0001144204-17-022651.txt : 20170427 0001144204-17-022651.hdr.sgml : 20170427 20170427161651 ACCESSION NUMBER: 0001144204-17-022651 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 7 FILED AS OF DATE: 20170427 DATE AS OF CHANGE: 20170427 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: 333-202524 FILM NUMBER: 17789289 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 424B2 1 v465195_424b2.htm PRICING SUPPLEMENT

 

Calculation of Registration Fee

 

Title of Each Class of
Securities Offered
  Maximum Aggregate
Offering Price
  Amount of
Registration Fee(1)
         
Debt Securities   $662,000   $76.73

 

(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

April 25, 2017

PRICING SUPPLEMENT

(To Prospectus dated March 5, 2015,

Prospectus Supplement dated March 5, 2015 and

Equity Index Underlying Supplement dated March 5, 2015)

 

 

Linked to the S&P 500® Index and the Russell 2000® Index (each an “Underlying”, and together, the “Reference Asset”)

 

Annualized monthly coupons of 7.00% per annum, to be paid in equal monthly installments (approximately 0.5833% per month)

 

Contingent return of principal; if the notes are not called and a Trigger Event occurs, the return on the notes is linked to the performance of the Least Performing Underlying

 

Callable quarterly on or after October 26, 2017

 

15 Month Maturity

 

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

 

The Autocallable Yield Notes (each a “Note” and collectively the “Notes”) offered hereunder will not be listed on any U.S. securities exchange or automated quotation system.

 

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any representation to the contrary is a criminal offense.

 

We have appointed HSBC Securities (USA) Inc., an affiliate of ours, as the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. or another of its affiliates or agents may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-15 of this pricing supplement.

 

Investment in the Notes involves certain risks. You should refer to “Risk Factors” beginning on page PS-7 of this document, page S-1 of the accompanying prospectus supplement and page S-2 of the accompanying Equity Index Underlying Supplement.

 

The Estimated Initial Value of the Notes on the Pricing Date is $992 per Note, which is less than the price to public. The market value of the Notes at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated Initial Value” on page PS-3 and “Risk Factors” beginning on page PS-7 of this document for additional information.

 

  Price to Public Underwriting Discount1 Proceeds to Issuer
Per security $1,000.00 $2.50 $997.50
Total $662,000.00 $1,655.00 $660,345.00

 

1HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 0.25% per $1,000 Principal Amount of Notes in connection with the distribution of the Notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-15 of this pricing supplement.

 

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

 

 

 

 

 

HSBC USA Inc.

15-Month Autocallable Yield Notes

 

This pricing supplement relates to a single offering of Autocallable Yield Notes. The Notes will have the terms described in this pricing supplement and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement, the terms described in this pricing supplement shall control.

 

This pricing supplement relates to an offering of Notes linked to the performance of two indices (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 (“SPX”) and the Russell 2000® Index (“RTY”) (each an “Underlying” and together the “Underlyings”)
   
Trade Date: April 25, 2017
   
Pricing Date: April 25, 2017
   
Original Issue Date: April 28, 2017
   
Final Valuation Date: July 26, 2018, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement.
   
Maturity Date: July 31, 2018.  The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
   
Call Feature: We will automatically call the Notes if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after October 26, 2017.  If the Notes are automatically called, they will be redeemed on the corresponding Call Payment Date, per $1,000 Principal Amount of Notes, at 100% of their Principal Amount together with the coupon payment payable on that day.
   
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 plus the final coupon payment.
   
Final Settlement Value:

4 If a Trigger Event does not occur, 100% of the Principal Amount.

 

4 If a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or zero, 100% of the Principal Amount.

 

4 If a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative, 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least Performing Underlying. In such a case, you may lose up to 100% of your Principal Amount regardless of the performance of the other Underlying.

   
Trigger Event: A Trigger Event occurs if the Official Closing Level of either Underlying is below its Trigger Level on any trading day during the Observation Period.
   
Trigger Level: 1,672.027, with respect to the SPX and 987.7539 with respect to the RTY, each of which is 70% its Initial Level.
   
Least Performing Underlying: The Underlying with the lowest Final Return.

 

 PS-2 

 

 

Observation Period: The period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under “Additional Terms of the Notes―Observation Periods” in the accompanying Equity Index Underlying Supplement.
   
