Monday
Forget Fluffy Cherubs:
Harold Bloom on the Terrifying Angels and Inner Divinity You Never Knew
When we think of angels, the mind often conjures images of sweet, chubby-cheeked cherubs on greeting cards. Our modern ideas about spirituality can feel sanitized, simplified, and stripped of their original power. We talk about dreams or the afterlife in ways that barely scratch the surface of millennia of human thought on these profound subjects. But what if these concepts were once far more magnificent, complex, and even terrifying?
This is the challenge posed by the brilliant literary critic and historian Harold Bloom in his book, Omens of Millennium: The Gnosis of Angels, Dreams, and Resurrection. Bloom peels back the layers of pop-culture spirituality to reveal the raw, powerful, and often startling origins of Western mystical thought. This post will explore four of the most profound and counter-intuitive takeaways from Bloom's inquiry, offering a glimpse into an ancient spiritual landscape that is far wilder and more personal than most of us imagine.
The Angels of Antiquity Were Terrifying, Not Tame
The first major lesson from Bloom's work is that our modern image of angels is a pale imitation—what he calls a "current debasement"—of their historical form. Forget the gentle, winged guardians of popular culture. The beings described in ancient traditions were not here to be cute; they were forces of nature, awesome and overwhelming.
Bloom seeks to restore their original grandeur, a power that could inspire both awe and fear. As the book's description so vividly puts it:
...he reveals to us the angels not as the kitschy cherubs we know today, but as magnificent, terrifying, sublime beings who have always played a central role in Western culture.
This rediscovery of awe is a potent antidote to the sentimentality that often clouds modern spirituality. To encounter an angel, in this ancient sense, was not to be comforted, but to be fundamentally changed by an encounter with the sublime and the terrible. This encounter with an external, terrifying sublime was a key feature of ancient spirituality, but the Gnostics argued the ultimate encounter was not external at all, but internal.
The Gnostic Secret: Divinity Is Within You
At the heart of Bloom's study is the ancient spiritual philosophy of Gnosticism. Far from being just another historical "ism," Gnosticism proposes a revolutionary idea about the nature of divinity and the human self. It is a path not of faith in an external being, but of knowledge of an internal one.
Bloom defines this central concept with beautiful simplicity. Gnosticism, or gnosis, is:
...the knowing that God is not an external force but resides within each one of us.
This is a radical departure from the idea of a distant, external God who hands down rules from on high. For the Gnostics, the divine spark is not something to be sought in the heavens, but to be discovered deep within the self. This "knowing" is the ultimate spiritual quest, an inward journey toward a truth that was always already there.
Near-Death Experiences Have Ancient Roots
The "near-death experience" is often treated as a modern phenomenon, a product of new medical technologies and psychological inquiry. People report tunnels of light, encounters with deceased relatives, and a profound sense of peace. But Bloom's work reveals that these otherworldly journeys are anything but new.
He draws a direct line from these contemporary accounts back to the most ancient spiritual practices. In his book, he explores the historical parallel in a section on "Shamanism : otherworldly journeys." This connection is staggering. It suggests that the modern near-death experience isn't an anomaly of the hospital age, but a continuation of an ancient human technology for exploring consciousness itself—a practice as old as shamanism. It re-frames a modern curiosity as a timeless, universal human quest for what lies beyond the veil.
A Mystical Thread Connects Judaism, Christianity, and Islam
In an age often defined by religious division, Bloom's work uncovers a powerful, shared mystical thread running through the three great Abrahamic faiths. He argues that Gnosticism is not a forgotten heresy but a vital undercurrent that connects seemingly disparate traditions at their most profound, mystical level.
To make his case, he draws upon the core mystical literatures of each religion, finding common ground in Jewish Kabbalah, Christian Gnosticism, and Muslim Shiite Sufism. Finding this shared spiritual DNA—a focus on personal knowledge, divine immanence, and mystical experience—is a profound revelation. It reminds us that beneath doctrinal differences, these great traditions may be asking the same fundamental questions about humanity's relationship with the divine.
A New Way of Knowing
Harold Bloom's exploration of gnosis is more than a historical survey; it is an invitation. It challenges us to look past superficial beliefs and sentimental images to find a more direct, personal, and powerful form of spiritual understanding. His work doesn't offer easy answers but instead, as the book jacket notes, "urges us toward transcendence." He points the way toward a spirituality based not on blind faith, but on the courageous act of knowing.
If the divine spark is within you, where will you begin your search?
Sunday
ASHES2ASSHOLES/DUST2DICKS
The final wishes of a person represent their last act of agency, a testament to their values, and a final expression of love and responsibility toward those they leave behind. For the individual nearing the end of their life, the act of drafting a will or stating their desires provides a crucial sense of peace, an assurance that their legacy—both material and emotional—will be handled with care. There is a deeply ingrained societal and moral expectation, rooted in centuries of tradition and basic human decency, that these wishes will be treated as sacrosanct, a final promise to be kept by the living. Yet, in an increasingly materialistic and individualistic society, a sad and often bitter reality emerges in the wake of a family member's passing. The period of mourning, which should be a time of communal support and remembrance, is frequently overshadowed by a grim contest of wills—not the legal documents, but the clash of personal desires and avarice. It is a profound tragedy that the memory of the deceased is often tarnished by the very people they trusted, as greed eclipses honor and posthumously betrays a lifetime of familial duty.
The most potent and destructive catalyst for this betrayal is undeniably greed. The prospect of inheritance can have a corrosive effect on human decency, transforming the tender process of grief into a competitive sport where family members become adversaries. A clearly written will, meticulously planned to prevent conflict, is often viewed not as a final directive but as the opening move in a strategic game. Individuals who may have shown little interest in the deceased during their final, lonely years suddenly emerge with a vested interest in the distribution of assets. They materialize with claims of being the "favorite" child or the "closest" relative, scrutinizing every clause and contesting the deceased's mental competency at the time the will was signed. They may claim vague verbal promises that conveniently contradict the written word, manufacturing narratives of deathbed commitments to bolster their position. Sentimental heirlooms, once symbols of shared history and cherished memories, are stripped of their emotional significance and reduced to their monetary value. A grandmother's wedding ring or a father's watch becomes a point of bitter contention, haggled over with a callousness that would have deeply wounded the person who cherished them. This behavior reveals a disturbing truth: for some, the financial windfall from a death outweighs the intangible inheritance of love, memory, and family unity.
