Form 424B2 HSBC USA INC /MD/

 

Calculation of Registration Fee

 

Title of Each Class of Securities Offered		Maximum Aggregate Offering Price		Amount of Registration Fee(1)
Debt Securities		$2,000,000.00		$201.40

⁽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

Pricing Supplement

Dated April 27, 2016

(To Prospectus dated March 5, 2015,

Prospectus Supplement dated March 5, 2015 and

Equity Index Underlying Supplement dated March 5, 2015)

 

HSBC USA Inc.
Digital Buffered Notes with Fixed Annual Coupons

Linked to a Basket of Equity Indices

 

	4	$2,000,000 Digital Buffered Notes with Fixed Annual Coupons linked to an equally weighted basket consisting of the S&P MidCap 400® Index, the Russell 2000® Index, and the EURO STOXX 50® Index

	4	Maturity of 4 years

	4	Annual coupon payments at a rate of 3% per annum

	4	A positive return of 25% if the value of the basket increases by 12% or more

	4	Protection from the first 15% of any losses in the basket, with approximately 1.1765x exposure to each 1% loss of the basket beyond -15%, with 100% of the principal amount at risk

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

 

The Digital Buffered Notes with Fixed Annual Coupons (each a “security” and collectively the “securities") 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 securities or passed upon the accuracy or the adequacy of this document, the accompanying prospectus, prospectus supplement, 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 securities. HSBC Securities (USA) Inc. will purchase the securities from us for distribution to other registered broker-dealers or will offer the securities 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 securities 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 securities 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 securities on the Pricing Date is $975 per security, which is less than the price to public. The market value of the securities 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	$0	$1,000
Total	$2,000,000	$0	$2,000,000

 

¹ Neither HSBC USA Inc. nor any of our affiliates will pay any underwriting discounts or referral fees in connection with the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-15 of this pricing supplement.

 

The securities:

 

Are Not FDIC Insured

Are Not Bank Guaranteed

May Lose Value

 

 

 

 

HSBC USA Inc.

Digital Buffered Notes with Fixed Annual Coupons

Linked to a Basket of the S&P MidCap 400^® Index, the Russell 2000^® Index, and the EURO STOXX 50^® Index

 

This pricing supplement relates to a single offering of Digital Buffered Notes with Fixed Annual Coupons. The securities 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 securities 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. You should be willing to forgo dividend payments during the term of the securities and, if the Reference Return is less than the Buffer Amount, lose up to 100% of your principal.

 

This pricing supplement relates to an offering of securities linked to the performance of the S&P MidCap 400^® Index, the Russell 2000^® Index and the EURO STOXX 50^® Index (together, the “Reference Asset”). The purchaser of a security 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 securities:

 

Issuer:	HSBC USA Inc.
Principal Amount:	$1,000 per security
Reference Asset:	An equally weighted basket consisting of the S&P MidCap 400® Index (Ticker: MID) (the “MID”), the Russell 2000® Index (Ticker: RTY) (the “RTY”), the EURO STOXX 50® Index (Ticker: SX5E) (the “SX5E”) (each, an “Index” and together, the “Indices”)
Trade Date:	April 27, 2016
Pricing Date:	April 27, 2016
Original Issue Date:	May 2, 2016
Final Valuation Date:	April 28, 2020, subject to postponement as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.
Maturity Date:	May 4, 2020.  The Maturity Date is 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 Payments:	On each annual Coupon Payment Date, you will receive a coupon payment at the fixed Coupon Rate.
Coupon Rate:	3% per annum
Coupon Payment Dates:	May 4, 2017, May 4, 2018, May 6, 2019 and the Maturity Date.  Each Coupon Payment Date is 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.
Digital Return:	25%
Downside Leverage Factor:	100/85, which equals approximately 1.1765.
Buffer Amount:	-15%
Payment at Maturity:	In addition to the final Annual Coupon Payment, at maturity, you will also receive the Final Settlement Value.
Final Settlement Value:	If the Reference Return is greater than or equal to 12%, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
	$1,000 + ($1,000 × Digital Return).
	If the Reference Return is less than 12% but greater than or equal to the Buffer Amount, you will receive $1,000 per $1,000 Principal Amount (zero return).
	If the Reference Return is less than the Buffer Amount, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:
	$1,000 + [$1,000 × (Reference Return + 15%) × Downside Leverage Factor].
	Under these circumstances, you will lose approximately 1.1765% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Amount.  For example, if the Reference Return is 40%, you will suffer a 29.41% loss and receive 70.59% of the Principal Amount, subject to the credit risk of HSBC.  If the Reference Return is less than

