0001104659-20-082040.txt : 20200708 0001104659-20-082040.hdr.sgml : 20200708 20200708151215 ACCESSION NUMBER: 0001104659-20-082040 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 6 FILED AS OF DATE: 20200708 DATE AS OF CHANGE: 20200708 FILER: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-223208 FILM NUMBER: 201018244 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 212-525-5000 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 424B2 1 tm2024175d16_424b2.htm PRICING SUPPLEMENT

 

Title of Each Class

of Securities Offered

 

Maximum

Aggregate Offering Price

 

Amount of

Registration Fee(1)

Debt Securities   $1,762,000   $ 228.71

 

(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. 333-223208

July 7, 2020

PRICING SUPPLEMENT

(To Prospectus dated February 26, 2018,

Prospectus Supplement dated February 26, 2018 and

Equity Index Underlying Supplement dated February 26, 2018)

 

 

 

Linked to the S&P 500® Index (the “Reference Asset”)

 

Digital Upside Return of 15.00% if the Reference Return of the Reference Asset is greater than or equal to the Buffer Percentage (-12%)

 

Protection from the first 12% of any losses of the Reference Asset

 

A 3-year maturity

 

All payments on the notes are subject to the credit risk of HSBC USA Inc.

 

The Buffered Digital Notes (each a “note” and collectively the “notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation system. The notes will not bear interest.

 

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any representation to the contrary is a criminal offense. We have appointed HSBC Securities (USA) Inc., an affiliate of ours, as the agent for the sale of the notes. HSBC Securities (USA) Inc. will purchase the notes from us for distribution to other registered broker-dealers or will offer the notes directly to investors. 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-10 of this document.

 

Investment in the notes involves certain risks. You should refer to “Risk Factors” beginning on page PS-5 of this document, page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.

 

The Estimated Initial Value of the notes on the Pricing Date is $957.40 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-2 and “Risk Factors” beginning on page PS-5 of this document for further information.

 

  Price to Public Underwriting Discount1 Proceeds to Issuer
Per security $1,000.00 $20.25 $979.75
Total $1,762,000.00 $35,680.50 $1,726,319.50

 

1 HSBC USA Inc. or one of its affiliates may pay varying underwriting discounts of up to 2.025% per $1,000 Principal Amount in connection with the distribution of the notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-10 of this document.

 

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

 

 

 

 

HSBC USA Inc.

Buffered Digital Notes

   

 

Linked to the S&P 500® Index

 

This document relates to a single offering of Buffered Digital Notes. The notes will have the terms described in this document and the accompanying prospectus supplement, prospectus and Equity Index Underlying Supplement. If the terms of the notes offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described in this document shall control. You should be willing to forgo interest and dividend payments during the term of the notes and, if the Reference Return is less than -12%, lose up to 88% of your principal.

 

This document relates to an offering of notes linked to the performance of the Reference Asset. The purchaser of a note will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of notes:

 

Issuer:   HSBC USA Inc.
Principal Amount:   $1,000 per note
Reference Asset:   The S&P 500® Index (Ticker: “SPX”)
Trade Date:   July 7, 2020
Pricing Date:   July 7, 2020
Original Issue Date:   July 10, 2020
Final Valuation Date   July 5, 2023, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
Maturity Date:   July 10, 2023. The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
Digital Upside Return:   15.00%
Payment at Maturity:   On the Maturity Date, for each note, we will pay you the Final Settlement Value.
Final Settlement Value:  

If the Reference Return is greater than or equal to the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of notes, equal to:

$1,000 + ($1,000 × Digital Upside Return).

If the Reference Return is less than the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:

$1,000 + [$1,000 × (Reference Return + 12%)].

Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is less than the Buffer Percentage. For example, if the Reference Return is -40%, you will suffer a 28% loss and receive 72% of the Principal Amount, subject to the credit risk of HSBC. If the Reference Return is less than the Buffer Percentage, you will lose some or a significant portion (up to 88%) of your investment.