Call Observation Dates: The 3rd Business Day prior to the relevant Call Payment Date. The Call Observation Dates are subject to postponement as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement.
   
Call Payment Dates: October 31, 2017, January 31, 2018, April 30, 2018, and the Maturity Date, The Call Payment Dates are subject to postponement as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
   
Annual Coupon Rate  
(paid monthly):
7.00% per annum, to be paid in equal monthly installments (approximately 0.5833% per month).
   
Coupon Payment Dates: May 31, 2017, June 30, 2017, July 31, 2017, August 31, 2017, September 29, 2017, October 31, 2017, November 30, 2017, December 29, 2017, January 31, 2018, February 28, 2018, March 29, 2018, April 30, 2018, May 31, 2018, June 29, 2018, and the Maturity Date. The Coupon Payment Dates are subject to postponement as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
   

Final Return:

 

 

 

With respect to each Underlying, the quotient, expressed as a percentage, calculated as follows:

 

Final Level – Initial Level

Initial Level

   
Initial Level: 2,388.61, with respect to the SPX and 1,411.077, with respect to the RTY, each of which was its Official Closing Level on the Pricing Date.
   
Final Level: The Official Closing Level of the relevant Underlying on the Final Valuation Date.
   
Official Closing Level: With respect to each Underlying, the Official Closing Level on any trading day for such Underlying will be the closing level of the Underlying as determined by the calculation agent as described under “Payment on the Notes—Official Closing Level” on page PS-5 below.
   
CUSIP / ISIN: 40433U2X3 / US40433U2X37
   
Form of Notes: Book-Entry
   
Listing: The Notes will not be listed on any U.S. securities exchange or quotation system.
   
Estimated Initial Value: The Estimated Initial Value of the Notes is less than the price you pay to purchase the Notes.  The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the Notes, which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”

 

 PS-3 

 

 

GENERAL

 

This pricing supplement relates to the offering of Notes identified on the cover page. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. Although the offering of Notes relates to the Reference Asset identified on the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment in any component security included in any Underlying or as to the suitability of an investment in the Notes.

 

You should read this document together with the prospectus dated March 5, 2015, the prospectus supplement dated March 5, 2015 and the Equity Index Underlying Supplement dated March 5, 2015. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described in this pricing supplement shall control. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-7 of this pricing supplement, beginning on page S-1 of the prospectus supplement and beginning on page S-2 of the Equity Index Underlying Supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our” are to HSBC USA Inc.

 

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

 

You may also obtain:

 

4The Equity Index Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm

 

4The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm

 

4The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm

 

PAYMENT ON THE NOTES

 

Call Feature

 

The Notes will be automatically called if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after October 26, 2017. 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 plus the coupon payment payable on that day.

 

Maturity

 

Unless the Notes are automatically called, on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a cash payment equal to the final coupon payment plus the Final Settlement Value determined as follows:

 

4If a Trigger Event does not occur, 100% of the Principal Amount.

 

4If a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or zero, 100% of the Principal Amount.

 

4If a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative, 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least Performing Underlying, which will result in a Final Settlement Value less than the Principal Amount.

 

Coupon

 

Unless the Notes are automatically called, on each Coupon Payment Date, for each $1,000 Principal Amount of Notes, you will be paid an amount equal to the product of (a) $1,000 multiplied by (b) the Annual Coupon Rate divided by twelve. The Coupon Payment Dates are set forth above. The Coupon Payment Dates are subject to postponement for non-business days and other events as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. For information regarding the record dates applicable to the Coupons paid on the Notes, please see the section entitled “Description of Notes―Interest and Principal Payments―Recipients of Interest Payments” on page S-11 in the accompanying prospectus supplement.

 

The Annual Coupon Rate is 7.00% per annum, to be paid in equal monthly installments of approximately 0.5833% per month.

 

 PS-4 

 

 

Official Closing Level

 

With respect to each Underlying, the Official Closing Level on any trading day will be determined by the calculation agent based upon the closing level of such index, displayed on the following pages on the Bloomberg Professional® service: for SPX, page “SPX <INDEX>”, and for RTY page “RTY <INDEX>.” With respect to any of the foregoing, if the level for the relevant Underlying is not so displayed on such page, the calculation agent may refer to the display on any successor page on the Bloomberg Professional® service or any successor service, as applicable.

