Title of Each Class of
Securities Offered |
|
Maximum Aggregate
Offering Price |
|
Amount of
Registration Fee(1)(2) |
Debt Securities |
|
$3,145,000.00 |
|
$0 |
(1) Calculated in accordance
with Rule 457(r) of the Securities Act of 1933, as amended.
(2) A registration
fee of $381.17 was previously paid (Accession No. 0001144204-19-039231).
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-223208
Amendment No. 1 Dated August 13, 2019 to the Pricing Supplement
Dated August 8, 2019
PRICING SUPPLEMENT
(To Prospectus dated February 26, 2018,
Prospectus Supplement dated February 26,
2018 and
Equity Index Underlying Supplement dated
February 26, 2018) |
Autocallable Barrier Notes Linked to the Least Performing of
the Russell 2000® Index and the NASDAQ-100® Index
► | If the Notes are not called prior to maturity, full repayment of principal amount if the closing level of the Least Performing
Underlying on the Final Valuation Date is less than its Initial level but greater than or equal to 75.00% of its Initial level |
► | Callable annually on or after August 12, 2020 at par plus the applicable Call Premium if the Official Closing Level of each
Underlying is at or above its Initial Level on the applicable Observation Date |
► | Call premium of 13.18% per annum |
► | If the Notes are not called and the Least Performing Underlying declines by more than 25.00%, there is full exposure to declines
in the Least Performing Underlying, and you will lose all or a portion of your principal amount. |
► | 3 year term if not automatically called prior to maturity |
► | All payments on the Notes are subject to the credit risk of HSBC USA Inc. |
The Autocallable Barrier Notes (each
a “Note” and collectively the “Notes”) offered hereunder will not be listed on any U.S. securities exchange
or automated quotation system
Neither the U.S. Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy
or the adequacy of this document, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any
representation to the contrary is a criminal offense.
We have appointed HSBC Securities (USA) Inc., an
affiliate of ours, as the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution
to other registered broker-dealers or will offer the Notes directly to investors. In addition, HSBC Securities (USA) Inc. or another
of its affiliates or agents may use this pricing supplement in market-making transactions in any Notes after their initial sale.
Unless we or our agent inform you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making
transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-14 of this document.
Investment in the Notes involves certain risks.
You should refer to “Risk Factors” beginning on page PS-7 of this document, page S-1 of the accompanying prospectus
supplement and page S-1 of the accompanying Equity Index Underlying Supplement.
The Estimated Initial Value of the Notes on the Pricing
Date is $967.00 per Note, which is less than the price to public. The market value of the Notes at any time will reflect many factors
and cannot be predicted with accuracy. See “Estimated Initial Value” on page PS-4 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 |
$15 |
$985 |
Total |
$3,145,000 |
$47,175 |
$3,097,825 |
1HSBC USA Inc. or one of our
affiliates may pay varying underwriting discounts of up to 1.50% per $1,000 Principal Amount of Notes in connection with the distribution
of the Notes to other registered broker-dealers .See “Supplemental Plan of Distribution (Conflicts of Interest)” on
page PS-14 of this document.
The Notes:
Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
HSBC USA Inc.
Autocallable Barrier Notes
|
|
This document relates to
a single offering of Autocallable Barrier Notes. The Notes will have the terms described in this document and the accompanying
prospectus supplement, prospectus and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent
with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described
in this document shall control.
This document relates to
an offering of Notes linked to the least performing of two indices. The purchaser of a Note will acquire a senior unsecured debt
security of HSBC USA Inc. as described below. The following key terms relate to the offering of Notes:
Issuer: |
HSBC USA Inc. |
Principal Amount: |
$1,000 per Note |
Reference Asset: |
The Russell 2000® Index (“RTY”) and the NASDAQ-100® Index (“NDX”) (each an “Underlying” and together the “Underlyings”). |
Trade Date: |
August 8, 2019 |
Pricing Date: |
August 8, 2019 |
Original Issue Date: |
August 15, 2019 |
Final Valuation Date: |
August 10, 2022, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
Maturity Date: |
August 15, 2022. The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement. |
Call Feature: |
If the Official Closing Level of each Underlying is at or above its Initial Level on any Observation Date, the Notes will be automatically called, and you will receive a cash payment, per $1,000 Principal Amount of Notes, equal to the Principal Amount plus the applicable Call Premium on the corresponding Call Payment Date. |
Observation |
Observation
Dates |
|
Call
Payment Dates |
|
Call
Premium |
|
Payment
Upon Call |
|
and |
August
12, 2020 |
|
August
17, 2020 |
|
13.18% |
|
$131.80 |
|
Call
Payment |
August
11, 2021 |
|
August
16, 2021 |
|
26.36% |
|
$263.60 |
|
Dates: |
August
10, 2022 |
|
August
15, 2022 |
|
|
|
|
|
|
(the
Final |
|
(the
Maturity Date) |
|
39.54% |
|
$395.40 |
|
|
Valuation
Date) |
|
|
|
|
|
|
|
Payment at Maturity: |
Unless the Notes are automatically called prior to maturity, on the Maturity Date, for each $1,000 Principal Amount of Notes, we will pay you the Final Settlement Value. |
Final Settlement Value: |
Unless the Notes are automatically
called prior to maturity, for each $1,000 Principal Amount, you will receive a cash payment on the Maturity Date, calculated as
follows:
n
If the Final Return of the Least Performing Underlying is less than 0%, and therefore not called, but greater than or equal
to -25%:
$1,000
If the Final Return of the
Least Performing Underlying is less than -25%:
$1,000 + ($1,000 × Final Return of the Least Performing
Underlying).
