forgo dividends or other distributions paid to holders of the stocks included
in the Underlyings. |
| 4 | You are willing to accept the risk and return profile of the Notes versus a conventional debt security
with a comparable maturity issued by HSBC or another issuer with a similar credit rating. |
| 4 | You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes. |
The Notes may not
be suitable for you if:
| 4 | You believe that the Official Closing Level of one or both of the Underlyings will be below its
Trigger Level on any trading day during the Observation Period. |
| 4 | You believe the Contingent Coupons will not provide you with your desired return. |
| 4 | You seek an investment that provides an opportunity to participate in the appreciation of either
Underlying. |
| 4 | You are unwilling to make an investment that is exposed to the potential downside performance of
the Least Performing Underlying on a 1-to-1 basis if the Final Return of the Least Performing Underlying is less than -30%. |
| 4 | You are unable or unwilling to hold Notes that will be automatically called on any Call Observation
Date on which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise unable or unwilling
to hold the Notes to maturity. |
| 4 | You prefer to receive guaranteed periodic interest payments on the Notes. |
| 4 | You seek an investment for which there will be an active secondary market. |
| 4 | You are not willing to forgo dividends or other distributions paid to holders of the stocks included
in the Underlyings. |
| 4 | 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. |
| 4 | You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of
the Notes. |
RISK FACTORS
We urge you to read the section “Risk
Factors” beginning on page S-1 in the accompanying prospectus supplement and beginning on page S-2 of the accompanying
Equity Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks included
in either Underlying. You should understand the risks of investing in the Notes and should reach an investment decision only after
careful consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstances
and the information set forth in this pricing supplement and the accompanying prospectus, prospectus supplement and Equity Index
Underlying Supplement.
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 Notes described in the following sections:
| 4 | “—Risks Relating to All Note Issuances” in the prospectus supplement; and |
| 4 | “—General Risks Related to Indices” in the Equity Index Underlying Supplement. |
You will be subject to
significant risks not associated with conventional fixed-rate or floating-rate debt securities.
The Notes do not guarantee return
of principal and you may lose all of your Principal Amount.
The Notes do not guarantee any return of
principal. The Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notes
if the Notes are not automatically called and the Final Level of the Least Performing Underlying is less than its Barrier Level.
In this case, the Payment at Maturity you will be entitled to receive will be less than the Principal Amount of the Notes and you
will lose 1% for each 1% that the Final Return of the Least Performing Underlying is less than its Initial Level. You may lose
up to 100% of your investment at maturity.
You may not receive any Contingent
Coupons.
We will not necessarily make periodic coupon
payments on the Notes. If the Official Closing Price of either Underlying on a Coupon Observation Date is less than its Coupon
Trigger, we will not pay you the Contingent Coupon applicable to that Coupon Observation Date. If on each of the Coupon Observation
Dates, the Official Closing Price of either Underlying is less than its Coupon Trigger, we will not pay you any Contingent Coupons
during the term of, and you will not receive a positive return on, the Notes. Generally, this non-payment of the Contingent Coupon
coincides with a period of greater risk of principal loss on the Notes.
Your return on the Notes is limited
to the principal amount plus the Contingent Coupon, if any, regardless of any appreciation in the level of either Underlying.
If the Notes are called, for each $1,000
in principal amount, you will receive $1,000 at maturity plus the Contingent Coupon, regardless of any appreciation in the level
of either Underlying, which may be significant. Accordingly, an investment in the Notes may have a lower return than an investment
in the stocks represented by an Underlying during the term of the Notes.
The Notes are subject to the credit
risk of HSBC USA Inc.
The Notes 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 Notes 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 Notes,
including any Contingent Coupons and any return of principal at maturity or upon early redemption, as applicable, 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 Notes 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 Notes.
Changes that affect the Underlyings
may affect the market value of the Notes and the amount you will receive at maturity.
The policies
of the reference sponsor of each Underlying concerning additions, deletions and substitutions of the constituents included in that
Underlying and the manner in which the reference sponsor takes account of certain changes affecting those constituents may affect
the level of that Underlying. The policies of the reference sponsor with respect to the calculation of the relevant Underlying
could also affect the level of that Underlying. The reference sponsor may discontinue or suspend calculation or dissemination of
the relevant Underlying. Any such actions could affect the value of the Notes and their return.