 

 

	the Buffer Amount, you will lose up to 100% of your Principal Amount. Even with the Annual Coupon Payments, your return on the securities may be negative.
Reference Return:	Final Value – Initial Value    Initial Value
Initial Value:	100
Final Value:	100 × (1 + (sum of the Index Return multiplied by 1/3 for each Index))
Index Return:	For each Index, the Index Return refers to the return for that Index, which reflects the performance of such Index, expressed as the percentage change from its Initial Component Level to its Final Component Level, as follows:   Final Component Level – Initial Component Level Initial Component Level
Initial Component Level:	1,488.33 with respect to the MID, 1,154.149 with respect to the RTY, and 3,130.43 with respect to the SX5E, each of which was its Official Closing Level on the Pricing Date.
Final Component Level:	With respect to each Index, its Official Closing Level on the Final Valuation Date.
Official Closing Level:	With respect to each Index, its closing level on any trading day as determined by the calculation agent based upon the level displayed on the relevant Bloomberg Professional® service page (with respect to the MID, “MID <INDEX>”, with respect to the RTY, “RTY <INDEX>”, and with respect to the SX5E, “SX5E <INDEX>”) or, for each Index, on any successor page on the Bloomberg Professional® service or any successor service, as applicable.
Form of Securities:	Book-Entry
Listing:	The securities will not be listed on any U.S. securities exchange or quotation system.
CUSIP/ISIN:	40433UBX3/US40433UBX37
Estimated Initial Value:	The Estimated Initial Value of the securities is less than the price you pay to purchase the securities.  The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your securities in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the securities, 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 securities in the secondary market, if any.”

 

 

GENERAL

 

This pricing supplement relates to an offering of securities linked to the Reference Asset. The purchaser of a security will acquire a senior unsecured debt security of HSBC USA Inc. Although the offering of securities 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 securities.

 

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 securities 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. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-7 of this pricing supplement, page S-1 of the prospectus supplement and page S-2 of the Equity Index Underlying Supplement, as the securities 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 securities. 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:

 

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

 

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

 

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

 

 

PAYMENTS ON THE SECURITIES

 

Annual Coupon Payments

 

On each annual Coupon Payment Date, you will receive a coupon payment at the fixed Coupon Rate of 3% per annum. The expected Coupon Payment Dates are May 4, 2017, May 4, 2018, May 6, 2019 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. For information regarding the record dates applicable to the Annual Coupon Payments payable on the securities, please see the section entitled “Description of Notes – Interest and Principal Payments – Recipients of Interest Payments” beginning on page S-12 in the accompanying prospectus supplement.

 

Payment at Maturity

 

In addition to the final Annual Coupon Payment, at maturity, you will also receive the Final Settlement Value, which is an amount in cash, as described below:

 

If the Reference Return is greater than or equal to 12%, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:

 

$1,000 + ($1,000 × Digital Return).

 

If the Reference Return is less than 12% but greater than or equal to the Buffer Amount, you will receive $1,000 per $1,000 Principal Amount (zero return).

 

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

 

$1,000 + [$1,000 × (Reference Return + 15%) × Downside Leverage Factor].

 

Under these circumstances, you will lose approximately 1.1765% of the Principal Amount for each percentage point that the Reference Return is below the Buffer Amount. For example, if the Reference Return is 40%, you will suffer a 29.41% loss and receive 70.59% 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 Amount, you will lose up to 100% of your Principal Amount. Even with the Annual Coupon Payments, your return on the securities may be negative.

 

Calculation Agent

 

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

 

Reference Sponsors

 

With respect to the MID, S&P Dow Jones Indices LLC, a part of McGraw-Hill Financial, is the reference sponsor. With respect to the RTY, Russell Investment Group is the reference sponsor. With respect to SX5E, the Deutsche Börse AG is the reference sponsor.

