Calculation
of Registration Fee
Title of Each Class of
Securities Offered |
|
Maximum Aggregate
Offering Price |
|
Amount of
Registration Fee(1) |
Debt Securities |
|
$2,075,000 |
|
$ 240.49 |
(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
June 16, 2017
PRICING SUPPLEMENT
(To Prospectus dated March 5, 2015,
Prospectus Supplement dated March 5, 2015 and
Stock-Linked Underlying Supplement dated March
5, 2015)
Linked to the Least
Performing of Amazon.com, Inc., Microsoft Corporation, and NVIDIA Corporation.
| ► | Quarterly contingent coupon payments at a rate of 5.125%
(equivalent to 20.50% per annum), payable if the closing price of each Underlying on the applicable coupon observation date is
greater than or equal to 70% of its initial price |
| ► | Callable quarterly at the principal amount plus the applicable
contingent coupon on or after September 18, 2017 if the closing price of each Underlying is at or above its initial price |
| ► | If the Notes are not called and the Least Performing Underlying
declines by more than 30.00%, you will receive shares of the Least Performing Underlying; in that case, there is full exposure
to declines in the Least Performing Underlying and you will lose all or a portion of your principal amount |
| ► | All payments on the notes are subject to the credit risk
of HSBC USA Inc. |
The Autocallable Contingent Income Barrier Notes (each a “Note”
and collectively the “Notes”) offered hereunder will not be listed on any 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 Stock-Linked 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. In addition, 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 inform 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-16 of this pricing supplement.
Investment in the Notes involves certain risks. You should refer
to “Risk Factors” beginning on page PS-6 of this document, page S-1 of the accompanying prospectus supplement and page
S-1 of the accompanying Stock-Linked Underlying Supplement.
The Estimated Initial Value of the Notes on the Pricing Date is
$944 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-6 of this document for additional information.
|
Price to Public |
Underwriting Discount(1) |
Proceeds to Issuer |
Per security |
$1,000.00 |
$20.00 |
$980.00 |
Total |
$2,075,000.00 |
$41,500.00 |
$2,033,500.00 |
(1) HSBC USA Inc. or one of our affiliates
may pay varying underwriting discounts of up to 2.00% and structuring fees of up to 0.25% per $1,000 Principal Amount in connection
with the distribution of the securities to other registered broker-dealers. In no case will the sum of the underwriting discounts
and referral fees exceed 2.25% per $1,000 Principal Amount. See “Supplemental Plan of Distribution (Conflicts of Interest)”
on page PS-16 of this pricing supplement.
The Notes:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
HSBC USA
Inc.
Autocallable
Contingent Income Barrier Notes |
|
This pricing supplement relates
to a single offering of Autocallable Contingent Income Barrier Notes. The Notes will have the terms described in this pricing supplement
and the accompanying prospectus supplement, prospectus and Stock-Linked Underlying Supplement. If the terms of the Notes offered
hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Stock-Linked Underlying Supplement,
the terms described in this pricing supplement shall control.
This pricing supplement relates
to an offering of Notes linked to the common stock of Amazon.com, Inc., Microsoft Corporation, and NVIDIA Corporation. 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 common stock of Amazon.com, Inc. (NASDAQ symbol: AMZN), Microsoft Corporation (NASDAQ symbol: MSFT), and NVIDIA Corporation (NASDAQ symbol: NVDA) (each an “Underlying” and together the “Underlyings”) |
Trade Date: |
June 16, 2017 |
Pricing Date: |
June 16, 2017 |
Original Issue Date: |
June 21, 2017 |
Final Valuation Date: |
June 18, 2019, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Stock-Linked Underlying Supplement. |
Maturity Date: |
June 21, 2019. 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 Stock-Linked Underlying Supplement. |
Call Feature: |
If the Official Closing Price of each Underlying is at or above its Initial Price on any Coupon Observation Date up to and including March 18, 2019, the Notes will be automatically called, and you will receive the Principal Amount plus the applicable Contingent Coupon on the corresponding Call Payment Date. |
Coupon Observation Dates: |
September 18, 2017, December 18, 2017, March 16, 2018, June 18, 2018, September 18, 2018, December 18, 2018, March 18, 2019 and the Final Valuation Date, each subject to postponement as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Stock-Linked Underlying Supplement. |
Coupon Payment Dates: |
September 21, 2017, December 21, 2017, March 21, 2018, June 21, 2018, September 21, 2018, December 21, 2018, March 21, 2019 and the Maturity Date, each subject to postponement as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Stock-Linked Underlying Supplement. |
Call Payment Dates: |
September 21, 2017, December 21, 2017, March 21, 2018, June, 21, 2018, September 21, 2018, December 21, 2018 and March 21, 2019, each subject to postponement as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Stock-Linked Underlying Supplement. |
Contingent Coupon Rate: |
5.125% per quarter (equivalent to 20.50% per annum) |
Contingent Coupon: |
If the Official Closing Price of each of the Underlyings is greater than or equal to its Coupon Trigger on a Coupon Observation Date, you will receive the Contingent Coupon of $51.25 per $1,000 in Principal Amount on the applicable Coupon Payment Date.