This unfortunate trend is compounded by shifting societal dynamics that have weakened the traditional family structure. The strong, localized family units of the past have often been replaced by geographically dispersed relatives with weaker bonds and less shared history. In such an environment, where interactions are infrequent and relationships are superficial, the sense of collective responsibility and honor can easily fray. When cousins, siblings, or even children barely know one another, it becomes easier to view them as rivals for a limited pool of resources rather than as partners in grief and remembrance. Furthermore, complex modern family structures, such as blended families with step-parents and step-siblings, can create intricate webs of perceived entitlement and long-simmering resentment, making the execution of a will a minefield of potential conflict. The absence of a strong, respected family elder—a patriarch or matriarch whose authority could once mediate disputes and uphold the deceased's intentions—leaves a vacuum. This void is too often filled not by compassionate dialogue, but by probate lawyers and acrimonious legal battles, turning a private family matter into a public and costly spectacle.
The consequences of this conflict are devastating, far-reaching, and long-lasting. On a practical level, the inheritance that was meant to provide security, pay for a grandchild's education, or offer comfort to loved ones is instead consumed by exorbitant legal fees. The estate, painstakingly built over a lifetime, is drained by the very dispute it was intended to prevent, leaving a bitter and diminished legacy for all involved. More damaging, however, is the irreversible emotional fallout. Relationships are irrevocably shattered. Siblings who grew up sharing a home cease to speak to one another, and children are pittedr parentsm. The process of mourning is corrupted; instead of being a healthy progression through sadness and acceptance, it becomes mired in anger, suspicion, and resentment. Instead of coming together to celebrate a life, the family is torn apart by the division of property,nal gain is prioritized over familial integrity. While clear and comprehensive estate planning can provide some legal protection against such disputes, it cannot legislate morality or compel respect. The true honor given to the deceased lies not in the meticulous division of their property, but in the preservation of the family bonds they held dear and the respectful fulfillment of their last will. To do anything less is to allow the shadow of greed to desecrate their final peace and erase the true legacy they intended to leave behind.
Thursday
Wednesday
Tuesday
Monday
<SEC-DOCUMENT>0001104659-20-009457.txt : 20200203 <SEC-HEADER>0001104659-20-009457.hdr.sgml : 20200203 <ACCEPTANCE-DATETIME>20200203060908 ACCESSION NUMBER: 0001104659-20-009457 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 7 FILED AS OF DATE: 20200203 DATE AS OF CHANGE: 20200203 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-223208 FILM NUMBER: 20566866 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 212-525-5000 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 212-525-5000 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 </SEC-HEADER> <DOCUMENT> <TYPE>FWP <SEQUENCE>1 <FILENAME>tm205943-80_fwp.htm <DESCRIPTION>FREE WRITING PROSPECTUS <TEXT> <HTML> <HEAD> <TITLE></TITLE> </HEAD> <BODY STYLE="font: 10pt Times New Roman, Times, Serif"> <P STYLE="margin: 0"> </P> <P STYLE="margin: 0; text-align: right"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Filed Pursuant to Rule 433</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Registration No. 333-223208</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">January 31, 2020</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">FREE WRITING PROSPECTUS</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(To Prospectus dated February 26, 2018,</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Prospectus Supplement dated February 26, 2018, and</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Equity Index Underlying Supplement dated February 26, 2018)</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"></P> <P STYLE="margin: 0"> </P> <P STYLE="margin: 0; font-size: 10pt"><IMG SRC="tm205943d80_img001.jpg" ALT=""></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="color: #0D0D0D"><B>Linked to the Least Performing of the Dow Jones Industrial Average</B></FONT><B><FONT STYLE="font-size: 10pt"><SUP>®</SUP></FONT> <FONT STYLE="color: #0D0D0D">and the </FONT><FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index </FONT><FONT STYLE="color: #0D0D0D">(the “Reference Asset”)</FONT></B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any positive Reference Return of the Least Performing Underlying subject to a Maximum Cap of at least 28.50% (to be determined on the pricing date)</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.3in">►</TD><TD>1x positive exposure to the Absolute Reference Return of the Least Performing Underlying if its Reference Return is negative but not less than -14%</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any negative Reference Return of the Least Performing Underlying if its Reference Return is less than -14%, with up to 86% of Principal Amount at risk.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.3in">►</TD><TD>Approximately 24-month maturity</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.3in">►</TD><TD>Any payments on the Notes are subject to the credit risk of HSBC USA Inc.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Dual Directional Buffered Notes (each a “Note” and collectively the “Notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation system. The Notes will not bear interest.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">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 the pricing supplement to which this free writing prospectus relates in market-making transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this document.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><B>Investment in the Notes involves certain risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-1 of the accompanying prospectus supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Estimated Initial Value of the Notes on the Pricing Date is expected to be between $960.00 and $990.00 per Note, which will be 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 FWP-3 and “Risk Factors” beginning on page FWP-7 of this document for additional information.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR STYLE="vertical-align: top"> <TD STYLE="width: 25%; border-bottom: Black 1pt solid; padding-left: 10pt"> </TD> <TD STYLE="width: 25%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Price to Public</FONT></TD> <TD STYLE="width: 27%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Underwriting Discount<SUP>(1)</SUP></FONT></TD> <TD STYLE="width: 23%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Proceeds to Issuer</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Per Note</FONT></TD> <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000.00</FONT></TD> <TD STYLE="border-bottom: Black 1pt solid"> </TD> <TD STYLE="border-bottom: Black 1pt solid"> </TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Total</FONT></TD> <TD STYLE="border-bottom: Black 1pt solid"> </TD> <TD STYLE="border-bottom: Black 1pt solid"> </TD> <TD STYLE="border-bottom: Black 1pt solid"> </TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><SUP>(1)</SUP> HSBC USA Inc. or one of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount in connection with the distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates will pay any underwriting discounts. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this document.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt; text-align: center">The Notes:</P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 80%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <TR> <TD STYLE="width: 33%; border: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not FDIC Insured</FONT></TD> <TD STYLE="width: 34%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not Bank Guaranteed</FONT></TD> <TD STYLE="width: 33%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">May Lose Value</FONT></TD></TR> </TABLE> <P STYLE="margin: 0"> </P> <P STYLE="margin: 0; text-align: right"><IMG SRC="tm205943d80_img002.jpg" ALT=""></P> <P STYLE="margin: 0"> </P> <P STYLE="margin: 0"></P> <!-- Field: Page; Sequence: 1 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin: 0pt"> </P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="margin: 0"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse"> <TR STYLE="vertical-align: top"> <TD STYLE="width: 50%; font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">HSBC USA Inc.</FONT></TD> <TD ROWSPAN="2" STYLE="width: 50%; font-size: 10pt; text-align: right; vertical-align: bottom"><IMG SRC="tm205943d80_img003.jpg" ALT=""></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">Dual Directional Buffered Notes</FONT></TD></TR> </TABLE> <P STYLE="margin: 0"></P> <P STYLE="margin: 0; font-size: 3pt"> </P> <P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 11pt"><B>Linked to the Least Performing of the Dow Jones Industrial Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP> Index</B></FONT></P> <P STYLE="color: rgb(119,119,119); font: 2pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to a single offering of Dual Directional Buffered Notes. The Notes will have the terms described in this document and the accompanying prospectus, prospectus supplement, and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus, prospectus supplement, or Equity Index Underlying Supplement, the terms described in this document shall control. <B>You should be willing to forgo interest and dividend payments during the term of the Notes and, if the Final Value of the Least Performing Underlying (each as defined below) is less than its Buffer Value, <FONT STYLE="font-size: 10pt">lose some or a significant portion (up to 86%) of your principal</FONT>.</B></P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of the Notes:</P> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR STYLE="vertical-align: top"> <TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Issuer:</B></FONT></TD> <TD STYLE="width: 80%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">HSBC USA Inc.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Principal Amount:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">$1,000 per Note</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Asset:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">The Dow Jones Industrial Average<SUP>®</SUP> (Ticker: “INDU”) and the </FONT> <FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index (Ticker: “NDX”) (each, an “Underlying” and together the “Underlyings”)</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Trade Date:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Pricing Date:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Original Issue Date:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 4, 2020</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Valuation Date:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 1, 2022, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity Date:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">3 business days after the Final Valuation Date, expected to be March 4, 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.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Payment at Maturity:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">On the Maturity Date, for each Note, we will pay you the Final Settlement Value.</FONT></TD></TR> <TR> <TD STYLE="vertical-align: top; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Settlement Value:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying is greater than its Initial Value, </I></B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, equal to the lesser of:</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing Underlying × Upside Participation Rate), and</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, </I></B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate).</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying is less than its Buffer Value,</I></B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing Underlying + 14%)].</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these circumstances, you will lose 1% of the Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below its Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss and receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P></TD></TR> <TR> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maximum Cap:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">At least 28.50%(to be determined on the pricing date)</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Upside Participation Rate:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Absolute Return Participation Rate:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR> <TR> <TD STYLE="padding: 1.45pt 2.15pt"> <P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Absolute Reference Return:</B></P></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, the absolute value of its Reference Return. The Absolute Reference Return will always be a positive value or zero. For example, if the Reference Return is -5.00%, the Absolute Reference Return will be +5.00%.