If the Notes are not automatically called prior to maturity
and the Final Level of the Least Performing Underlying is less than its Barrier Level, you will not receive a Call
Premium and will lose up to 100% of the Principal Amount.
|
Barrier Level: |
1,149.099 with respect to the RTY and 5,793.6225 with
respect to the NDX, each of which is 75.00% of its Initial Level. |
Least Performing Underlying: |
The Underlying with the lowest Final Return. |
Final Return: |
With respect to each Underlying, the quotient, expressed as a percentage, calculated as follows:
Final Level – Initial
Level
Initial
Level |
Initial Level: |
1,532.132 with respect to the RTY
and 7,724.830 with respect to the NDX, each of which was its Official Closing Level on the Pricing Date. |
Final Level: |
With respect to each Underlying, its Official Closing Level on the Final Valuation Date. |
CUSIP/ISIN: |
40435UVB7 / US40435UVB78 |
Form of Notes: |
Book-Entry |
Listing: |
The Notes will not be listed on any U.S. securities exchange or quotation system. |
Estimated Initial Value: |
The Estimated Initial Value of the Notes is less than the price you pay to purchase the Notes. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the Notes, which was determined by us on the Pricing Date, is less than the price to public and may differ from the market value of the Notes in the secondary market, if any.” |
GENERAL
This document relates to the offering of
Notes identified on the cover page. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. Although
the offering of Notes relates to the Underlyings, you should not construe that fact as a recommendation as to the merits of acquiring
an investment linked to either Underlying or any security included in either Underlying or as to the suitability of an investment
in the Notes.
You should read this document together
with the prospectus dated February 26, 2018, the prospectus supplement dated February 26, 2018 and the Equity Index Underlying
Supplement dated February 26, 2018. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying
prospectus supplement, prospectus or Equity Index Underlying Supplement, the terms described in this document shall control. You
should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PS-7 of this
document, beginning on page S-1 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the Notes
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes. As used herein, references to the “Issuer”, “HSBC”,
“we”, “us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement
(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this
document relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying Supplement
in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this
offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively, HSBC
Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement
and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
PAYMENT ON THE NOTES
Call Feature
The Notes will be automatically called
if the Official Closing Level of each Underlying is at or above its Initial Level on any Observation Date. If the Notes are automatically
called, investors will receive a cash payment, per $1,000 Principal Amount of Notes, equal to the Principal Amount, together with
the applicable Call Premium.
Payment at Maturity
Unless the Notes are automatically called
prior to maturity, on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a cash payment equal to
the Final Settlement Value, determined as follows:
n
If the Final Return of the Least Performing Underlying is less than 0%, and therefore not called, but is greater than or equal
to -25%:
$1,000
n
If the Final Return of the Least Performing Underlying is less than -25%:
$1,000 + ($1,000 × Final
Return of the Least Performing Underlying).
If the Notes are not automatically
called prior to maturity and the Final Level of the Least Performing Underlying is less than its Barrier Level, you will not receive
a Call Premium and may lose up to 100% of the Principal Amount.
Calculation Agent
We or one of our affiliates will act as
calculation agent with respect to the Notes.
Reference Sponsors
The reference sponsor of the RTY is FTSE
Russell. The reference sponsor of the NDX is Nasdaq Inc.