 

 

INVESTOR SUITABILITY

 

The securities may be suitable for you if:

 

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You believe that the Reference Return will be at or above the Buffer Amount of -15%.

 

4

You are willing to invest in the securities based on the fact that your maximum potential return is the Digital Return plus the return represented by the Annual Coupon Payments.

 

4

You are willing to make an investment that is exposed to the negative performance of the Reference Asset on a 1.1765-to-1 basis for each percentage point that the Reference Return is less than the Buffer Amount of -15%.

 

4

You are willing to make an investment based on the Coupon Rate indicated herein.

 

4

You are willing to forgo dividends or other distributions paid on the stocks comprising the Indices.

 

4

You are willing to accept the risk and return profile of the securities versus a conventional debt security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.

 

4

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

 

4

You are willing to hold the securities to maturity.

 

4

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

 

The securities may not be suitable for you if:

 

4

You believe that the Reference Return will be below the Buffer Amount of -15%.

 

4

You prefer a product that provides unlimited upside participation in the Reference Asset, or a higher return than the Digital Return plus the return represented by the Annual Coupon Payments.

 

4

You are unwilling to make an investment that is exposed to the negative performance of the Reference Asset on a 1.1765-to-1 basis for each percentage point that the Reference Return is less than the Buffer Amount of -15%.

 

4

You seek an investment that provides full return of principal.

 

4

You are unwilling to make an investment based on the Coupon Rate indicated herein.

 

4

You prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.

 

4

You prefer to receive the dividends or other distributions paid on the stocks comprising the Indices.

 

4

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

 

4

You are unable or unwilling to hold the securities to maturity.

 

4

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

 

 

RISK FACTORS

 

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

 

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

 

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

 

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“—Securities Prices Generally Are Subject to Political, Economic, Financial and Social Factors that Apply to the Markets in which They Trade and, to a Lesser Extent, Foreign Markets” in the Equity Index Underlying Supplement; and

 

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“—Time Differences Between the Domestic and Foreign Markets and New York City May Create Discrepancies in the Trading Level or Price of the Notes” 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 securities may result in a loss.

 

You will be exposed on a leveraged basis to the decline in the Final Value from the Initial Value beyond the Buffer Amount. If the Reference Asset decreases by more than 15%, you will lose approximately 1.1765% of your principal for every 1% decrease in the Reference Asset beyond the Buffer Amount. Accordingly, if the Reference Return is less than beyond the Buffer Amount, your Payment at Maturity will be less than the Principal Amount. You may lose up to 100% of your principal at maturity. Even with the Annual Coupon Payments, your return on the securities may be negative.

 

Your return on the securities is limited to the Digital Return plus the return represented by the Annual Coupon Payments, regardless of any appreciation in the value of the Reference Asset.

 

Unless the Reference Return is below the Buffer Amount, you will receive the Digital Return plus the return represented by the Annual Coupon Payments, regardless of any appreciation in the value of the Reference Asset, which may be significant. Under no circumstances, regardless of the extent to which the value of the Reference Asset appreciates, will your return exceed the Digital Return plus the return represented by the Annual Coupon Payments. Accordingly, the return on the securities may be significantly less than the return on a direct investment in the securities represented by the Indices during the term of the securities.

 

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

 

The Final Value of the Reference Asset will be based on the Official Closing Level of each Index on the Final Valuation Date, subject to postponement for non-trading days and certain Market Disruption Events. Even if the value of the Reference Asset appreciates prior to the Final Valuation Date but then decreases on the Final Valuation Date to a value that is equal to or less than the Initial Value, the Payment at Maturity will be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Reference Asset prior to that decrease. Although the actual value of the Reference Asset on the Maturity Date or at other times during the term of the securities may be higher than the Final Value, the Payment at Maturity will be based solely on the Official Closing Levels of the Indices on the Final Valuation Date.

 

Credit risk of HSBC USA Inc.

 

The securities 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 securities 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. All payments to be made on the securities, including any return of principal at maturity, depend 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 securities 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 securities.

 

You will not have any ownership interest in the stocks represented by the Indices.

 

As a holder of the securities, you will not have any ownership interest in the stocks represented by the Indices, such as rights to vote, dividend payments or other distributions. Because the return on the securities will not reflect any dividends on those stocks, the securities may underperform an investment in the stocks represented by the Indices.

