Calculation
of Registration Fee
Title of Each Class of
Securities Offered |
|
Maximum Aggregate
Offering Price |
|
Amount of
Registration Fee(1) |
Debt Securities |
|
3,125,000 |
|
389.06 |
(1) Calculated in accordance with Rule 457 (r) of the
Securities Act of 1933, as amended.
Filed Pursuant
to Rule 424(b)(2)
Registration
Statement No. 333-202524
Pricing
Supplement dated February 21, 2018
|
HSBC
USA Inc.
$3,125,000
Leveraged
Buffered Capped S&P 500® Index-Linked Notes
due
July 11, 2019 |
The notes do not bear interest.
The amount that you will be paid on your notes on the stated maturity date (July 11, 2019)
is based on the performance of the S&P 500® Index as measured from the trade date (February 21, 2018) to and
including the determination date (July 9, 2019). If the final underlier level on the determination date is greater than the initial
underlier level (2,701.33, which was the closing level of the underlier on the trade date), the return on your notes will be positive,
subject to the maximum settlement amount of $1,121.35 for each $1,000 face amount of your notes. If the final underlier level declines
by up to 10.00% from the initial underlier level, you will receive the face amount of your notes. If the final underlier
level declines by more than 10.00% from the initial underlier level, the return on your notes will be negative. You could lose
your entire investment in the notes.
To determine
your payment at maturity, we will calculate the underlier return, which is the percentage increase or decrease in the final underlier
level from the initial underlier level. On the stated maturity date, for each $1,000 face amount of your notes, you will receive
an amount in cash equal to:
| ● | if the underlier return is positive (the
final underlier level is greater than the initial underlier level), the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) 1.5 times (c) the underlier return, subject to the maximum settlement amount; |
| ● | if the underlier return is zero or negative
but not below -10.00% (the final underlier level is equal to the initial underlier level or is less than the
initial underlier level, but not by more than 10.00%), $1,000; or |
| ● | if the underlier return is negative and
is below -10.00% (the final underlier level is less than the initial underlier level by more than 10.00%), the sum
of (i) $1,000 plus (ii) the product of (a) approximately 1.1111 times (b) the sum of the underlier
return plus 10.00% times (c) $1,000. |
Investment in the notes involves
certain risks. You should refer to “Risk Factors” beginning on page PS-13 of this document, page S-1 of the accompanying
prospectus supplement and page S-2 of the accompanying Equity Index Underlying Supplement. The notes will not be listed on any
U.S. securities exchange or automated quotation system. Any payments on the notes are subject to the credit risk of HSBC USA Inc.
The Estimated
Initial Value of the notes on the trade date is $982.00 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-7 and “Risk Factors” beginning on page PS-13 of this document for further information.
|
Price to Public1 |
Underwriting Discount2 |
Proceeds to Issuer |
Per note / Total |
$1,000.00 / $3,125,000.00 |
$12.70 / $39,687.50 |
$987.30 / $3,085,312.50 |
1 The
price to public for certain investors will be 98.73% of the face amount, reflecting a foregone underwriting discount with respect
to such notes; see “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-19 of this pricing supplement.
2 HSBC Securities (USA) Inc. will purchase the notes
from us at the price to public less an underwriting discount of $12.70 (1.27%) per $1,000 in face amount for distribution to other
registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-19 of this pricing
supplement.
Neither the Securities and Exchange
Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy
of this pricing supplement, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any representation
to the contrary is a criminal offense. The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation
or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
HSBC
Securities (USA) Inc.
The price
to public, underwriting discount and proceeds to issuer listed above relate to the notes we sell initially. We may decide to sell
additional notes after the date of this pricing supplement, at prices to public and with underwriting discounts and proceeds to
issuer that differ from the amounts set forth above. The return (whether positive or negative) on your investment in notes will
depend in part on the price to public you pay for such notes.
HSBC
Securities (USA) Inc. or any of its affiliates or agents may use this pricing supplement in the initial sale of the notes. In addition,
HSBC Securities (USA) Inc. or any of its affiliates or agents may
use this pricing supplement in a market-making transaction in a note after its initial sale. Unless
HSBC Securities (USA) Inc. or any of its affiliates or agents informs the purchaser otherwise in the confirmation of sale, this
pricing supplement is being used in a market-making transaction.
About Your Prospectus
You should read this pricing supplement together with the related
Equity Index Underlying Supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below.
· The
Equity Index Underlying Supplement dated March 5, 2015
· The
prospectus supplement dated March 5, 2015
· The
prospectus dated March 5, 2015
The information in this pricing supplement supersedes any conflicting
information in the documents listed above. In addition, some of the terms or features described in the listed documents may not
apply to your notes. |
|
Leveraged Buffered Capped S&P 500®
Index-Linked Notes due July 11, 2019 |
|
|
|
|
INVESTMENT
THESIS |
You should
be willing to:
| ● | forgo gains greater than a Maximum Settlement
Amount of 112.135% of the face amount in exchange for (i) 1.5x leveraged upside participation if the Underlier Return is positive
and (ii) a buffer against loss of principal in the event of a decline of up to 10.00% in the Final Underlier Level relative to
the Initial Underlier Level. |
| ● | forgo interest payments and accept the risk of
losing your entire investment in exchange for the potential to earn 150.00% of any positive Underlier Return up to a Maximum Settlement
Amount of 112.135% of the face amount. |
Your
maximum return on your notes will not be greater than the return represented by the Maximum Settlement Amount, which such
return is 12.135%, and you could lose all or a portion of your investment if the Underlier Return is less than
-10.00%.