If the Notes are not called and a
Trigger Event occurs with respect to any Underlying, your return will be based on the Final Return of the Least Performing Underlying.
The performance
of either of the Underlyings may cause a Trigger Event to occur. If a Trigger Event occurs and the Notes are not automatically
called, your return will be based on the Final Return of the Least Performing Underlying without regard to the performance of the
other Underlying or which Underlying caused the Trigger Event to occur. As a result, you could lose all or some of your initial
investment if the Final Return of the Least Performing Underlying is negative and a Trigger Event occurs, even if there is an increase
in the level of the other Underlying. This could be the case even if the other Underlying caused the Trigger Event to occur or
the other Underlying increased by an amount greater than the decrease in the Least Performing Underlying.
Since the Notes are linked to the
performance of more than one Underlying, you will be fully exposed to the risk of fluctuations in the level of each Underlying.
Since
the Notes are linked to the performance of more than one Underlying, the Notes will be linked to the individual performance of
each Underlying. Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among all
of the components of a basket, you will be exposed to the risk of fluctuations in the level of each Underlying. For example, in
the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components
reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another
basket component, as scaled by the weightings of such basket components. However, in the case of these Notes, the individual performance
of each of the Underlyings would not be combined to calculate your return and the depreciation of either Underlying would not be
mitigated by the appreciation of the other Underlying. Instead, your return would depend on the Least Performing Underlying.
The Notes may be automatically called
prior to the Maturity Date.
If the
Notes are automatically called early, the holding period could be as little as 6 months. There is no guarantee that you would be
able to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the
Notes are automatically called prior to the Maturity Date.
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 payments due on the Notes.
The Estimated Initial Value of the Notes,
which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the Notes
in the secondary market, if any.
The Estimated Initial Value of the Notes
was calculated by us on the Pricing Date and is less than the price to public. The Estimated Initial Value reflects our internal
funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market value of the embedded
derivatives in the Notes. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed
or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when
we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the Notes may be lower if it were
based on the prices at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were
to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the Notes
to be more favorable to you. We determined the value of the embedded derivatives in the Notes by reference to our or our affiliates’
internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest
rates. Different pricing models and assumptions could provide valuations for the Notes that are different from our Estimated Initial
Value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The Estimated
Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in
the secondary market (if any exists) at any time.
The price of your Notes in the secondary
market, if any, immediately after the Pricing Date may be less than the price to public.
The price to public takes into account
certain costs. These costs, which will be used or retained by us or one of our affiliates, include the underwriting discount, our
affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations
under the Notes and the costs associated with structuring and hedging our obligations under the Notes. If you were to sell your
Notes in the secondary market, if any, the price you would receive for your Notes may be less than the price you paid for them
because secondary market prices will not take into account these costs. The price of your Notes in the secondary market, if any,
at any time after issuance will vary based on many factors, including the levels of the Underlyings and changes in market conditions,
and cannot be predicted with accuracy. The Notes are not designed to be short-term trading instruments, and you should, therefore,
be able and willing to hold the Notes to maturity. Any sale of the Notes prior to maturity could result in a loss to you.
If we were to repurchase your Notes
immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the Notes.
Assuming that all relevant factors remain
constant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the Notes in the
secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account
statements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately
12 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to
effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in
connection with the Notes that we will no longer expect to incur over the term of the Notes. We will make such discretionary election
and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the Notes and any
agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors
in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such
reimbursement at any
time or revise the duration of the reimbursement period after the Original Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
The Notes lack liquidity.
The Notes will not be listed on any securities
exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes 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 Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.
Potential conflicts of interest may
exist.
HSBC and its affiliates play a variety
of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under
the Notes. 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 Notes. We will not have any obligation to consider your interests as a holder of
the Notes in taking any action that might affect the value of your Notes.
The Notes are subject to small-capitalization
risk.