INVESTOR SUITABILITY
The Notes may be suitable for you
if:
| 4 | You believe that the Official Closing Level of each of the Underlyings will be equal to or greater
than its Initial Level on one or more of the Observation Dates. |
| 4 | You do not seek an investment that provides an opportunity to participate in the appreciation of
either Underlying. |
| 4 | You are willing to make an investment that is exposed to the potential downside performance of
the Least Performing Underlying on a 1-to-1 basis if the Notes are not called and the Final Return of the Least Performing Underlying
is less than -25%. |
| 4 | You are willing to lose up to 100% of the Principal Amount. |
| 4 | You are willing to hold Notes that will be automatically called on any Observation Date on which
the Official Closing Level of each Underlying is at or above its Initial Level. |
| 4 | You are willing to accept the risk and return profile of the Notes versus a conventional debt security
with a comparable maturity issued by HSBC or another issuer with a similar credit rating. |
| 4 | You are willing to forgo dividends or other distributions paid on the stocks included in either
of the Underlyings. |
| 4 | You do not seek an investment for which there will be an active secondary market. |
| 4 | You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes. |
The Notes may not
be suitable for you if:
| 4 | You believe that the Official Closing Level of one or both of the Underlyings will be less than
its Initial Level on each of the Observation Dates, and below its Barrier Level on the Final Valuation Date. |
| 4 | You seek an investment that provides an opportunity to participate in the appreciation of either
Underlying. |
| 4 | You are unwilling to make an investment that is exposed to the potential downside performance of
the Least Performing Underlying on a 1-to-1 basis if the Notes are not called and the Final Return of the Least Performing Underlying
is less than -25%. |
| 4 | You seek an investment that provides full return of principal at maturity. |
| 4 | You are unable or unwilling to hold Notes that will be automatically called on any Observation
Date on which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise unable or unwilling
to hold the Notes to maturity. |
| 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 guaranteed periodic interest payments on the Notes, or the dividends or other
distributions paid on the stocks included in either of the Underlyings. |
| 4 | You seek an investment for which there will be an active secondary market. |
| 4 | You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of
the Notes. |
RISK FACTORS
We urge you to read the section “Risk
Factors” beginning on page S-1 in the accompanying prospectus supplement and beginning on page S-1 of the accompanying
Equity Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the Underlyings or
any of the stocks included in either Underlying. You should understand the risks of investing in the Notes and should reach an
investment decision only after careful consideration, with your advisors, of the suitability of the Notes in light of your particular
financial circumstances and the information set forth in this document and the accompanying prospectus, prospectus supplement and
Equity Index Underlying Supplement.
In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the Notes described in the following sections:
4 | “—Risks Relating to All Note Issuances” in the
prospectus supplement; and |
| |
4 | “—General Risks Related to the Index Funds” in
the Equity Index Underlying Supplement. |
You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.
The Notes do not guarantee return
of principal and you may lose all of your Principal Amount.
The Notes do not guarantee any return of
principal. The Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notes
if the Notes are not automatically called and the Final Level of the Least Performing Underlying is less than its Barrier Level.
In this case, the Payment at Maturity you will be entitled to receive will be less than the Principal Amount of the Notes and you
will lose 1% for each 1% that the Final Level of the Least Performing Underlying is less than its Initial Level. You may lose up
to 100% of your investment at maturity.
Your return on the Notes is limited
to the Principal Amount plus the Call Premium, if any, regardless of any appreciation in the Level of the Reference Asset.
If the Notes are called, for each $1,000
in Principal Amount, you will receive $1,000 at maturity plus the Call Premium, regardless of any appreciation in the value of
either Underlying, which may be significant. Accordingly, an investment in the Notes may have a lower return than an investment
in the securities included in one or both of the Underlyings.
The Notes are subject to the credit
risk of HSBC USA Inc.
The Notes are senior unsecured debt obligations
of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the
accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated
debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes,
including the Call Premium and any return of principal at maturity or upon early redemption, as applicable, depends on the ability
of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect
the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to
you under the terms of the Notes.
If the Notes are not called, your
return will be based on the Final Return of the Least Performing Underlying.
If the
Notes are not automatically called prior to maturity, your return will be based on the Final Return of the Least Performing Underlying
without regard to the performance of the other Underlying. As a result, you could lose all or some of your initial investment if
the Final Level of the Least Performing Underlying is less than its Barrier Level, even if there is an increase in the Level of
the other Underlying. This could be the case even if the other Underlying increased by an amount greater than the decrease in the
Least Performing Underlying.
Since the Notes are linked to the
performance of more than one Underlying, you will be fully exposed to the risk of fluctuations in the Level of each Underlying.
Since
the Notes are linked to the performance of more than one Underlying, the Notes will be linked to the individual performance of
each Underlying. Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among all
of the components of a basket, you will be exposed to the risk of fluctuations in the Level of each Underlying. For example, in
the case of notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components
reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another
basket component, as scaled by the weightings of such basket components. However, in the case of these Notes, the individual performance
of each of the Underlyings would not be combined to calculate your return and the depreciation of either Underlying would not be
mitigated by the appreciation of the other Underlying. Instead, your return would depend on the Least Performing Underlying.
The Notes may be automatically called
prior to the Maturity Date.
If
the Notes are automatically called early, the holding period could be as little as approximately 12 months. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return for a
similar level of risk in the event the Notes are automatically called prior to the Maturity Date.
Higher Call Premiums or lower Barrier
Levels are generally associated with Underlyings with greater expected volatility and therefore can indicate a greater risk of
loss.
