CALCULATION OF REGISTRATION FEE
Title of Each Class of
Securities Offered |
|
Maximum Aggregate
Offering Price |
|
Amount of
Registration Fee(1) |
| Debt Securities |
|
$14,983,870 |
|
$1,741.13 |
(1) Calculated in accordance with Rule 457 (r) of the
Securities Act of 1933, as amended.
 |
July 2015
Registration Statement No. 333-202524
Pricing Supplement
Dated July 24, 2015
Filed Pursuant to Rule 424(b)(2) |
Structured
Investments
Opportunities in International Equities
$14,983,870 Trigger PLUS Based on the Level of
the EURO STOXX 50® Index due July 27, 2018
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
The Trigger PLUS offered are senior unsecured debt securities of
HSBC USA Inc. (“HSBC”), will not pay interest, do not guarantee any return of principal at maturity and have the terms
described in the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus, as supplemented or modified
by this pricing supplement. All references to “Reference Asset” in the prospectus supplement and the Equity Index Underlying
Supplement shall refer to the “underlying index” herein. At maturity, if the level of the underlying index has appreciated,
investors will receive the stated principal amount of their investment plus a payment reflecting the leveraged upside performance
of the underlying index, subject to the maximum payment at maturity. However, at maturity, if the level of the underlying index
has not changed or has depreciated, and (i) if the level of the underlying index is greater than or equal to the specified trigger
level, investors will receive the stated principal amount of their investment, or (ii) if the level of the underlying index is
less than the specified trigger level, the investor will lose 1% for every 1% decline in the underlying index from the pricing
date to the valuation date. The Trigger PLUS are for investors who seek an equity index-based return and who are willing to risk
their principal and forgo current income and upside above the maximum payment at maturity in exchange for the leverage feature,
which applies to a limited range of positive performance of the underlying index, and the limited protection against loss but only
if the final level is not less than the trigger level. Investors may lose up to 100% of the stated principal amount of the Trigger
PLUS. All payments on the Trigger PLUS are subject to the credit risk of HSBC.
FINAL TERMS
|
|
| Issuer:
|
HSBC USA Inc. (“HSBC”) |
| Maturity
date: |
July 27, 2018, 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 |
| Underlying
index: |
EURO STOXX 50® Index (Bloomberg symbol: “SX5E”) |
| Aggregate
principal amount: |
$14,983,870 |
| Payment
at maturity: |
· If
the final level is greater than the initial level:
$10 + the leveraged upside payment
In no event will the payment at maturity exceed the
maximum payment at maturity.
· If
the final level is less than or equal to the initial level but greater than or equal to the trigger level:
$10
· If
the final level is less than the trigger level:
$10 x the index performance factor
This amount will be less than the stated principal
amount of $10 and will result in a loss of at least 10%, and possibly all, of your investment. All payments on the Trigger PLUS
are subject to the credit risk of HSBC. |
| Leveraged
upside payment: |
$10 x leverage factor x index percent increase |
| Leverage
factor: |
800% |
| Index
percent increase: |
(final level – initial level) / initial level |
| Initial
level: |
3,600.00, which was the official closing level of the underlying index on the pricing date |
| Final
level: |
The official closing level of the underlying index on the valuation date |
| Official
closing level: |
The official closing level of the underlying index on any scheduled trading day as determined by the calculation agent based upon the value displayed on Bloomberg Professional® service page “SX5E <INDEX>” or any successor page on the Bloomberg Professional® service or any successor service, as applicable. |
| Trigger
level: |
3,240.00, which is 90% of the initial level |
| Valuation
date: |
July 24, 2018, subject to adjustment as described in “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement |
| Index
performance factor: |
final level / initial level |
| Maximum
payment at maturity: |
$14.00 per Trigger PLUS (140% of the stated principal amount). |
| Stated
principal amount: |
$10 per Trigger PLUS |
| Issue
price: |
$10 per Trigger PLUS |
| Pricing
date: |
July 24, 2015 |
| Original
issue date: |
July 29, 2015 |
| Estimated
initial value: |