If the Official Closing Price of any Underlying is less than its Coupon Trigger on a Coupon Observation Date, the Contingent Coupon applicable to such Coupon Observation Date will not be payable and we will not make any payment to you on the relevant Coupon Payment Date. You may not receive any Contingent Coupon Payments over the term of the Notes. |
Coupon Trigger: |
$691.397 with respect to AMZN, $49.00 with respect to MSFT, and $106.134 with respect to NVDA, each of which is 70% of its Initial Price. |
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: |
Unless the Notes are automatically called, for each $1,000 Principal
Amount, you will receive a payment on the Maturity Date, calculated as follows:
n
If the Reference Return of each Underlying is greater than or equal to -30.00%:
$1,000 + final Contingent
Coupon.
n
If the Reference Return of any Underlying is less than -30.00%:
The Physical Delivery Amount in shares of the
Least Performing Underlying. If the Final Price of the Least Performing Underlying is less than its Barrier Price,
you may lose up to 100% of the Principal Amount. |
Least Performing Underlying: |
The Underlying with the lowest Reference Return. |
Physical Delivery Amount: |
A number of shares of the Least Performing Underlying calculated by dividing the Principal Amount by the Initial Price of the Least Performing Underlying. Fractional share amounts will be paid in cash and determined by multiplying the number of fractional shares by the Final Price of the Least Performing Underlying. The Physical Delivery Amount is subject to adjustment as described under “Additional Terms of the Notes―Antidilution and Reorganization Adjustments” in the accompanying Stock-Linked Underlying Supplement. |
Barrier Price: |
$691.397 with respect to AMZN, $49.00 with respect to MSFT, and $106.134 with respect to NVDA, each of which is 70% of its Initial Price. |
Reference Return:
|
With respect to each Underlying, the quotient, expressed as a percentage,
calculated as follows:
Final Price – Initial Price
Initial Price |
Initial Price: |
$987.71 with respect to AMZN, $70.00 with respect to MSFT, and $151.62 with respect to NVDA, each of which was its Official Closing Price on the Pricing Date. |
Final Price: |
With respect to each Underlying, its Official Closing Price on the Final Valuation Date. |
Official Closing Price: |
With respect to each Underlying, its closing price on any scheduled trading day as determined by the calculation agent based upon the value displayed on the relevant Bloomberg Professional® service page (with respect to AMZN, “AMZN UQ <EQUITY>”, with respect to MSFT, “MSFT UQ <EQUITY>”, and with respect to NVDA, “NVDA UQ <EQUITY>”) or, for each Underlying, any successor page on the Bloomberg Professional® service or any successor service, as applicable, subject to adjustment as described under “Additional Terms of the Notes—Antidilution and Reorganization Adjustments” in the accompanying Stock-Linked Underlying Supplement. |
CUSIP/ISIN: |
40435D227 / US40435D2273 |
Form of Notes: |
Book-Entry |
Listing: |
The Notes will not be listed on any 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 is determined by us on the Pricing Date, was 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. 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 in
any of the Underlyings 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 Stock-Linked 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 Stock-Linked 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-6 of this pricing supplement,
beginning on page S-1 of the prospectus supplement and beginning on page S-1 of the Stock-Linked 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 Stock-Linked 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 Stock-Linked 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 Stock-Linked 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 Price of each of the Underlyings is at or above its Initial Price on any Coupon Observation Date, up to and including
March 18, 2019. If the Notes are automatically called, investors will receive on the corresponding Call Payment Date, a cash payment
per $1,000 Principal Amount of Notes equal to 100% of the Principal Amount, together with the applicable Contingent Coupon.
Contingent Coupon
We will pay a quarterly Contingent Coupon payment
on a Coupon Payment Date if the Official Closing Price of each Underlying on the applicable Coupon Observation Date is greater
than or equal to 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” on page S-12 in the accompanying prospectus supplement. The Contingent Coupon Rate is 20.50% per annum ($51.25
per $1,000 in Principal Amount per quarter, if payable).
Maturity
Unless the Notes are automatically called,
on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a payment equal to the Final Settlement Value
determined as follows:
n
If the Reference Return of each Underlying is greater than or equal to -30.00%:
$1,000 + final Contingent
Coupon
n
If the Reference Return of any Underlying is less than -30.00%:
The Physical
Delivery Amount in shares of the Least Performing Underlying.
If the Final Price of the Least Performing
Underlying is less than its Barrier Price, you may lose up to 100% of the Principal Amount.
Calculation Agent
We or one of our affiliates will act as calculation
agent with respect to the Notes.