 

 

Changes in the levels of the Indices may offset each other.

 

Changes in the levels of the Indices may not correlate with each other. The level of one or more of the Indices may increases, while the levels of the other Indices may not increase as much or may even decrease. Therefore, in calculating the Final Value of the Reference Asset, increases in the level of one or more of the Indices may be moderated, or wholly offset, by lesser increases or decreases in the levels of the other Indices.

 

Changes that affect the Indices will affect the market value of the securities and the amount you will receive at maturity.

 

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

 

Mid-capitalization and small-capitalization companies risk.

 

The MID tracks companies that are considered mid-capitalization companies, and the RTY tracks companies that are considered small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the levels of the MID and the RTY may be more volatile than an investment in stocks issued by large-capitalization companies. Stock prices of small- and mid-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small- and mid-capitalization companies may be thinly traded, making it difficult for the applicable index to track them. In addition, small- and mid-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- and mid-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.

 

Risks associated with non-U.S. companies.

 

The level of the SX5E depends upon the stocks of companies located within the Eurozone, and thus involves risks associated with the home countries of those non-U.S. companies, some of which are and have been experiencing economic stress. The prices of these non-U.S. stocks may be affected by political, economic, financial and social factors in the home country of each applicable company, including changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions, which could affect the value of the securities. These foreign securities may have less liquidity and could be more volatile than many of the securities traded in U.S. or other securities markets. Direct or indirect government intervention to stabilize the relevant foreign securities markets, as well as cross shareholdings in foreign companies, may affect trading levels or prices and volumes in those markets. The other special risks associated with foreign securities may include, but are not limited to: less liquidity and smaller market capitalizations; less rigorous regulation of securities markets; different accounting and disclosure standards; governmental interference; currency fluctuations; higher inflation; and social, economic and political uncertainties. These factors may adversely affect the performance of the SX5E and, as a result, the value of the securities.

 

The securities will not be adjusted for changes in exchange rates.

 

Although the equity securities that comprise the SX5E are traded in euro, and your securities are denominated in U.S. dollars, the amount payable on your securities at maturity, if any, will not be adjusted for changes in the exchange rates between the U.S. dollar and the euro. Changes in exchange rates, however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the level of the SX5E, and therefore your securities. The amount we pay in respect of your securities on the maturity date, if any, will be determined solely in accordance with the procedures described in this pricing supplement.

 

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

 

The securities 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 securities 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 securities.

 

The Estimated Initial Value of the securities, 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 securities in the secondary market, if any.

 

The Estimated Initial Value of the securities 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 securities. 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 securities may be lower if it were based on the levels 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 securities to be more favorable to you. We determined the value of the embedded derivatives in the securities 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 securities 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 securities in the secondary market (if any exists) at any time.

 

The price of your securities 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 securities and the costs associated with structuring and hedging our obligations under the securities. If you were to sell your securities in the secondary market, if any, the price you would receive for your securities 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 securities in the secondary market, if any, at any time after issuance will vary based on many factors, including the value of the Reference Asset and changes in market conditions, and cannot be predicted with accuracy. The securities are not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the securities to maturity. Any sale of the securities prior to maturity could result in a loss to you.

 

If we were to repurchase your securities immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the securities.

 

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 securities 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 9 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 securities and other costs in connection with the securities that we will no longer expect to incur over the term of the securities. 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 securities and any agreement we may have with the distributors of the securities. 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 securities based on changes in market conditions and other factors that cannot be predicted.

 

The securities lack liquidity.

 

The securities will not be listed on any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities 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 securities easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.

 

Potential conflicts of interest may exist.

 

HSBC and its affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. 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 securities. We will not have any obligation to consider your interests as a holder of the securities in taking any action that might affect the value of your securities.

 

Uncertain tax treatment.

 

For a discussion of the U.S. federal income tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations” herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.