The estimated initial value of the Trigger PLUS is less than the price you pay to purchase the Trigger PLUS. The estimated initial value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Trigger PLUS in the secondary market, if any, at any time. See “Risk Factors — The estimated initial value of the Trigger PLUS is less than the price to public and may differ from the market value of the Trigger PLUS in the secondary market, if any.” |
| CUSIP: |
40434E697 |
| ISIN: |
US40434E6977 |
| Listing: |
The Trigger PLUS will not be listed on any securities exchange. |
| Agent: |
HSBC Securities (USA) Inc., an affiliate of HSBC. See “Supplemental plan of distribution (conflicts of interest)”. |
| Commissions
and issue price: |
Price to public |
Fees and commissions |
Proceeds to issuer |
| Per Trigger PLUS |
$10.00 |
$0.25(1) |
$9.70 |
| |
|
$0.05(2) |
|
| Total |
$14,983,870.00 |
$374,596.75 |
|
| |
|
$74,919.35 |
$14,534,353.90 |
| (1) | HSBC Securities (USA) Inc., acting as agent for HSBC, will receive a fee of $0.30 per $10 stated principal amount and will
pay Morgan Stanley Wealth Management a fixed sales commission of $0.25 for each Trigger PLUS they sell. See “Supplemental
plan of distribution (conflicts of interest).” |
| (2) | Of the amount per $10 stated principal amount received by HSBC Securities (USA) Inc., acting as agent for HSBC, HSBC Securities
(USA) Inc. will pay Morgan Stanley Wealth Management a structuring fee of $0.05 for each Trigger PLUS. |
The estimated initial value of the Trigger PLUS on the pricing
date is $9.50 per Trigger PLUS, which is less than the price to public. The market value of the Trigger PLUS at any time will reflect
many factors and cannot be predicted with accuracy. See “Estimated initial value” above and “Risk Factors”
beginning on page 4 of this document for additional information.
An investment in the Trigger PLUS involves certain risks. See
“Risk Factors” beginning on page 4 of this pricing supplement, page S-2 of the Equity Index Underlying Supplement and
page S-1 of the prospectus supplement.
Neither the U.S. Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved the Trigger PLUS, or determined that this pricing supplement or
the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this document together with the related Equity
Index Underlying Supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below.
The Equity
Index Underlying Supplement dated March 5, 2015 at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm
The prospectus
supplement dated March 5, 2015 at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm
The prospectus
dated March 5, 2015 at: http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm
The Trigger PLUS 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 of the
United States or any other jurisdiction, and involve investment risks including possible loss of the stated principal amount invested
due to the credit risk of HSBC.
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
The Trigger PLUS Based on the Level of the EURO STOXX 50®
Index due July 27, 2018 (the “Trigger PLUS”) can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance
of the underlying index, subject to the maximum payment at maturity. |
| § | To enhance positive returns and potentially outperform the underlying index in a moderately bullish scenario. |
| § | To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum payment
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
| § | To provide limited protection against a loss of principal in the event of a decline of the underlying index as of the valuation
date, but only if the final level is greater than or equal to the trigger level. All payments on the Trigger PLUS are subject to
the credit risk of HSBC. |
| Maturity: |
Approximately 3 years |
| Leverage factor: |
800% |
| Maximum payment at maturity: |
$14.00 per Trigger PLUS (140% of the stated principal amount) |
| Trigger level: |
3,240.00, which is 90% of the initial level |
| Minimum payment at maturity: |
None. You may lose your entire initial investment in the Trigger PLUS. |
| Coupon: |
None |
Key Investment Rationale
The Trigger PLUS offer 800% leveraged upside on the positive performance
of the underlying index, subject to the maximum payment at maturity of $14.00 per Trigger PLUS (140% of the stated principal amount).
However, if the level of the underlying index has decreased below the trigger level as of the valuation date, investors will lose
1% for every 1% that the level has decreased. Investors may lose up to 100% of the stated principal amount of the Trigger PLUS.