DETERMINING
THE CASH SETTLEMENT AMOUNT |
At maturity,
for each $1,000 face amount, the investor will receive (in each case as a percentage of the face amount):
| ● | if the Final Underlier Level is greater than
100.00% of the Initial Underlier Level, 100.00% plus 150.00% times the Underlier Return, subject to a Maximum Settlement
Amount of 112.135% of the face amount; |
| ● | if the Final Underlier Level is between 90.00%
and 100.00% of the Initial Underlier Level, 100.00%; or |
| ● | if the Final Underlier Level is less than 90.00%
of the Initial Underlier Level, 100.00% minus approximately 1.1111% for every 1.00% that the Final Underlier Level has declined
below 90.00% of the Initial Underlier Level |
If the Final Underlier Level
declines by more than 10.00% from the Initial Underlier Level, the return on the notes will be negative and the investor could
lose their entire investment in the notes.
KEY TERMS |
|
Issuer: |
HSBC USA Inc. |
Underlier: |
The S&P 500® Index (Bloomberg symbol, “SPX Index”) |
Face Amount: |
$3,125,000 in the aggregate; each note will have a face amount equal to $1,000 |
Trade Date: |
February 21, 2018 |
Settlement Date: |
February 28, 2018 |
Determination Date: |
July 9, 2019 |
Stated Maturity Date: |
July 11, 2019 |
Initial Underlier Level: |
2,701.33, which was the closing level of the Underlier on the Trade Date |
Final Underlier Level: |
The closing level of the Underlier on the Determination Date |
Underlier Return: |
The quotient of (i) the Final Underlier Level minus the Initial Underlier Level divided by (ii) the Initial Underlier Level, expressed as a percentage |
Upside Participation Rate: |
150.00% |
Buffer Level: |
90.00% of the Initial Underlier Level (equal to a -10.00% Underlier Return) |
Buffer Amount: |
10.00% |
Buffer Rate: |
The quotient of the Initial Underlier Level divided by the Buffer Level, which equals approximately 111.11% |
Maximum Settlement Amount: |
$1,121.35 |
Cap Level: |
108.09% of the Initial Underlier Level |
CUSIP/ISIN: |
40435FUK1 / US40435FUK10 |
HYPOTHETICAL CASH SETTLEMENT AMOUNT |
|
|
|
Hypothetical Final
Underlier Level (as
% of Initial Underlier
Level) |
Hypothetical Cash Settlement
Amount (as % of Face Amount) |
|
150.000% |
112.135% |
|
140.000% |
112.135% |
|
130.000% |
112.135% |
|
120.000% |
112.135% |
|
110.000% |
112.135% |
|
108.090% |
112.135% |
|
108.000% |
112.000% |
|
105.000% |
107.500% |
|
104.000% |
106.000% |
|
102.000% |
103.000% |
|
100.000% |
100.000% |
|
97.000% |
100.000% |
|
95.000% |
100.000% |
|
92.000% |
100.000% |
|
90.000% |
100.000% |
|
80.000% |
88.889% |
|
75.000% |
83.333% |
|
50.000% |
55.556% |
|
25.000% |
27.778% |
|
0.000% |
0.000% |
Please read
the section entitled “Risk Factors” of this pricing supplement as well as the risks and considerations described in
“Risk Factors” beginning on page S-1 in the accompanying prospectus supplement and on page S-2 of the accompanying
Equity Index Underlying Supplement.
SUMMARY INFORMATION
We refer to the notes we are offering by this pricing supplement
as the “offered notes” or the “notes”. Each of the offered notes, including your notes, has the terms described
below. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our”
are to HSBC USA Inc. Capitalized terms used but not defined in this pricing supplement will have the meanings given to them in
the Equity Index Underlying Supplement.
This section is meant as a summary and should be read in conjunction
with the prospectus, the prospectus supplement and the Equity Index Underlying Supplement. This pricing supplement supersedes any
conflicting provisions of the documents listed above. |
Key Terms
Issuer: |
|
HSBC USA Inc. |
|
|
|
Specified Currency: |
|
U.S. dollars (“$”) |
|
|
|
Face Amount: |
|
Each note will have a face amount of $1,000; $3,125,000
in the aggregate for all the offered notes; the aggregate face amount of the offered notes may be increased if the Issuer, at its
sole option, decides to sell an additional amount of the offered notes on a date subsequent to the date of this pricing supplement.