"Volatility"
refers to the frequency and magnitude of changes in the Level of an Underlying. The greater the expected volatility with respect
to an Underlying on the Pricing Date, the higher the expectation as of the Pricing Date that the Level of that Underlying could
close below its Initial Level on an Observation Date or its Barrier Level on the Final Valuation Date, indicating a higher expected
risk of (i) non-payment of any of the Call Premiums or (ii) loss on the Notes. This greater expected risk will generally be reflected
in a higher Call Premiums than the yield payable on our conventional debt securities with a similar maturity, or in more favorable
terms (such as a lower Barrier Level) than for similar securities linked to the performance of an Underlying with a lower expected
volatility as of the Pricing Date. You should therefore understand that a relatively higher Call Premiums may indicate an increased
risk of loss. Further, a relatively lower Barrier Level may not necessarily indicate that the Notes have a greater likelihood of
a repayment of principal at maturity. The volatility of an Underlying can change significantly over the term of the Notes. The
Level of an Underlying for your Notes could fall sharply, which could result in a significant loss of principal. You should be
willing to accept the downside market risk of the Least Performing Underlying and the potential to lose some or all of your principal
at maturity.
The Estimated Initial Value of the Notes,
which was determined by us on the Pricing Date, is less than the Level to public and may differ from the market value of the Notes
in the secondary market, if any.
The Estimated Initial Value of the Notes
was calculated by us on the Pricing Date and is less than the price to public. The Estimated Initial Value reflects our internal
funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market value of the embedded
derivatives in the Notes. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed
or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when
we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the Notes may be lower if it were
based on the prices at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were
to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the Notes
to be more favorable to you. We determined the value of the embedded derivatives in the Notes by reference to our or our affiliates’
internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest
rates. Different pricing models and assumptions could provide valuations for the Notes that are different from our Estimated Initial
Value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The Estimated
Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in
the secondary market (if any exists) at any time.
The price of your Notes in the secondary
market, if any, immediately after the Pricing Date will be less than the price to public.
The price to public takes into account
certain costs. These costs, which will be used or retained by us or one of our affiliates, include the underwriting discount, our
affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations
under the Notes and the costs associated with structuring and hedging our obligations under the Notes. If you were to sell your
Notes in the secondary market, if any, the price you would receive for your Notes may be less than the price you paid for them
because secondary market prices will not take into account these costs. The price of your Notes in the secondary market, if any,
at any time after issuance will vary based on many factors, including the levels of the Underlyings and changes in market conditions,
and cannot be predicted with accuracy. The Notes are not designed to be short-term trading instruments, and you should, therefore,
be able and willing to hold the Notes to maturity. Any sale of the Notes prior to maturity could result in a loss to you.
If we were to repurchase your Notes
immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the Notes.
Assuming that all relevant factors remain
constant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the Notes in the
secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account
statements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately
6 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectively
reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connection
with the Notes that we will no longer expect to incur over the term of the Notes. We will make such discretionary election and
determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the Notes and any agreement
we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in
this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time
or revise the duration of the reimbursement period after the Original Issue Date of the Notes based on changes in market conditions
and other factors that cannot be predicted.
The amount payable on the Notes is
not linked to the Levels of the Underlyings at any time other than the Coupon Observation Dates, including the Final Valuation
Date.
The payments on the Notes will be based
on the Official Closing Levels of the Underlyings on the Observation Dates, including the Final Valuation Date, subject to postponement
for non-trading days and certain market disruption events. If the Notes are not called, even if the Level of the Least Performing
Underlying is greater than or equal to its Initial Level during the term of the Notes other than on the Observation Dates but then
decreases on each Observation Date to a Level that is less than its Initial Level, the return on the Notes may be less, and possibly
significantly less, than it would have been had the Notes had been called. Similarly, even if the Level of each Underlying is greater
than or equal to its Barrier Level during the term of the Notes other than on the Final Valuation Date but then decreases on the
Final Valuation Date to a Level that is less than its Barrier Level, the Payment at Maturity will be less, and possibly significantly
less, than it would have been had the Payment at Maturity been linked to the Level of the Least Performing Underlying prior to
such decrease. Although the actual Levels of the Underlyings on the Maturity Date or at other times during the term of the Notes
may be higher than their respective Levels on the Observation Dates and whether the Notes will be automatically called will be
based solely on the Official Closing Levels of the Underlyings on the applicable Observation Dates.
Changes that affect an Underlying may
affect the Level of that Underlying and the market value of the Notes and the amount you will receive on the Notes.
The policies of the reference sponsor of
an Underlying, concerning additions, deletions and substitutions of the constituents included in that Underlying and the manner
in which the reference sponsor takes account of certain changes affecting those constituents or may affect the level of that Underlying.
The policies of the reference sponsor with respect to the calculation of an Underlying could also affect the level of that Underlying.
The Reference sponsor may discontinue or suspend calculation or dissemination of an Underlying. Any such actions could affect the
level of an Underlying and the value of the Notes.