INVESTOR SUITABILITY
The Notes may be suitable for you if:
| 4 | You believe that the Official Closing Price of each Underlying
will be at or above its Coupon Trigger on each Coupon Observation Date, and the Final Price of the Least Performing Underlying
will be at or above its Barrier Price. |
| 4 | You seek a quarterly Contingent Coupon, based on the performance
of the Underlyings, that will be paid at the Contingent Coupon Rate of 20.50% per annum if the Official Closing Price 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 the Underlyings. |
| 4 | You are willing to receive shares of the Least Performing Underlying
as payment on the Notes if the Final Price of the Least Performing Underlying is below its Barrier Price. |
| 4 | You are willing to make an investment that is exposed to the potential
downside performance of the Underlyings on a 1-to-1 basis if the Reference Return of each Underlying is less than -30.00%. |
| 4 | You are willing to lose up to 100% of the Principal Amount. |
| 4 | You are willing to hold Notes that will be automatically called
on any Coupon Observation Date up to and including March 18, 2019 on which the Official Closing Price of each Underlying is at
or above its Initial Price, or you are otherwise willing to hold the Notes to maturity. |
| 4 | You are willing to forgo guaranteed interest payments on the Notes,
and dividends or other distributions paid on the Underlyings. |
| 4 | You do not seek an investment for which there will be an active
secondary market. |
| 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 Price of at least one Underlying
will be below its Coupon Trigger on each Coupon Observation Date, including the Final Valuation Date, and the Final Price of the
Least Performing Underlying will be below its Barrier Price. |
| 4 | You believe that the Contingent Coupon, if any, will not provide
you with your desired return. |
| 4 | You seek an investment that provides an opportunity to participate
in the appreciation of the Underlyings. |
| 4 | You are unwilling to receive shares of the Least Performing Underlying
as payment on the Notes if the Final Price of the Least Performing Underlying is below its Barrier Price. |
| 4 | You are unwilling to make an investment that is exposed to the
potential downside performance of the Underlyings on a 1-to-1 basis if the Reference Return of the Least Performing Underlying
is less than -30%. |
| 4 | You seek an investment that provides full return of principal at
maturity. |
| 4 | You are unable or unwilling to hold Notes that will be automatically
called on any Coupon Observation Date up to and including March 18, 2019 on which the Official Closing Price of each Underlying
is at or above its Initial Price, 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, or the dividends or other distributions paid on the Underlyings. |
| 4 | You seek an investment for which there will be an active secondary
market. |
| 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-1 of the accompanying
Stock-Linked Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the Underlyings. 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 Stock-Linked Underlying Supplement.
In addition to the risks discussed below, you
should review “Risk Factors” in the accompanying prospectus supplement and Stock-Linked 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 Reference Stocks”
in the Stock-Linked 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 any return of
principal and you may lose your entire initial investment.
The Notes do not guarantee any return of principal.
The Notes differ from ordinary debt securities in that if the Notes are not automatically called and the Final Price of the Least
Performing Underlying is less than its Barrier Price, we will pay you in shares of the Least Performing Underlying. In that case,
you will be exposed to the negative Reference Return on a 1-to-1 basis for each percentage point decline in the Reference Asset
if the Reference Return is less than -30.00%, and the Payment at Maturity you will be entitled to receive will be less than the
Principal Amount of the Notes. 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 each 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 each 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 Coupons, if any, regardless of any appreciation in the price of the Underlyings.
For each $1,000 in principal amount of the
Notes, you will receive $1,000 at maturity plus the final Contingent Coupon if the Final Price of the Least Performing Underlying
is equal to or greater than its Barrier Price, regardless of any appreciation in the prices of the Underlyings, which may be significant.
Accordingly, the return on the Notes may be significantly less than the return on a direct investment in the Underlyings during
the term of the Notes.
You are exposed to the market risk of all
of the Underlyings, with respect to both the Contingent Coupons, if any, and the payment at maturity, if any.
Your return on the Notes is not linked to a
basket consisting of the 3 equity securities. Rather, it will be contingent upon the independent performance of each Underlying.
Unlike an instrument with a return linked to a basket of underlying assets, in which risk is potentially mitigated and diversified
among all the components of the basket, you will be exposed to the risks related to all of the Underlyings. Poor performance by
any Underlying over the term of the Notes may negatively affect your return and will not be offset or mitigated by any positive
performance by the other Underlyings. To receive any contingent coupons, each Underlying must close at or above their respective
Coupon Triggers on the applicable Coupon Observation Date. In addition, if any Underlying has decreased to below its respective
Barrier Price as of the Final Valuation Date, you will be fully exposed to the decrease in the Least Performing Underlying on a
1 to 1 basis, even if the other Underlyings have appreciated. Under this scenario, the payment at maturity will be less than 70%
of the Principal Amount and could be zero. Accordingly, your investment is subject to the market risk of each of the Underlyings.
Because the Notes are linked to the performance
of the Least Performing Underlying, you are exposed to greater risks of receiving no Contingent Coupons and sustaining a significant
loss on your investment than if the Notes were linked to just one Underlying.
The risk that you will not receive any Contingent
Coupons, or that you will suffer a significant loss on your investment, is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of just one Underlying. With 3 Underlyings, it is more likely that one or
more of the Underlyings will close below its respective Coupon Trigger on any Coupon Observation Date (including the Final Valuation
Date) and below its respective Barrier Price on the Final Valuation Date, than if the Notes were linked to only one Underlying.
Therefore, it is more likely that you will not receive any Contingent Coupons, and that you will suffer a significant loss on your
investment. In addition, because each Underlying must close above its initial price on a quarterly Coupon
Observation Date in order
for the Notes to be called prior to maturity, the Notes are less likely to be called than if the Notes were linked to just one
Underlying.
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 payments to be made on the Notes,
including any Contingent Coupon 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.
If the Physical Delivery Amount will be
paid on the Notes, you will be subject to the price fluctuation of the Least Performing Underlying after the Final Valuation Date.
If the Final
Price of the Least Performing Underlying is less than its Barrier Price, we will deliver
to you at maturity the Physical Delivery Amount in shares of the Least Performing Underlying.
The value of those shares may further decrease between the Final Valuation Date and the Maturity Date, and you will incur additional
losses to the extent of such decrease. In addition, there is no assurance that an active trading market will continue for shares
of the Least Performing Underlying or that there will be liquidity in that trading market.
The Notes may be automatically called prior
to the Maturity Date.
If the Notes are automatically called early,
the holding period over which you may receive coupon payments could be as little as 3 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 full Payment at Maturity
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 pay 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 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 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 price 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 3 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 amount payable on the Notes is not linked
to the prices of the Underlyings at any time other than the Coupon Observation Dates, including the Final Valuation Date.