</FONT></TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <!-- Field: Page; Sequence: 2; Options: NewSection; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR> <TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Least Performing Underlying:</B></FONT></TD> <TD STYLE="width: 80%; padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Underlying with the lowest Reference Return.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Return:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">With respect to each Underlying, the quotient, expressed as a percentage, calculated as follows:</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><U>Final Value – Initial Value</U></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Initial Value</P> <P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Buffer Value:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">With respect to each Underlying, 86% of its Initial Value.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Initial Value:	</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Pricing Date.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Value:	</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Final Valuation Date.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Official Closing Level:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Official Closing Level of the relevant Underlying.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>CUSIP/ISIN:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">40435U4Q4/US40435U4Q47</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Form of Notes:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">Book-Entry</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Listing:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Notes will not be listed on any U.S. Notes exchange or quotation system.</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Estimated Initial Value:</B></FONT></TD> <TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt">The Estimated Initial Value of the Notes will be 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. The Estimated Initial Value will be calculated on the Pricing Date. See “Risk Factors — The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”</FONT></TD></TR> <TR> <TD COLSPAN="2" STYLE="padding: 10pt 2.15pt 0"><FONT STYLE="font-size: 10pt"><I>The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.</I></FONT></TD></TR> </TABLE> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 3; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">GENERAL</P> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This document relates to an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the offering of Notes relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any Underlying or any security included in any Underlying or as to the suitability of an investment in the Notes.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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, prospectus supplement 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 FWP-7 of this document, 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You may also obtain:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The Equity Index Underlying Supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm</A></FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm</A></FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm</A></FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">We are using this document to solicit from you an offer to purchase the Notes. You may revoke your offer to purchase the Notes at any time prior to the time at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their issuance. In the event of any material changes to the terms of the Notes, we will notify you.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <!-- Field: Page; Sequence: 4; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">PAYMENT AT MATURITY</P> <P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">On the Maturity Date, for each Note you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is greater than its Initial Value, </B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, equal to the lesser of:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing Underlying × Upside Participation Rate), and</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, </B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate).</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is less than its Buffer Value,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing Underlying + 14%)].</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Under these circumstances, you will lose 1% of the Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below its Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss and receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Interest</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Notes will not pay interest.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Calculation Agent</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We or one of our affiliates will act as calculation agent with respect to the Notes.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Reference Sponsors</P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The reference sponsor of the INDU is S&P Dow Jones Indices LLC, a division of S&P Global. The reference sponsor of the NDX is Nasdaq, Inc.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B></B></P> <!-- Field: Page; Sequence: 5; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B> </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>INVESTOR SUITABILITY</B></P> <DIV STYLE="float: left; width: 48%"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes may be suitable for you if:</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You seek an investment with a return linked to the least performing of the Underlyings and you believe the Reference Return of the Least Performing Underlying will be positive or will be moderately negative but not below -14%.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying on a 1-to-1 basis for each percentage point that its Reference Return is below -14%.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">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.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to forgo interest payments on the Notes, and the dividends or other distributions paid on the constituents included in the Underlyings.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek current income from your investment.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek an investment for which there is an active secondary market.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to hold the Notes to maturity.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> </DIV> <DIV STYLE="float: right; width: 48%"> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Notes may not be suitable for you if:</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 22.3pt"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You believe that the Final Value of at least one Underlying will be less than its Buffer Value or that the Reference Return or Absolute Reference Return will not be sufficiently positive to provide you with your desired return.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unwilling to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying on a 1-to-1 basis for each percentage point that its Reference Return is below -14%.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment that provides full return of principal.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">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.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You prefer to receive periodic interest payments on the Notes, or the dividends or other distributions paid on the constituents included in the Underlyings.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek current income from your investment.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment for which there will be an active secondary market.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unable or unwilling to hold the Notes to maturity.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.</TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 1pt Times New Roman, Times, Serif"> </P> </DIV> <P STYLE="font: 1pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <DIV STYLE="float: none; clear: both; width: 100%"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> </DIV> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P> <!-- Field: Page; Sequence: 6; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>RISK FACTORS</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We urge you to read the section “Risk Factors” beginning on page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement. 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:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—Risks Relating to All Note Issuances” in the prospectus supplement; and</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top"> <TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—General Risks Related to Indices” in the Equity Index Underlying Supplement.</FONT></TD></TR></TABLE> <P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your investment in the Notes may result in a loss.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be exposed to the decline in the Least Performing Underlying from the Pricing Date to the Final Valuation Date on a 1:1 basis for each percentage point that the Final Value of the Least Performing Underlying is less than its Buffer Value. Accordingly, if the Final Value of the Least Performing Underlying is less than its Buffer Value, your Payment at Maturity will be less than the Principal Amount of your Notes. You will lose some or a significant portion (up to 86%) of your investment at maturity if the Final Value of the Least Performing Underlying is less than its Buffer Value.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your return on the Notes will be limited by the Maximum Cap if the Reference Return of the Least Performing Underlying is positive.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will not participate in any appreciation in the level of any Underlying (as multiplied by the Upside Participation Rate) beyond the Maximum Cap. If the Reference Return of the Least Performing Underlying is positive, you will not receive a return on the Notes greater than the Maximum Cap.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The return on the Notes will be limited by the Buffer Value and the Absolute Return Participation Rate if the Reference Return of the Least Performing Underlying is negative.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">If the Final Value of the Least Performing Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, your return on the Notes will equal the Absolute Reference Return of the Least Performing Underlying multiplied by the Absolute Return Participation Rate. However, if the Final Value of the Least Performing Underlying is less than its Initial Value, your return on the Notes will never be greater than 15% because the Absolute Reference Return will be inapplicable if the Final Value of the Least Performing Underlying is below its Buffer Value.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of each Underlying.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">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 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 value of each Underlying. For example, in the case of notes linked to a basket, the return would depend on the 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. 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. </FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are subject to the credit risk of HSBC USA Inc.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 7; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are not insured or guaranteed by any governmental agency of the United States or any other jurisdiction.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 at Maturity.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes will not bear interest. </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">As a holder of the Notes, you will not receive interest payments.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">A Higher Absolute Reference Return or lower Buffer Values are generally associated with Underlyings with greater expected volatility and therefore can indicate a greater risk of loss.