Owning the Notes is not the same as
owning the stocks included in the Underlyings.
The return on your Notes may not reflect
the return you would realize if you actually the stocks included in either Underlying. As a holder of the Notes, you will not have
voting rights or rights to receive dividends or other distributions or other rights as would holders of the stocks included in
the related Underlying.
The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.
The Notes are not deposit liabilities or
other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full payments due on the
Notes.
The Notes lack liquidity.
The Notes will not be listed on any securities
exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other
dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely
to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.
Potential conflicts of interest may
exist.
An affiliate of HSBC has a minority equity
interest in the owner of an electronic platform, through which we may make available certain structured investments offering materials.
HSBC and its affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent
and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an investor in the Notes. We will not have any obligation to consider
your interests as a holder of the Notes in taking any action that might affect the value of your Notes.
Small-capitalization risk.
The RTY tracks companies that are considered
small-capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization
companies and therefore the level of the RTY may be more volatile than an investment in stocks issued by large-capitalization companies.
Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse
business and economic developments, and the stocks of small-capitalization companies may be thinly traded, making it difficult
for the RTY to track them. In addition, small-capitalization companies are typically less stable financially than large-capitalization
companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small-capitalization
companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences.
Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer
financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments
related to their products.
Uncertain tax treatment.
For a discussion of the U.S. federal income
tax consequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
ILLUSTRATIVE EXAMPLES
The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the Level of either Underlying relative to its Initial Level. We cannot predict the Official Closing
Level of either Underlying on any Observation Date, including the Final Valuation Date. The assumptions we have made in connection
with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as
an indication or assurance of the expected performance of any of the Underlyings or the return on the Notes.
The table and examples below illustrate
how the Payment at Maturity would be calculated with respect to a $1,000 investment in the Notes, given a range of hypothetical
Underlying performances. The hypothetical returns on the Notes below are numbers, expressed as percentages, that result from comparing
the Payment at Maturity per $1,000 Principal Amount to $1,000. You should consider carefully whether the Notes are suitable to
your investment goals. The following table and examples assume the following:
4 |
Principal Amount: |
$1,000 |
4 |
Hypothetical Initial level |
100.00 with respect to each Underlying* |
4
|
Hypothetical Barrier level: |
75.00 with respect to each Underlying (75.00% of the Initial Level)* |
4
|
Call Premium: |
13.18% per annum, paid annually, if called on the first Observation Date, 26.36% per annum, paid annually, if called on the second Observation Date, and 39.54% per annum, paid annually, if called on the Final Valuation Date. |
* The hypothetical Initial Level of 100.00
used in the examples below has been chosen for illustrative purposes only and does not represent the actual Initial Level of any
Underlying. The actual Initial Level, and Barrier Level of each Underlying are set forth on page PS-3.
|
Notes Are Called on the
Second Observation
Date |
Notes Are Called on the
Third Observation Date
(the Final Valuation
Date) |
Notes Are Not Called on Any
Observation Date |
|
Example 1 |
Example 2 |
Example 3 |
Example 4 |
|
RTY |
NDX |
RTY |
NDX |
RTY |
NDX |
RTY |
NDX |
Initial Level |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
Barrier Level |
75.00 |
75.00 |
75.00 |
75.00 |
75.00 |
75.00 |
75.00 |
75.00 |
Official Closing Level/ Percentage Changes on the First Observation Date |
105.00/
5.00% |
95.00/
-5.00% |
98.00/
-2.00% |
95.00/
-5.00% |
75.00/
-25.00% |
80.00/
-20.00% |
80.00/
-20.00% |
75.00/
-25.00% |
Official Closing Level / Percentage Changes on the Second Observation Date |
130.00/
30.00% |
110.00/
10.00% |
105.00/
5.00% |
90.00/
-10.00% |
80.00/
-20.00% |
75.00/
-25.00% |
75.00/
-25.00% |
80.00/
-20.00% |
Official Closing Level / Percentage Changes on the Final Valuation Date |
N/A |
N/A |
110.00/
10.00% |
105.00/
5.00% |
90.00/
-10.00% |
80.00/
-20.00% |
105.00/
5.00% |
40.00/
-60.00% |
Call Premium |
$263.60 (Call Premium) |
$395.40 (Call Premium) |
N/A |
N/A |
Total Payment |
$1,263.60 (upon automatic call) |
$1,395.40 (upon automatic call) |
$1,000.00 (at maturity) |
$400 (at maturity) |
Return of the Notes |
26.36% |
39.54% |
0.00% |
-60.00% |
Example 1—The Official Closing
Level of each Underlying on the second Observation Date is greater than or equal to its Initial Level, but not on the first Observation
Date.
|
|
|
|
|
Underlying |
Initial
Level |
Official Closing Level
on the First
Observation Date |
Official Closing Level
on the Second
Observation Date |
Final Level on the Final
Valuation
Date
|
RTY |
100 |
105.00 / 5.00% |
130.00 / 30.00% |
N/A |
NDX |
100 |
95.00 / -5.00% |
110.00 / 10.00% |
N/A |
Because the Official Closing Level
of each Underlying on the second Observation Date is at or above its Initial Level, the Notes will be called and you will receive
$1,263.60 per Note, reflecting the Principal Amount plus the applicable Call Premium, resulting
in a 26.36% return on the Notes.