 

Observation Period

 

The period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under “Additional Terms of the Notes―Observation Periods” in the accompanying Equity Index Underlying Supplement.

 

Calculation Agent

 

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

 

Reference Sponsor

 

With respect to SPX, S&P Dow Jones Indices LLC, a division of S&P Global, is the reference sponsor. With respect to RTY, FTSE Russell is the reference sponsor.

 

 PS-5 

 

 

INVESTOR SUITABILITY

 

The Notes may be suitable for you if:

 

4You believe that the Official Closing Level of each of the Underlyings will not be below its Trigger Level on any trading day during the Observation Period.

 

4You are willing to make an investment that is potentially exposed to downside performance of the Least Performing Underlying on a 1-to-1 basis.

 

4You are willing to hold Notes that will be automatically called on any Call Observation Date on or after October 26, 2017 on which the Official Closing Level of each Underlying is at or above its Initial Level.

 

4You are willing to invest in the Notes based on the fact that your maximum potential return is the coupon being offered with respect to the Notes.

 

4You are willing to be exposed to the possibility of early redemption.

 

4You are willing to forgo distributions paid on the stocks comprising the indices included in the Reference Asset.

 

4You are willing to hold the Notes to maturity.

 

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

 

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 comfortable with the creditworthiness of HSBC, as Issuer of the Notes.

 

The Notes may not be suitable for you if:

 

4You believe that the Official Closing Level of one or both of the Underlyings will be below its Trigger Level on any trading day during the Observation Period.

 

4You are unwilling to make an investment that is potentially exposed to downside performance of the Least Performing Underlying on a 1-to-1 basis.

 

4You are unable or unwilling to hold Notes that will be automatically called on any Call Observation Date on or after October 26, 2017 on which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise unable or unwilling to hold the Notes to maturity.

 

4You are unwilling to invest in the Notes based on the fact that your maximum potential return is the coupon being offered with respect to the Notes.

 

4You are unwilling to be exposed to the possibility of early redemption.

 

4You prefer to receive the distributions paid on the stocks comprising the indices included in the Reference Asset.

 

4You prefer a product that provides upside participation in the Reference Asset, as opposed to the coupon being offered with respect to your Notes.

 

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

 

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

 

 PS-6 

 

 

RISK FACTORS

 

We urge you to read the section “Risk Factors” beginning on page S-1 in the accompanying prospectus supplement and beginning on page S-2 of the accompanying Equity Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks comprising either Underlying. You should understand the risks of investing in the Notes and should reach an investment decision only after careful consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstances and the information set forth in this pricing supplement and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement.

 

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

 

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

 

4“—General risks related to Indices” in the Equity Index Underlying Supplement.

 

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

 

The Notes do not guarantee return of principal and you may lose all of your Principal Amount.

 

The Notes do not guarantee any return of principal. The Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notes if the Notes are not automatically called and if a Trigger Event occurs during the Observation Period and the Final Return of the Least Performing Underlying is negative. In this case, the Payment at Maturity will be less than the Principal Amount and you could lose all your Principal Amount if the level of the Least Performing Underlying falls to zero. In that case, even with the coupon payments, your return on the Notes may be negative.

 

You will not participate in any appreciation in the level of any of the Underlyings included in the Reference Asset.

 

The Notes will not pay more than the Principal Amount, plus any unpaid coupon payment, at maturity or if the Notes are automatically called. Even if the Final Return of each Underlying in the Reference Asset is greater than zero (regardless of whether a Trigger Event has occurred), you will not participate in the appreciation of any Underlying. Assuming the Notes are held to maturity, the maximum amount payable with respect to the Notes will not exceed the sum of the Principal Amount plus any coupon payments. Under no circumstances, regardless of the extent to which the level of any Underlying appreciates, will your return exceed the total amount of the coupon payments. 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 Underlyings included in the Reference Asset.

 

The Notes are subject to the credit risk of HSBC USA Inc.

 

The Notes are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including coupons and any return of principal at maturity or upon early redemption, as applicable, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes.

 

If a Trigger Event occurs with respect to any Underlying, your return will be based on the Final Return of the Least Performing Underlying.