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">"Volatility" refers to the frequency and magnitude of changes in the value 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 value of that Underlying could close below its Buffer Value on the Final Valuation Date, indicating a higher expected risk of not receiving the Absolute Reference Return or loss on the Notes. This greater expected risk will generally be reflected in a higher Absolute Reference Return than the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Buffer Value or a higher Absolute Reference Return) 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 Absolute Reference Return may indicate an increased risk of loss. Further, a relatively lower Buffer Value 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 value 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.</FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Estimated Initial Value of the Notes will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflect 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 will determine 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The price of your Notes in the secondary market, if any, immediately after the Pricing Date will be less than the price to public.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 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 values 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>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. </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may initially be used for customer account statements, if any, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately 6 months after the</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 8; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The amount payable on the Notes is not linked to the values of the Underlyings at any time other than on the Final Valuation Date. </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Final Values of the Underlyings will be based on the Official Closing Levels of the Underlyings on the Final Valuation Date, subject to postponement for non-trading days and certain market disruption events. Even if the value of the Least Performing Underlying appreciates during the term of the Notes other than on the Final Valuation Date but then decreases on the Final Valuation Date, the Payment at Maturity may be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Least Performing Underlying prior to such decrease. Although the actual values of the Underlyings on the Maturity Date or at other times during the term of the Notes may be higher than their respective Final Values, the Payment at Maturity will be based solely on the Official Closing Levels of the Underlyings on the Final Valuation Date.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Changes that affect an Underlying may affect the value of that Underlying and the market value of the Notes and the amount you will receive on the Notes and the amount you will receive at maturity.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may affect the value of that Underlying. The policies of the reference sponsor could also affect the value of that Underlying. The reference sponsor may discontinue or suspend calculation or dissemination of an Underlying. Any such actions could affect the value of an Underlying and the value of and the return on the Notes.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Non-U.S. Securities Risk</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Some of the constituents included in the NDX are issued by non-U.S. companies. Investments in securities linked to the value of such constituents, such as the Notes, involve risks associated with the home countries of those non-U.S. companies. The prices of securities in non-U.S. markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes lack liquidity.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Potential conflicts of interest may exist.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Uncertain tax treatment.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <!-- Field: Page; Sequence: 9; Value: 2 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <!-- Field: Split-Segment; Name: 2 --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B> </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>ILLUSTRATIVE EXAMPLES</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of the Least Performing Underlying relative to its Initial Value. We cannot predict the Final Value of either Underlying. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events, and the hypothetical Initial Value of the Least Performing Underlying used in the examples below is not expected to be its actual Initial Value. You should not take this illustration or these examples as an indication or assurance of the expected performance of either Underlying or the return on your Notes. The Final Settlement Value may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers appearing in the table below and following examples have been rounded for ease of analysis.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The table below illustrates the Final Settlement Value on a $1,000 investment in the Notes for a hypothetical range of Reference Returns of the Least Performing Underlying from -100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the Notes” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount to $1,000. The potential returns described here assume that your Notes are held to maturity. You should consider carefully whether the Notes are suitable to your investment goals. The following table and examples assume the following:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR STYLE="vertical-align: top"> <TD STYLE="width: 3%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="width: 43%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Principal Amount:</FONT></TD> <TD STYLE="width: 54%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Initial Value for each Underlying:</FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1,000</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Buffer Value of each Underlying:</FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">860 (86% of its Initial Value)</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Maximum Cap:</FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">28.50% (to be determined on the Pricing Date)</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Upside Participation Rate:</FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR> <TR STYLE="vertical-align: top"> <TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Absolute Return Participation Rate:</FONT></TD> <TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR> </TABLE> <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The actual Initial Value of each Underlying will be determined on the Pricing Date.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 75%; border-collapse: collapse"> <TR STYLE="background-color: #C00000"> <TD STYLE="border-top: Black 1pt solid; width: 33%; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical<BR> Reference Return of <BR> the Least Performing<BR> Underlying </B></FONT></TD> <TD STYLE="border-top: Black 1pt solid; width: 32%; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical Final <BR> Settlement Value</B></FONT></TD> <TD STYLE="text-align: center; width: 35%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Hypothetical </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Return on the Notes</B></P></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">100.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">80.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">60.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">40.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR> <TR STYLE="background-color: #BFBFBF"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,285.00</B></FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,200.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,150.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR> <TR STYLE="background-color: #BFBFBF"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,000.00 </B></FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-1.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-2.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-5.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-10.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR> <TR STYLE="background-color: #BFBFBF"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>-14.00%</B></FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,140.00 </B></FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>14.00%</B></FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-20.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$940.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-6.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-30.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$840.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-16.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-40.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$740.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-26.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-50.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$640.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-36.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-80.00%</FONT></TD> <TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$340.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-66.00%</FONT></TD></TR> <TR STYLE="background-color: white"> <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-100.00%</FONT></TD> <TD STYLE="border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$140.00 </FONT></TD> <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-86.00%</FONT></TD></TR> </TABLE> <P STYLE="text-align: right; margin-top: 0; margin-bottom: 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 1; Options: NewSection; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 1: The Final Value of the Least Performing Underlying is greater than its Initial Value but less than less than 1,300.00.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse"> <TR STYLE="background-color: #C00000"> <TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD> <TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,050.00 (105% of its Initial Value)</TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying. Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,050.00, the Reference Return of the Least Performing Underlying is 5.00%, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,050.00 – 1,000.00) / 1,000.00 = 5.00%</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is less than the Maximum Cap, the Final Settlement Value would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000 × Reference Return of the Least Performing Underlying × Hypothetical Upside Participation Rate)</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 + ($1,000 × 5.00% × 100%)</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,050.00</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 2: The Final Value of the Least Performing Underlying is greater than 1,300.00.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse"> <TR STYLE="background-color: #C00000"> <TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD> <TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,400.00 (140% of its Initial Value)</TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying. Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,400.00, the Reference Return of the Least Performing Underlying is 40.00%, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,400.00 – 1,000.00) / 1,000.00 = 40.00%</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is greater than the Maximum Cap, the Final Settlement Value would be $1,285.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000 × Maximum Cap)</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 + ($1,000 × 28.50%)</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,285.00</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 3: The Final Value of the Least Performing Underlying is less than its Initial Value but greater than or equal to its Buffer Value.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse"> <TR STYLE="background-color: #C00000"> <TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">950.00 (95% of its Initial Value)</TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD> <TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00 (100% of its Initial Value)</TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">INDU is the Least Performing Underlying. Because the Initial Value of the INDU is 1,000.00 and the Final Value of INDU is 950.00, the Reference Return of the Least Performing Underlying is -5.00%, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(950.00 - 1,000.00) / 1,000.00 = -5.00%</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, the Final Settlement Value would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; margin-left: 1.5in"> <TR STYLE="vertical-align: bottom"> <TD STYLE="font: 10pt Times New Roman, Times, Serif">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate)</TD></TR> </TABLE> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + ($1,000 × 5.00% × 100%)</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,050.00</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"></P> <!