The RTY
tracks companies that are considered small-capitalization companies. These companies often have greater stock price volatility,
lower trading volume and less liquidity than large-capitalization companies and therefore the level of the RTY may be more volatile
than an investment in stocks issued by large-capitalization companies. Stock prices of small-capitalization companies may also
be more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of
small-capitalization companies may be thinly traded, making it difficult for the RTY to track them. In addition, small-capitalization
companies are often less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and
may be in early, and less predictable, periods of their corporate existences. These companies tend to have smaller revenues, less
diverse product lines, smaller shares of their product or service markets, fewer financial resources and competitive strengths
than large-capitalization companies and are more susceptible to adverse developments related to their products.
Uncertain tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a Note, 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 either Underlying relative to its Initial Level. We cannot predict the Official Closing
Level of either Underlying on any Coupon Observation Date or the Final Valuation Date. 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 Underlyings or return on the Notes.
The table and examples
below illustrate how the Final Settlement Value on a $1,000 investment in the Notes for a hypothetical range of Final Returns
of the Least Performing Underlying from -100% to +100%. The following results are based solely on the assumptions outlined below.
The “Hypothetical Return on the Notes” as used below is the number, expressed as a percentage, that results from comparing
the Final Settlement Value per $1,000 Principal Amount to $1,000. The potential returns described here assume that the Notes have
not been automatically called prior to maturity and that the Contingent Coupon is payable on every Coupon Payment Date.
You should consider carefully whether the Notes are suitable to your investment goals. If the Official Closing Level of each Underlying
on every Coupon Observation Date is greater than or equal to its Coupon Trigger and the Notes are not automatically called,
the Contingent Coupons payable over the term of the Notes would total $77.50 per $1,000 Principal Amount. The numbers appearing
in the following table and examples have been rounded for ease of analysis. The following table and examples assume the following:
4 |
Principal Amount: |
$1,000 |
|
|
|
4 |
Hypothetical Coupon Trigger: |
1,400 with respect to the SPX and 770 with respect to the RTY (each of which is 70% of its hypothetical Initial Level) |
|
|
|
4 |
Hypothetical Barrier Level: |
1,400 with respect to the SPX and 770 with respect to the RTY (each of which is 70% of its hypothetical Initial Level) |
|
|
|
4 |
Contingent Coupon Rate: |
7.75% per annum (1.9375% for each quarter) |
|
|
|
4 |
Hypothetical Initial Levels: |
2,000 with respect to the SPX and 1,100 with respect to the RTY |
The actual Initial Level,
Coupon Trigger and Barrier Level of each Underlying are set forth on pages PS-2 and PS-3 of this
pricing supplement.
Summary of the Examples
Trigger
Event Does Not Occur1 |
Trigger
Event Occurs2 |
Least
Performing
Underlying’s
Final
Return |
Hypothetical
Total
Coupon
Paid
Over the
Term
of the
Notes3 |
Hypothetical
Final
Settlement
Value |
Hypothetical
Total
Payment
on
the Notes |
Hypothetical
Total
Return
on
the Notes |
Hypothetical
Total
Coupon
Paid
Over the
Term
of the
Notes3 |
Hypothetical
Final
Settlement
Value |
Hypothetical
Total
Payment
on
the Notes |
Hypothetical
Total
Return
on
Notes |
100.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
90.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
80.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
70.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
60.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
50.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
40.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
30.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
20.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
10.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
0.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$1,000
|
$1,077.50 |
7.75% |
-10.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$900 |
$977.50 |
-2.25% |
-20.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$800 |
$877.50 |
-12.25% |
-25.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$750 |
$827.50 |
-17.25% |
-30.00% |
$77.50 |
$1,000 |
$1,077.50 |
7.75% |
$77.50 |
$700 |
$777.50 |
-22.25% |
-40.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$600 |
$677.50 |
-32.25% |
-50.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$500 |
$577.50 |
-42.25% |
-60.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$400 |
$477.50 |
-52.25% |
-70.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$300 |
$377.50 |
-62.25% |
-80.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$200 |
$277.50 |
-72.25% |
-90.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$100 |
$177.50 |
-82.25% |
-100.00% |
N/A |
N/A |
N/A |
N/A |
$77.50 |
$0 |
$77.50 |
-92.25% |
1 The Official Closing Level of each
Underlying never falls below its respective Trigger Level on any trading day during the Observation Period.