Purchase at amount other than face amount:
the amount we will pay you at the Stated Maturity Date for your notes will not be adjusted based on the price to public you
pay for your notes, so if you acquire notes at a premium (or discount) to face amount and hold them to the Stated Maturity Date,
it could affect your investment in a number of ways. The return on your investment in such notes will be lower (or higher) than
it would have been had you purchased the notes at face amount. Also, the stated Buffer Level would not offer the same measure of
protection to your investment as would be the case if you had purchased the notes at face amount. Additionally, the Cap Level would
be triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See “Risk
Factors — If you purchase your notes at a premium to face amount, the return on your investment will be lower than the return
on notes purchased at face amount and the impact of certain key terms of the notes will be negatively affected” on page PS-16
of this pricing supplement. |
|
|
|
Underlier: |
|
The S&P 500® Index (Bloomberg symbol, “SPX Index”) |
|
|
|
Trade Date: |
|
February 21, 2018 |
|
|
|
Original Issue Date (Settlement Date): |
|
February 28, 2018 |
|
|
|
Determination Date: |
|
July 9, 2019, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
|
|
|
Stated Maturity Date: |
|
July 11, 2019, 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. |
|
|
|
Cash Settlement Amount: |
|
For each $1,000 face amount of your notes, we will pay you on the
Stated Maturity Date an amount in cash equal to:
● if
the Final Underlier Level is greater than or equal to the Cap Level, the Maximum Settlement Amount;
● if
the Final Underlier Level is less than the Cap Level but greater than the Initial Underlier Level, the sum
of (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the Upside Participation Rate times (iii)
the Underlier Return;
● if
the Final Underlier Level is equal to or less than the Initial Underlier Level |
|
|
but greater than or equal to the Buffer Level, $1,000; or |
|
|
|
|
|
● if the Final Underlier Level is less than the Buffer Level, the sum of (1) $1,000 plus (2) the product of (i) $1,000 times (ii) the Buffer Rate times (iii) the sum of the Underlier Return plus the Buffer Amount. |
|
|
|
Maximum Settlement Amount: |
|
$1,121.35 per $1,000 face amount of the notes |
|
|
|
Upside Participation Rate: |
|
150.00% |
|
|
|
Cap Level: |
|
108.09% of the Initial Underlier Level |
|
|
|
Buffer Level: |
|
90.00% of the Initial Underlier Level |
|
|
|
Buffer Amount: |
|
10.00% |
|
|
|
Buffer Rate: |
|
The quotient of the Initial Underlier Level divided by the Buffer Level, which equals approximately 111.11%. |
|
|
|
Underlier Return: |
|
The quotient of (1) the Final Underlier Level minus the Initial Underlier Level divided by (2) the Initial Underlier Level, expressed as a percentage. |
|
|
|
Initial Underlier Level: |
|
2,701.33, which was the closing level of the Underlier on the Trade Date |
|
|
|
Final Underlier Level: |
|
The closing level of the Underlier on the Determination Date. |
|
|
|
Closing Level of the Underlier: |
|
The closing level of the Underlier will be the official closing level of the Underlier or any successor index (as defined in the accompanying Equity Index Underlying Supplement) on any Trading Day for the Underlier, as displayed on Bloomberg Professional® service page “SPX <INDEX>” or any successor page on the Bloomberg Professional® service or any successor service, as applicable. |
|
|
|
Market Disruption Events: |
|
With respect to any given Trading Day, any of
the following will be a Market Disruption Event with respect to the Underlier:
· a
suspension, absence or material limitation of trading in Underlier Stocks (as defined below) constituting 20% or more, by weight,
of the Underlier on their respective primary markets, in each case for more than two consecutive hours of trading or during the
one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion,
· a
suspension, absence or material limitation of trading in option or futures contracts, if available, relating to the Underlier or
to Underlier Stocks constituting 20% or more, by weight, of the Underlier in their respective primary markets for those contracts,
in each case for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market,
as determined by the calculation agent in its sole discretion, or
· Underlier
Stocks constituting 20% or more, by weight, of the Underlier, or option or futures contracts, if available, relating to the Underlier
or to Underlier Stocks constituting 20% or more, by weight, of the Underlier do not trade on what were the respective primary markets
for those Underlier Stocks or contracts, as determined by the calculation agent in its sole discretion,
and, in the case of any of these events, the calculation
agent determines in its sole discretion that the event could materially interfere with the ability of us or any of our affiliates
or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes.
For more information |
|
|
about hedging by us and/or any of our affiliates, see “Use of Proceeds and Hedging” in the prospectus supplement. |
|
|
|
|
|
The following events will not be Market Disruption
Events with respect to the Underlier:
· a
limitation on the hours or numbers of days of trading, but only if the limitation results from an announced change in the regular
business hours of the relevant market, and
· a
decision to permanently discontinue trading in the option or futures contracts relating to the Underlier or to any Underlier Stock.
