 | Filed Pursuant to Rule 424(b)(2) Registration No. 333-277211 February 26, 2025 PRICING SUPPLEMENT (To Prospectus dated February 21, 2024 Prospectus Supplement dated February 21, 2024 and Equity Index Underlying Supplement dated February 21, 2024) |
| Structured Investments | HSBC USA Inc. $925,000 Buffered Return Enhanced Notes Linked to Least Performing of the STOXX® Europe 600 Index and the EURO STOXX 50® Index, due March 4, 2030 (the “Notes”) |
General
| · | Terms used in this pricing supplement are described or defined herein and in the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. The Notes will have the terms described herein and in the Equity Index Underlying Supplement, prospectus supplement and prospectus. The Notes do not guarantee any return of principal, and you may lose up to 100% of your initial investment. The Notes will not bear interest. |
| · | This pricing supplement relates to a single note offering. The purchaser of a Note will acquire a security linked to the Reference Assets described below. |
| · | Although the offering relates to the Reference Assets, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any of the Reference Asset or as to the suitability of an investment in the Notes. |
| · | Senior unsecured debt obligations of HSBC USA Inc. maturing March 4, 2030. |
| · | Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof. |
| · | Any payment on the Notes is subject to the Issuer’s credit risk. |
| · | If the terms of the Notes set forth below are inconsistent with those described in the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus, the terms set forth below will supersede. |
Key Terms
| Issuer: | HSBC USA Inc. |
| Reference Assets: | The STOXX® Europe 600 Index (Ticker: SXXP) and the EURO STOXX 50® Index (Ticker: SX5E) (each, an “Underlying” and together the “Underlyings”) |
| Principal Amount: | $1,000 per Note |
| Trade Date: | February 26, 2025 |
| Pricing Date: | February 26, 2025 |
| Original Issue Date: | March 3, 2025 |
| Final Valuation Date: | February 27, 2030, subject to adjustment as described in “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement. |
| Maturity Date: | March 4, 2030. 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. |
Payment at Maturity: | For each Note, you will receive a cash payment on the Maturity Date that is based on the Reference Return of the Least Performing Underlying (as described below):
If the Reference Return of the Least Performing Underlying is greater than 0.00%, you will receive an amount equal to
$1,000 + [$1,000 x (Reference Return of the Least Performing Underlying x Upside Participation Rate)]
If the Reference Return of the Least Performing Underlying is equal to or less than 0.00% but greater than or equal to the Buffer Amount, you will receive $1,000.
If the Reference Return of the Least Performing Underlying is less than the Buffer Amount, you will receive an amount equal to:
$1,000 + [$1,000 x (Reference Return of the Least Performing Underlying + 20%) x Downside Leverage Factor]
In that case, you will lose 1.25% of the Principal Amount for each 1% that the Reference Return of the Least Performing Underlying is below the Buffer Amount. This means that if the Reference Return of the Least Performing Underlying is -100.00%, you will lose your entire investment. |
| Least Performing Underlying: | The Underlying with the lowest Reference Return. |
| Upside Participation Rate: | 287% |
| Buffer Amount: | -20% |
| Downside Leverage Factor: | 100/80, which is equal to 1.25. |
Reference Return: | With respect to each Underlying, the quotient, expressed as a percentage, calculated as follows:
Final Level – Initial Level Initial Level |
| Initial Level: | 559.67 with respect to SXXP and 5,527.99 with respect to SX5E, 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, as determined by the Calculation Agent. |
| 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 “Selected Risk Considerations — The Estimated Initial Value of the Notes, which was determined by us on the Trade Date, is less than the price to public and may differ from the market value of the Notes in the secondary market, if any.” |
| Calculation Agent: | HSBC USA Inc. or one of its affiliates |
| CUSIP/ISIN: | 40447C6C9 / US40447C6C93 |
| Form of the Notes: | Book-Entry |
| Listing: | The Notes will not be listed on any securities exchange or quotation system. |
Investment in the Notes involves certain risks. You should refer to “Selected Risk Considerations” beginning on page 4 of this document and “Risk Factors” beginning on page S-1 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 of the Notes or determined that this pricing supplement, or the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus, is truthful or complete. Any representation to the contrary is a criminal offense.