Reference Return:   The quotient, expressed as a percentage, calculated as follows:
   

Final Level – Initial Level

Initial Level

Buffer Percentage:   -12%
Initial Level:   3,145.32, which was the Official Closing Level of the Reference Asset on the Pricing Date.
Final Level:   The Official Closing Level of the Reference Asset on the Final Valuation Date.
Form of Notes:   Book-Entry
Listing:   The notes will not be listed on any U.S. securities exchange or quotation system.
CUSIP/ISIN:   40438CLZ2 / US40438CLZ22
Estimated Initial Value:   The Estimated Initial Value of the notes is less than the price you pay to purchase the notes. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your notes in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the notes, which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the notes in the secondary market, if any.”

 

PS-2

 

 

GENERAL

 

This document relates to an offering of notes linked to the Reference Asset. The purchaser of a note will acquire a senior unsecured debt security of HSBC USA Inc. Although the offering of notes relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset or any component security included in the Reference Asset or as to the suitability of an investment in the notes.

 

You should read this document together with the prospectus dated February 26, 2018, the prospectus supplement dated February 26, 2018, and the Equity Index Underlying Supplement dated February 26, 2018. If the terms of the notes offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described in this document shall control. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-5 of this document, page S-1 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the notes. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our” are to HSBC USA Inc.

 

HSBC has filed a registration statement (including a prospectus, a prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this document relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively, HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.

 

You may also obtain:

 

The Equity Index Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm

 

The prospectus supplement at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm

 

The prospectus at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm

 

PAYMENT AT MATURITY

 

On the Maturity Date, for each note you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:

 

If the Reference Return is greater than or equal to the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of notes, equal to:

 

$1,000 + ($1,000 × Digital Upside Return).

 

If the Reference Return is less than the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 12%)].

 

Under these circumstances, you will lose 1% of the Principal Amount for each percentage point that the Reference Return is less than the Buffer Percentage. For example, if the Reference Return is -40%, you will suffer a 28% loss and receive 72% of the Principal Amount, subject to the credit risk of HSBC. You should be aware that if the Reference Return is less than the Buffer Percentage, you will lose some or a significant portion (up to 88%) of your investment.

 

Interest

 

The notes will not pay interest.

 

Calculation Agent

 

We or one of our affiliates will act as calculation agent with respect to the notes.

 

Reference Sponsor

 

The reference sponsor is S&P Dow Jones Indices LLC, a division of S&P Global.

 

PS-3

 

 

INVESTOR SUITABILITY

 

The notes may be suitable for you if:

 

4You seek an investment with a return linked to the potential performance of the Reference Asset and you believe the level of the Reference Asset will not be less than the Buffer Percentage.

 

4You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point that the Reference Return is less than the Buffer Percentage.

 

4You are willing to invest in the notes based on the fact that your maximum potential return is the Digital Upside Return.

 

4You 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.

 

4You are willing to forgo dividends or other distributions paid to holders of the stocks included in the Reference Asset.

 

4You do not seek current income from your investment.

 

4You do not seek an investment for which there is an active secondary market.

 

4You are willing to hold the notes to maturity.

 

4You are comfortable with the creditworthiness of HSBC, as Issuer of the notes.

 

The notes may not be suitable for you if:

 

4You believe the Reference Return will be less than the Buffer Percentage.

 

4You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage point that the Reference Return is less than the Buffer Percentage.

 

4You are unwilling to invest in the notes based on the fact that your maximum potential return is the Digital Upside Return.

 

4You seek an investment that provides full return of principal.

 

4You 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.

 

4You prefer to receive the dividends or other distributions paid on the stocks included in the Reference Asset.

 

4You seek current income from your investment.

 

4You seek an investment for which there will be an active secondary market.

 

4You are unable or unwilling to hold the notes to maturity.

 

4You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the notes.

 

 

 

 

PS-4

 

 

RISK FACTORS

 

We urge you to read the section “Risk Factors” beginning on page S-1 in the accompanying prospectus supplement and on page S-1 of the accompanying Equity Index Underlying Supplement. Investing in the notes is not equivalent to investing directly in any of the stocks included in the Reference Asset. 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 document and the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus.

 

In addition to the risks discussed below, you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including the explanation of risks relating to the notes described in the following sections:

 

4   “— Risks Relating to All Note Issuances” in the prospectus supplement; and

 

4   “— General Risks Related to Indices” in the Equity Index Underlying Supplement;

 

You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.

 

Your investment in the notes may result in a loss.