2 The Official Closing Level of either
Underlying falls below its Trigger Level on any trading day during the Observation Period.
3 Assuming the
Notes have been held to maturity, and the Underlying has not fallen below 70% of the Initial Level on a Coupon Observation date,
the total amount of the coupons paid on the Notes as of the Maturity Date will equal $77.50, with coupon payments of $19.375 made
on each Coupon Payment Date.
The examples provided herein are for illustration
purposes only. The actual Final Settlement Value, if any, will depend on whether the Notes are automatically called and if a Trigger
Event occurs and, if so, the Final Return of the Least Performing Underlying. You should not take these examples as an indication
of potential payments. It is not possible to predict whether the Notes will be automatically called and if a Trigger Event will
occur and, if so, whether and to what extent the Final Return of the Least Performing Underlying will be less than zero.
Example 1: The Notes are not automatically
called and the Official Closing Level of at least one Underlying falls below its Trigger Level during the Observation Period, therefore
a Trigger Event occurs. Additionally, the Final Return of the Least Performing Underlying is less than zero.
Underlying |
|
Initial Level |
|
Lowest Official Closing Level
During the Observation Period |
|
Final Level |
SPX |
|
2,000.00 |
|
1,300.00 (65% of Initial Level) |
|
1,300.00 (65% of Initial Level) |
RTY |
|
1,100.00 |
|
605.00 (55% of Initial Level) |
|
660.00 (60% of Initial Level) |
Since each of the Official Closing Levels of SPX and RTY are
below their respective Trigger Levels during the Observation Period, a Trigger Event occurs. RTY is the Least Performing
Underlying.
Therefore, the Final Return of the Least Performing Underlying
=
Final
Level of RTY – Initial Level of RTY
Initial Level of RTY
= (660.00 – 1,100.00) / 1,100.00=
-40.00%
Final Settlement Value = Principal Amount of the Notes
× (1 + Final Return of the Least Performing Underlying)
= $1,000 × (1 + -40%) =
600.00
Therefore, the total payment on the Notes
is $600.00 in addition to any contingent coupons paid out over the term of the Notes.
Example 2: The Notes are not automatically
called and a Trigger Event occurs, even though the Least Performing Underlying is not below its Trigger Level on the Final Valuation
Date. Additionally, the Final Return of the Least Performing Underlying is less than zero.
Underlying |
|
Initial Level |
|
Lowest Official Closing Level
During the Observation Period |
|
Final Level |
SPX |
|
2,000.00 |
|
1,700.00 (85% of Initial Level) |
|
1,760.00 (88% of Initial Level) |
RTY |
|
1,100.00 |
|
605.00 (55% of Initial Level) |
|
1,045.00 (95% of Initial Level) |
Since the Official Closing Level of RTY is below its Trigger
Level during the Observation Period, a Trigger Event occurs. SPX is the Least Performing Underlying, even though its Official
Closing Level never falls below its Trigger Level.
Therefore, the Final Return of the Least Performing Underlying
=
Final
Level of SPX – Initial Level of SPX
Initial Level of SPX
= (1,760.00 – 2,000.00)
/ 2,000.00= -12.00%
Final Settlement Value = Principal Amount of the Notes
× (1 + Final Return of the Least Performing Underlying)
= $1,000 × (1 + -12%) =
$880.00
Therefore, the total payment on the Notes is $880.00 in addition
to any contingent coupons paid out over the term of the Notes.
Example 3: The Notes are not automatically
called and a Trigger Event does not occur.
Underlying |
|
Initial Level |
|
Lowest Official Closing Level
During the Observation Period |
|
Final Level |
SPX |
|
2,000.00 |
|
1,700.00 (85% of Initial Level) |
|
1,800.00 (90% of Initial Level) |
RTY |
|
1,100.00 |
|
990.00 (90% of Initial Level) |
|
990.00 (90% of Initial Level) |
Since the Official Closing Level of each Underlying was not
below its Trigger Level during the Observation Period, a Trigger Event does not occur.
Therefore, the Final Settlement Value equals $1,000.
Therefore, the total payment on the Notes is $1,000.00 in addition
to any contingent coupons paid out over the term of the Notes.
Example 4: The Notes are automatically called on the first
Call Observation Date.