 

 

ILLUSTRATIVE EXAMPLES

 

The following table and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the value of the Reference Asset relative to its Initial Value. We cannot predict the Final Value of the Reference Asset. 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 securities. 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 potential returns described here assume that your securities are held to maturity. If the securities are held to maturity, the total Annual Coupon Payments will be $120 per $1,000 in Principal Amount ($30 per annum). On the Maturity Date, in addition to the final Annual Coupon Payment, you will also receive the Final Settlement Value. The table below illustrates the Final Settlement Value on a $1,000 investment in the securities 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 Securities” 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. You should consider carefully whether the securities are suitable to your investment goals. The following table and examples are based on the following:

 

4	Principal Amount:	$1,000
4	Initial Value:	100
4	Digital Return:	25%
4	Downside Leverage Factor:	100/85, which equals approximately 1.1765
4	Buffer Amount:	-15%

 

Hypothetical Final Value	Hypothetical Reference Return	Final Settlement Value	Hypothetical Return on the Securities (Excluding the Annual Coupon Payments)
200.00	100.00%	$1,250.00	25.00%
180.00	80.00%	$1,250.00	25.00%
160.00	60.00%	$1,250.00	25.00%
140.00	40.00%	$1,250.00	25.00%
120.00	20.00%	$1,250.00	25.00%
115.00	15.00%	$1,250.00	25.00%
112.00	12.00%	$1,250.00	25.00%
110.00	10.00%	$1,000.00	0.00%
105.00	5.00%	$1,000.00	0.00%
100.00	0.00%	$1,000.00	0.00%
95.00	-5.00%	$1,000.00	0.00%
90.00	-10.00%	$1,000.00	0.00%
85.00	-15.00%	$1,000.00	0.00%
80.00	-20.00%	$941.18	-5.88%
60.00	-40.00%	$705.88	-29.41%
40.00	-60.00%	$470.59	-52.94%
20.00	-80.00%	$235.29	-76.47%
0.00	-100.00%	$0.00	-100.00%

 

 

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

 

Example 1: The value of the Reference Asset increases from the Initial Value of 100.00 to a Final Value of 160.00.

 

Reference Return:	60.00%
Final Settlement Value:	$1,250.00

 

Because the Reference Return is greater than or equal to 12%, the Final Settlement Value would be $1,250.00 per $1,000 Principal Amount, calculated as follows:

 

$1,000 + ($1,000 × Digital Return)

 

= $1,000 + ($1,000 × 25.00%)

 

= $1,250.00

 

Example 1 shows that you will receive the return of your principal investment plus the Digital Return when the Reference Return is greater than or equal to 12%. You will not participate in any increases in the value of the Reference Asset in excess of 12%, which may be significant.

 

Example 2: The value of the Reference Asset decreases from the Initial Value of 100.00 to a Final Value of 95.00.

 

Reference Return:	-5.00%
Final Settlement Value:	$1,000.00

 

Because the Reference Return is less than 12% but greater than or equal to the Buffer Amount of -15%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount (a zero return).

 

Example 3: The value of the Reference Asset decreases from the Initial Value of 100.00 to a Final Value of 60.00.

 

Reference Return:	-40.00%
Final Settlement Value:	$705.88

 

Because the Reference Return is less than the Buffer Amount of -15%, the Final Settlement Value would be $705.88 per $1,000 Principal Amount, calculated as follows:

 

$1,000 + [$1,000 × (Reference Return + 15%) × Downside Leverage Factor]

 

= $1,000 + [$1,000 × (-40.00% + 15%) × 100/85]

 

= $705.88

 

Example 3 shows that you are exposed on a 1.1765-to-1 basis to declines in the value of the Reference Asset beyond the Buffer Amount of -15%. YOU MAY LOSE UP TO 100% OF THE PRINCIPAL AMOUNT.

 

 

INFORMATION RELATING TO THE REFERENCE ASSET

 

Description of the MID   The MID is comprised of 400 companies with mid-sized market capitalizations. The calculation of the value of the MID is based on the relative value of the aggregate market value of the common stocks of 400 companies as of a particular time compared to the aggregate average market value of the common stocks of 400 similar companies during the base period of June 28, 1991.   The top 5 industry groups by market capitalization as of March 31, 2016 were: Financials, Information Technology, Industrials, Consumer Discretionary and Health Care.   For more information about the MID, see “The S&P MidCap 400® Index” beginning on page S-52 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the MID   The following graph sets forth the historical performance of the MID based on the daily historical closing levels from January 1, 2008 through April 27, 2016. The closing level for the MID on April 27, 2016 was 1,488.33. 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 MID should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the MID on the Final Valuation Date.