Example 2—The Official Closing
Level of each Underlying on the third Observation Date (the Final Valuation Date) is greater than or equal to its Initial Level,
but not on any previous Observation Dates.
|
|
|
|
|
Underlying |
Initial
Level |
Official Closing Level
on the First
Observation Date |
Official Closing Level
on the Second
Observation Date |
Final Level on the Final
Valuation Date
|
RTY |
100 |
98.00 / -2.00% |
105.00 / 5.00% |
110.00 / 10.00% |
NDX |
100 |
95.00 / -5.00% |
90.00 / -10.00% |
105.00 / 5.00% |
Because the Official Closing Level of each Underlying
on the third Observation Date is at or above its Initial Level, the Notes will be called and you will receive $1,395.40 per Note,
reflecting the Principal Amount plus the applicable Call Premium, resulting in a 39.54% return on the Notes.
Example 3—The Notes are not
called and the Final Level of the Least Performing Underlying is less than the Initial Level but greater than or equal to its Barrier
Level.
|
|
|
|
|
Underlying |
Initial
Level |
Official Closing Level
on the First
Observation Date |
Official Closing Level
on the Second
Observation Date |
Final Level on the Final
Valuation Date
|
RTY |
100 |
75.00 / -25.00% |
80.00 / -20.00% |
90.00 / -10.00% |
NDX |
100 |
80.00 / -20.00% |
75.00 / -25.00% |
80.00 / -20.00% |
NDX is the Least Performing Underlying. Because
the Final Level of the Least Performing Underlying is less than the Initial Level but greater than or equal to the Barrier Level,
you will receive $1,000.00 per Note, resulting in a 0% return on the notes.
Example 4—The Notes are not
called and the Final Level of the Least Performing Underlying is less than its Barrier Level.
|
|
|
|
|
Underlying |
Initial
Level |
Official Closing Level
on the First
Observation Date |
Official Closing Level
on the Second
Observation Date |
Final Level on the Final
Valuation Date
|
RTY |
100 |
80.00 / -20.00% |
75.00/ -25.00% |
105.00/ 5.00% |
NDX |
100 |
75.00 / -25.00% |
80.00/ -20.00% |
40.00/ -60.00% |
NDX is the Least Performing Underlying. Because
the Final Level of the Least Performing Underlying is less than its Barrier Level, you will receive $400.00 per $1,000 in Principal
Amount, calculated as follows:
Payment at Maturity = $1,000
+ ($1,000 × -60.00%) = $400.00
resulting in a -60.00% return on the Notes.
If the Notes are not called
and the Final Level of the Least Performing Underlying is less than its Barrier Level, you will be exposed to any decrease in the
Level of the Least Performing Underlying on a 1:1 basis and could lose up to 100% of your principal at maturity.
INFORMATION RELATING TO THE UNDERLYINGS
Description of the RTY
The RTY is designed to track the performance
of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange
or Nasdaq, and the RTY consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell
3000® Index is composed of the 3,000 largest United States companies as determined by market capitalization and
represents approximately 98% of the United States equity market.
The top 5 industry groups by market capitalization as of June
30, 2019 were: Financial Services, Health Care, Consumer Descretionary, Producer Durables and Technology.
For more information
about the RTY, see “The Russell 2000® Index” on page S-37 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 August 8, 2009 through August 8, 2019. We obtained the
closing levels below from the Bloomberg Professional® service (“Bloomberg”). We have not undertaken
any independent review of, or made any due diligence inquiry with respect to, the information obtained from Bloomberg.
|
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 NDX
The NDX is a modified market capitalization-weighted
index of 100 of the largest domestic and international non-financial companies listed on The NASDAQ Stock Market based on market
capitalization. It does not contain securities of financial companies, including investment companies.
For more information about the NDX,
see “The NASDAQ-100® Index” beginning on page S-27 of the accompanying Equity Index Underlying Supplement.
|
|
Historical Performance of the NDX
The following graph sets forth the historical
performance of the NDX based on the daily historical closing levels from August 8, 2009 through August 8, 2019. We obtained the
closing levels below from Bloomberg. We have not undertaken any independent review of, or made any due diligence inquiry with respect
to, the information obtained from Bloomberg.
|
The historical levels of the NDX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the NDX on the Final Valuation Date.