Underlying |
|
Initial Level |
|
|
Official Closing Level
on the first Call Observation Date |
SPX |
|
2,000.00 |
|
|
2,100.00 |
RTY |
|
1,100.00 |
|
|
1,210.00 |
Since the Official Closing Level of both Underlyings was at
or above their respective Initial Levels, the Notes were automatically called and you are no longer entitled to receive any Final
Settlement Value. Therefore, on the corresponding Call Payment Date you would receive your $1,000 Principal Amount of Notes plus
the coupon payment of $19.375 owed to you on that date. As a result, on the first Call Payment Date, you would be entitled to receive
a total payment of $1,019.375. Once the Notes are automatically called, they will no longer remain outstanding and there will not
be any further coupon payments on the Notes.
INFORMATION RELATING TO THE UNDERLYINGS
Description of the SPX
The SPX is a capitalization-weighted index
of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market
value of 500 stocks representing all major industries.
The top 5 industry groups by market capitalization
as of February 28, 2017 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.
For
more information about the SPX, see “The S&P 500Ò
Index” beginning on page S-44 of the accompanying Equity
Index Underlying Supplement. |
|
Historical Performance of the SPX
The following graph sets forth the historical
performance of the SPX based on the daily historical closing levels from January 1, 2008 through March 28, 2017. We obtained the
closing levels below 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 historical levels
of the SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the SPX on any Coupon Observation Date or the Final Valuation Date.
Description of the RTY
The RTY is designed to track the performance
of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange
or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell
3000® Index is composed of the 3,000 largest United States companies as determined by market capitalization and
represents approximately 98% of the United States equity market.
The top 5 industry groups
by market capitalization as of February 28, 2017 were: Financial Services, Technology, Health Care, Consumer Discretionary and
Producer Durables.
For
more information about the RTY, see “The Russell 2000Ò
Index” beginning on page S-36 of the accompanying Equity Index Underlying Supplement. |
|
Historical Performance of the RTY
The following graph sets forth the historical
performance of the RTY based on the daily historical closing levels from January 1, 2008 through March 28, 2017. We obtained the
closing levels below 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 historical levels
of the RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the RTY on any Coupon Observation Date or the Final Valuation Date.
EVENTS OF DEFAULT AND ACCELERATION
If the Notes have become immediately 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 in the same general manner as described in this pricing supplement
except that in such a case, the scheduled trading day immediately preceding the date of acceleration will be used as the final
Coupon Observation Date and the Final Valuation Date. If a market disruption event exists with respect to an Underlying on that
scheduled trading day, then the accelerated Final Valuation Date will be postponed for up to five scheduled trading days (in the
same manner used for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed
by an equal number of business days following the postponed accelerated Final Valuation Date. For the avoidance of doubt, if no
market disruption event exists with respect to an Underlying on the scheduled trading day preceding the date of acceleration, the
determination of such Underlying’s Final Level will be made on such date, irrespective of the existence of a market disruption
event with respect to the other Underlying occurring on such date.
If the
Notes have become immediately due and payable following 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 (CONFLICTS
OF INTEREST)
We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities
(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page
of this pricing supplement for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC
Securities (USA) Inc. will offer the Notes at the price to public set forth on the cover page of this pricing supplement. HSBC
USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 0.35% and referral fees of up to 0.60% per $1,000
Principal Amount of Notes in connection with the distribution of the Notes to other registered broker-dealers. In no case will
the sum of the underwriting discounts and referral fees exceed 0.60% per $1,000 Principal Amount.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the
Notes.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use this pricing supplement in market-making transactions after the initial sale of
the Notes, but is under no obligation to make a market in the Notes and may discontinue any market-making activities at any time
without notice.
See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-59 in the prospectus supplement.
U.S. FEDERAL INCOME TAX CONSIDERATIONS
There is no direct legal authority as to
the proper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as to
both the timing and character of any inclusion in income in respect of the Notes. Under one approach, a Note should be treated
as a contingent income-bearing pre-paid executory contract with respect to the Underlyings. We intend to treat the Notes consistent
with this approach. Pursuant to the terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal income
tax purposes. Subject to the limitations described therein, and based on certain factual representations received from us, in the
opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a Note as a contingent income-bearing
pre-paid executory contract with respect to the Underlyings. Because there are no statutory provisions, regulations, published
rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that
are substantially the same as those of the Notes, other characterizations and treatments are possible and the timing and character
of income in respect of the Notes might differ from the treatment described herein. For example, the Notes could be treated as
short term debt instruments for U.S. federal income tax purposes subject to the treatment described under the heading “U.S.