 

Description of the RTY   The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000® Index.   The top 5 industry groups by market capitalization as of March 31, 2016 were: Financial Services, Consumer Discretionary, Technology, Health Care and Producer Durables.   For more information about the RTY, see “The Russell 2000® Index” beginning on page S-36 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the RTY   The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from January 1, 2008 through April 27, 2016. The closing level for the RTY on April 27, 2016 was 1,154.149. We obtained the closing levels below from the Bloomberg Professional® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional® service.

 

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

 

 

Description of the SX5E   The SX5E is composed of 50 stocks from the Eurozone (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) portion of the STOXX Europe 600 Supersector indices. The STOXX Europe 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure and utilities.   For more information about the SX5E, see “The EURO STOXX 50Ò Index” beginning on page S-11 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the SX5E   The following graph sets forth the historical performance of the SX5E based on the daily historical closing levels from January 1, 2008 through April 27, 2016. The closing level for the SX5E on April 27, 2016 was 3,130.43. 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 SX5E should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the SX5E on the Final Valuation Date.

 

 

Hypothetical Performance of the Reference Asset

 

The following graph illustrates the hypothetical daily performance of the Reference Asset from January 1, 2008 through April 27, 2016 based on closing value information from the Bloomberg Professional^® service, if the value of the Reference Asset was made to equal 100 on January 1, 2008. The hypothetical performance reflects the performance the Reference Asset would have exhibited based on the actual historical performance of the Indices. Neither the hypothetical performance of the Reference Asset nor the actual historical performance of any Index should be taken as indications of future performance.

 

We cannot give you assurance that the performance of the Reference Asset will result in the return of your initial investment. You may lose up to 100% of your Principal Amount.

 

 

 

 

EVENTS OF DEFAULT AND ACCELERATION

 

If the securities have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the securities, 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 coupon payments payable based upon the Coupon Rate calculated on the basis of a 360-day year consisting of twelve 30-day months. 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 an Index on that scheduled trading day, then the accelerated Final Valuation Date for that Index 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 Index on the scheduled trading day immediately preceding the date of acceleration, the determination of such Index’s Final Component Level will be made on such date, irrespective of the existence of a Market Disruption Event with respect to any other Index occurring on such date.

 

If the securities have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments with respect to the securities. 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 securities. Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc. will purchase the securities 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 securities directly to investors. HSBC Securities (USA) Inc. will offer the securities at the price to public set forth on the cover page of this pricing supplement. Neither HSBC USA Inc. nor any of our affiliates will pay any underwriting discounts or referral fees in connection with the distribution of the securities 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 securities.

 

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 securities, but is under no obligation to make a market in the securities and may discontinue any market-making activities at any time without notice.

 

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

 

U.S. FEDERAL INCOME TAX CONSIDERATIONS

 

There is no direct legal authority as to the proper tax treatment of the securities, and therefore significant aspects of the tax treatment of the securities are uncertain as to both the timing and character of any inclusion in income in respect of the securities. Under one approach, each security should be treated as an income-bearing pre-paid executory contract with respect to the Reference Asset. We intend to treat the securities consistent with this approach. Pursuant to the terms of the securities, you agree to treat the securities under this approach for all U.S. federal income tax purposes. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a security as an income-bearing pre-paid executory contract with respect to the Reference Asset. 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 securities, other characterizations and treatments are possible and the timing and character of income in respect of the securities might differ from the treatment described herein. For example, the securities could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal income tax purposes subject to the treatment described under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Notes” in the accompanying prospectus supplement.

 

We will not attempt to ascertain whether any of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, 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, or owned by, the Reference Asset, as the case may be, 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, or owned by, the Reference

 

 

Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.

 

U.S. Holders. Please see the discussion under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — Certain Notes Treated as a Put Option and a Deposit or an Executory Contract — Certain Notes Treated as Executory Contracts” in the accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to U.S. holders (as defined in the accompanying prospectus supplement). Pursuant to the approach discussed above, we intend to treat any gain or loss upon maturity or an earlier sale, or exchange as capital gain or loss in an amount equal to the difference between the amount you receive at such time (other than with respect to a coupon) and your tax basis in the security. Any such gain or loss will be long-term capital gain or loss if you have held the security for more than one year at such time for U.S. federal income tax purposes. Your tax basis in a security generally will equal your cost of the security. In addition, the tax treatment of the coupon is unclear. Although the tax treatment of the coupon is unclear, we intend to treat any coupons as ordinary income includible in income by you at the time it accrues or is received in accordance with your normal method of accounting for U.S. federal income tax purposes.