For this purpose, an “absence of trading”
in the primary securities market on which an Underlier Stock, or on which option or futures contracts, if available, relating to
the Underlier or to any Underlier Stock are traded will not include any time when that market is itself closed for trading under
ordinary circumstances. In contrast, a suspension or limitation of trading in an Underlier Stock or in option or futures contracts,
if available, relating to the Underlier or to any Underlier Stock in the primary market for that stock or those contracts, by reason
of:
· a
price change exceeding limits set by that market,
· an
imbalance of orders relating to that Underlier Stock or those contracts, or
· a
disparity in bid and ask quotes relating to that Underlier Stock or those contracts,
will constitute a suspension or material limitation
of trading in the Underlier or those contracts in that market. |
|
|
|
Form of Notes: |
|
Book-Entry |
|
|
|
Listing: |
|
The notes will not be listed on any U.S. securities exchange or quotation system. |
|
|
|
Calculation Agent: |
|
HSBC USA Inc. or one of its affiliates |
|
|
|
CUSIP/ISIN: |
|
40435FUK1 / US40435FUK10 |
|
|
|
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 its 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 Trade Date, is less than the price to public and may differ from the market value of the notes in the secondary market, if any.” |
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement, all
references to each of the following terms used in the accompanying Equity Index Underlying Supplement will be deemed to refer to
the corresponding term used in this pricing supplement, as set forth in the table below:
Equity Index Underlying Supplement Term |
Pricing Supplement Term |
|
|
maturity date |
Stated Maturity Date |
|
|
Final Valuation Date |
Determination Date |
|
|
principal amount |
face amount |
|
|
Reference Asset |
Underlier |
|
|
Reference Sponsor |
Underlier Sponsor |
|
|
Scheduled Trading Day |
Trading Day |
HYPOTHETICAL
EXAMPLES
The following table and chart are provided for purposes of illustration
only. They should not be taken as an indication or prediction of future investment results and merely are intended to illustrate
the impact that the various hypothetical Underlier levels on the Determination Date could have on the Cash Settlement Amount at
maturity assuming all other variables remain constant.
The examples below are based on a range of Final Underlier Levels
that are entirely hypothetical; the level of the Underlier on any day throughout the life of the notes, including the Final Underlier
Level on the Determination Date, cannot be predicted. The Underlier has been highly volatile in the past — meaning that the
level of the Underlier has changed considerably in relatively short periods — and its performance cannot be predicted for
any future period.
The information in the following examples reflects hypothetical
rates of return on the offered notes assuming that they are purchased on the Original Issue Date at the face amount and held to
the Stated Maturity Date. If you sell your notes in a secondary market prior to the Stated Maturity Date, your return will depend
upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in
the table below, such as interest rates, the volatility of the Underlier and our creditworthiness. In addition, the estimated value
of your notes at the time the terms of your notes were set on the Trade Date (as determined by reference to pricing models used
by us) is less than the original price to public of your notes. For more information on the estimated value of your notes, see
“Risk Factors — The Estimated Initial Value of the notes, which was determined by us on the Trade Date, is less than
the price to public and may differ from the market value of the notes in the secondary market, if any.” on page PS-14 of
this pricing supplement. The information in the table also reflects the key terms and assumptions in the box below.
Key Terms and Assumptions |
Face Amount |
$1,000 |
Upside participation rate |
150.00% |
Cap Level |
108.09% of the Initial Underlier Level |
Maximum Settlement Amount |
$1,121.35 |
Buffer Level |
90.00% of the Initial Underlier Level |
Buffer Rate |
Approximately 111.11% |
Buffer Amount |
10.00% |
Neither a Market Disruption Event nor a non-Trading Day occurs on the originally scheduled Determination Date |
No change in or affecting any of the Underlier Stocks or the method by which the Underlier Sponsor calculates the Underlier |
Notes purchased on the Original Issue Date at the face amount and held to the Stated Maturity Date |
The actual performance of the Underlier over the life of your notes,
as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples shown below or to the
historical levels of the Underlier shown elsewhere in this pricing supplement. For information about the historical levels of the
Underlier during recent periods, see “Information Relating to the Underlier — Historical Performance of the Underlier”
below. Before investing in the offered notes, you should consult publicly available information to determine the levels of the
Underlier between the date of this pricing supplement and the date of your purchase of the offered notes.
Also, the hypothetical examples shown below do not take into account
the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax
rate of return on your notes to a comparatively greater extent than the after-tax return on the Underlier Stocks.
The levels in the left column of the table below represent hypothetical
Final Underlier Levels and are expressed as percentages of the Initial Underlier Level. The amounts in the right column represent
the hypothetical Cash Settlement Amount, based on the corresponding hypothetical Final Underlier Level, and are expressed as percentages
of the face amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical Cash Settlement Amount
of 100.000% means that the value of the
cash payment that we would deliver for each $1,000 of the outstanding
face amount of the offered notes on the Stated Maturity Date would equal 100.000% of the face amount of a note, based on the corresponding
hypothetical Final Underlier Level and the assumptions noted above.
Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level) |
Hypothetical Cash Settlement Amount
(as Percentage of Face Amount) |
150.000% |
112.135% |
140.000% |
112.135% |
130.000% |
112.135% |
120.000% |
112.135% |
110.000% |
112.135% |
108.090% |
112.135% |
108.000% |
112.000% |
105.000% |
107.500% |
104.000% |
106.000% |
102.000% |
103.000% |
100.000% |
100.000% |
97.000% |
100.000% |
95.000% |
100.000% |
92.000% |
100.000% |
90.000% |
100.000% |
80.000% |
88.889% |
75.000% |
83.333% |
50.000% |
55.556% |
25.000% |
27.778% |
0.000% |
0.000% |
If, for example, the Final Underlier Level were determined to be
25.000% of the Initial Underlier Level, the Cash Settlement Amount that we would deliver on your notes at maturity would be approximately
27.778% of the face amount of your notes, as shown in the table above. As a result, if you purchased your notes on the Original
Issue Date at the face amount and held them to the Stated Maturity Date, you would lose approximately 72.222% of your investment
(if you purchased your notes at a premium to face amount you would lose a correspondingly higher percentage of your investment).