EVENTS
OF DEFAULT AND ACCELERATION
If the Notes have become immediately due
and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the calculation
agent will determine the accelerated payment due and payable in the same general manner as described in this document except that
in such a case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date
for purposes of determining the Final Return of each Underlying, and the accelerated maturity date will be three business days
after the accelerated Final Valuation Date. If the Notes are subject to an automatic call, the Call Premium will be pro-rated based
upon the amount of time that the Notes are outstanding. If a Market Disruption Event exists with respect to an Underlying on that
scheduled trading day, then the accelerated Final Valuation Date for that Underlying will be postponed for up to five scheduled
trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated maturity date
will also be postponed by an equal number of business days. For the avoidance of doubt, if no market disruption event exists with
respect to an Underlying on the scheduled trading day preceding the date of acceleration, the determination of such Underlying’s
Final Level will be made on such date, irrespective of the existence of a market disruption event with respect to any Underlying
occurring on such date.
If the Notes have become immediately due
and payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. For more
information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the accompanying
prospectus.
SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS
OF INTEREST)
We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities
(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page
of this pricing supplement, for distribution to other registered broker-dealers or will offer the Notes directly to investors.
HSBC Securities (USA) Inc. has offered the Notes at the price to public set forth on the cover page of this document. HSBC USA
Inc. or one of our affiliates may pay varying underwriting discounts of up to 1.50% per $1,000 Principal Amount in connection with
the distribution of the Notes to other registered broker-dealers.
An affiliate of HSBC has paid or may pay
in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the
Notes.
In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use this pricing supplement in market-making transactions after the initial sale of
the Notes, but is under no obligation to make a market in the Notes and may discontinue any market-making activities at any time
without notice.
See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-61 in the prospectus supplement.
Delivery of the Notes will be made against
payment for the Notes on the Original Issue Date set forth on the inside cover page of this document, which is more than two business
days following the Trade Date. Under Rule 15c6-1 under the Securities Exchange Act of 1934, trades in the secondary market generally
are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers
who wish to trade the Notes more than two business days prior to the Original Issue Date will be required to specify an alternate
settlement cycle at the time of any such trade to prevent a failed settlement, and should consult their own advisors
U.S. FEDERAL INCOME TAX CONSIDERATIONS
There is no direct legal authority as to
the proper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as to
both the timing and character of any inclusion in income in respect of the Notes. Under one approach, a Note should be treated
as a pre-paid executory contract with respect to the Reference Asset. We intend to treat the Notes consistent with this approach.
Pursuant to the terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal income tax purposes.
Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of
our special U.S. tax counsel, Mayer Brown LLP, it is reasonable to treat a Note as a pre-paid executory contract with respect to
the Reference Asset. Pursuant to this approach we do not intend to report any income or gain with respect to the Notes prior to
their maturity or an earlier sale, call or exchange and we intend to treat any gain or loss upon maturity or an earlier sale, call
or exchange as long-term capital gain or loss, provided you have held the Note for more than one year at such time for U.S. federal
income tax purposes. If the Notes are held by the same United States holder until maturity, that holder’s holding period
will generally include the maturity date.
We will not attempt to ascertain whether
any of the entities whose stock is included in either Underlying would be treated as a passive foreign investment company (“PFIC”)
or United States real property holding corporation (“USRPHC”), both as defined for U.S. federal income tax purposes.
If one or more of the entities whose stock is included in either Underlying were so treated, certain adverse U.S.
federal income
tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities included
in the Underlyings and consult your tax advisor regarding the possible consequences to you one or more of the entities whose stock
is included in either Underlying is or becomes a PFIC or a USRPHC.
Under current law, while the matter is
not entirely clear, individual non-U.S. holders, and entities whose property is potentially includible in those individuals’
gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which
the individual has retained certain interests or powers), should note that, absent an applicable treaty benefit, the Notes are
likely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult
their own tax advisors regarding the U.S. federal estate tax consequences of investing in the Notes.
A “dividend equivalent”
payment is treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S.
withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments)
with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend
equivalents if such specified ELIs reference an interest in an “underlying security,” which is generally any interest
in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give
rise to a U.S. source dividend. However, Internal Revenue Service guidance provides that withholding on dividend equivalent payments
will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2021. Based on the Issuer’s
determination that the Notes are not “delta-one” instruments, non-U.S. holders should not be subject to withholding
on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued
for U.S. federal income tax purposes upon the occurrence of certain events affecting the Reference Asset or the Notes, and following
such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter,
or have entered, into other transactions in respect of the Reference Asset or the Notes should consult their tax advisors as to
the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments
are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes
without being required to pay any additional amounts with respect to amounts so withheld.
For a discussion of the U.S. federal income
tax consequences of your investment in a Note, please see the discussion under “U.S Federal Income Tax Considerations”
in the accompanying prospectus supplement.
PROSPECTIVE PURCHASERS OF NOTES SHOULD
CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL,
AND OTHER TAX CONSEQUENCES TO THEM OF THE
PURCHASE, OWNERSHIP AND DISPOSITION OF NOTES.