HSBC Securities (USA) Inc. or another of our affiliates or agents may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement will be used in a market-making transaction. HSBC Securities (USA) Inc., an affiliate of ours, will purchase the Notes from us for distribution to the placement agent. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page 12 of this pricing supplement.
JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC will act as placement agents for the Notes.
The Estimated Initial Value of the Notes on the Trade Date is $948.70 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” above and “Selected Risk Considerations” beginning on page 4 of this document for additional information.
| Price to Public | Fees and Commissions | Proceeds to Issuer | |
| Per Note | $1,000.00 | $30.00 | $970.00 |
| Total | $925,000.00 | $27,750.00 | $897,250.00 |
The Notes:
| Are Not FDIC Insured | Are Not Bank Guaranteed | May Lose Value |
JPMorgan
Placement Agent
February 26, 2025
Additional Terms Specific to the Notes
This pricing supplement relates to a single note offering linked to the Reference Assets. The purchaser of a Note will acquire a senior unsecured debt security linked to the Reference Assets. Although the Note offering relates only to the Reference Assets, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Assets or any security included in any Underlying or as to the suitability of an investment in the Notes.
You should read this document together with the prospectus dated February 21, 2024, the prospectus supplement dated February 21, 2024 and the Equity Index Underlying Supplement dated February 21, 2024. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus, the terms described in this pricing supplement shall control. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” beginning on page 4 of this pricing supplement and “Risk Factors” beginning on page S-1 of the accompanying Equity Index Underlying Supplement and page S-1 of the prospectus supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our” are to HSBC USA Inc.
HSBC has filed a registration statement (including a prospectus, a prospectus supplement and the Equity Index Underlying Supplement) with the SEC for the offering to which this pricing supplement relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively, HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.
You may also obtain:
| · | The Equity Index Underlying Supplement at: |
https://www.sec.gov/Archives/edgar/data/83246/000110465924025885/tm244959d3_424b2.htm
| · | The prospectus supplement at: |
https://www.sec.gov/Archives/edgar/data/83246/000110465924025878/tm244959d1_424b2.htm
| · | The prospectus at: |
https://www.sec.gov/Archives/edgar/data/83246/000110465924025864/tm244959d13_424b3.htm
Investor Suitability
The Notes may be suitable for you if:
| · | You seek an investment with an enhanced return linked to the potential positive performance of the Reference Assets and you believe the level of the Reference Assets will increase over the term of the Notes. |
| · | You are willing to make an investment that is exposed to the Downside Leverage Factor of 1.25x for each percentage point that the Reference Return of the Least Performing Underlying is less than -20% and you understand that the leverage factor may magnify your losses up to a 100% loss of your investment. |
| · | You are willing to forgo dividends or other distributions paid to the stocks included in any of the Reference Assets. |
| · | 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. |
| · | You do not seek current income from your investment. |
| · | You do not seek an investment for which there is an active secondary market. |
| · | You are willing to hold the Notes to maturity. |
| · | You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes. |
The Notes may not be suitable for you if:
| · | You believe the Reference Return of the Least Performing Underlying will be negative or that the Reference Return of the Least Performing Underlying will not be sufficiently positive to provide you with your desired return. |
| · | You are unwilling to make an investment that is exposed to the Downside Leverage Factor of 1.25x for each percentage point that the Reference Return of the Least Performing Underlying is below -20%, up to a 100% loss of your investment. |
| · | You seek an investment that provides full return of principal. |
| · | 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. |
| · | You prefer to receive the dividends or other distributions paid to the stocks included in any of the Reference Assets. |
| · | You seek current income from your investment. |
| · | You seek an investment for which there will be an active secondary market. |
| · | You are unable or unwilling to hold the Notes to maturity. |
| · | You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes. |
Selected Purchase Considerations
| · | APPRECIATION POTENTIAL — The Notes provide the opportunity to receive enhanced returns at maturity by multiplying a positive Reference Return of the Least Performing Underlying by the Upside Participation Rate of 287% for every $1,000 Principal Amount. Because the Notes are our senior unsecured debt obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due. |
| · | LIMITED PROTECTION AGAINST LOSS — We will pay you your principal back at maturity if the Final Level of the Least Performing Underlying is not less than its Initial Level by more than 20%. If the Level of the Least Performing Underlying decreases by more than 20%, you will lose 1.25% of the Principal Amount for every 1% decrease in the Level of the Least Performing Underlying by more than 20%. If the Reference Return of the Least Performing Underlying is -100.00%, you will lose your entire investment. |
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Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any of the Reference Assets. These risks are explained in more detail in the “Risk Factors” sections of the accompanying Equity Index Underlying Supplement and prospectus supplement.
