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

 

Autocallable Leveraged Index Return Notes^® Linked to a Basket of Fifteen Equity Securities

Issuer	HSBC USA Inc. (“HSBC”)
Principal Amount	$10.00 per unit
Term	Approximately 2 years, if not called
Market Measure	A basket of fifteen equity securities comprised of the common stock of Amazon.com, Inc. (Nasdaq symbol: “AMZN”), the common stock of Arista Networks, Inc. (NYSE symbol: “ANET”), the common stock of Broadcom Inc. (Nasdaq symbol: “AVGO”), the common stock of Constellation Energy Corporation (Nasdaq symbol: “CEG”), the common stock of Coherent Corp. (NYSE symbol: “COHR”), the Class A common stock of CoreWeave, Inc. (Nasdaq symbol: “CRWV”), the common stock of Equinix, Inc. (Nasdaq symbol: “EQIX”), the ordinary shares of Eaton Corporation plc (NYSE symbol: “ETN”), the common stock of GE Vernova Inc. (NYSE symbol: “GEV”), the common stock of Marvell Technology, Inc. (Nasdaq symbol: “MRVL”), the common stock of Microsoft Corporation (Nasdaq symbol: “MSFT”), the common stock of NVIDIA Corporation (Nasdaq symbol: “NVDA”), the Class A common stock of Vertiv Holdings Co (NYSE symbol: “VRT”), the common stock of Vistra Corp. (NYSE symbol: “VST”) and the common stock of Advanced Micro Devices, Inc. (Nasdaq symbol: “AMD”). Each Basket Stock will be given an initial weight of 6.67% (except for the common stock of Advanced Micro Devices, Inc., which will be given an initial weight of 6.62%)
Automatic Call	The notes will be called automatically if the Observation Level of the Market Measure on the Observation Date is equal to or greater than the Call Level
Observation Level	The value of the Market Measure on the Observation Date
Call Level	100% of the Starting Value
Observation Date	Approximately one year after the pricing date
Call Amount (per Unit)	[$11.80 to $11.90], to be determined on the pricing date
Payout Profile at Maturity	·   200.00% leveraged upside exposure to increases in the Market Measure ·   1-to-1 downside exposure to decreases in the Market Measure, with up to 100% of your investment at risk
Participation Rate	200.00%
Threshold Value	100% of the Starting Value
Investment Considerations	This investment is designed for investors who anticipate that the Market Measure will increase over the term of the notes, are willing to take full downside risk and forgo interim interest payments, and are willing to have their notes called prior to maturity
Preliminary Offering Documents	https://www.sec.gov/Archives/edgar/data/83246/000110465926072430/tm2616470d140_fwp.htm
Exchange Listing	No

 

You should read the relevant Preliminary Offering Documents before you invest. Click on the Preliminary Offering Documents hyperlink above or call your Financial Advisor for a hard copy.

 

Risk Factors

 

Please see the Preliminary Offering Documents for a description of certain risks related to this investment, including, but not limited to, the following:

 

·

If your notes are not automatically called, depending on the performance of the Market Measure as measured shortly before the maturity date, you may lose up to 100% of the principal amount.

·

If the notes are called, your investment return is limited to the return represented by the Call Premium.

·

Changes in the price of one of the Basket Stocks may be offset by changes in the prices of the other Basket Stocks.

·

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.

·

As a noteholder, you will have no rights of a holder of the Basket Stocks, and you will not be entitled to receive shares of the Basket Stocks or dividends or other distributions by the issuers of the Basket Stocks.

·

An Underlying Company will not have any obligations relating to the notes. We, MLPF&S, BofAS and our respective affiliates do not control any Underlying Company, and have not verified any disclosure made by any Underlying Company.

·

The payment on the notes will not be adjusted for all corporate events that could affect a Basket Stock.

·

Some Basket Stocks have limited actual historical information.

·

The notes are subject to risks associated with non-U.S. companies.

 

Final terms will be set on the pricing date within the given range for the specified Market-Linked Investment. Please see the Preliminary Offering Documents for complete product disclosure, including related risks and tax disclosure.

 

 

The graph above and the table below assume that the notes are not called on the Observation Date and reflect the hypothetical return on the notes at maturity, based on the terms contained in the table to the left. The graph and the table have been prepared for purposes of illustration only and do not take into account any tax consequences from investing in the notes.

 

Hypothetical Percentage Change from the Starting Value to the Ending Value	Hypothetical Redemption Amount per Unit	Hypothetical Total Rate of Return on the Notes
-100.00%	$0.00	-100.00%
-50.00%	$5.00	-50.00%
-20.00%	$8.00	-20.00%
-10.00%	$9.00	-10.00%
-6.00%	$9.40	-6.00%
-3.00%	$9.70	-3.00%
0.00%(1)	$10.00	0.00%
5.00%	$11.00	10.00%
10.00%	$12.00	20.00%
20.00%	$14.00	40.00%
30.00%	$16.00	60.00%
40.00%	$18.00	80.00%
50.00%	$20.00	100.00%

 

(1)      This hypothetical percentage change corresponds to the Threshold Value.