Investors can use the Trigger PLUS to enhance returns up to the
maximum payment at maturity and obtain limited protection against a loss of principal in the event of a decline of the underlying
index as of the valuation date, but only if the final level is greater than or equal to the trigger level. All payments on the
Trigger PLUS are subject to the credit risk of HSBC.
| Leveraged Upside Performance |
The Trigger PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the securities included in the underlying index. |
| Trigger Feature |
At maturity, even if the level of the underlying index has declined over the term of the Trigger PLUS, you will receive your stated principal amount, but only if the final level is greater than or equal to the trigger level. |
| Upside Scenario |
The level of the underlying index increases and, at maturity for each Trigger PLUS, we will pay the stated principal amount of $10 plus 800% of the index percent increase, subject to the maximum payment at maturity of $14.00 per Trigger PLUS (140% of the stated principal amount). |
| Par Scenario |
The level of the underlying index does not change or declines but the final level is greater than or equal to the trigger level and, at maturity for each Trigger PLUS, we will pay the stated principal amount of $10. |
| Downside Scenario |
The level of the underlying index declines and the final level is less than the trigger level and, at maturity for each Trigger PLUS, we will pay less than the stated principal amount by an amount that is proportionate to the decline in the final level from the initial level. |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Trigger PLUS
Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on
the Trigger PLUS assuming the following terms:
| Stated
principal amount: |
$10 per Trigger PLUS |
| Leverage
factor: |
800% |
| Maximum
payment at maturity: |
$14.00 per Trigger PLUS (140% of the stated principal amount). |
| Trigger
level: |
90% of the initial level |
| Trigger PLUS Payoff Diagram |
 |
How it works
| § | Upside Scenario: If the final level is greater than the initial level, investors would receive
the $10 stated principal amount plus 800% of the appreciation of the underlying index over the term of the Trigger PLUS, subject
to the maximum payment at maturity of $14.00 per Trigger PLUS. Under the terms of the Trigger PLUS, an investor would realize the
maximum payment at maturity at a final level of 105.00% of the initial level. |
| § | For example, if the level of the underlying index appreciates 3%, investors would receive a 24%
return, or $12.40 per Trigger PLUS. |
| § | For example, if the level of the underlying index appreciates 40%, investors would receive only
the maximum payment at maturity of $14.00 per Trigger PLUS, or 140% of the stated principal amount. |
| § | Par Scenario: If the final level is less than or equal to the initial level but is greater than
or equal to the trigger level, investors would receive the stated principal amount of $10 per Trigger PLUS. |
| § | For example, if the level of the underlying index depreciates 10%, investors would receive the
$10 stated principal amount. |
| § | Downside Scenario: If the final level is less than the trigger level, investors would receive an
amount that is less than the stated principal amount based on a 1% loss of principal for each 1% decline in the level of the underlying
index. |
| § | For example, if the level of the underlying index depreciates 30%, investors would lose 30% of
their principal and receive only $7 per Trigger PLUS at maturity, or 70% of the stated principal amount. |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
We urge you to read the section “Risk
Factors” on page S-2 of the accompanying Equity Index Underlying Supplement and page S-1 of the accompanying prospectus supplement.
Investing in the Trigger PLUS is not equivalent to investing directly in any of the stocks comprising the underlying
index. You should understand the risks of investing in the Trigger PLUS and should reach an investment decision only after careful
consideration, with your advisors, of the suitability of the Trigger PLUS 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 Trigger PLUS described in the following sections:
“—
Risks relating to all note issuances” in the prospectus supplement;
“—
General risks related to Indices” in the Equity Index Underlying Supplement;
“—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
“—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.
| § | Trigger PLUS do not pay interest and may result in a loss. The terms of the Trigger PLUS
differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of the principal
amount at maturity. If the final level is less than the trigger level (which is 90% of the initial level), you will receive for
each Trigger PLUS that you hold a payment at maturity that is less than the stated principal amount of each Trigger PLUS by at
least 10% and by an amount proportionate to the decline in the level of the underlying index, subject to the credit risk of HSBC.
You may lose up to 100% of the stated principal amount of the Trigger PLUS. |
| § | The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity.