Risks Relating to the Structure or Features of the Notes
| · | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principal. The return on the Notes at maturity is linked to the performance of the Reference Assets and will depend on whether, and the extent to which, the Reference Return of the Least Performing Underlying is positive or negative. Your investment will be exposed on a leveraged basis to any decrease in the Final Level of the Least Performing Underlying as compared to its Initial Level by more than 20%. You may lose up to 100.00% of your investment. |
| · | THE AMOUNT PAYABLE ON THE NOTES IS NOT LINKED TO THE LEVEL OF THE REFERENCE ASSETS AT ANY TIME OTHER THAN ON THE FINAL VALUATION DATE — The Final Level of each Underlying will be its Official Closing Level on the Final Valuation Date, subject to postponement for non-trading days and certain market disruption events. Even if the level of the Reference Assets appreciates during the term of the Notes other than on the Final Valuation Date but then decreases on the Final Valuation Date to a level that is less than the Initial Level, the Payment at Maturity may be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the level of the Reference Assets prior to such decrease. Although the actual level of the Reference Assets on the Maturity Date or at other times during the term of the Notes may be higher than its Final Level, the Payment at Maturity will be based solely on the Official Closing Level of the Reference Assets on the Final Valuation Date. |
| · | YOUR RETURN ON THE NOTES WILL BE BASED ON THE FINAL LEVEL OF THE LEAST PERFORMING UNDERLYING — Your return will be based on the Final Level of the Least Performing Underlying without regard to the performance of any other Underlying. As a result, you could lose some or all of the Principal Amount if the Final Level of the Least Performing Underlying is less than its Initial Level by more than the Knock-Out Buffer Amount, even if there is an increase in the level of any other Underlying. This could be the case even if any other Underlying increased, or decreased to a lesser extent than the Least Performing Underlying. |
| · | SINCE THE NOTES ARE LINKED TO THE LEAST PERFORMING UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the Notes are linked to the Least Performing 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 levels of the Underlyings to the same degree for each Underlying. For example, in the case of Notes linked to a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, as scaled by the weightings of such basket components. However, in the case of these Notes, the individual performance of each of the Underlyings would not be combined to calculate your return and the depreciation of any Underlying would not be mitigated by the appreciation of any other Underlying. Instead, your return would depend on the Least Performing Underlying. |
Risks Relating to the Reference Assets
| · | CHANGES THAT AFFECT THE VALUE OF THE REFERENCE ASSETS MAY AFFECT THE MARKET VALUE OF THE NOTES AND THE AMOUNT YOU WILL RECEIVE ON THE NOTES AND THE AMOUNT YOU WILL RECEIVE AT MATURITY — The policies of the reference sponsor of the Reference Assets concerning additions, deletions and substitutions of the stocks included in any of the Reference Assets, and the manner in which the reference sponsor takes account of certain changes affecting those stocks, may affect the value of the Reference Assets. The policies of the reference sponsor with respect to the calculation of the Reference Assets could also affect the value of the Reference Assets. The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Assets. Any such actions could affect the value of the Reference Assets and the value of and the return on the Notes. |
| · | RISKS ASSOCIATED WITH NON-U.S. COMPANIES — The levels of the Reference Assets depends upon the stocks of non-U.S. companies, and thus involves risks associated with the home countries of those non-U.S. companies. 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 Notes. These foreign securities may have less liquidity and could be more volatile than many of the securities traded in U.S. or other securities markets. Direct or indirect government intervention to stabilize the relevant foreign securities markets, as well as cross shareholdings in foreign companies, may affect trading levels or prices and volumes in those markets. The other special risks associated with foreign securities may include, but are not limited to: less liquidity and smaller market capitalizations; less rigorous regulation of securities markets; different accounting and disclosure standards; governmental interference; currency fluctuations; higher inflation; and social, economic and political uncertainties. These factors may adversely affect the performance of the Reference Assets and, as a result, the value of the Notes. |
