Form FWP HSBC USA INC /MD/ Filed by: HSBC USA INC /MD/

·      2-to-1 upside exposure to increases in the Market Measure, subject to the Capped Value

·      1-to-1 downside exposure to decreases in the Market Measure beyond a 10.00% decline, with up to 90.00% of the principal amount at risk

Depending on the performance of the Market Measure as measured shortly before the maturity date, you may lose up to 90% of the principal amount.

Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the stocks included in the Basket Components.

Payments on the notes, including any repayment of principal, are subject to the credit risk of HSBC. If HSBC becomes insolvent or is unable to pay its obligations, you may lose your entire investment.

The estimated initial value of the notes on the pricing date will be less than their public offering price.

If you attempt to sell the notes prior to maturity, their market value may be lower than both the public offering price and the estimated initial value of the notes on the pricing date.

You will have no rights of a holder of the securities included in the Basket Components, and you will not be entitled to receive securities or dividends or other distributions by the issuers of those securities.

Changes in the level of one of the Basket Components may be offset by changes in the levels of the other Basket Components.

Your return on the notes may be affected by factors affecting the international securities markets, specifically markets in the countries represented by the Basket Components. In addition, you will not obtain the benefit of any increase in the value of the currencies in which the securities included in the Basket Components trade against the U.S. dollar, which you would have received if you had owned the securities included in the Basket Components during the term of your notes, although the value of the Basket may be adversely affected by general exchange rate movements in the market.

Recent executive orders against certain Chinese companies could adversely affect your investment in the notes.

This hypothetical percentage change corresponds to the Threshold Value.

The Redemption Amount per unit cannot exceed the hypothetical Capped Value.