If the Final Underlier Level were determined to be
0.000% of the Initial Underlier Level, you would lose your entire investment in the notes. In addition, if the Final Underlier
Level were determined to be 150.000% of the Initial Underlier Level, the Cash Settlement Amount that we would deliver on your notes
at maturity would be capped at the Maximum Settlement Amount, or 112.135% of each $1,000 face amount of your notes, as shown in
the table above. As a result, if you held your notes to the Stated Maturity Date, you would not benefit from any increase in the
Final Underlier Level of greater than 108.090% of the Initial Underlier Level.
The following chart shows a graphical illustration of the hypothetical
Cash Settlement Amounts that we would pay on your notes on the Stated Maturity Date, if the Final Underlier Level were any of the
hypothetical levels shown on the horizontal axis. The hypothetical Cash Settlement Amounts in the chart are expressed as percentages
of the face amount of your notes and the hypothetical Final Underlier Levels are expressed as percentages of the Initial Underlier
Level. The chart shows that any hypothetical Final Underlier Level of less than 90.000% (the section left of the 90.000% marker
on the horizontal axis) would result in a hypothetical Cash Settlement Amount of less than 100.000% of the face amount of your
notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the
notes. The chart also shows that any hypothetical Final Underlier Level of greater than or equal to 108.090% (the section right
of the 108.090% marker on the horizontal axis) would result in a capped return on your investment.
The Cash Settlement Amounts shown above are entirely hypothetical;
they are based on the hypothetical levels of the Underlier that may not be achieved on the Determination Date and on assumptions
that may prove to be erroneous. The actual market value of your notes on the Stated Maturity Date or at any other time, including
any time you may wish to sell your notes, may bear little relation to the hypothetical Cash Settlement Amounts shown above, and
these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical
Cash Settlement Amounts on notes held to the Stated Maturity Date in the examples above assume you purchased your notes at their
face amount and have not been adjusted to reflect the actual price to public you pay for your notes. The return on your investment
(whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your notes
for a price other than the face amount, the return on your investment will differ from, and may be significantly lower than, the
hypothetical returns suggested by the above examples. Please read “Risk Factors —If you purchase your notes at a premium
to face amount, the return on your investment will be lower than the return on notes purchased at face amount and the impact of
certain key terms of the notes will be negatively affected” on page PS-16 of this pricing supplement.
Payments on the notes are economically equivalent to the amounts
that would be paid on a combination of other instruments. For example, payments on the notes are economically equivalent to a combination
of an interest-bearing bond bought by the holder and one or more options entered into between the holder and us (with one or more
implicit option premiums paid over time). The discussion in this paragraph does not modify or affect the terms of the notes or
the U.S. federal income tax treatment of the notes, as described elsewhere in this pricing supplement.
We cannot predict the actual Final Underlier Level or what the market value of your notes will be on any particular Trading Day, nor can we predict the relationship between the level of the Underlier and the market value of your notes at any time prior to the Stated Maturity Date. The actual amount that you will receive, if any, at maturity and the rate of return on the offered notes will depend on the actual Final Underlier Level, which will be determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the Stated Maturity Date may be very different from the information reflected in the table and chart above. |
INVESTOR
SUITABILITY
The notes may be suitable for you if:
· You
seek an investment with an enhanced return linked to the potential positive performance of the Underlier and you believe that the
level of the Underlier will increase over the term of the notes.
· You
are willing to invest in the notes based on the Maximum Settlement Amount indicated herein, which may limit your return at maturity.
· You
are willing to make an investment that is exposed to the negative Underlier Return on an approximately 1.1111-to-1 basis for each
percentage point that the Underlier Return is less than -10.00%.
· You
understand that you may lose your entire principal amount.
· 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.
· You
are willing to forgo dividends or other distributions paid to holders of the stocks included in the Underlier.
· 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 notes to maturity.
· You
are comfortable with the creditworthiness of HSBC, as Issuer of the notes. |
|
The notes may not be suitable for you if:
· You
believe that the Underlier Return will be negative or that the Underlier Return will not be sufficiently positive to provide you
with your desired return.
· You
are unwilling to invest in the notes based on the Maximum Settlement Amount indicated herein, which may limit your return at maturity.
· You
are unwilling to make an investment that is exposed to the negative Underlier Return on an approximately 1.1111-to-1 basis for
each percentage point that the Underlier Return is less than -10.00%.
· 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 included in the Underlier.
· 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 notes to maturity.
· 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 page S-2 of the Equity Index Underlying Supplement. Investing in the
notes is not equivalent to investing directly in any of the stocks included in the Underlier. 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 supplement, prospectus 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:
“— Risks Relating to
All Note Issuances” in the prospectus supplement; and
“— 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 notes.