The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity of $14.00 per Trigger PLUS (140% of
the stated principal amount). Although the leverage factor provides 800% exposure to any amount by which the final level is greater
than the initial level, because the payment at maturity will be limited to 140% of the stated principal amount for the Trigger
PLUS (based on the maximum payment at maturity of $14.00), any increase in the final level over the initial level by more than
5.00% of the initial level will not further increase the return on the Trigger PLUS. |
| § | Credit risk of HSBC USA Inc. The Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS
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 Trigger PLUS 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 Trigger PLUS. |
| § | The market price will be influenced by many unpredictable factors. Several factors will
influence the value of the Trigger PLUS in the secondary market and the price at which HSBC Securities (USA) Inc. may be willing
to purchase or sell the Trigger PLUS in the secondary market, including: the value, volatility and dividend yield, as applicable,
of the underlying index and the securities comprising the underlying index, interest and yield rates, time remaining to maturity,
geopolitical conditions and economic, financial, political and regulatory or judicial events and any actual or anticipated changes
in our credit ratings or credit spreads. The level of the underlying index may be, and has recently been, volatile, and we can
give you no assurance that the volatility will lessen. See “Information about the EURO STOXX 50® Index”
below. You may receive less, and possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell
your Trigger PLUS prior to maturity. |
| § | Investing in the Trigger PLUS is not equivalent to investing in the stocks comprising the underlying
index. Investing in the Trigger PLUS is not equivalent to investing in the component securities of the underlying index. Investors
in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights with
respect to the securities comprising the underlying index. |
| § | Risks associated with non-U.S. companies. The value of the SX5E depends upon the stocks
of non-U.S. companies companies located within the Eurozone, and thus involve 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 Trigger PLUS. These foreign securities may have less liquidity and could be more volatile |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
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 Trigger PLUS
| § | The Trigger PLUS will not be adjusted for changes in exchange rates. Although the equity
securities comprising the underlying index are traded in euro, and the Trigger PLUS are denominated in U.S. dollars, the underlying
index and the amount payable on the Trigger PLUS at maturity, if any, will not be adjusted for changes in the exchange rates between
the U.S. dollar and the currencies in which these non-U.S. equity securities are denominated. Changes in exchange rates, however,
may reflect changes in the Eurozone economy that in turn may affect the value of the underlying index, and therefore the Trigger
PLUS. |
| § | Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The
Deutsche Börse AG and SIX Group AG, the publishers of the underlying index, may add, delete or substitute the stocks comprising
the underlying index. In addition, the publishers of the underlying index may make other methodological changes that could change
the level of the underlying index. Further, the publishers of the underlying index may discontinue or suspend calculation or publication
of the underlying index at any time. Any such actions could affect the value of and the return on the Trigger PLUS. |
| § | The estimated initial value of the Trigger PLUS is less than the price to public and may differ
from the market value of the Trigger PLUS in the secondary market, if any. The estimated initial value of the Trigger PLUS
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 Trigger PLUS. 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 Trigger PLUS 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 Trigger PLUS to be more favorable to you. We determined the value of the embedded derivatives in the Trigger PLUS 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 Trigger PLUS
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 Trigger PLUS in the secondary market (if any exists) at any time. |
| § | The price of your Trigger PLUS 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 will include
our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations
under the Trigger PLUS, the underwriting discount and the costs associated with structuring and hedging our obligations under the
Trigger PLUS. These costs, except for the underwriting discount, will be used or retained by us or one of our affiliates. If you
were to sell your Trigger PLUS in the secondary market, if any, the price you would receive for your Trigger PLUS 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 Trigger PLUS
in the secondary market, if any, at any time after issuance will vary based on many factors, including the level of the underlying
index and changes in market conditions, and cannot be predicted with accuracy. The Trigger PLUS are not designed to be short-term
trading instruments, and you should, therefore, be able and willing to hold the Trigger PLUS to maturity. Any sale of the
Trigger PLUS prior to maturity could result in a loss to you. |
| § | If HSBC Securities (USA) Inc. were to repurchase your Trigger PLUS immediately after the original issue date, the price
you receive may be higher than the estimated initial value of the Trigger PLUS. 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 Trigger PLUS 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
18 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 Trigger PLUS and other
costs in connection with the Trigger PLUS that we will no longer expect to incur over the term of the Trigger PLUS. 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 Trigger PLUS and any agreement we may have with the distributors of the Trigger PLUS. The amount of our estimated
costs which we effectively reimburse to investors in this way |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
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 Trigger PLUS based on changes in market conditions and other factors that cannot be predicted.