 

The performance of either of the Underlyings may cause a Trigger Event to occur. If a Trigger Event occurs and the Notes are not automatically called, your return will be based on the Final Return of the Least Performing Underlying without regard to the performance of the other Underlying or which Underlying caused the Trigger Event to occur. As a result, you could lose all or some of your initial investment if the Final Return of the Least Performing Underlying is negative and a Trigger Event occurs, even if there is an increase in the level of the other Underlying. This could be the case even if the other Underlying caused the Trigger Event to occur or the other Underlying increased by an amount greater than the decrease in the Least Performing Underlying.

 

The Notes may be automatically called prior to the Maturity Date.

 

If the Notes are automatically called early, the holding period over which you will receive coupon payments could be as little as 6 months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the Notes are automatically called prior to the Maturity Date.

 

Small-capitalization risk. 

 

The RTY tracks companies that are considered small-capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the level of the RTY may be more volatile than an investment in stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable

 

 PS-7 

 

 

than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded, making it difficult for the RTY to track them. In addition, small-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

 

Since the Notes are linked to the performance of more than one Underlying, you will be fully exposed to the risk of fluctuations in the levels of each Underlying.

 

Since the Notes are linked to the performance of more than one Underlying, the Notes will be linked to the individual performance of each Underlying. Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the prices of the Underlyings to the same degree for each Underlying. For example, in the case of Notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, as scaled by the weightings of such basket components. However, in the case of these Notes, the individual performance of each of the Underlyings would not be combined to calculate your return and the depreciation of either Underlying would not be mitigated by the appreciation of the other Underlying. Instead, your return would depend on the Least Performing Underlying of the two Underlyings to which the Notes are linked.

 

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 of each Underlying concerning additions, deletions and substitutions of the constituents comprising such Underlying and the manner in which the reference sponsor takes account of certain changes affecting those constituents may affect the level of such Underlying. The policies of the reference sponsor with respect to the calculation of the relevant Underlying could also affect the level of such Underlying. The reference sponsor may discontinue or suspend calculation or dissemination of the relevant Underlying. Any such actions could affect the value of the Notes and the return on the Notes.

 

The Notes are not insured or guaranteed by any governmental agency of the United States or any other jurisdiction.

 

The Notes are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full 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 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.

 

 PS-8 

 

 

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 value of the relevant 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 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 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.

 

 PS-9 

 

 

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 any Underlying relative to its Initial Level. We cannot predict the Official Closing Level of either Underlying at any time during the Observation Period, including on a Call Observation Date or on the Final Valuation Date. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset or return on the 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 those 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 total payment on the Notes on a $1,000 investment in the Notes for a hypothetical range of the Least Performing Underlying’s Final Returns from -100% to +100%. The following results are based on the terms outlined below. You should consider carefully whether the Notes are suitable to your investment goals.

 

4 Principal Amount: $1,000
     
4 Trigger Level: 70% of the Initial Level of each Underlying
     
4 Annual Coupon Rate: 7.00% per annum, approximately 0.5833% per month.

 

 

4 The Notes are held until maturity and are not automatically called.

 

Trigger Event Does Not Occur1 Trigger Event Occurs2
Least Performing Underlying’s Final Return Hypothetical Total Coupon Paid Over the Term of the Notes3 Hypothetical Final Settlement Value Hypothetical Total Payment on the Notes Hypothetical Total Return on the Notes Hypothetical Total Coupon Paid Over the Term of the Notes3 Hypothetical Final Settlement Value Hypothetical Total Payment on the Notes Hypothetical Total Return on Notes
100.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
90.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
80.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
70.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
60.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
50.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
40.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
30.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
20.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
10.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
0.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $1,000 $1,087.50 8.75%
-10.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $900 $987.50 -1.25%
-20.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $800 $887.50 -11.25%
-25.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $750 $837.50 -16.25%
-30.00% $87.50 $1,000 $1,087.50 8.75% $87.50 $700 $787.50 -21.25%
-40.00% N/A N/A N/A N/A $87.50 $600 $687.50 -31.25%
-50.00% N/A N/A N/A N/A $87.50 $500 $587.50 -41.25%
-60.00% N/A N/A N/A N/A $87.50 $400 $487.50 -51.25%
-70.00% N/A N/A N/A N/A $87.50 $300 $387.50 -61.25%
-80.00% N/A N/A N/A N/A $87.50 $200 $287.50 -71.25%
-90.00% N/A N/A N/A N/A $87.50 $100 $187.50 -81.25%
-100.00% N/A N/A N/A N/A $87.50 $0 $87.50 -91.25%

 

1 The Official Closing Level of each Underlying never falls below its respective Trigger Level on any trading day during the Observation Period.