 

You will be exposed on a 1-to-1 basis to any decrease in the level of the Reference Asset beyond the Buffer Percentage of -12%. Accordingly, if the Reference Return is less than -12%, you will lose up to 88% of your investment at maturity.

 

You will not participate in any appreciation in the level of the Reference Asset and your return on the notes is limited to the Digital Upside Return.

 

The notes will not pay a return more than the Digital Upside Return. Even if the level of the Reference Asset appreciates over the term of the notes, you will not participate in that appreciation. Assuming the notes are held to maturity, the maximum return on the notes will not exceed the Digital Upside Return. Under no circumstances, regardless of the extent to which the level of the Reference Asset increases, will your return exceed the Digital Upside Return. In some cases, you may earn significantly less by investing in the notes than you would have earned by investing in an instrument directly linked to the performance of the Reference Asset, or by investing directly in the stocks included in the Reference Asset.

 

The amount payable on the notes is not linked to the level of the Reference Asset at any time other than the Final Valuation Date.

 

The Final Level will be based on the Official Closing Level of the Reference Asset on the Final Valuation Date, subject to postponement for non-trading days and certain Market Disruption Events. Even if the level of the Reference Asset appreciates during the term of the notes other than on the Final Valuation Date but then decreases on the Final Valuation Date to a level that is less than 88% of the Initial Level, the Payment at Maturity may be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the level of the Reference Asset prior to such decrease. Although the actual level of the Reference Asset on the Maturity Date or at other times during the term of the notes may be higher than the Final Level, the Payment at Maturity will be based solely on the Official Closing Level of the Reference Asset on the Final Valuation 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 Reference Asset may affect the market value of the notes and the amount you will receive at maturity.

 

The policies of the reference sponsor concerning additions, deletions and substitutions of the stocks included in the Reference Asset and the manner in which the reference sponsor takes account of certain changes affecting those stocks may affect the level of the Reference Asset. The policies of the reference sponsor with respect to the calculation of the Reference Asset could also affect the level of the Reference Asset. The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset. Any such actions could affect the value of the notes and their return.

 

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 of the notes.

 

PS-5

 

 

The Estimated Initial Value of the notes, which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the notes in the secondary market, if any.

 

The Estimated Initial Value of the notes was calculated by us on the Pricing Date and is less than the price to public. The Estimated Initial Value reflects our internal funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market value of the embedded derivatives in the notes. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the notes may be lower if it were based on the prices at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the notes to be more favorable to you. We determined the value of the embedded derivatives in the notes by reference to our or our affiliates’ internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions could provide valuations for the notes that are different from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your notes in the secondary market (if any exists) at any time.

 

The price of your notes in the secondary market, if any, immediately after the Pricing Date is expected to 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 level of the Reference Asset 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 may be initially used for customer account statements, if any, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately 6 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the notes and other costs in connection with the notes that we will no longer expect to incur over the term of the notes. We will make such discretionary election and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the notes and any agreement we may have with the distributors of the notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the Original Issue Date of the notes based on changes in market conditions and other factors that cannot be predicted.

 

The notes lack liquidity.

 

The notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the notes in the secondary market, if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the notes.

 

Potential conflicts of interest may exist.

 

An affiliate of HSBC has a minority equity interest in the owner of an electronic platform, through which we may make available certain structured investments offering materials. 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 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.

 

PS-6

 

 

ILLUSTRATIVE EXAMPLES

 

The following table and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the level of the Reference Asset relative to its Initial Level. We cannot predict the actual Final Level. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset or the return on your notes. The Final Settlement Value may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers appearing in the table below and following examples have been rounded for ease of analysis.

 

The table below illustrates the Final Settlement Value on a $1,000 investment in the notes for a hypothetical range of Reference Returns from -100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the Notes” as used below is the number, expressed as a percentage, that results from comparing the Final Settlement Value per $1,000 Principal Amount to $1,000. The potential returns described here assume that your notes are held to maturity. You should consider carefully whether the notes are suitable to your investment goals. The following table and examples are based on the following terms:

 

Principal Amount: $1,000
   
Hypothetical Initial Level*: 1,000.00
   
Digital Upside Return: 15.00%
   
Buffer Percentage: -12%

 

*The actual Initial Level is set forth on page PS-2 of this pricing supplement.