Your investment in the notes may result
in a loss.
The notes do not guarantee any return of principal.
You will be exposed on a leveraged basis to any decline in the Underlier from the Initial Underlier Level to the Final Underlier
Level by more than the Buffer Amount, which will magnify your losses. You will lose up to 100% of your face amount at maturity
if the Final Underlier Level is less than the Buffer Level.
The return on the notes is limited by the
return represented by the Maximum Settlement Amount.
You will not participate in any appreciation in
the level of the Underlier beyond the Cap Level. You will not receive a return on the notes greater than the return represented
by the Maximum Settlement Amount. Accordingly, the amount payable for each of your notes may be significantly less than it would
have been had you invested directly in the securities included in the Underlier.
The amount payable on the notes is not linked
to the level of the Underlier at any time other than the Determination Date.
The Final Underlier Level will be the closing
level of the Underlier on the Determination Date, subject to postponement for non-Trading Days and certain Market Disruption Events.
Even if the level of the Underlier appreciates during the term of the notes other than on the Determination Date but then decreases
on the Determination Date to a level that is less than the Initial Underlier Level, the Cash Settlement Amount may be less, and
may be significantly less, than it would have been had the Cash Settlement Amount been linked to the level of the Underlier prior
to such decrease. Although the actual level of the Underlier on the Stated Maturity Date or at other times during the term of the
notes may be higher than the Final Underlier Level, the Cash Settlement Amount will be based solely on the closing level of the
Underlier on the Determination Date.
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 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 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.
The notes will not bear interest.
As a holder of the notes, you will not receive
interest payments.
Changes that affect the Underlier will affect
the market value of the notes and the amount you will receive at maturity.
The policies of the Underlier Sponsor concerning
additions, deletions and substitutions of the constituents comprising the Underlier and the manner in which the Underlier Sponsor
takes account of certain changes affecting those constituents may affect the level of the Underlier. The policies of the Underlier
Sponsor with respect to the calculation of the Underlier could also affect the level of the Underlier. The Underlier Sponsor may
discontinue or suspend calculation or dissemination of the Underlier. Any such actions could affect the value of the notes.
The notes are not insured or guaranteed by
any governmental agency of the United States or any other jurisdiction.
The notes are not deposit liabilities or other
obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the notes is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Cash Settlement Amount
of the notes.
The Estimated Initial Value of the notes, which was determined
by us on the Trade 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 Trade 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 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 the 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 Trade Date will 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 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 level of the Underlier 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 HSBC Securities (USA) Inc. 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 HSBC Securities (USA) Inc. may initially use for customer account statements, if HSBC Securities (USA) Inc.
provides any customer account statements at all, may exceed the Estimated Initial Value on the Trade Date for a temporary period
expected to be approximately 3 months after the Trade Date. This
temporary price difference may exist because, in the discretion
of HSBC Securities (USA) Inc., HSBC Securities (USA) Inc. 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. HSBC Securities (USA) Inc. 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 HSBC Securities (USA) Inc. effectively reimburses to investors in this way
may not be allocated ratably throughout the reimbursement period, and HSBC Securities (USA) Inc. 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. Neither we nor any of our affiliates are 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 we or any of our affiliates is willing to buy the notes.
The market value of your notes
may be influenced by many unpredictable factors.
The following
factors, among others, many of which are beyond our control, may influence the market value of your notes:
| • | the volatility — i.e., the frequency and magnitude of changes —
of the level of the Underlier; |
| • | the level of the Underlier, the Upside Participation Rate, the Cap Level
and the Buffer Level; |
| • | the dividend rates of the stocks underlying the Underlier; |
| • | economic, financial, regulatory, political, military and other events
that affect stock markets generally and the stocks underlying the Underlier, which may affect the closing level of the Underlier;
|
| • | interest rates and yield rates in the market; |
| • | the time remaining until your notes mature; and |
| • | our creditworthiness, whether actual or perceived, and including actual
or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures. |
These
factors may influence the market value of your notes if you sell your notes before maturity, including the price you may receive
for your notes in any market making transaction. If you sell your notes prior to maturity, you may receive less than the face amount
of your 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.
For example, the calculation agent will determine whether a Market Disruption Event occurs in its sole discretion. In making that
determination, the calculation agent will use information that may not be easily obtainable by investors. See “Summary Information—Market
Disruption Events” above. 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.
It is possible that hedging activities of ours or our affiliates
in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines.
If the distributor from which you purchase notes is to conduct hedging activities for us in connection with the notes, that distributor
may profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the
distributor receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging
activities may create a further incentive for the distributor to sell the notes to you in addition to the compensation they would
receive for the sale of the notes.
If the level of the Underlier changes, the market value of your
notes may not change in the same manner.
Your notes may trade quite differently from the performance of the
Underlier. Changes in the level of the Underlier may not result in a comparable change in the market value of your notes. We discuss
some of the reasons for this disparity under “—The market value of your notes may be influenced by many unpredictable
factors” above.
You have no shareholder rights or rights to receive any Underlier
Stock.