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| · | THE NOTES WILL NOT BE ADJUSTED FOR CHANGES IN EXCHANGE RATES — Although the equity securities included in any of the Reference Assets are traded in currencies other than U.S. dollars, and your Notes are denominated in U.S. dollars, the amount payable on your Notes 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 also reflect changes in the applicable non-U.S. economies that in turn may affect the values of the Reference Assets and therefore your Notes. The amount we pay in respect of your Notes on the maturity date, if any, will be determined solely in accordance with the procedures described in this document. |
General Risk Factors
| · | 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 any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the Notes. |
| · | SUITABILITY OF THE NOTES FOR INVESTMENT — You should only reach a decision to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the information set out in this pricing supplement. Neither HSBC nor any dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment. |
| · | THE ESTIMATED INITIAL VALUE OF THE NOTES, WHICH WAS DETERMINED BY US ON THE TRADE DATE, IS LESS THAN THE PRICE TO PUBLIC AND MAY DIFFER FROM THE MARKET VALUE OF THE NOTES IN THE SECONDARY MARKET, IF ANY — The Estimated Initial Value of the Notes was calculated by us on the Trade Date and is less than the price to public. The Estimated Initial Value reflects our and our affiliates’ internal funding rate, which is the borrowing rate paid 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 TRADE DATE WILL BE LESS THAN THE PRICE TO PUBLIC — The price to public takes into account certain costs. These costs include our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the Notes, the underwriting discount and the costs associated with structuring and hedging our obligations under the Notes. 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 Notes in the secondary market, if any, the price you would receive for your Notes may be less than the price you paid for them because secondary market prices will not take into account these costs. The price of your Notes in the secondary market, if any, at any time after issuance will vary based on many factors, including the value of the Reference Assets 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 HSBC SECURITIES (USA) INC. 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 Trade 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 |
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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.
| · | NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the Notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities included in any of the Reference Assets would have. |
| · | Potentially Inconsistent Research, Opinions or Recommendations by HSBC and JPMorgan — HSBC, JPMorgan, or their respective affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Notes and which may be revised at any time. Any such research, opinions or recommendations could affect the level of any of the Reference Assets, and therefore, the market value of the Notes. |
| · | THE NOTES LACK LIQUIDITY — The Notes will not be listed on any securities exchange. HSBC Securities (USA) Inc. may offer to purchase the Notes in the secondary market. However, it is not required to do so and may cease making such offers at any time, if at all. 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. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. |
| · | POTENTIAL CONFLICTS — HSBC and its affiliates play a variety of roles in connection with the issuance of the Notes, including acting as Calculation Agent and hedging its obligations under the Notes. In performing these duties, the economic interests of the Calculation Agent and other affiliates of HSBC are potentially adverse to your interests as an investor in the Notes. HSBC and the Calculation Agent are under no obligation to consider your interests as a holder of the Notes in taking any corporate actions or other actions that might affect the level of any of the Reference Assets and the value of the Notes. |