Federal Income Tax Considerations — Tax Treatment of U.S. Holders — U.S. Federal Income Tax Treatment of the Notes
as Indebtedness for U.S. Federal Income Tax Purposes — Short Term Notes” in the accompanying prospectus supplement.
We will not attempt to ascertain whether
any of the entities whose stock is included in the Underlyings 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 the Underlyings were so treated, certain adverse U.S. federal income
tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock
is included in the Underlyings and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in the Underlyings is or becomes a PFIC or a USRPHC.
U.S. Holders. Please see the discussion
under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — Certain Notes Treated
as a Put Option and a Deposit or an Executory Contract — Certain Notes Treated as Executory Contracts” in the accompanying
prospectus supplement for further discussion of U.S. federal income tax considerations applicable to U.S. holders (as defined in
the accompanying prospectus supplement). Pursuant to the approach discussed above, we intend to treat any gain or loss upon maturity
or an earlier sale, exchange or call as capital gain or loss in an amount equal to the difference between the amount you receive
at such time (other than with respect to a Contingent Coupon) and your tax basis in the Note. Any such gain or loss will be short-term
capital gain or loss. Your tax basis in a Note generally will equal your cost of the Note. In addition, the tax treatment of the
Contingent Coupons is unclear. Although the tax treatment of the Contingent Coupons is unclear, we intend to treat any Contingent
Coupon, including on the Maturity Date, as ordinary income includible in income by you at the time it accrues or is received in
accordance with your normal method of accounting for U.S. federal income tax purposes.
Non-U.S. Holders. Please see the discussion
under the heading “U.S. Federal Income Tax Considerations—Tax Treatment of Non-U.S. Holders” in the accompanying
prospectus supplement for further discussion of U.S. federal income tax considerations applicable to non-U.S. holders (as defined
in the accompanying prospectus supplement). Because the U.S. federal income tax treatment (including the applicability of withholding)
of the Contingent Coupons is uncertain, the entire amount of the Contingent Coupons will be subject to U.S. federal income tax
withholding at a 30% rate (or at a lower rate under an applicable income tax treaty). We will not pay any additional amounts in
respect of such withholding.
A “dividend equivalent” payment
is treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding
tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect
to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents
if such specified ELIs reference an interest in an “underlying security,” which is generally any interest in an entity
taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S.
source dividend. However, U.S. Treasury regulations provide that withholding on dividend equivalent payments will not apply to
specified ELIs that are not delta-one instruments and that are issued before January 1, 2018. Based on the Issuer’s determination
that the Notes are not “delta-one” instruments, non-U.S. holders should not be subject to withholding on dividend equivalent
payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal
income tax purposes upon the occurrence of certain events affecting an Underlying or the Notes, and following such occurrence the
Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered,
into other transactions in respect of an Underlying or the Notes should consult their tax advisors as to the application of the
dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend
equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required
to pay any additional amounts with respect to amounts so withheld.
Foreign Account Tax Compliance Act. The
Internal Revenue Service has announced that withholding under the Foreign Account Tax Compliance Act (as discussed in the accompanying
prospectus supplement) on payments of gross proceeds from a sale, exchange, redemption or other disposition of the Notes will only
apply to dispositions after December 31, 2018.
For a discussion of the U.S. federal
income tax consequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations”
in the accompanying prospectus supplement.
PROSPECTIVE PURCHASERS OF NOTES SHOULD
CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION
OF NOTES.