| § | The amount payable on the Trigger PLUS is not linked to the level of the underlying index at
any time other than the valuation date. The final level will be based on the official closing level of the underlying index
on the valuation date, subject to postponement for non-trading days and certain market disruption events. Even if the level of
the underlying index appreciates prior to the valuation date but then decreases by the valuation date, the payment at maturity
may be less, and may be significantly less, than it would have been had the payment at maturity been linked to the level of the
underlying index prior to that decrease. Although the actual level of the underlying index on the stated maturity date or at other
times during the term of the Trigger PLUS may be higher than the final level, the payment at maturity will be based solely on the
official closing level of the underlying index on the valuation date. |
| § | The Trigger PLUS will not be listed on any securities exchange and secondary trading may be
limited. The Trigger PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market
for the Trigger PLUS. HSBC Securities (USA) Inc. may, but is not obligated to, make a market in the Trigger PLUS. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. Because we do
not expect that other broker-dealers will participate significantly in the secondary market for the Trigger PLUS, the price at
which you may be able to trade your Trigger PLUS is likely to depend on the price, if any, at which HSBC Securities (USA) Inc.
is willing to transact. If, at any time, HSBC Securities (USA) Inc. were to cease making a market in the Trigger PLUS, it is likely
that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing to hold your Trigger PLUS to maturity. |
| § | The calculation agent, which is HSBC or one of its affiliates,
will make determinations with respect to the Trigger PLUS. As calculation agent, HSBC or one of its affiliates determined the
initial level and will determine the final level, and will calculate the amount of cash, if any, that you will receive at maturity.
Moreover, certain determinations made by HSBC or one of its affiliates in its capacity as calculation agent may require it to exercise
discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events,
and the selection of a successor index or the calculation of the final level in the event of a discontinuance of the underlying
index. These determinations, which may be subjective, may adversely affect the payout to you at maturity, if any. Although the
calculation agent has made and will make all determinations and take all action in relation to the Trigger PLUS in good faith,
it should be noted that such discretion could have an impact (positive or negative) on the value of your Trigger PLUS. The calculation
agent is under no obligation to consider your interests as a holder of the Trigger PLUS in taking any actions, including the determination
of the initial level, that might affect the value of your Trigger PLUS. See “Additional Terms of the Notes—Discontinuance
or Modification of an Index” and “—Market Disruption Event” in the Equity Index Underlying Supplement. |
| § | Hedging and trading activity by our affiliates could potentially adversely affect the value
of the Trigger PLUS. One or more of our affiliates and/or third-party dealers have carried out and will continue to carry out
hedging activities related to the Trigger PLUS (and possibly to other instruments linked to the underlying index or the securities
comprising the underlying index), including trading in the securities comprising the underlying index as well as in other instruments
related to the underlying index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the
Trigger PLUS and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date
approaches. Some of our affiliates also trade those securities and other financial instruments related to the underlying index
on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or
prior to the pricing date could have increased the initial level and, therefore, could have increased the level at which the underlying
index must close so that an investor does not suffer a loss on the investor’s initial investment in the Trigger PLUS. Additionally,
hedging or trading activities during the term of the Trigger PLUS, including on the valuation date, could adversely affect the
level of the underlying index on the valuation date and, accordingly, the amount of cash, if any, an investor will receive at maturity. |
| § | The Trigger PLUS are not insured or guaranteed by any governmental agency of the United States
or any other jurisdiction. The Trigger PLUS 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 Trigger PLUS 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 Trigger PLUS. |
| § | The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain.