-- Field: Page; Sequence: 2; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 4: The Final Value of the Least Performing Underlying is less than its Buffer Value.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse"> <TR STYLE="background-color: #C00000"> <TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD> <TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD> <TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">800.00 (80% of its Initial Value)</TD></TR> <TR STYLE="background-color: #E6E6E6"> <TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD> <TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD> <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">500.00 (50% of its Initial Value)</TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">NDX is the Least Performing Underlying. Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 500.00, the Reference Return of the Least Performing Underlying is -50.00%, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(500.00 – 1,000.00) / 1,000.00 = -50.00%</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing Underlying is less than its Buffer Value, the Final Settlement Value would be $640.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">$1,000 + [$1,000 × (Reference Return of the Least Performing Underlying + 14%)]</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + [$1,000 × (-50.00% + 14%)]</P> <P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $640.00</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Example 3 shows that you are exposed on a 1-to-1 basis to declines in the value of the Least Performing Underlying that is less than its Buffer Value. <B>YOU MAY LOSE UP TO 86% OF THE PRINCIPAL AMOUNT OF YOUR NOTES.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <!-- Field: Page; Sequence: 3; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><FONT STYLE="text-transform: uppercase"><B>DESCRIPTION OF THE REFERENCE ASSET</B></FONT></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR> <TD STYLE="vertical-align: top; width: 48%"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the INDU</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The INDU is a price-weighted index compromised of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the entire U.S. market, covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer goods, but excluding the transportation and utilities industries.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about this underlying index, see “The Dow Jones Industrial Average<SUP>SM</SUP>” beginning on page S-10 of the accompanying Equity Index Underlying Supplement.</I></B></P></TD> <TD STYLE="vertical-align: top; width: 2%; font-size: 10pt"> </TD> <TD STYLE="vertical-align: top"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Historical Performance of the INDU</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical performance of the INDU based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP> service.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><IMG SRC="tm205943d80_img004.jpg" ALT=""> </P></TD> </TR> <TR> <TD STYLE="vertical-align: top"> </TD> <TD STYLE="vertical-align: top; font-size: 10pt"> </TD> <TD STYLE="vertical-align: top"> </TD></TR> <TR STYLE="vertical-align: top"> <TD> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the NDX</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about the NDX, see “The NASDAQ-100<SUP>®</SUP> Index” beginning on page S-27 of the accompanying Equity Index Underlying Supplement.</I></B></P></TD> <TD STYLE="text-align: justify; font-size: 10pt"> </TD> <TD> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Historical Performance of the NDX</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical performance of the NDX based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP> service.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center"><IMG SRC="tm205943d80_img005.jpg" ALT=""><B> </B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P></TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P> <!-- Field: Page; Sequence: 4; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>EVENTS OF DEFAULT AND ACCELERATION</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Reference Return of an Underlying, and the accelerated Maturity Date will be three business days after the accelerated Final Valuation Date. 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 following the postponed accelerated Final Valuation Date. 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 Value will be made on such date, irrespective of the existence of a market disruption event with respect to any other Underlying occurring on such date.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 set forth on the cover page of the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers, or will offer the Notes directly to investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount in connection with the distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates will pay any underwriting discounts.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We expect that delivery of the Notes will be made against payment for the Notes on or about 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-61 in the prospectus supplement.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>U.S. FEDERAL INCOME TAX CONSIDERATIONS</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Underlyings. 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 Underlyings. 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 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We will not attempt to ascertain whether any of the entities whose stock is included in an 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 an 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 whose stock is included in the Underlyings and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in an Underlying is or becomes a PFIC or a USRPHC.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <!-- Field: Page; Sequence: 5; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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, 2023. 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 an Underlying 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 an Underlying 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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">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</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 6; Value: 10 --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></P></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P> <TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <TR> <TD STYLE="vertical-align: top; width: 45%; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>TABLE OF CONTENTS</B></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; width: 7%; text-align: right"> </TD> <TD STYLE="vertical-align: top; width: 1%; text-align: right"> </TD> <TD ROWSPAN="67" STYLE="vertical-align: top; width: 47%; background-color: #C00000; padding-top: 10pt; padding-right: 7pt; padding-left: 7pt"> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: justify; color: white">You should only rely on the information contained in this free writing prospectus, 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 free writing prospectus, 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 free writing prospectus, 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 free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.</P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>HSBC USA Inc.</B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>$<BR> Dual Directional Buffered Notes<BR> Linked to the Least Performing of<BR> the Dow Jones Industrial<BR> Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP><BR> Index</B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P> <P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>January 31, 2020</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>Free Writing Prospectus</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P></TD></TR> <TR> <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Free Writing Prospectus</B></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">General </FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-4</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Payment at Maturity </FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-5</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Investor Suitability </FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-6</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors </FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-7</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Illustrative Examples </FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-10</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of the Reference Asset</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-13</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Events of Default and Acceleration</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"> </TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Equity Index Underlying Supplement</B></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Disclaimer</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">i</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The DAX<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-8</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Dow Jones Industrial Average<SUP>SM</SUP></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The EURO STOXX 50<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The FTSE<SUP>®</SUP> 100 Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-14</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-15</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng China Enterprises Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-17</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The KOSPI 200 Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-20</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The MSCI Indices</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-23</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The NASDAQ 100 Index<SUP>®</SUP></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-27</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Nikkei 225 Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-31</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The PHLX Housing Sector<SUP>SM</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-33</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Russell 2000<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 100<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-40</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-43</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Low Volatility Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-46</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P BRIC 40 Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-49</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P MidCap 400<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-51</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The TOPIX<SUP>®</SUP> Index</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-54</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Additional Terms of the Notes</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-56 </FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"> </TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus Supplement</B></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pricing Supplement</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Notes</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds and Hedging</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-36</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Considerations</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-39</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-61</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"> </TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus</B></FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">About this Prospectus</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">2</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Where You Can Find More Information</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">3</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Special Note Regarding Forward-Looking Statements</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">4</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">HSBC USA Inc.