Investing in your notes will not make you a holder of any of the
stocks included in the Underlier (the “Underlier Stocks”). Neither you nor any other holder or owner of your notes
will have any rights with respect to the Underlier Stocks, including voting rights, any right to receive dividends or other distributions,
any rights to make a claim against the Underlier Stocks or any other rights of a holder of the Underlier Stocks. Your notes will
be paid in cash and you will have no right to receive delivery of any Underlier Stocks.
Past performance is no guide to future performance.
The actual performance of the Underlier over the
life of the notes, as well as the amount payable at maturity, if any, may bear little relation to the historical closing levels
of the Underlier or to the hypothetical examples set forth elsewhere in this pricing supplement. We cannot predict the future performance
of the Underlier.
Uncertain tax treatment.
For a discussion of the U.S. federal income tax consequences of
your investment in the notes, 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.
We may sell an additional aggregate face amount
of the notes at a different price to public.
At our sole option, we may decide to sell an additional aggregate
face amount of the notes subsequent to the date of this pricing supplement. The price to public of the notes in the subsequent
sale may differ substantially (higher or lower) from the original price to public you paid as provided on the cover of this pricing
supplement.
If you purchase your notes at a premium to
face amount, the return on your investment will be lower than the return on notes purchased at face amount and the impact of certain
key terms of the notes will be negatively affected.
The Cash Settlement Amount will not be adjusted based on the price
to public you pay for the notes. If you purchase notes at a price that differs from the face amount of the notes, then the return
on your investment in such notes held to the Stated Maturity Date will differ from, and may be substantially less than, the return
on notes purchased at face amount. If you purchase your notes at a premium to face amount and hold them to the Stated Maturity
Date, the return on your investment in the notes will be lower than it would have been had you purchased the notes at face amount
or a discount to face amount. In addition, the impact of the Buffer Level and the Cap Level on the return on your investment will
depend upon the price you pay for your notes relative to face amount. For example, if you purchase your notes at a premium to face
amount, the Cap Level will only permit a lower positive return in your investment in the notes than would have been the case for
notes purchased at face amount or a discount to face amount. Similarly, the Buffer Level, while still providing some protection
for the return on the notes, will allow a greater percentage decrease in your investment in the notes than would have been the
case for notes purchased at face amount or a discount to face amount.
INFORMATION
RELATING TO THE UNDERLIER
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.
As of July 31, 2017, companies with multiple share class lines are
no longer eligible for inclusion in the SPX. Constituents of the SPX prior to July 31, 2017 with multiple share class lines have
been grandfathered in and will continue to be included in the SPX. If a constituent company of the SPX reorganizes into a multiple
share class line structure, that company will remain in the SPX at the discretion of the S&P Index Committee in order to minimize
turnover.
In addition to the criteria for addition to the SPX set forth in
the accompanying Equity Index Underlying Supplement, a company must have a primary listing of its common stock on the NYSE, NYSE
Arca, NYSE Market (formerly NYSE MKT), Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market, Bats BZX, Bats
BYX, Bats EDGA, Bats EDGX or IEX.
As of January 31, 2018, 2018, the 500 companies included in the
SPX were divided into eleven Global Industry Classification Sectors. The Global Industry Classification Sectors include (with the
approximate percentage currently included in such sectors indicated in parentheses): Information Technology (24.2%); Financials
(14.9%); Health Care (13.9%); Consumer Discretionary (12.6%); Industrials (10.3%); Consumer Staples (7.9%); Energy (6.0%); Materials
(3.0%); Utilities (2.7%); Real Estate (2.7%); and Telecommunication Services (1.9%). (Sector designations are determined by S&P
using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations.
In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector
is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences
in methodology as well as actual differences in the sector composition of the indices.)
Information regarding the S&P 500® Index (including
information regarding the top ten components of the Underlier and the industries represented by the securities included in the
Underlier and their respective weights) may be found on S&P’s website. That information is updated from time to time.
Please note that information included in that website is not included or incorporated by reference in this pricing supplement.
For more information about the SPX, see “The S&P
500® Index” beginning on page S-44 of the accompanying Equity Index Underlying Supplement.
Historical Performance of the Underlier
The closing level of the Underlier has fluctuated in the past and
may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the Underlier
during the period shown below is not an indication that the Underlier is more or less likely to increase or decrease at any time
during the life of your notes.
You should not take the historical levels of the Underlier as
an indication of its future performance. We cannot give you any assurance that the future performance of the Underlier or the
component stocks will result in your receiving an amount greater than the outstanding face amount of your notes on the Stated Maturity
Date.
Neither we nor any of our affiliates make any representation to
you as to the future performance of the Underlier. The actual performance of the Underlier over the life of the offered notes,
as well as the Cash Settlement Amount, may bear little relation to the historical closing levels shown below.
The graph below shows the daily historical closing levels of the
Underlier from February 21, 2008 through February 21, 2018. We obtained the closing levels in the graph below from Bloomberg Financial
Services, without independent verification.