 

2 The Official Closing Level of either Underlying falls below its Trigger Level on any trading day during the Observation Period.

 

3 Assuming the Notes have been held to maturity, the total amount of the coupons paid on the Notes as of the Maturity Date will equal $87.50, with coupon payments of $5.83 made on each Coupon Payment Date.

 

 PS-10 

 

 

Hypothetical Examples of the Final Settlement Value

 

The three examples below set forth a sampling of hypothetical Final Settlement Values based on the following terms:

 

4 Principal Amount of Notes: $1,000
     
4 Trigger Level: 70% of the Initial Level of each Underlying
     
4 Annual Coupon Rate: 7.00% per annum, approximately 0.5833% per month.
     
4 Hypothetical Initial Level: 2,000.00 with respect to the SPX and 1,100.00 with respect to the RTY

 

The actual Initial Levels with respect to the SPX and RTY are set forth on page PS-2 of this pricing supplement.

 

In addition to the Final Settlement Value, you will be entitled to receive coupon payments monthly on each Coupon Payment Date, up to and including the Maturity Date (or the Call Payment Date corresponding to a Call Observation Date on which the Notes are automatically called, if applicable).

 

The examples provided herein are for illustration purposes only. The actual Final Settlement Value, if any, will depend on whether the Notes are automatically called and if a Trigger Event occurs and, if so, the Final Return of the Least Performing Underlying. You should not take these examples as an indication of potential payments. It is not possible to predict whether the Notes will be automatically called and if a Trigger Event will occur and, if so, whether and to what extent the Final Return of the Least Performing Underlying will be less than zero.

 

Example 1: The Notes are not automatically called and each Underlying falls below its Trigger Level, therefore a Trigger Event occurs. Additionally, the Final Return of the Least Performing Underlying is less than zero.

 

Underlying   Initial Level   Lowest Official Closing Level
During the Observation Period
  Final Level
SPX   2,000.00   1,300.00 (65% of Initial Level)   1,300.00 (65% of Initial Level)
RTY   1,100.00   605.00 (55% of Initial Level)      660.00 (60% of Initial Level)

 

Since each of the Official Closing Levels of SPX and RTY are below their respective Trigger Levels during the Observation Period, a Trigger Event occurs. RTY is the Least Performing Underlying.

 

Therefore, the Final Return of the Least Performing Underlying =

 

    Final Level of RTY – Initial Level of RTY    
Initial Level of RTY

 

= (660.00 – 1,100.00) / 1,100.00= -40.00%

 

Final Settlement Value = Principal Amount of the Notes × (1 + Final Return of the Least Performing Underlying)

 

= $1,000 × (1 + -40%) = 600.00

 

Therefore, with the total coupon payment of $87.50 over the term of the Notes, the total payment on the Notes is $687.50.

 

 PS-11 

 

 

Example 2: The Notes are not automatically called and a Trigger Event occurs, even though the Least Performing Underlying never reaches or falls below its Trigger Level. Additionally, the Final Return of the Least Performing Underlying is less than zero.

 

Underlying   Initial Level   Lowest Official Closing Level
During the Observation Period
  Final Level
SPX   2,000.00   1,700.00 (85% of Initial Level)   1,760.00 (88% of Initial Level)
RTY   1,100.00   605.00 (55% of Initial Level)      1,045.00 (95% of Initial Level)

 

Since the Official Closing Level of RTY is below its Trigger Level during the Observation Period, a Trigger Event occurs. SPX is the Least Performing Underlying, even though its Official Closing Level never falls below its Trigger Level.

 

Therefore, the Final Return of the Least Performing Underlying =

 

    Final Level of SPX – Initial Level of SPX    
Initial Level of SPX

 

= (1,760.00 – 2,000.00) / 2,000.00= -12.00%

 

Final Settlement Value = Principal Amount of the Notes × (1 + Final Return of the Least Performing Underlying)

 

= $1,000 × (1 + -12%) = $880.00

 

Therefore, with the total coupon payment of $87.50 over the term of the Notes, the total payment on the Notes is $967.50.