The payments on the Notes will be based on
the Official Closing Prices of the Underlyings on the Coupon Observation Dates, including the Final Valuation Date, subject to
postponement for non-trading days and certain market disruption events. Even if the price of any Underlying is greater than or
equal to its Coupon Trigger during the term of the Notes other than on a Coupon Observation Date but then decreases on that Coupon
Observation Date to a price that is less than its Coupon Trigger, the Contingent Coupon will not be payable for that Coupon Observation
Date. Similarly, if the Notes are not called, even if the price of the Least Performing Underlying is greater than or equal to
its Barrier Price during the term of the Notes other than on the Final Valuation Date but then decreases on the Final Valuation
Date to a price that is less than its Barrier Price, the Payment at Maturity will be less, possibly significantly less, than it
would have been had the Payment at Maturity been linked to the price of the Least Performing Underlying prior to such decrease.
Although the actual prices of the Underlyings on the Maturity Date or at other times during the term of the Notes may be higher
than their respective prices on the Coupon Observation Dates, whether each Contingent Coupon will be payable and the Payment at
Maturity will be based solely on the Official Closing Prices of the Underlyings on the applicable Coupon Observation Dates.
Higher Contingent Coupon payments or lower
Barrier Prices are generally associated with Underlyings with greater expected volatility and therefore can indicate a greater
risk of loss.
"Volatility" refers to the frequency
and magnitude of changes in the price of the Underlyings. The greater the expected volatility with respect to the Underlyings on
the Pricing Date, the higher the expectation as of the Pricing Date that the price of the Underlyings could close below their respective
Barrier Price on the Final Valuation Date, indicating a higher expected risk of loss on the Notes. This greater expected risk will
generally be reflected in a higher Contingent Coupon payment than the yield payable on our conventional debt securities with a
similar maturity, or in more favorable terms (such as a lower Barrier Price or a higher Contingent Coupon payment) than for similar
securities linked to the performance of the Underlyings with a lower expected volatility as of the Pricing Date. You should therefore
understand that a relatively higher Contingent Coupon payment may indicate an increased risk of loss. Further, a relatively lower
Barrier Price may not necessarily indicate that the Notes have a greater likelihood of a repayment of principal at maturity. The
volatility of the Underlyings can change significantly over the term of the Notes. The price of the Underlyings for your Notes
could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market
risk of the Underlyings and the potential to lose some or all of your principal at maturity.
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.
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.
Concentration of investment in technology sector
All of the Underlyings are concentrated in the technology
sector. Consequently, the value of the Notes may be subject to greater volatility and be more adversely affected by a single economic,
environmental, political or regulatory occurrence affecting the technology sector than an investment linked to a more broadly diversified
group of issuers. Stock prices for these types of companies are affected by supply and demand both for their specific product or
service and for technology products and services in general.
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 price of the Least Performing Underlying relative to its Initial Price. We cannot predict the Official
Closing Price of any of the Underlyings 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 any of the Underlyings or return on the Notes.
The table and examples below illustrate how
the Contingent Coupon and the Payment at Maturity would be calculated with respect to a $1,000 investment in the Notes, given a
range of hypothetical performances of the Least Performing Underlying. The hypothetical returns on the Notes below are numbers,
expressed as percentages, that result from comparing the Payment at Maturity per $1,000 Principal Amount to $1,000. You should
consider carefully whether the Notes are suitable to your investment goals. The numbers appearing in the following table and examples
have been rounded for ease of analysis. The following table and examples are based on the following terms:
4 |
Principal Amount: |
$1,000 |
4 |
Hypothetical Initial Price of the Least Performing Underlying: |
$100.00* |
4 |
Hypothetical Barrier Price: |
$70.00, 70% of the Initial Price |
4 |
Hypothetical Coupon Trigger: |
$70.00, 70% of the Initial Price |
4 |
Contingent Coupon Rate: |
20.50% per annum (5.125% for each quarter in which it is payable). If the Official Closing Price of each Underlying on every Coupon Observation Date is greater than or equal to its Coupon Trigger, the Contingent Coupon paid over the term of the Notes would total $410.00 per $1,000 Principal Amount of the Notes. |
* The hypothetical Initial Price of $100.00
used in the examples below has been chosen for illustrative purposes only and does not represent the actual Initial Price. The
actual Initial Price of each Underlying is set forth in on page PS-3 of this pricing supplement.