| · | The Notes are Not Insured OR GUARANTEED by any Governmental Agency of the United States or any Other Jurisdiction — The Notes are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity of the Notes. |
| · | THE HISTORICAL PERFORMANCE OF THE REFERENCE ASSETS SHOULD NOT BE TAKEN AS AN INDICATION OF ITS FUTURE PERFORMANCE DURING THE TERM OF THE NOTES — It is impossible to predict whether the level of the Reference Assets will rise or fall. The Reference Assets will be influenced by complex and interrelated political, economic, financial and other factors. |
| · | MARKET DISRUPTIONS MAY ADVERSELY AFFECT YOUR RETURN — The Calculation Agent may, in its sole discretion, determine that the markets have been affected in a manner that prevents it from determining the Reference Assets in the manner described herein, and calculating the amount that we are required to pay you upon maturity, or from properly hedging its obligations under the Notes. These events may include disruptions or suspensions of trading in the markets as a whole. If the Calculation Agent, in its sole discretion, determines that any of these events prevents us or any of our affiliates from properly hedging our obligations under the Notes or prevents the Calculation Agent from determining the Reference Return of each Underlying or Payment at Maturity in the ordinary manner, the Calculation Agent will determine the Reference Return of each Underlying or Payment at Maturity in good faith and in a commercially reasonable manner, and it is possible that the Averaging Dates, Final Valuation Date and the Maturity Date will be postponed, which may adversely affect the return on your Notes. |
| · | MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the level of the Reference Assets on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including: |
| · | the actual and expected volatility of the Reference Assets; |
| · | the time to maturity of the Notes; |
| · | the dividend rate on the equity securities underlying the Reference Assets; |
| · | interest and yield rates in the market generally; |
| · | a variety of economic, financial, political, regulatory or judicial events that affect the Reference Assets or the stock markets generally; and |
| · | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
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 “Tax Considerations” herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
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What Is the Total Return on the Notes at Maturity Assuming a Range of Performances for the Reference Assets?
The following table illustrates the hypothetical total return at maturity on the Notes. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount to $1,000. The hypothetical total returns set forth below reflect the Buffer Amount of -20%, the Downside Leverage Factor of 100/80 and the Upside Participation Rate of 287% and assume an Initial Level of 1,000. The actual Initial Level of each Underlying will be determined on the Pricing Date. The hypothetical total returns set forth below are for illustrative purposes only, and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
| Hypothetical Final Level of the Least Performing Underlying | Hypothetical Reference Return of the Least Performing Underlying | Hypothetical Payment at Maturity | Hypothetical Total Return on the Notes |
| 2,000.00 | 100.00% | $3,870.00 | 287.00% |
| 1,500.00 | 50.00% | $2,435.00 | 143.50% |
| 1,400.00 | 40.00% | $2,148.00 | 114.80% |
| 1,300.00 | 30.00% | $1,861.00 | 86.10% |
| 1,200.00 | 20.00% | $1,574.00 | 57.40% |
| 1,100.00 | 10.00% | $1,287.00 | 28.70% |
| 1,000.00 | 0.00% | $1,000.00 | 0.00% |
| 950.00 | -5.00% | $1,000.00 | 0.00% |
| 900.00 | -10.00% | $1,000.00 | 0.00% |
| 800.00 | -20.00% | $1,000.00 | 0.00% |
| 700.00 | -30.00% | $875.00 | -12.50% |
| 600.00 | -40.00% | $750.00 | -25.00% |
| 500.00 | -50.00% | $625.00 | -37.50% |
| 400.00 | -60.00% | $500.00 | -50.00% |
| 300.00 | -70.00% | $375.00 | -62.50% |
| 200.00 | -80.00% | $250.00 | -75.00% |
| 100.00 | -90.00% | $125.00 | -87.50% |
| 0.00 | -100.00% | $0.00 | -100.00% |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how certain of the total returns set forth in the table above are calculated.