Historical
Performance of the S&P 500® Index
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 at maturity in the same general manner as described in “Summary Information—Cash
Settlement Amount” in this pricing supplement. In that case, the Trading Day immediately preceding the date of acceleration
will be used as the Determination Date for purposes of determining the Underlier Return, and the accelerated maturity date will
be three business days after the accelerated Determination Date. If a Market Disruption Event exists with respect to the Underlier
on that Trading Day, then the accelerated Determination Date for the Underlier will be postponed for up to five Trading Days (in
the same manner used for postponing the originally scheduled Determination Date). The accelerated maturity date will also be postponed
by an equal number of business days.
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)
HSBC USA Inc. has agreed to sell to HSBC Securities (USA) Inc.,
and HSBC Securities (USA) Inc. has agreed to purchase from HSBC USA Inc., the aggregate face amount of the offered notes specified
on the front cover of this pricing supplement. HSBC Securities (USA) Inc. will offer the notes to the public at the price to public
set forth on the cover page of this pricing supplement, and to certain unaffiliated securities dealers at such price, less a concession
not in excess of 1.27% of the face amount. The price to public for notes purchased by certain fee-based advisory accounts is 98.73%
of the face amount of the notes, which reduces the underwriting discount specified on the cover of this pricing supplement with
respect to such notes to 0.00%.
In addition, HSBC Securities (USA) Inc. or any 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 do so and may discontinue any market-making activities at any time without notice.
Delivery of the notes will be made against payment for the notes
on the Original Issue Date set forth on page PS-5 of this document, which is more than two business days following the Trade Date.
Under Rule 15c6-1 under the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in
two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes
more than two business days prior to the Original Issue Date will be required to specify an alternate settlement cycle at the time
of any such trade to prevent a failed settlement, and should consult their own advisors. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-59 in the prospectus supplement.
No Prospectus (as defined in Directive 2003/71/EC, as amended (the
“Prospectus Directive”)) will be prepared in connection with these notes. Accordingly, these notes may not be offered
to the public in any member state of the European Economic Area (the “EEA”), and any purchaser of these notes who subsequently
sells any of these notes in any EEA member state must do so only in accordance with the requirements of the Prospectus Directive,
as implemented in that member state.
The notes are not intended to be offered, sold or otherwise made
available to, and should not be offered, sold or otherwise made available to, any retail investor in the EEA. For these purposes,
the expression “offer" includes the communication in any form and by any means of sufficient information on the terms
of the offer and the notes to be offered so as to enable an investor to decide to purchase or subscribe the notes, and a “retail
investor” means a person who is one (or more) of: (a) a retail client, as defined in point (11) of Article 4(1) of Directive
2014/65/EU, as amended (“MiFID II”); or (b) a customer, within the meaning of Insurance Distribution Directive 2016/97/EU,
as amended, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II;
or (c) not a qualified investor as defined in the Prospectus Directive. Consequently, no key information document required by Regulation
(EU) No 1286/2014, as amended (the “PRIIPs Regulation”), for offering or selling the notes or otherwise making them
available to retail investors in the EEA has been prepared, and therefore, offering or selling the notes or otherwise making them
available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.
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 pre-paid executory contract
with respect to the Underlier. 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 pre-paid executory contract with respect to the Underlier. Pursuant to
this approach, we do not intend to report any income or gain with respect to the notes prior to their maturity or an earlier sale
or exchange and we intend to treat any gain or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss,
provided that you have held the note for more than one year at such time for U.S. federal income tax purposes.
We will not attempt to ascertain whether any of the entities whose
stock is included in the Underlier 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 Underlier 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 Underlier and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock
is included in the Underlier is or becomes a PFIC or a USRPHC.
Under current law, while the matter is not entirely clear, individual
non-U.S. holders, and entities whose property is potentially includible in those individuals’ gross estates for U.S. federal
estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain
interests or powers), should note that, absent an applicable treaty benefit, the notes are likely to be treated as U.S. situs property,
subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors regarding the U.S. federal
estate tax consequences of investing in the notes.
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,
Internal Revenue Service guidance provides 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, 2019. 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 the Underlier 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 the Underlier 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.
Additionally, the IRS 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.
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.
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 securities, and these documents
are not soliciting an offer to buy these securities, 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.
TABLE OF CONTENTS
Pricing Supplement
|
Page |
Summary Information |
PS-5 |
Hypothetical Examples |
PS-9 |
Investor Suitability |
PS-12 |
Risk Factors |
PS-13 |
Information Relating to the Underlier |
PS-17 |
Events Of Default And Acceleration |
PS-19 |
Supplemental Plan Of Distribution (Conflicts Of Interest) |
PS-19 |
U.S. Federal Income Tax Considerations |
PS-20 |
Validity of the Notes |
PS-21 |
|
|
Equity Index Underlying Supplement |
|
Disclaimer |
S-1 |
Risk Factors |
S-2 |
The DAX® Index |
S-7 |
The Dow Jones Industrial Average® |
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 pricing supplement |
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 |
HSBC
USA Inc.
$3,125,000
Leveraged
Buffered Capped S&P 500® Index-Linked Notes due July 11, 2019
HSBC
Securities (USA) Inc.
This regulatory filing also includes additional resources:
tv486862_424b2.pdf