 

Example 3: The Notes are not automatically called and a Trigger Event does not occur.

 

Underlying   Initial Level   Lowest Official Closing Level
During the Observation Period
  Final Level
SPX   2,000.00   1,700.00 (85% of Initial Level)   1,800.00 (90% of Initial Level)
RTY   1,100.00   990.00 (90% of Initial Level)   990.00 (90% of Initial Level)

 

Since the Official Closing Level of each Underlying was not below its Trigger Level, a Trigger Event does not occur.

 

Therefore, the Final Settlement Value equals $1,000.

 

Additionally, with the total coupon payment of $87.50 over the term of the Notes, the total payment on the Notes is $1,087.50.

 

Example 4: The Notes are automatically called on the first Call Observation Date.

 

Underlying   Initial Level   Official Closing Level
on the first Call Observation Date
SPX   2,000.00   2,100.00
RTY   1,100.00   1,210.00

 

Since the Official Closing Level of both Underlyings was at or above their respective Initial Levels, the Notes were automatically called and you are no longer entitled to receive any Final Settlement Value. Therefore, on the corresponding Call Payment Date you would receive your $1,000 Principal Amount of Notes plus the coupon payment of $5.83 owed to you on that date. As a result, on the first Call Payment Date, you would be entitled to receive a total payment of $1,005.83. Once the Notes are automatically called, they will no longer remain outstanding and there will not be any further coupon payments on the Notes.

 

 PS-12 

 

 

INFORMATION RELATING TO THE REFERENCE ASSET

 

Description of the SPX

 

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure the 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 March 31, 2017 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.

 

For more information about the SPX, see “The S&P 500Ò Index” beginning on page S-44 of the accompanying Equity Index Underlying Supplement.

 

Historical Performance of the SPX

 

The following graph sets forth the historical performance of the SPX based on the daily historical closing levels from January 2, 2008 through April 25, 2017. We obtained the closing levels below from the Bloomberg Professional® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional® service.

 

 

The historical levels of the SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SPX during the Observation Period, including on a Call Observation Date or on the Final Valuation Date.

 

 PS-13 

 

 

Description of the RTY

 

The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 3000® Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.

 

The top 5 industry groups by market capitalization as of March 31, 2017 were: Financial Services, Technology, Producer Durables, Consumer Discretionary and Health Care.

 

For more information about the RTY, see “The Russell 2000Ò Index” beginning on page S-36 of the accompanying Equity Index Underlying Supplement.

 

Historical Performance of the RTY

 

The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from January 2, 2008 through April 25, 2017. We obtained the closing levels below from the Bloomberg Professional® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional® service.

 

 

The historical levels of the RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the RTY during the Observation Period, including on a Call Observation Date or on the Final Valuation Date.

 

 PS-14 

 

 

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 (i) the accelerated Payment at Maturity due and payable in the same general manner as described in “Payment at Maturity” in this pricing supplement and (ii) any accrued but unpaid interest payable based upon the Coupon Rate calculated using the actual number of days in the applicable Coupon Payment Period, and on the basis of a 360-day year 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 accelerated Final Return for each Underlying, and the accelerated maturity date will be the third business day after the accelerated 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. For the avoidance of doubt, if no market disruption event exists with respect to an Underlying on the scheduled trading day preceding the date of acceleration, the determination of such Underlying’s Final Return will be made on such date, irrespective of the existence of a market disruption event with respect to the other Underlying occurring on such date.

 

If the Notes have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. For more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the accompanying prospectus.

 

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)

 

We have appointed HSBC Securities (USA) Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page of this pricing supplement for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. will offer the Notes at the price to public set forth on the cover page of this pricing supplement. HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 0.25% per $1,000 Principal Amount of Notes 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.

 

See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-59 in the prospectus supplement.