Summary of the Examples
|
Notes Are Called on a
Coupon Observation Date |
Notes Are Not Called on Any
Coupon Observation Date |
|
Example 1 |
Example 2 |
Example 3 |
Initial Price |
$100.00 |
$100.00 |
$100.00 |
Barrier Price |
$70.00 |
$70.00 |
$70.00 |
Coupon Trigger |
$70.00 |
$70.00 |
$70.00 |
Official Closing Price / Percentage Change on the First Coupon Observation Date |
$80.00/-20.00% |
$65.00/-35.00% |
$65.00/-35.00% |
Official Closing Price / Percentage Change on the Second Coupon Observation Date |
$90.00/-10.00% |
$85.00/-15.00% |
$65.00/-35.00% |
Official Closing Price / Percentage Change on the Third Coupon Observation Date |
$105.00/5.00% |
$70.00/-30.00% |
$60.00/-40.00% |
Official Closing Price / Percentage Change on the Fourth Coupon Observation Date |
N/A |
$65.00/-35.00% |
$65.00/-35.00% |
Official Closing Price / Percentage Change on the Fifth Coupon Observation Date |
N/A |
$65.00/-35.00% |
$65.00/-35.00% |
Official Closing Price / Percentage Change on the Sixth Coupon Observation Date |
N/A |
$70.00/-30.00% |
$60.00/-40.00% |
Official Closing Price / Percentage Change on the Seventh Coupon Observation Date |
N/A |
$85.00/-15.00% |
$65.00/-35.00% |
Official Closing Price / Percentage Change on the Final Valuation Date |
N/A |
$75.00/-25.00% |
$60.00/-40.00% |
Contingent Coupon Payment Amounts over the Term of the Notes |
3 x $51.25 = $153.75 |
5 x $51.25 = $256.25 |
0 x $51.25 = $0.00 |
Principal Amount Payment if Notes are Called |
$1,000 |
N/A |
N/A |
Principal Amount Payment at Maturity |
N/A |
$1,000 |
$1,000 + $1,000 x -40.00% = $600.00* |
Return of the Notes |
15.375% |
25.625% |
-40.00% |
** If the Final Price of the Least Performing Underlying
is less than its Barrier Price, we will pay you 10 shares of the Least Performing Underlying. The value of the 10 shares is based
on the Final Price of the Least Performing Underlying.
Example 1—The Official
Closing Price of each Underlying on the third Coupon Observation Date is greater than
or equal to its Initial Price and each Underlying closed at or above its Coupon Trigger on the two prior Coupon Observation Dates.
Underlying |
|
Initial Price |
|
Final Price |
AMZN |
|
$100.00 |
|
$130.00 (130.00% of Initial Price) |
MSFT |
|
$100.00 |
|
$120.00 (120.00% of Initial Price) |
NVDA |
|
$100.00 |
|
$105.00 (105.00% of Initial Price) |
NVIDIA Corporation (“NVDA”) is
the Least Performing Underlying.
|
|
Reference Return of the Least Performing Underlying: |
105.00% |
Final Settlement Value: |
$1,051.25 |
Because the Official Closing Price
of each Underlying on the third Coupon Observation Date is at or above its Initial Price, the Notes will be called and you will
receive $1,051.25 per Note, reflecting the Principal Amount plus the Contingent Coupon. When
added to the Contingent Coupon payments of $102.50 received in respect of the prior Coupon Observation Dates, we will have paid
you a total of $1,153.75 per Note, resulting in a 15.375% return on the Notes.
Example 2— The Notes are not called,
the Final Price of the Least Performing Underlying is greater than or equal to its Barrier Price, and the Least Performing Underlying
closed at or above its Coupon Trigger on four of the seven Coupon Observation Dates prior to the Final Valuation Date.
Underlying |
|
Initial Price |
|
Final Price |
AMZN |
|
$100.00 |
|
$75.00 (75.00% of Initial Price) |
MSFT |
|
$100.00 |
|
$80.00 (80.00% of Initial Price) |
NVDA |
|
$100.00 |
|
$90.00 (90.00% of Initial Price) |
Amazon.com, Inc. (“AMZN”) is the
Least Performing Underlying.
|
|
Reference Return of the Least Performing Underlying: |
75.00% |
Final Settlement Value: |
$1,051.25 |
Because the Final Price of the Least Performing
Underlying is greater than or equal to its Barrier Price, you will receive $1,000 per $1,000 in Principal Amount plus the final
Contingent Coupon, calculated as follows:
Payment at Maturity = $1,000
+ $51.25 = $1,051.25
When added to each of the previous four Contingent
Coupon payments of $51.25 received in respect of prior Coupon Observation Dates, we will have paid you a total of $1,256.25 per
Note, resulting in a 25.625% return on the Notes.
Example 3— The Notes are not called,
the Final Price of the Least Performing Underlying is less than its Barrier Price, and the Least Performing Underlying did not
close at or above its Coupon Trigger on any Coupon Observation Date.
Underlying |
|
Initial Price |
|
Final Price |
AMZN |
|
$100.00 |
|
$60.00 (60.00% of Initial Price) |
MSFT |
|
$100.00 |
|
$80.00 (80.00% of Initial Price) |
NVDA |
|
$100.00 |
|
$90.00 (90.00% of Initial Price) |
Amazon.com, Inc. (“AMZN”) is the
Least Performing Underlying.
|
|
Reference Return of the Least Performing Underlying: |
60.00% |
Final Settlement Value: |
$600.00 |
Because the Final Price of the Least Performing
Underlying is less than its Barrier Price, you will receive $600.00 per $1,000 in Principal Amount, calculated as follows:
Final Price –
Initial Price
Initial Price
= ($60.00– $100.00) / $100.00 = -40.00%
Final Settlement Value = Principal Amount/Initial
Price of the Least Performing Underlying.
= $1,000/$100.00
= 10 shares of the Least Performing Underlying
The value of these shares based
on the Final Price of the Least Performing Underlying is $600.00. Because there was no Contingent
Coupon payable in respect of the prior Coupon Observation Dates, we will pay you a total of $600.00, resulting in a -40.00% return
on the Notes. Because the Reference Return is less than t-30.00%, you would receive the Physical
Delivery Amount, or 10 shares of the Least Performing Underlying per $1,000 Principal Amount. As of the Valuation Date, these shares
would have a value of $600.00 (10 shares multiplied by the Final Price of $60.00). Under these circumstances, the value of the
Physical Delivery Amount would represent a loss of -40.00% of your principal amount.