VALIDITY
OF THE NOTES
In the opinion of Morrison
& Foerster LLP, as counsel to the Issuer, when this pricing supplement has been attached to, and duly notated on, the master
note that represents the Notes pursuant to the Senior Indenture referred to in the prospectus supplement dated March 5, 2015,
and issued and paid for as contemplated herein, the Notes offered by this pricing supplement will be valid, binding and enforceable
obligations of the Issuer, entitled to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and
similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the
date hereof and is limited to the laws of the State of New York, the Maryland General Corporation Law (including the statutory
provisions, all applicable provisions of the Maryland Constitution and the reported judicial decisions interpreting the foregoing)
and the federal laws of the United States of America. This opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance
on the Issuer and other sources as to certain factual matters, all as stated in the legal opinion dated March 5, 2015, which has
been filed as Exhibit 5.3 to the Issuer’s registration statement on Form S-3 dated March 5, 2015.
TABLE
OF CONTENTS |
|
|
You
should only rely on the information contained in this pricing supplement, the accompanying Equity Index Underlying Supplement,
prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation
to you that is not contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus
supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it.
This pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are
not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction
where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this
pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct
on any date after their respective dates.
HSBC
USA Inc.
$6,986,000
Autocallable Barrier Notes
with Contingent Return
March
28, 2017
PRICING
SUPPLEMENT
|
|
|
|
Pricing Supplement |
|
|
General |
PS-4 |
|
Payment on the Notes |
PS-5 |
|
Investor Suitability |
PS-6 |
|
Risk Factors |
PS-7 |
|
Illustrative Examples |
PS-10 |
|
Information Relating to the Underlyings |
PS-13 |
|
Events of Default and Acceleration |
PS-14 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
PS-14 |
|
U.S. Federal Income Tax Considerations |
PS-15 |
|
Validity of the Notes |
PS-16 |
|
|
|
|
Equity Index Underlying Supplement |
|
|
Disclaimer |
S-1 |
|
Risk Factors |
S-2 |
|
The DAX® Index |
S-7 |
|
The Dow Jones Industrial AverageSM |
S-9 |
|
The EURO STOXX 50® Index |
S-11 |
|
The FTSE® 100 Index |
S-13 |
|
The Hang Seng® Index |
S-14 |
|
The Hang Seng China Enterprises Index |
S-16 |
|
The KOSPI 200 Index |
S-19 |
|
The MSCI Indices |
S-22 |
|
The NASDAQ 100 Index® |
S-26 |
|
The Nikkei 225 Index |
S-30 |
|
The PHLX Housing SectorSM Index |
S-32 |
|
The Russell 2000® Index |
S-36 |
|
The S&P 100® Index |
S-40 |
|
The S&P 500® Index |
S-44 |
|
The S&P 500® Low Volatility Index |
S-47 |
|
The S&P BRIC 40 Index |
S-50 |
|
The S&P MidCap 400® Index |
S-52 |
|
The TOPIX® Index |
S-55 |
|
Additional Terms of the Notes |
S-57 |
|
|
|
|
Prospectus Supplement |
|
|
Risk Factors |
S-1 |
|
Pricing Supplement |
S-8 |
|
Description of Notes |
S-10 |
|
Use of Proceeds and Hedging |
S-33 |
|
Certain ERISA Considerations |
S-34 |
|
U.S. Federal Income Tax Considerations |
S-37 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
S-59 |
|
|
|
|
Prospectus |
|
|
About this Prospectus |
1 |
|
Risk Factors |
2 |
|
Where You Can Find More Information |
3 |
|
Special Note Regarding Forward-Looking Statements |
4 |
|
HSBC USA Inc. |
6 |
|
Use of Proceeds |
7 |
|
Description of Debt Securities |
8 |
|
Description of Preferred Stock |
19 |
|
Description of Warrants |
25 |
|
Description of Purchase Contracts |
29 |
|
Description of Units |
32 |
|
Book-Entry Procedures |
35 |
|
Limitations on Issuances in Bearer Form |
40 |
|
U.S. Federal Income Tax Considerations Relating to Debt Securities |
40 |
|
Plan of Distribution (Conflicts of Interest) |
49 |
|
Notice to Canadian Investors |
52 |
|
Notice to EEA Investors |
53 |
|
Notice to UK Investors |
54 |
|
UK Financial Promotion |
54 |
|
Certain ERISA Matters |
55 |
|
Legal Opinions |
57 |
|
Experts |
58 |
|
This regulatory filing also includes additional resources:
v462909_424b2.pdf