 

Hypothetical

Final Level

Hypothetical
Reference Return

Hypothetical

Final Settlement Value

Hypothetical

Return on the Notes

2,000.00 100.00% $1,150.00 15.00%
1,800.00 80.00% $1,150.00 15.00%
1,600.00 60.00% $1,150.00 15.00%
1,300.00 30.00% $1,150.00 15.00%
1,250.00 25.00% $1,150.00 15.00%
1,150.00 15.00% $1,150.00 15.00%
1,100.00 10.00% $1,150.00 15.00%
1,050.00 5.00% $1,150.00 15.00%
1,020.00 2.00% $1,150.00 15.00%
1,010.00 1.00% $1,150.00 15.00%
1,000.00 0.00% $1,150.00 15.00%
990.00 -1.00% $1,150.00 15.00%
980.00 -2.00% $1,150.00 15.00%
950.00 -5.00% $1,150.00 15.00%
900.00 -10.00% $1,150.00 15.00%
880.00 -12.00% $1,150.00 15.00%
800.00 -20.00% $920.00 -8.00%
700.00 -30.00% $820.00 -18.00%
600.00 -40.00% $720.00 -28.00%
500.00 -50.00% $620.00 -38.00%
100.00 -90.00% $220.00 -78.00%
0.00 -100.00% $120.00 -88.00%

 

PS-7

 

 

The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the notes.

 

Example 1: The level of the Reference Asset increases from the Initial Level of 1,000.00 to a Final Level of 1,050.00.

 

   
Reference Return: 5.00%
Final Settlement Value: $1,150.00

 

Because the Reference Return is positive, the investor receives the Digital Upside Return, and the Final Settlement Value would be $1,150.00 per $1,000 Principal Amount, calculated as follows:

 

$1,000 + ($1,000 × Digital Upside Return)

 

= $1,000 + ($1,000 × 15.00%)

 

= $1,150.00

 

Example 1 shows that you will benefit from the Digital Upside Return at maturity when the Reference Return is positive.

 

Example 2: The level of the Reference Asset increases from the Initial Level of 1,000.00 to a Final Level of 1,600.00.

 

   
Reference Return: 60.00%
Final Settlement Value: $1,150.00

 

Even if the Reference Return is positive, and greater than the Digital Upside Return, the Final Settlement Value would still be $1,150.00 per $1,000 Principal Amount of notes, calculated as follows:

 

$1,000 + ($1,000 × Digital Upside Return)

 

= $1,000 + ($1,000 × 15.00%)

 

= $1,150.00

 

Example 2 shows that you will not receive any return of your principal investment in addition to the Digital Upside Return at maturity when the Reference Return is greater than the Digital Upside Return.

 

Example 3: The level of the Reference Asset decreases from the Initial Level of 1,000.00 to a Final Level of 950.00.

 

   
Reference Return: -5.00%
Final Settlement Value: $1,150.00

 

Because the Reference Return is greater than the Buffer Percentage of -12%, the Final Settlement Value would be $1,150.00 per $1,000 Principal Amount of notes, calculated as follows:

 

$1,000 + ($1,000 × Digital Upside Return)

 

= $1,000 + ($1,000 × 15.00%)

 

= $1,150.00

 

Example 3 shows that you will receive the Digital Upside Return at maturity when the Reference Return is equal to or greater than the Buffer Percentage.

 

Example 4: The level of the Reference Asset decreases from the Initial Level of 1,000.00 to a Final Level of 500.00.

 

   
Reference Return: -50.00%
Final Settlement Value: $620.00

 

Because the Reference Return is less than the Buffer Percentage of -12%, the Final Settlement Value would be $620.00 per $1,000 Principal Amount, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 12%)]

 

= $1,000 + [$1,000 × (-50.00% + 12%)]

 

= $620.00

 

Example 4 shows that you are exposed on a 1-to-1 basis to declines in the level of the Reference Asset beyond the Buffer Percentage of -12%. YOU MAY LOSE UP TO 88% OF THE PRINCIPAL AMOUNT OF YOUR NOTES.

 

PS-8

 

 

DESCRIPTION OF THE REFERENCE ASSET
 

Description of the SPX

 

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

 

The top 5 industry groups by market capitalization as of June 30, 2020 were: Information Technology, Health Care, Communication Services, Consumer Discretionary and Financials.