If the Notes are not called and the Final Price
of the Least Performing Underlying is less than its Barrier Price, you will be exposed to any decrease in the price of the Least
Performing Underlying on a 1:1 basis and could lose up to 100% of your principal at maturity.
INFORMATION RELATING TO THE
UNDERLYINGS
Description of Amazon.com, Inc.
Amazon.com, Inc. is an online retailer
that offers a wide range of products. The company products include books, music, videotapes, computers, electronics, home and garden,
and numerous other products. The company also offers personalized shopping services, Web-based credit card payment, and direct
shipping to customers. Information filed by the Underlying with the SEC under the Exchange Act can be located by reference to its
SEC file number: 000-22513 or its CIK Code: 0001018724.
Historical Performance
The
following table sets forth the quarterly high and low closing prices, as well as end-of-quarter
closing prices, on the relevant exchange, of this Underlying for each quarter in the
period from January 2, 2008 through June 16, 2017. We obtained the data in this table
from the Bloomberg Professional® service, without independent verification
by us. All historical prices are denominated in US dollars and rounded to the nearest
penny. Historical prices of this Underlying should not be taken as an indication of
future performance of this Underlying.
|
|
|
The graph below illustrates
the daily performance of this Underlying from January 2, 2008 through June 16, 2017 based on information from the Bloomberg
Professional® service. Past performance of this Underlying is not indicative of its future performance. |
Quarter
Ending |
Quarter
High ($) |
Quarter
Low ($) |
Quarter
Close ($) |
|
|
|
March
31, 2008 |
96.25 |
62.43 |
71.3 |
|
|
June
30, 2008 |
84.51 |
71.3 |
73.33 |
|
|
September
30, 2008 |
88.09 |
63.35 |
72.76 |
|
|
December
31, 2008 |
72.76 |
35.03 |
51.28 |
|
|
March
31, 2009 |
75.58 |
48.44 |
73.44 |
|
|
June
30, 2009 |
87.56 |
73.44 |
83.66 |
|
|
September
30, 2009 |
93.85 |
75.63 |
93.36 |
|
|
December
31, 2009 |
142.25 |
88.67 |
134.52 |
|
|
March
31, 2010 |
136.55 |
116 |
135.73 |
|
|
June
30, 2010 |
150.09 |
108.61 |
109.26 |
|
|
September
30, 2010 |
160.73 |
109.14 |
157.06 |
|
|
December
31, 2010 |
184.76 |
153.03 |
180 |
|
|
March
31, 2011 |
191.25 |
160.97 |
180.13 |
|
|
June
30, 2011 |
206.07 |
178.34 |
204.49 |
|
|
September
30, 2011 |
241.69 |
177.79 |
216.23 |
|
|
December
31, 2011 |
246.71 |
173.1 |
173.1 |
|
|
March
31, 2012 |
205.44 |
173.1 |
202.51 |
|
|
June
30, 2012 |
231.9 |
185.5 |
228.35 |
|
|
September
30, 2012 |
261.68 |
215.36 |
254.32 |
|
|
December
31, 2012 |
261.5 |
220.64 |
251.14 |
|
|
March
30, 2013 |
283.99 |
251.14 |
266.49 |
|
|
June
30, 2013 |
281.76 |
248.23 |
277.69 |
|
|
September
30, 2013 |
318.12 |
277.69 |
312.64 |
|
|
December
31, 2013 |
404.39 |
298.23 |
398.79 |
|
|
March
31, 2014 |
407.05 |
336.52 |
336.52 |
|
|
June
30, 2014 |
342.99 |
288.32 |
324.78 |
|
|
September
30, 2014 |
360.84 |
307.06 |
322.44 |
|
|
December
31, 2014 |
338.64 |
287.06 |
310.35 |
|
|
March
31, 2015 |
387.83 |
286.95 |
372.1 |
|
|
June
30, 2015 |
445.99 |
370.255 |
434.09 |
|
|
September
30, 2015 |
548.39 |
429.7 |
511.89 |
|
|
December
31, 2015 |
693.97 |
511.89 |
675.89 |
|
|
March
31, 2016 |
675.89 |
482.07 |
593.64 |
|
|
June
30, 2016 |
728.24 |
586.14 |
715.62 |
|
|
September
30, 2016 |
837.31 |
715.62 |
837.31 |
|
|
December
31, 2016 |
844.36 |
719.07 |
749.87 |
|
|
March
31, 2017 |
886.54 |
749.87 |
886.54 |
|
|
June
16, 2017.* |
1011.34 |
884.67 |
987.71 |
|
|
* This document includes, for the second calendar quarter of 2017,
data for the period from April 1, 2017 through June 16, 2017. Accordingly, the “Quarter High,” “Quarter Low”
and “Quarter Close” data indicated are for this shortened period only and do not reflect complete data for the second
calendar quarter of 2017.
Description of Microsoft Corporation
Microsoft Corporation develops, manufactures,
licenses, sells, and supports software products. The company offers operating system software, server application software, business
and consumer applications software, software development tools, and Internet and intranet software. The company also develops video
game consoles and digital music entertainment devices. Information filed by MSFT with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001-37845 or its CIK Code: 0000789019.