Example 1: The level of the Least Performing Underlying increases from its hypothetical Initial Level of 1,000.00 to a hypothetical Final Level of 1,500.00. Because the hypothetical Final Level of the Least Performing Underlying of 1,500.00 is greater than its hypothetical Initial Level of 1,000.00 and the Reference Return of the Least Performing Underlying of 50.00% multiplied by the Upside Participation Rate of 287%, the investor receives a Payment at Maturity of $2,435.00 per $1,000 in Principal Amount, calculated as follows:
$1,000 + [$1,000 × (50.00% × 287%)] = $2,435.00
Example 2: The level of the Least Performing Underlying decreases from its hypothetical Initial Level of 1,000.00 to a hypothetical Final Level of 900.00. Because the hypothetical Final Level of the Least Performing Underlying of 900.00 is less than its hypothetical Initial Level of 1,000.00 but not by more than 20%, the investor receives a Payment at Maturity of $1,000.00 per $1,000 in Principal Amount.
Example 3: The level of the Least Performing Underlying decreases from its hypothetical Initial Level of 1,000.00 to a hypothetical Final Level of 700.00. Because the hypothetical Final Level of the Least Performing Underlying of 700.00 is less than its hypothetical Initial Level of 1,000.00 by more than 20%, the investor receives a Payment at Maturity of $875.00 per $1,000 in Principal Amount, calculated as follows:
$1,000 + [$1,000 × (-30.00% + 20%) x 100/80] = $875.00
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Information Relating to the Reference Assets
General
This pricing supplement is not an offer to sell and it is not an offer to buy shares of the Reference Assets or any of the securities included in any of the Reference Assets. All disclosures contained in this pricing supplement regarding the Reference Assets, including its make-up, performance, method of calculation and changes in its components, where applicable, are derived from publicly available information. Neither HSBC nor any of its affiliates has made any independent investigation as to the adequacy or accuracy of the information about the Reference Assets that is contained in this pricing supplement. You should make your own investigation into the Reference Assets.
The STOXX® Europe 600 Index (the “SXXP”)
Description of the SXXP
The STOXX® Europe 600 Index ("SXXP”) is a free float capitalization-weighted index of 600 stocks. The SXXP is designed to provide a broad yet investable representation of the largest (by free float market capitalization) companies of 17 European countries (Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom) and contains a fixed number of 600 components with a weighting cap of 20%. The level of the SXXP is disseminated on the STOXX Limited website. We are not incorporating by reference the STOXX Limited website or any material it includes in this pricing supplement. STOXX Limited is under no obligation to continue to publish the SXXP and may discontinue publication of the SXXP at any time.
Component Selection
The composition of the SXXP is reviewed by STOXX Limited quarterly and changes are typically implemented on the third Friday of every March, June, September and December, with effect on the next trading day. If the third Friday of the relevant month is not a trading day, then the implementation occurs on the next trading day, with effect on the following trading day. In connection with the quarterly review, the eligible stocks in the STOXX® Europe Total Market Index are ranked in terms of free float market capitalization to produce the selection list for the SXXP. The STOXX® Europe Total Market Index consists of the top 95% (subject to applicable buffer rules) by free-float market capitalization of the total equity having a country assignment in one of the 17 countries listed above (based on the country of incorporation, the primary listing and the country with the largest trading volume).
The selection list for the SXXP is updated and published on a monthly basis according to the review component selection process in case a replacement is needed for a deletion. To create the selection list for the SXXP, for each company having more than one eligible class of stock, only the most liquid class is eligible, and a liquidity screen of a 3-month average daily trading volume of greater than one million Euros is applied to the eligible stocks. The eligible stocks remaining after application of the liquidity screen are ranked by their free float market capitalizations.
At the quarterly review, the largest 550 stocks on the selection list qualify for selection for the SXXP. The remaining 50 stocks for the SXXP are selected from the current components ranked between 551 and 750 that meet all of the criteria (including the liquidity screen). If the number of stocks selected is still below 600, the largest (by free float market capitalization) stocks on the selection list are selected until there are 600 stocks.