 

VALIDITY OF THE NOTES

 

In the opinion of Morrison & Foerster LLP, as counsel to the Issuer, when this pricing supplement has been attached to, and duly notated on, the master note that represents the Notes pursuant to the Senior Indenture referred to in the prospectus supplement dated March 5, 2015, and issued and paid for as contemplated herein, the Notes offered by this pricing supplement will be valid, binding and enforceable obligations of the Issuer, entitled to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York, the Maryland General Corporation Law (including the statutory provisions, all applicable provisions of the Maryland Constitution and the reported judicial decisions interpreting the foregoing) and the federal laws of the United States of America. This opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and other sources as to certain factual matters, all as stated in the legal opinion dated March 5, 2015, which has been filed as Exhibit 5.3 to the Issuer’s registration statement on Form S-3 dated March 5, 2015.

 

 PS-15 

 

 

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, each Note should be treated as a put option written by you (the “Put Option”) that permits us to “cash settle” the Put Option, and a deposit with us of cash in an amount equal to the Principal Amount of the Note (the “Deposit”) to secure your potential obligation under the Put Option, as described in the accompanying prospectus supplement 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 a Put Option and a Deposit.”  We intend to treat the Notes consistent with this approach, and we intend to treat the Deposits as non-contingent debt instruments for U.S. federal income tax purposes. Pursuant to the terms of the Notes, you agree to treat each Note as consisting of the Deposit and the Put Option 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 consisting of the Deposit and the Put Option for all U.S. federal income tax purposes. 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 above. We do not plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the Notes, and the IRS or a court may not agree with the tax treatment described in this pricing supplement.

 

We will not attempt to ascertain whether any of the entities whose stock is included in an 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 one or more of the entities whose stock is included in an 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 entities whose stock is included in an Underlying and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in an 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 a Put Option and a Deposit” 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). For purposes of dividing the Annual Coupon Rate of 7.00% on the Notes among interest on the Deposit and Put Premium, 1.61% constitutes interest on the Deposit and 5.39% constitutes Put Premium.

 

If the Notes are redeemed prior to maturity, you should recognize the total Put Premium received as short-term capital gain at that time.

 

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 coupon payments on the Notes is uncertain, the entire amount of the coupon payment 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 IRS has announced that withholding under the Foreign Account Tax Compliance Act (as discussed in the accompanying prospectus supplement) on payments of gross proceeds from a sale, exchange, redemption, or other disposition of the Notes will only apply to dispositions after December 31, 2018.

 

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.

 

 PS-16 

 

 

TABLE OF CONTENTS    

You should only rely on the information contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.

  

 

 

 

HSBC USA Inc.

 

 

$662,000 Autocallable Yield Notes

 

 

 

 

 

 

 

 

 

 

 

 

April 25, 2017

 

 

PRICING SUPPLEMENT

 

 

     
Pricing Supplement    
General PS-4  
Payment on the Notes PS-4  
Investor Suitability PS-6  
Risk Factors PS-7  
Illustrative Examples PS-10  
Information Relating to the Reference Asset PS-13  
Events of Default and Acceleration PS-15  
Supplemental Plan of Distribution (Conflicts of Interest) PS-15  
Validity of the Notes PS-15  
U.S. Federal Income Tax Considerations PS-16  
     
Equity Index Underlying Supplement    
Disclaimer S-1  
Risk Factors S-2  
The DAX® Index S-7  
The Dow Jones Industrial AverageSM S-9  
The EURO STOXX 50® Index S-11  
The FTSE® 100 Index S-13  
The Hang Seng® Index S-14  
The Hang Seng China Enterprises Index S-16  
The KOSPI 200 Index S-19  
The MSCI Indices S-22  
The NASDAQ 100 Index® S-26  
The Nikkei 225 Index S-30  
The PHLX Housing SectorSM Index S-32  
The Russell 2000® Index S-36  
The S&P 100® Index S-40  
The S&P 500® Index S-44  
The S&P 500® Low Volatility Index S-47  
The S&P BRIC 40 Index S-50  
The S&P MidCap 400® Index S-52  
The TOPIX® Index S-55  
Additional Terms of the Notes S-57  
     
Prospectus Supplement    
Risk Factors S-1  
Pricing Supplement S-8  
Description of Notes S-10  
Use of Proceeds and Hedging S-33  
Certain ERISA Considerations S-34  
U.S. Federal Income Tax Considerations S-37  
Supplemental Plan of Distribution (Conflicts of Interest) S-58  
     
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 54  
Legal Opinions 57  
Experts 58  

 

 

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