</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">7</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">8</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Debt Securities</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">9</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Preferred Stock</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">20</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Warrants</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">25</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Purchase Contracts</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">30</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Units</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">33</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Book-Entry Procedures</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">36</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Limitations on Issuances in Bearer Form</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">40</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations Relating to Debt Securities</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">41</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Plan of Distribution (Conflicts of Interest)</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">49</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to Canadian Investors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">52</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to EEA Investors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">53</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to UK Investors</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">UK Financial Promotion</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Matters</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">55</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Legal Opinions</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">57</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> <TR> <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Experts</FONT></TD> <TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">58</FONT></TD> <TD STYLE="vertical-align: top; text-align: right"> </TD></TR> </TABLE> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P> <!-- Field: Page; Sequence: 7; Options: Last --> <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin: 0pt"> </P></DIV> <!-- Field: /Page --> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P> </BODY> </HTML> </TEXT> </DOCUMENT> <DOCUMENT> <TYPE>FWP <SEQUENCE>2 <FILENAME>tm205943-80_fwp.pdf <DESCRIPTION>FREE WRITING PROSPECTUS <TEXT> <PDF> begin 644 tm205943-80_fwp.pdf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<SEC-HEADER>0001104659-20-009457.hdr.sgml : 20200203
<ACCEPTANCE-DATETIME>20200203060908
ACCESSION NUMBER: 0001104659-20-009457
CONFORMED SUBMISSION TYPE: FWP
PUBLIC DOCUMENT COUNT: 7
FILED AS OF DATE: 20200203
DATE AS OF CHANGE: 20200203
SUBJECT COMPANY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
SEC ACT: 1934 Act
SEC FILE NUMBER: 333-223208
FILM NUMBER: 20566866
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
FILED BY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
</SEC-HEADER>
<DOCUMENT>
<TYPE>FWP
<SEQUENCE>1
<FILENAME>tm205943-80_fwp.htm
<DESCRIPTION>FREE WRITING PROSPECTUS
<TEXT>
<HTML>
<HEAD>
<TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; text-align: right"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Filed Pursuant to Rule 433</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Registration No. 333-223208</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">January
31, 2020</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">FREE WRITING PROSPECTUS</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(To Prospectus dated February 26, 2018,</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Prospectus Supplement dated February 26,
2018, and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Equity Index Underlying Supplement dated
February 26, 2018)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; font-size: 10pt"><IMG SRC="tm205943d80_img001.jpg" ALT=""></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="color: #0D0D0D"><B>Linked to the Least Performing
of the Dow Jones Industrial Average</B></FONT><B><FONT STYLE="font-size: 10pt"><SUP>®</SUP></FONT> <FONT STYLE="color: #0D0D0D">and
the </FONT><FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index </FONT><FONT STYLE="color: #0D0D0D">(the “Reference
Asset”)</FONT></B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any positive Reference Return of the Least Performing Underlying subject to a Maximum Cap of at least 28.50%
(to be determined on the pricing date)</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x positive exposure to the Absolute Reference Return of the Least Performing Underlying if its Reference Return is negative
but not less than -14%</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any negative Reference Return of the Least Performing Underlying if its Reference Return is less than -14%,
with up to 86% of Principal Amount at risk.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Approximately 24-month maturity</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Any payments on the Notes are subject to the credit risk of HSBC USA Inc.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Dual Directional Buffered Notes (each a “Note”
and collectively the “Notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation
system. The Notes will not bear interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">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 the pricing supplement to which this free writing prospectus relates in market-making transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement
to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page FWP-14 of this document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><B>Investment in the Notes involves certain
risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-1 of the accompanying prospectus
supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Estimated Initial Value of the Notes
on the Pricing Date is expected to be between $960.00 and $990.00 per Note, which will be 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 FWP-3 and “Risk Factors” beginning on page FWP-7 of this document for additional information.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 25%; border-bottom: Black 1pt solid; padding-left: 10pt"> </TD>
<TD STYLE="width: 25%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Price to Public</FONT></TD>
<TD STYLE="width: 27%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Underwriting Discount<SUP>(1)</SUP></FONT></TD>
<TD STYLE="width: 23%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Proceeds to Issuer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Per Note</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000.00</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Total</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><SUP>(1)</SUP> HSBC USA Inc. or one
of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount in connection with the
distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates will pay any
underwriting discounts. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this
document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt; text-align: center">The Notes:</P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 80%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR>
<TD STYLE="width: 33%; border: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not FDIC Insured</FONT></TD>
<TD STYLE="width: 34%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not Bank Guaranteed</FONT></TD>
<TD STYLE="width: 33%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">May Lose Value</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; text-align: right"><IMG SRC="tm205943d80_img002.jpg" ALT=""></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin: 0pt"> </P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="margin: 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 50%; font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">HSBC USA Inc.</FONT></TD>
<TD ROWSPAN="2" STYLE="width: 50%; font-size: 10pt; text-align: right; vertical-align: bottom"><IMG SRC="tm205943d80_img003.jpg" ALT=""></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">Dual Directional Buffered Notes</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0; font-size: 3pt"> </P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 11pt"><B>Linked to the Least Performing
of the Dow Jones Industrial Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP> Index</B></FONT></P>
<P STYLE="color: rgb(119,119,119); font: 2pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
a single offering of Dual Directional Buffered Notes. The Notes will have the terms described in this document and the accompanying
prospectus, prospectus supplement, and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent
with those described in the accompanying prospectus, prospectus supplement, or Equity Index Underlying Supplement, the terms described
in this document shall control. <B>You should be willing to forgo interest and dividend payments during the term of the Notes and,
if the Final Value of the Least Performing Underlying (each as defined below) is less than its Buffer Value, <FONT STYLE="font-size: 10pt">lose
some or a significant portion (up to 86%) of your principal</FONT>.</B></P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC
USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of the Notes:</P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Issuer:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">HSBC USA Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Principal Amount:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">$1,000 per Note</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Asset:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">The Dow Jones Industrial Average<SUP>®</SUP> (Ticker: “INDU”) and the </FONT> <FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index (Ticker: “NDX”) (each, an “Underlying” and together the “Underlyings”)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Trade Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Pricing Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Original Issue Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 4, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Valuation Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 1, 2022, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">3 business days after the Final Valuation Date, expected to
be March 4, 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.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Payment at Maturity:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">On the Maturity Date, for each Note, we will pay you the Final Settlement Value.</FONT></TD></TR>
<TR>
<TD STYLE="vertical-align: top; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Settlement Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is greater than its Initial Value, </I></B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of
the Notes, equal to the lesser of:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than or equal to its Initial Value but greater than or equal to its Buffer Value, </I></B>you will receive a cash payment
on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than its Buffer Value,</I></B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the
Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these circumstances, you will lose 1% of the
Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below its
Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss and
receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maximum Cap:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">At least 28.50%(to be determined on the pricing
date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Upside Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Absolute Return Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Absolute Reference Return:</B></P></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, the absolute value of its Reference Return. The Absolute Reference Return will always be a positive value or zero. For example, if the Reference Return is -5.00%, the Absolute Reference Return will be +5.00%.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Least Performing Underlying:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Underlying with the lowest Reference Return.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Return:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">With respect to each Underlying, the quotient, expressed as
a percentage, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><U>Final Value – Initial
Value</U></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Initial Value</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Buffer Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">With respect to each Underlying, 86% of its Initial Value.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Initial Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Pricing Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Final Valuation Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Official Closing Level:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Official Closing Level of the relevant Underlying.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>CUSIP/ISIN:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">40435U4Q4/US40435U4Q47</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Form of Notes:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">Book-Entry</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Listing:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Notes will not be listed on any U.S. Notes exchange or quotation system.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Estimated Initial Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt">The Estimated Initial Value of the Notes will be 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. The Estimated Initial Value will be calculated on the Pricing Date. See “Risk Factors — The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”</FONT></TD></TR>