Ongoing Maintenance
The component stocks of the SXXP are monitored on an ongoing monthly basis for deletion and quarterly basis for addition. Changes to the composition of the SXXP due to corporate actions (including mergers and takeovers, spin-offs, sector changes and bankruptcy) are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.
Any component stocks that are not traded for 10 consecutive days, are suspended from trading for 10 consecutive days or more and have not announced a resumption trading date, are officially delisted or are the subject of ongoing bankruptcy proceeds will be deleted from the SXXP. A deleted stock is replaced by the highest-ranked non-component on the selection list in the STOXX Europe Total Market Index to maintain the fixed number of stocks in the SXXP.
In the case of a spin-off, if the original stock was a component stock, then each spin-off stock qualifies for addition to the SXXP if it is equal to or above 550 on the latest selection list. The largest qualifying spin-off stock replaces the original component stock, while the next qualifying spin-off stock replaces the lowest ranked component stock and likewise for other qualifying spin-off stocks. Additions and deletions in connection with a quarterly review are announced on the first trading day of the review implementation month.
The free float factors and outstanding number of shares for each index stock that STOXX Limited uses to calculate the SXXP, as described below, are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. These changes are announced five trading days before they are implemented. Certain extraordinary adjustments to the factors and/or the number of outstanding shares are implemented and made effective more quickly. The timing depends on the magnitude of the change. The free float factor reduces the index stock’s number of shares to the actual amount available on the market. All holdings that are larger than five percent of the total outstanding number of shares and held on a long-term basis are excluded from the SXXP calculation (including, but not limited to, stock owned by the company itself, stock
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owned by governments, stock owned by certain individuals or families, and restricted shares). In addition, the weight of each component in the SXXP is capped at 20% of the SXXP’s total free float market capitalization.
STOXX® Europe 600 Index Calculation
STOXX Limited calculates the SXXP using the “Laspeyres formula,” which measures the aggregate price changes in the index stocks against a fixed base quantity weight. The discussion below describes the “price return” calculation of the SXXP. The formula for calculating the SXXP value can be expressed as follows:
The “free float market capitalization of the SXXP” is equal to the sum of the product of the price, the number of shares, the free float factor and the weighting cap factor for each index stock as of the time the SXXP is being calculated. Where any index component stock price is unavailable on any trading day, the index sponsor will generally use the last reported price for such component stock. If an index stock trades in a currency other than Euros, its stock price is converted into Euros using the midpoint between the latest real-time bid and ask prices for that currency. The closing index level is calculated by converting non-Euro stock prices to Euros using fixed foreign exchange rates (WM fixed exchange rates).
In case the investability and tradability of the SXXP and index based products is affected by an upcoming market or company event that is considered significant or “extreme” by the STOXX Management Board, the following actions or a combination of the following actions are taken. For all such changes a minimum notification period of two full trading days will be observed. The action scope may include but is not limited to:
| · | application of expert judgment for index component pricing data, |
| · | adjustment of operational procedures, |
| · | postponement of index adjustments, |
| · | adjustment of selection lists, |
| · | change of weights of index constituents by adjusting the number of shares, free-float factors or weighting cap-factors, or |
| · | adjustment of index compositions. |
License Agreement with STOXX
HSBC or one of its affiliates has entered into a nonexclusive license agreement providing for the license to it, in exchange for a fee, of the right to use certain indices owned and published by STOXX in connection with some products, including the Notes.
STOXX and its licensors (the “Licensors”) have no relationship to HSBC, other than the licensing of the SX5E and the related trademarks for use in connection with the Notes.