For a discussion of certain of the U.S. federal income tax consequences of your investment in a Trigger PLUS, please see the discussion
under “Tax considerations” herein, and the discussion under “U.S. Federal Income Tax Considerations” in
the accompanying prospectus supplement. |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
Information About
the EURO STOXX 50® Index
The underlying index 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 EURO STOXX
50® Index, see “The EURO STOXX 50® Index” beginning on page S-11 of the accompanying
Equity Index Underlying Supplement.
Historical Information
The following graph sets forth the historical
performance of the underlying index based on the daily historical official closing level from January 2, 2008 through July 24,
2015. We obtained the official closing levels below from the Bloomberg Professional® service. We have not independently
verified the accuracy or completeness of the information obtained from the Bloomberg Professional® service. The
historical levels of the underlying index should not be taken as an indication of future performance, and no assurance can be given
as to the level of the underlying index on the valuation date.
|
Historical Performance
of the Underlying Index – Daily Official Closing Levels
January 2, 2008 to July
24, 2015 |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information
About the Trigger PLUS
Please read this information in conjunction with the summary terms
on the front cover of this document.
| General Information |
|
| Listing: |
The Trigger PLUS will not be listed on any securities exchange. |
| CUSIP: |
40434E697 |
| ISIN:
|
US40434E6977 |
| Minimum
ticketing size: |
$1,000 / 100 Trigger PLUS |
| Denominations: |
$10 per Trigger PLUS and integral multiples thereof |
| Interest: |
None |
|
Tax considerations:
|
There is no direct legal authority as to the proper tax treatment
of each Trigger PLUS, and therefore significant aspects of the tax treatment of each Trigger PLUS are uncertain as to both the
timing and character of any inclusion in income in respect of each Trigger PLUS. Under one approach, each Trigger PLUS could be
treated as a pre-paid executory contract with respect to the underlying index. We intend to treat each Trigger PLUS consistent
with this approach. Pursuant to the terms of each Trigger PLUS, you agree to treat each Trigger PLUS 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 each Trigger PLUS
as a pre-paid executory contract with respect to the underlying index. Pursuant to this approach, we do not intend to report any
income or gain with respect to each Trigger PLUS prior to maturity or an earlier sale or exchange, and we intend to treat any gain
or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the Trigger
PLUS for more than one year at such time for U.S. federal income tax purposes.
In Notice 2008-2, the Internal Revenue Service and the Treasury
Department requested comments as to whether the purchaser of certain securities (which may include the Trigger PLUS) should be
required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain on such
a security or contract should be ordinary or capital and whether foreign holders should be subject to withholding tax on any deemed
income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder of a Trigger PLUS
is required to accrue income in respect of the Trigger PLUS prior to the receipt of payments under the Trigger PLUS or its earlier
sale or exchange. Moreover, it is possible that any such regulations or other guidance could treat all income and gain of a U.S.
holder in respect of a Trigger PLUS as ordinary income (including gain on a sale or exchange). Finally, it is possible that a non-U.S.
holder (as defined under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement) of the
Trigger PLUS could be subject to U.S. withholding tax in respect of a Trigger PLUS. It is unclear whether any regulations or other
guidance would apply to the Trigger PLUS (possibly on a retroactive basis). Prospective investors are urged to consult with their
tax advisors regarding Notice 2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects
the U.S. federal income tax treatment of the Trigger PLUS.
We will not attempt to ascertain whether any of the entities whose
stock is included in the underlying index would be treated as a passive foreign investment company (a “PFIC”) or United
States real property holding corporation (a “USRPHC”), both as defined for U.S. federal income tax purposes. If one
or more of the entities whose stock is included in the underlying index were so treated, certain adverse U.S. federal income tax
consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock
is included in the underlying index and consult your tax advisor regarding the possible consequences to you if one or more of the
entities whose stock is included in the underlying index is or becomes a PFIC or a USRPHC.
Under current law, while the matter is not entirely clear, individual
non-U.S. holders, and entities whose property is potentially includible in those individuals’ gross estates for U.S. federal
estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain
interests or powers), should note that, absent an applicable treaty benefit, the Trigger PLUS is likely to be treated as U.S. situs
property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors regarding the
U.S. federal estate tax consequences of investing in the Trigger PLUS.