Historical Performance
The
following table sets forth the quarterly high and low closing prices, as well as end-of-quarter
closing prices, on the relevant exchange, of this Underlying for each quarter in the
period from January 2, 2008 through June 16, 2017. We obtained the data in this table
from the Bloomberg Professional® service, without independent verification
by us. All historical prices are denominated in US dollars and rounded to the nearest
penny. Historical prices of this Underlying should not be taken as an indication of
future performance of this Underlying.
|
|
|
The graph below illustrates
the daily performance of this Underlying from January 2, 2008 through June 16, 2017 based on information from the Bloomberg
Professional® service. Past performance of this Underlying is not indicative of its future performance. |
Quarter
Ending |
Quarter
High ($) |
Quarter
Low ($) |
Quarter
Close ($) |
|
|
|
March
31, 2008 |
35.6 |
26.99 |
28.38 |
|
|
June
30, 2008 |
31.65 |
27.12 |
27.51 |
|
|
September
30, 2008 |
28.13 |
24.57 |
26.69 |
|
|
December
31, 2008 |
26.69 |
17.53 |
19.44 |
|
|
March
31, 2009 |
20.76 |
15.15 |
18.37 |
|
|
June
30, 2009 |
24.07 |
18.37 |
23.77 |
|
|
September
30, 2009 |
25.94 |
22.39 |
25.89 |
|
|
December
31, 2009 |
31.37 |
24.64 |
30.49 |
|
|
March
31, 2010 |
31.1 |
27.72 |
29.27 |
|
|
June
30, 2010 |
31.39 |
23.01 |
23.01 |
|
|
September
30, 2010 |
26.33 |
23.01 |
24.49 |
|
|
December
31, 2010 |
28.3 |
23.91 |
27.92 |
|
|
March
31, 2011 |
28.83 |
24.78 |
25.36 |
|
|
June
30, 2011 |
26.72 |
23.69 |
26 |
|
|
September
30, 2011 |
28.07 |
23.98 |
24.89 |
|
|
December
31, 2011 |
27.31 |
24.3 |
25.96 |
|
|
March
31, 2012 |
32.85 |
25.96 |
32.25 |
|
|
June
30, 2012 |
32.42 |
28.45 |
30.59 |
|
|
September
30, 2012 |
31.46 |
28.63 |
29.78 |
|
|
December
31, 2012 |
30.01 |
26.34 |
26.73 |
|
|
March
30, 2013 |
28.61 |
26.46 |
28.61 |
|
|
June
30, 2013 |
35.67 |
28.56 |
34.53 |
|
|
September
30, 2013 |
36.25 |
31.16 |
33.31 |
|
|
December
31, 2013 |
38.94 |
33.01 |
37.43 |
|
|
March
31, 2014 |
40.99 |
34.99 |
40.99 |
|
|
June
30, 2014 |
42.25 |
39.06 |
41.7 |
|
|
September
30, 2014 |
47.52 |
41.67 |
46.36 |
|
|
December
31, 2014 |
49.61 |
42.74 |
46.45 |
|
|
March
31, 2015 |
47.59 |
40.4 |
40.655 |
|
|
June
30, 2015 |
49.155 |
40.29 |
44.15 |
|
|
September
30, 2015 |
47.58 |
40.47 |
44.26 |
|
|
December
31, 2015 |
56.55 |
44.26 |
55.48 |
|
|
March
31, 2016 |
55.48 |
49.28 |
55.23 |
|
|
June
30, 2016 |
56.46 |
48.43 |
51.17 |
|
|
September
30, 2016 |
58.3 |
51.16 |
57.6 |
|
|
December
31, 2016 |
63.62 |
56.92 |
62.14 |
|
|
March
31, 2017 |
65.86 |
62.14 |
65.86 |
|
|
June
16, 2017.* |
72.52 |
64.95 |
70.00 |
|
|
* This document includes, for the second calendar quarter of 2017,
data for the period from April 1, 2017 through June 16, 2017. Accordingly, the “Quarter High,” “Quarter Low”
and “Quarter Close” data indicated are for this shortened period only and do not reflect complete data for the second
calendar quarter of 2017.
Description of NVIDIA Corporation
NVIDIA Corporation designs, develops,
and markets three dimensional (3D) graphics processors and related software. The company's products provide interactive 3D graphics
to the personal computer market. Information filed by NVDA with the SEC under the Exchange Act
can be located by reference to its SEC file number: 000-23985 or its CIK Code: 0001045810.
Historical Performance
The
following table sets forth the quarterly high and low closing prices, as well as end-of-quarter
closing prices, on the relevant exchange, of this Underlying for each quarter in the
period from January 2, 2008 through June 16, 2017. We obtained the data in this table
from the Bloomberg Professional® service, without independent verification
by us. All historical prices are denominated in US dollars and rounded to the nearest
penny. Historical prices of this Underlying should not be taken as an indication of
future performance of this Underlying.