STOXX and its Licensors do not:
| · | Sponsor, endorse, sell or promote the Notes. |
| · | Recommend that any person invest in the Notes or any other securities. |
| · | Have any responsibility or liability for or make any decisions about the timing, amount or pricing of the Notes. |
| · | Have any responsibility or liability for the administration, management or marketing of the Notes. |
| · | Consider the needs of the Notes or the owners of the Notes in determining, composing or calculating the SX5E or have any obligation to do so. |
STOXX and its Licensors will not have any liability in connection with the Notes. Specifically,
| · | STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about: |
| · | The results to be obtained by the Notes, the owner of the Notes or any other person in connection with the use of the SX5E and the data included in the SX5E; |
| · | The accuracy or completeness of the SX5E and its data; |
| · | The merchantability and the fitness for a particular purpose or use of the SX5E and its data; |
| · | STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the SX5E or its data; |
| · | Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur. |
The licensing agreement between HSBC and STOXX is solely for their benefit and not for the benefit of the owners of the Notes or any other third parties.
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Historical Performance of the SXXP
The following graph sets forth the historical performance of the SXXP based on the daily historical closing levels from February 26, 2015 through February 26, 2025, based on closing level information 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 the Bloomberg. Past performance of the SXXP is not indicative of its future performance.
Historical Performance of SXXP
Source: Bloomberg
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The EURO STOXX 50® Index (the “SX5E”)
Description of the SX5E
The EURO STOXX 50® Index (“SX5E”) is derived from the EURO STOXX index and represents the performance of the 50 largest companies among the 20 supersectors in terms of free-float market capitalization in the Eurozone. The SX5E has a fixed number of components and is part of the STOXX blue-chip index family. The SX5E captures about 60% of the free-float market cap of the EURO STOXX Total Market Index (TMI).
For more information about the SX5E, see "The EURO STOXX 50® Index" beginning on page S-12 of the accompanying Equity Index Underlying Supplement.
Historical Performance of the SX5E
The following graph sets forth the historical performance of the SX5E based on the daily historical closing levels from February 26, 2015 through February 26, 2025, based on closing level information 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 the Bloomberg. Past performance of the SX5E is not indicative of its future performance.
Historical Performance of Historical Performance of the SX5E
Source: Bloomberg
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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 at Maturity due and payable in the same general manner as described in “Key Terms” in this pricing supplement. In that case, the five trading days preceding the date of acceleration will be used as the Averaging Dates for purposes of determining the accelerated Reference Return (including the Final Level). The accelerated Maturity Date will be the third business day following the postponed accelerated Final Valuation 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)
Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc., an affiliate of HSBC, will purchase the Notes from HSBC for distribution to JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC, acting as placement agents, at the price indicated on the cover of this pricing supplement. The placement agents for the Notes will receive a fee of $30.00 per $1,000 Principal Amount.
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. However, it is under no obligation to make a market in the Notes and may discontinue any market-making activities at any time without notice.
Delivery of the Notes will be made against payment for the Notes on the Original Issue Date set forth on the inside cover page of this document, which is more than one business day 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 one business day, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than one business day prior to the Original Issue Date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement, and should consult their own advisors.
See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-87 in the prospectus supplement.
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, the Notes should be treated as pre-paid executory contracts with respect to the Reference Assets. 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 the Notes as pre-paid executory contracts with respect to the Reference Assets. Pursuant to this approach we do not intend to report any income or gain with respect to the Notes prior to their maturity or an earlier sale or exchange and we generally intend to treat any gain or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the Note for more than one year at such time for U.S. federal income tax purposes.
We will not attempt to ascertain whether any of the entities whose stock is included in the Reference Assets would be treated as a passive foreign investment company (“PFIC”) or a United States real property holding corporation (“USRPHC”), both as defined for U.S. federal income tax purposes. If one or more of the entities whose stock is included in the Reference Assets were treated as a PFIC or USRPHC, certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock is included in the Reference Assets and consult your tax advisor regarding the possible consequences to you, if any, if one or more of the entities whose stock is included in the Reference Assets 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, 2027. Based on the Issuer’s determination that the Notes are not “delta-one” instruments, non-U.S. holders should not be subject
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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 Assets 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 Assets 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 U.S. 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 21, 2024, 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 February 21, 2024, which has been filed as Exhibit 5.3 to the Issuer’s registration statement on Form S-3 dated February 21, 2024.
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