For a further discussion of U.S. federal income
tax consequences related to each Trigger PLUS, see the section “U.S. Federal Income Tax Considerations” in the accompanying
prospectus supplement. |
| Calculation
agent: |
HSBC USA Inc. or one of its affiliates. |
| Supplemental
plan of distribution (conflicts of interest): |
Pursuant to the terms of a distribution agreement, HSBC Securities
(USA) Inc., an affiliate of HSBC, will purchase the Trigger PLUS from HSBC for distribution to Morgan Stanley Wealth Management.
HSBC Securities (USA) Inc. will act as agent for the Trigger PLUS and will receive a fee of $0.30 per $10 stated principal amount
and will pay to Morgan Stanley Wealth Management a fixed sales commission of $0.25 for each Trigger PLUS they sell. Of the amount
per $10 stated principal amount received by HSBC Securities (USA) Inc., acting as agent for HSBC, HSBC Securities (USA) Inc. will
pay Morgan Stanley Wealth Management a structuring fee of $0.05 for each Trigger PLUS.
In addition, HSBC Securities (USA) Inc. or another of its
affiliates or agents may use this pricing |
Trigger PLUS Based
on the Level of the EURO STOXX 50® Index due July 27, 2018
Trigger Performance
Leveraged Upside SecuritiesSM
Principal at Risk Securities
| |
supplement in market-making transactions after the initial sale
of the Trigger PLUS, but is under no obligation to do so 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. |
| Events
of default and acceleration: |
If the Trigger PLUS have become immediately due and payable following
an event of default (as defined in the accompanying prospectus) with respect to the Trigger PLUS, the calculation agent will determine
the accelerated payment at maturity due and payable in the same general manner as described in “payment at maturity”
in this pricing supplement. In such a case, the third scheduled trading day for the underlying index immediately preceding the
date of acceleration will be used as the valuation date for purposes of determining the accelerated final level. If a market disruption
event exists on that scheduled trading day, then the accelerated valuation date will be postponed for up to five scheduled trading
days (in the same general manner used for postponing the originally scheduled valuation date). The accelerated maturity date will
be the third business day following such accelerated postponed valuation date.
For more information, see “Description of Debt Securities
— Events of Default” in the accompanying prospectus. |
|
Where
you can find more information:
|
This pricing supplement relates to an offering of the Trigger PLUS
linked to the underlying index. The purchaser of a Trigger PLUS will acquire a senior unsecured debt security of HSBC USA Inc.
Although the offering of Trigger PLUS relates to the underlying index, you should not construe that fact as a recommendation as
to the merits of acquiring an investment linked to the underlying index or any security comprising the underlying index or as to
the suitability of an investment in the Trigger PLUS.
HSBC has filed a registration statement (including a prospectus,
a prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this 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 should read this document together with the prospectus dated
March 5, 2015, the prospectus supplement dated March 5, 2015 and Equity Index Underlying Supplement dated March 5, 2015. If the
terms of the Trigger PLUS 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” herein, on page S-2 of the accompanying Equity Index Underlying
Supplement and page S-1 of the accompanying prospectus supplement, as the Trigger PLUS 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 Trigger PLUS. As used herein, references to the “Issuer”, “HSBC”, “we”, “us”
and “our” are to HSBC USA Inc.
You may access these documents on the SEC web site at .www.sec.gov
as follows:
The Equity Index Underlying Supplement
at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm
The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm
The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm |
| Validity
of the Trigger PLUS: |
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 Trigger PLUS pursuant to the Senior Indenture referred to in the prospectus supplement dated March 5, 2015, and issued and paid for as contemplated herein, the Trigger PLUS 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. |
This document provides a summary
of the terms and conditions of the Trigger PLUS. We encourage you to read the accompanying Equity Index Underlying Supplement,
prospectus supplement and prospectus for this offering, which can be accessed via the hyperlinks on the front page of this document.
“Performance Leveraged Upside
SecuritiesSM” and “PLUSSM” are service marks of Morgan Stanley.