<TR>
<TD COLSPAN="2" STYLE="padding: 10pt 2.15pt 0"><FONT STYLE="font-size: 10pt"><I>The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.</I></FONT></TD></TR>
</TABLE>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">GENERAL</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This document relates to an offering of Notes linked to the
Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. We reserve the right to
withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the offering of Notes relates to the
Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any
Underlying or any security included in any Underlying or as to the suitability of an investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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, prospectus
supplement 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 FWP-7 of this document, 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You may also obtain:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The Equity Index Underlying Supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">We are using this document to solicit from you an offer to purchase
the Notes. You may revoke your offer to purchase the Notes at any time prior to the time at which we accept your offer by notifying
HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their
issuance. In the event of any material changes to the terms of the Notes, we will notify you.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">PAYMENT
AT MATURITY</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">On the Maturity Date, for each Note you
hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
greater than its Initial Value, </B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
equal to the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than or equal to its Initial Value but greater than or equal to its Buffer Value, </B>you will receive a cash payment on the
Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than its Buffer Value,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Under these circumstances, you will lose
1% of the Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below
its Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss
and receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Interest</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Notes will not pay interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Calculation Agent</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We or one of our affiliates will act as
calculation agent with respect to the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Reference Sponsors</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The reference sponsor of the INDU is S&P Dow Jones Indices
LLC, a division of S&P Global. The reference sponsor of the NDX is Nasdaq, Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B></B></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>INVESTOR SUITABILITY</B></P>
<DIV STYLE="float: left; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes may be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You seek an investment with a return linked to the least performing of the Underlyings and
you believe the Reference Return of the Least Performing Underlying will be positive or will be moderately negative but not below
-14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing
to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying on a 1-to-1 basis for
each percentage point that its Reference Return is below -14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">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.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to forgo interest payments on the Notes, and the dividends or other distributions
paid on the constituents included in the Underlyings.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek current income from your investment.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek an investment for which there is an active secondary market.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to hold the Notes to maturity.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
</DIV>
<DIV STYLE="float: right; width: 48%">
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Notes may not be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 22.3pt"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You believe that the Final Value of at least one Underlying will be less than its Buffer Value or that the Reference Return
or Absolute Reference Return will not be sufficiently positive to provide you with your desired return.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unwilling to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying
on a 1-to-1 basis for each percentage point that its Reference Return is below -14%.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment that provides full return of principal.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">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.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You prefer to receive periodic interest payments on the Notes, or the dividends or other distributions paid on the constituents
included in the Underlyings.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek current income from your investment.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment for which there will be an active secondary market.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unable or unwilling to hold the Notes to maturity.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 1pt Times New Roman, Times, Serif"> </P>
</DIV>
<P STYLE="font: 1pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<DIV STYLE="float: none; clear: both; width: 100%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
</DIV>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>RISK FACTORS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We urge you to read the section “Risk
Factors” beginning on page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying
Supplement. 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:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—Risks Relating to All Note
Issuances” in the prospectus supplement; and</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—General Risks Related to
Indices” in the Equity Index Underlying Supplement.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your investment in the Notes may result
in a loss.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be exposed to the decline in the
Least Performing Underlying from the Pricing Date to the Final Valuation Date on a 1:1 basis for each percentage point that the
Final Value of the Least Performing Underlying is less than its Buffer Value. Accordingly, if the Final Value of the Least Performing
Underlying is less than its Buffer Value, your Payment at Maturity will be less than the Principal Amount of your Notes. You will
lose some or a significant portion (up to 86%) of your investment at maturity if the Final Value of the Least Performing Underlying
is less than its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your return on the Notes will be limited
by the Maximum Cap if the Reference Return of the Least Performing Underlying is positive.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will not participate in any appreciation
in the level of any Underlying (as multiplied by the Upside Participation Rate) beyond the Maximum Cap. If the Reference Return
of the Least Performing Underlying is positive, you will not receive a return on the Notes greater than the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The return on the Notes will be limited
by the Buffer Value and the Absolute Return Participation Rate if the Reference Return of the Least Performing Underlying is negative.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">If the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, your return on the Notes will
equal the Absolute Reference Return of the Least Performing Underlying multiplied by the Absolute Return Participation Rate. However,
if the Final Value of the Least Performing Underlying is less than its Initial Value, your return on the Notes will never be greater
than 15% because the Absolute Reference Return will be inapplicable if the Final Value of the Least Performing Underlying is below
its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of each Underlying.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">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 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 value of each Underlying. For example, in the case
of notes linked to a basket, the return would depend on the 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. 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. </FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are subject to the credit
risk of HSBC USA Inc.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 at Maturity.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes will not bear interest. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">As a holder of the Notes, you will not
receive interest payments.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">A Higher Absolute Reference Return
or lower Buffer Values are generally associated with Underlyings with greater expected volatility and therefore can indicate a
greater risk of loss.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">"Volatility"
refers to the frequency and magnitude of changes in the value 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 value of that Underlying could
close below its Buffer Value on the Final Valuation Date, indicating a higher expected risk of not receiving the Absolute Reference
Return or loss on the Notes. This greater expected risk will generally be reflected in a higher Absolute Reference Return than
the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Buffer
Value or a higher Absolute Reference Return) 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 Absolute Reference Return
may indicate an increased risk of loss. Further, a relatively lower Buffer Value 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 value 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.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Estimated Initial Value of the Notes,
which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value
of the Notes in the secondary market, if any.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Estimated Initial Value of the Notes
will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflect
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 will determine 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The price of your Notes in the secondary
market, if any, immediately after the Pricing Date will be less than the price to public.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 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 values 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>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. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may initially be used for customer account statements, if any, may exceed the Estimated
Initial Value on the Pricing Date for a temporary period expected to be approximately 6 months after the</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The amount payable on the Notes is not
linked to the values of the Underlyings at any time other than on the Final Valuation Date. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Final Values of the Underlyings will
be based on the Official Closing Levels of the Underlyings on the Final Valuation Date, subject to postponement for non-trading
days and certain market disruption events. Even if the value of the Least Performing Underlying appreciates during the term of
the Notes other than on the Final Valuation Date but then decreases on the Final Valuation Date, the Payment at Maturity may be
less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Least
Performing Underlying prior to such decrease. Although the actual values of the Underlyings on the Maturity Date or at other times
during the term of the Notes may be higher than their respective Final Values, the Payment at Maturity will be based solely on
the Official Closing Levels of the Underlyings on the Final Valuation Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Changes that affect an Underlying may
affect the value of that Underlying and the market value of the Notes and the amount you will receive on the Notes and the amount
you will receive at maturity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may affect the value of that Underlying.