 

For more information about the SPX, see “The S&P 500Ò Index” beginning on page S-43 of the accompanying Equity Index Underlying Supplement.

 

Historical Performance of the SPX

 

The following graph sets forth the historical performance of the SPX based on the daily historical closing values from July 7, 2010 through July 7, 2020. We obtained the closing values below from the Bloomberg Professional® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional® service.

 

 

The historical values of the SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SPX on the Final Valuation Date.

 

PS-9

 

 

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 “Payment at Maturity” in this document. In that case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Reference Return, and the accelerated Maturity Date will be three business days after the accelerated Final Valuation Date. If a Market Disruption Event exists with respect to the Reference Asset on that scheduled trading day, then the accelerated Final Valuation Date for the Reference Asset 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.

 

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. has offered the notes at the price to public set forth on the cover page of this pricing supplement. HSBC USA Inc. or one of its affiliates may pay varying underwriting discounts of up to 2.025% per $1,000 Principal Amount in connection with the distribution of the notes to other registered broker-dealers.

 

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.

 

Delivery of the notes will be made against payment for the notes on the Original Issue Date set forth on the inside cover page 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-61 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 pre-paid executory contract with respect to the Reference Asset. 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, Mayer Brown LLP, it is reasonable to treat a note as a pre-paid executory contract with respect to the Reference Asset. 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 Reference Asset 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 Reference Asset 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 Reference Asset and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in the Reference Asset 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.

 

PS-10

 

 

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, 2023. 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 Reference Asset 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 Reference Asset 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.

 

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 Mayer Brown 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 February 26, 2018, 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 1, 2018, which has been filed as Exhibit 5.4 to the Issuer’s registration statement on Form S-3 dated February 26, 2018.

 

PS-11

 

 

TABLE OF CONTENTS    

You should only rely on the information contained in this document, 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 document, 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 document, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these notes, and these documents are not soliciting an offer to buy these notes, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this document, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.

 

 

 

 

 

 

HSBC USA Inc.

 

 

 

 

$1,762,000

 

Buffered Digital Notes Linked to
the S&P 500® Index

 

 

 

 

 

 

 

 

 

July 7, 2020

 

 

 

 

 

 

 

 Pricing Supplement

 

 

     
Pricing Supplement    
General PS-3  
Payment at Maturity PS-3  
Investor Suitability PS-4  
Risk Factors PS-5  
Illustrative Examples PS-7  
Description of The Reference Asset PS-9  
Events of Default and Acceleration PS-10  
Supplemental Plan of Distribution (Conflicts of Interest) PS-10  
U.S. Federal Income Tax Considerations PS-10  
Validity of the Notes PS-11  
     
     
Equity Index Underlying Supplement    
Disclaimer ii  
Risk Factors S-1  
The DAX® Index S-8  
The Dow Jones Industrial Average® S-10  
The EURO STOXX 50® Index S-12  
The FTSETM 100 Index S-14  
The Hang Seng® Index S-15  
The Hang Seng China Enterprises Index® S-17  
The KOSPI 200 Index S-20  
The MSCI Indices S-23  
The NASDAQ-100 Index® S-27  
The Nikkei 225 Index S-31  
The PHLX Housing SectorSM Index S-33  
The Russell 2000® Index S-37  
The S&P 100® Index S-40  
The S&P 500® Index S-43  
The S&P 500® Low Volatility Index S-46  
The S&P BRIC 40 Index S-49  
The S&P MidCap 400® Index S-51  
The TOPIX® Index S-54  
Additional Terms of the Notes S-56  
     
Prospectus Supplement    
Risk Factors S-1  
Pricing Supplement S-10  
Description of Notes S-12  
Use of Proceeds and Hedging S-36  
Certain ERISA Considerations S-37  
U.S. Federal Income Tax Considerations S-39  
Supplemental Plan of Distribution (Conflicts of Interest) S-61  
     
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. 7  
Use of Proceeds 8  
Description of Debt Securities 9  
Description of Preferred Stock 20  
Description of Warrants 25  
Description of Purchase Contracts 30  
Description of Units 33  
Book-Entry Procedures 36  
Limitations on Issuances in Bearer Form 40  
U.S. Federal Income Tax Considerations Relating to Debt Securities 41  
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  

 

 

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