VALIDITY OF THE NOTES
In the opinion of Mayer Brown
LLP, as counsel to the Issuer, when this pricing supplement has been attached to, and duly notated on, the master note that represents
the Notes pursuant to the Senior Indenture referred to in the prospectus supplement dated February 26, 2018, and issued and paid
for as contemplated herein, the Notes offered by this pricing supplement will be valid, binding and enforceable obligations of
the Issuer, entitled to the benefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting
creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is
limited to the laws of the State of New York, the Maryland General Corporation Law (including the statutory provisions, all applicable
provisions of the Maryland Constitution and the reported judicial decisions interpreting the foregoing) and the federal laws of
the United States of America. This opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the Senior Indenture and the genuineness of signatures and to such counsel’s reliance on the Issuer and other
sources as to certain factual matters, all as stated in the legal opinion dated March 1, 2018, which has been filed as Exhibit
5.4 to the Issuer’s registration statement on Form S-3 dated February 26, 2018.
TABLE OF CONTENTS |
|
|
You
should only rely on the information contained in this pricing supplement, the accompanying Equity Index Underlying Supplement,
prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation
to you that is not contained in this pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus
supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it.
This pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are
not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction
where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this
pricing supplement, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct
on any date after their respective dates.
HSBC USA
Inc.
$3,145,000
Autocallable
Barrier Notes
Linked to the Least Performing of
the Russell 2000® Index and
the NASDAQ-100® Index
Amendment
No.1 Dated August 13, 2019
to
Pricing Supplement Dated
August
8, 2019
|
|
|
|
Pricing Supplement |
|
|
General |
PS-4 |
|
Payment on the Notes |
PS-5 |
|
Investor Suitability |
PS-6 |
|
Risk Factors |
PS-7 |
|
Illustrative Examples |
PS-11 |
|
Information Relating to the Underlyings |
PS-13 |
|
Events of Default and Acceleration |
PS-14 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
PS-14 |
|
U.S. Federal Income Tax Considerations |
PS-14 |
|
Validity of the Notes |
PS-15 |
|
|
|
|
Equity Index Underlying Supplement |
|
|
Disclaimer |
ii |
|
Risk Factors |
S-1 |
|
The DAX® Index |
S-8 |
|
The Dow Jones Industrial AverageSM |
S-10 |
|
The EURO STOXX 50® Index |
S-12 |
|
The FTSE® 100 Index |
S-14 |
|
The Hang Seng® Index |
S-15 |
|
The Hang Seng® China Enterprises Index |
S-17 |
|
The KOSPI 200 Index |
S-20 |
|
The MSCI Indices |
S-23 |
|
The NASDAQ-100 Index® |
S-27 |
|
The Nikkei 225 Index |
S-31 |
|
The PHLX Housing SectorSM Index |
S-33 |
|
The Russell 2000® Index |
S-37 |
|
The S&P 100® Index |
S-40 |
|
The S&P 500® Index |
S-43 |
|
The S&P 500® Low Volatility Index |
S-46 |
|
The S&P BRIC 40 Index |
S-49 |
|
The S&P MidCap 400® Index |
S-51 |
|
The TOPIX® Index |
S-54 |
|
Additional Terms of the Notes |
S-56 |
|
Prospectus Supplement |
|
|
Risk Factors |
S-1 |
|
Pricing Supplement |
S-10 |
|
Description of Notes |
S-12 |
|
Use of Proceeds and Hedging |
S-36 |
|
Certain ERISA Considerations |
S-37 |
|
U.S. Federal Income Tax Considerations |
S-39 |
|
Supplemental Plan of Distribution (Conflicts of Interest) |
S-61 |
|
|
|
|
Prospectus |
|
|
About this Prospectus |
1 |
|
Risk Factors |
2 |
|
Where You Can Find More Information |
3 |
|
Special Note Regarding Forward-Looking Statements |
4 |
|
HSBC USA Inc. |
7 |
|
Use of Proceeds |
8 |
|
Description of Debt Securities |
9 |
|
Description of Preferred Stock |
20 |
|
Description of Warrants |
25 |
|
Description of Purchase Contracts |
30 |
|
Description of Units |
33 |
|
Book-Entry Procedures |
36 |
|
Limitations on Issuances in Bearer Form |
40 |
|
U.S. Federal Income Tax Considerations Relating to Debt Securities |
41 |
|
Plan of Distribution (Conflicts of Interest) |
49 |
|
Notice to Canadian Investors |
52 |
|
Notice to EEA Investors |
53 |
|
Notice to UK Investors |
54 |
|
UK Financial Promotion |
54 |
|
Certain ERISA Matters |
55 |
|
Legal Opinions |
57 |
|
Experts |
58 |
|
This regulatory filing also includes additional resources:
tv527595_424b2.pdf