|
|
|
The graph below illustrates
the daily performance of this Underlying from January 2, 2008 through June 16, 2017 based on information from the Bloomberg
Professional® service. Past performance of this Underlying is not indicative of its future performance. |
Quarter
Ending |
Quarter
High ($) |
Quarter
Low ($) |
Quarter
Close ($) |
|
|
|
March
31, 2008 |
34.02 |
17.66 |
19.79 |
|
|
June
30, 2008 |
24.85 |
17.91 |
18.72 |
|
|
September
30, 2008 |
18.75 |
9.29 |
10.71 |
|
|
December
31, 2008 |
10.71 |
5.9 |
8.07 |
|
|
March
31, 2009 |
10.56 |
7.21 |
9.86 |
|
|
June
30, 2009 |
12.3 |
8.4 |
11.29 |
|
|
September
30, 2009 |
16.47 |
10.09 |
15.03 |
|
|
December
31, 2009 |
18.68 |
11.96 |
18.68 |
|
|
March
31, 2010 |
18.88 |
15.39 |
17.38 |
|
|
June
30, 2010 |
18.01 |
10.21 |
10.21 |
|
|
September
30, 2010 |
12.28 |
8.88 |
11.68 |
|
|
December
31, 2010 |
15.4 |
10.7 |
15.4 |
|
|
March
31, 2011 |
25.69 |
15.4 |
18.46 |
|
|
June
30, 2011 |
20.5 |
15.41 |
15.935 |
|
|
September
30, 2011 |
16.15 |
11.73 |
12.5 |
|
|
December
31, 2011 |
15.82 |
11.81 |
13.86 |
|
|
March
31, 2012 |
16.45 |
13.52 |
15.39 |
|
|
June
30, 2012 |
15.39 |
11.73 |
13.82 |
|
|
September
30, 2012 |
14.81 |
12.37 |
13.34 |
|
|
December
31, 2012 |
13.62 |
11.38 |
12.29 |
|
|
March
30, 2013 |
13.16 |
11.98 |
12.82 |
|
|
June
30, 2013 |
14.92 |
12.13 |
14.03 |
|
|
September
30, 2013 |
16 |
14.03 |
15.56 |
|
|
December
31, 2013 |
16.22 |
14.54 |
16.02 |
|
|
March
31, 2014 |
18.88 |
15.36 |
17.91 |
|
|
June
30, 2014 |
19.61 |
17.91 |
18.54 |
|
|
September
30, 2014 |
20.03 |
17.46 |
18.45 |
|
|
December
31, 2014 |
21.14 |
16.785 |
20.05 |
|
|
March
31, 2015 |
23.47 |
19.135 |
20.925 |
|
|
June
30, 2015 |
22.76 |
20.11 |
20.11 |
|
|
September
30, 2015 |
24.65 |
19.31 |
24.65 |
|
|
December
31, 2015 |
33.75 |
24.17 |
32.96 |
|
|
March
31, 2016 |
35.76 |
25.22 |
35.63 |
|
|
June
30, 2016 |
48.49 |
34.76 |
47.01 |
|
|
September
30, 2016 |
68.52 |
46.66 |
68.52 |
|
|
December
31, 2016 |
117.32 |
65.35 |
106.74 |
|
|
March
31, 2017 |
119.13 |
97.67 |
108.93 |
|
|
June
16, 2017.* |
159.94 |
95.49 |
151.62 |
|
|
* This document includes, for the second calendar quarter of 2017, data for the period from April 1, 2017 through June 16, 2017. Accordingly, the “Quarter High,” “Quarter Low” and “Quarter Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2017. |
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.
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 2.00% and structuring fees of up to 0.25% per
$1,000 Principal Amount in connection with the distribution of the securities to other registered broker-dealers. In no case will
the sum of the underwriting discounts and referral fees exceed 2.25% 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
debt instruments that are “contingent payment 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 — Contingent Notes”
in the accompanying prospectus supplement.
We will not attempt to ascertain whether any
Underlying 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 any Underlying 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 Underlyings, and consult your tax advisor regarding the possible consequences to you if any Underlying 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 on the receipt
of cash upon maturity or an earlier sale 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 long-term capital gain or loss if you
have held the Note for more than one year at such time for U.S. federal income tax purposes. Your tax basis in a Note generally
will equal your cost of the Note. If upon maturity of the Notes, you receive shares of the Least Performing Underlying (the “Underlying
Shares”) and cash in lieu of any fractional Underlying Share, you should generally recognize capital gain or loss equal to
the difference between the amount of cash received in lieu of any fractional Underlying Share and the pro rata portion of your
tax basis in the Notes that is allocable to such fractional Underlying Share, based on the amount of cash received and the fair
market value of the Underlying Shares received. Although no assurances can be provided in this regard, you may generally expect
not to recognize any gain or loss with respect to any Underlying Shares received. You should generally have a basis in the Underlying
Shares equal to your tax basis in the Notes, other than any amount allocated to a fractional Underlying Share. The holding period
for such Underlying Shares should start on the day after receipt. 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 Stock-Linked 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 Stock-Linked 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 Stock-Linked 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 Stock-Linked Underlying Supplement, prospectus supplement and
prospectus is correct on any date after their respective dates.
HSBC
USA Inc.
$2,075,000
Autocallable Contingent
Income Barrier Notes Linked to the
Least Performing of Amazon.com,
Inc., Microsoft Corporation, and
NVIDIA Corporation
June
16, 2017
|
|
|
|
Pricing Supplement |
|
|
General |
PS-4 |
|
Payment on the Notes |
PS-4 |
|
Investor Suitability |
PS-5 |
|
Risk Factors |
PS-6 |
|
Illustrative Examples |
PS-9 |
|
Information Relating to the Underlyings |
PS-11 |
|
Events of Default and Acceleration |
PS-16 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
PS-16 |
|
U.S. Federal Income Tax Considerations |
PS-16 |
|
Validity of the Notes |
PS-17 |
|
|
|
|
Stock-Linked Underlying Supplement |
|
|
Risk Factors |
S-1 |
|
Additional Terms of the Notes |
S-4 |
|
Information Regarding the Reference Stocks and the Reference Stock Issuers |
S-10
|
|
|
|
|
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:
v469219_424b2.pdf