 

Non-U.S. Holders. Please see the discussion under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of Non-U.S. Holders” in the accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to non-U.S. holders (as defined in the accompanying prospectus supplement). Because the U.S. federal income tax treatment (including the applicability of withholding) of coupon payments on the securities 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. Additionally, recently finalized Treasury Regulations provide that withholding on “dividend equivalent” payments (as discussed in the accompanying prospectus supplement), if any, will not apply to securities issued before January 1, 2017.

 

Foreign Account Tax Compliance Act. The Internal Revenue Service has announced that withholding under the Foreign Account Tax Compliance Act (as discussed in the accompanying prospectus supplement) on payments of gross proceeds from a sale, exchange, redemption, or other disposition of the securities will only apply to dispositions after December 31, 2018.

 

For a discussion of the U.S. federal income tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.

 

PROSPECTIVE PURCHASERS OF SECURITIES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF SECURITIES.

 

VALIDITY OF THE SECURITIES

 

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

 

 

TABLE OF CONTENTS
				You should only rely on the information contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these securities, and these documents are not soliciting an offer to buy these securities, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.       HSBC USA Inc.     $2,000,000 Digital Buffered Notes with Fixed Annual Coupons Linked to a Basket of the S&P MidCap 400® Index, the Russell 2000® Index, and the EURO STOXX 50® Index       April 27, 2016     PRICING SUPPLEMENT
Pricing Supplement
General		PS-4
Payment at Maturity		PS-5
Investor Suitability		PS-6
Risk Factors		PS-7
Illustrative Examples		PS-10
Information Relating to the Reference Asset		PS-12
Events of Default and Acceleration		PS-15
Supplemental Plan of Distribution (Conflicts of Interest)		PS-15
U.S. Federal Income Tax Considerations		PS-15
Validity of the Securities		PS-16
Equity Index Underlying Supplement
Disclaimer		S-1
Risk Factors		S-2
The DAX® Index		S-7
The Dow Jones Industrial AverageSM		S-9
The EURO STOXX 50® Index		S-11
The FTSE™ 100 Index		S-13
The Hang Seng® Index		S-14
The Hang Seng China Enterprises Index®		S-16
The KOSPI 200 Index		S-19
The MSCI Indices		S-22
The NASDAQ-100 Index®		S-26
The Nikkei 225 Index		S-30
The PHLX Housing SectorSM Index		S-32
The Russell 2000® Index		S-36
The S&P 100® Index		S-40
The S&P 500® Index		S-44
The S&P 500® Low Volatility Index		S-47
The S&P BRIC 40 Index		S-50
The S&P MidCap 400® Index		S-52
The TOPIX® Index		S-55
Additional Terms of the Notes		S-57
Prospectus Supplement
Risk Factors		S-1
Pricing Supplement		S-8
Description of Notes		S-10
Use of Proceeds and Hedging		S-33
Certain ERISA Considerations		S-34
U.S. Federal Income Tax Considerations		S-37
Supplemental Plan of Distribution (Conflicts of Interest)		S-59
Prospectus
About this Prospectus		1
Risk Factors		2
Where You Can Find More Information		3
Special Note Regarding Forward-Looking Statements		4
HSBC USA Inc.		6
Use of Proceeds		7
Description of Debt Securities		8
Description of Preferred Stock		19
Description of Warrants		25
Description of Purchase Contracts		29
Description of Units		32
Book-Entry Procedures		35
Limitations on Issuances in Bearer Form		40
U.S. Federal Income Tax Considerations Relating to Debt Securities		40
Plan of Distribution (Conflicts of Interest)		49
Notice to Canadian Investors		52
Notice to EEA Investors		53
Notice to UK Investors		54
UK Financial Promotion		54
Certain ERISA Matters		55
Legal Opinions		57
Experts		58

 

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