The policies of the reference sponsor could also affect the value of that Underlying. The reference sponsor may discontinue or
suspend calculation or dissemination of an Underlying. Any such actions could affect the value of an Underlying and the value of
and the return on the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Non-U.S. Securities Risk</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Some of the constituents included in the
NDX are issued by non-U.S. companies. Investments in securities linked to the value of such constituents, such as the Notes, involve
risks associated with the home countries of those non-U.S. companies. The prices of securities in non-U.S. markets may be affected
by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes lack liquidity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Potential conflicts of interest may
exist.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Uncertain tax treatment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>ILLUSTRATIVE
EXAMPLES</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of the Least Performing Underlying relative to its Initial Value. We cannot predict the Final
Value of either Underlying. The assumptions we have made in connection with the illustrations set forth below may not reflect actual
events, and the hypothetical Initial Value of the Least Performing Underlying used in the examples below is not expected to be
its actual Initial Value. You should not take this illustration or these examples as an indication or assurance of the expected
performance of either Underlying or the return on your Notes. The Final Settlement Value may be less than the amount that you would
have received from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers
appearing in the table below and following examples have been rounded for ease of analysis.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The table below illustrates the Final Settlement
Value on a $1,000 investment in the Notes for a hypothetical range of Reference Returns of the Least Performing Underlying from
-100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the
Notes” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000
Principal Amount to $1,000. The potential returns described here assume that your Notes are held to maturity. You should consider
carefully whether the Notes are suitable to your investment goals. The following table and examples assume the following:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 3%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="width: 43%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Principal Amount:</FONT></TD>
<TD STYLE="width: 54%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Initial Value for each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Buffer Value of each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">860 (86% of its Initial Value)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Maximum Cap:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">28.50% (to be determined on the Pricing Date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Upside Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Absolute Return Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The actual Initial Value of each Underlying
will be determined on the Pricing Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 75%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="border-top: Black 1pt solid; width: 33%; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical<BR>
Reference Return of <BR>
the Least Performing<BR>
Underlying </B></FONT></TD>
<TD STYLE="border-top: Black 1pt solid; width: 32%; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical Final <BR>
Settlement Value</B></FONT></TD>
<TD STYLE="text-align: center; width: 35%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Hypothetical </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Return on the Notes</B></P></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">100.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">60.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,285.00</B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,200.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,150.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,000.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>-14.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,140.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>14.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$940.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-6.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-30.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$840.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-16.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$740.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-26.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-50.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$640.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-36.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$340.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-66.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-100.00%</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$140.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-86.00%</FONT></TD></TR>
</TABLE>
<P STYLE="text-align: right; margin-top: 0; margin-bottom: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 1: The Final Value of the Least
Performing Underlying is greater than its Initial Value but less than less than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,050.00 (105% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,050.00, the Reference Return of the Least Performing
Underlying is 5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,050.00 – 1,000.00) / 1,000.00 =
5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
less than the Maximum Cap, the Final Settlement Value would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as
follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Reference Return of the Least Performing Underlying × Hypothetical Upside Participation Rate)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 2: The Final Value of the Least
Performing Underlying is greater than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,400.00 (140% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,400.00, the Reference Return of the Least Performing
Underlying is 40.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,400.00 – 1,000.00) / 1,000.00 =
40.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
greater than the Maximum Cap, the Final Settlement Value would be $1,285.00 per $1,000 Principal Amount of the Notes, calculated
as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Maximum Cap)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 28.50%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,285.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 3: The Final Value of the Least
Performing Underlying is less than its Initial Value but greater than or equal to its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">950.00 (95% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00 (100% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">INDU is the Least Performing Underlying. Because the Initial
Value of the INDU is 1,000.00 and the Final Value of INDU is 950.00, the Reference Return of the Least Performing Underlying is
-5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(950.00 - 1,000.00) / 1,000.00 = -5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, the Final Settlement Value
would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; margin-left: 1.5in">
<TR STYLE="vertical-align: bottom">
<TD STYLE="font: 10pt Times New Roman, Times, Serif">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate)</TD></TR>
</TABLE>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + ($1,000
× 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 4: The Final Value of the Least
Performing Underlying is less than its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">800.00 (80% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">500.00 (50% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">NDX is the Least Performing Underlying. Because the Initial
Value of NDX is 1,000.00 and the Final Value of NDX is 500.00, the Reference Return of the Least Performing Underlying is -50.00%,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(500.00 – 1,000.00) / 1,000.00 = -50.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than its Buffer Value, the Final Settlement Value would be $640.00 per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">$1,000 + [$1,000
× (Reference Return of the Least Performing Underlying + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + [$1,000
× (-50.00% + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $640.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Example 3 shows that you are exposed on a 1-to-1 basis to declines
in the value of the Least Performing Underlying that is less than its Buffer Value. <B>YOU MAY LOSE UP TO 86% OF THE PRINCIPAL
AMOUNT OF YOUR NOTES.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><FONT STYLE="text-transform: uppercase"><B>DESCRIPTION
OF THE REFERENCE ASSET</B></FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="vertical-align: top; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The INDU is a price-weighted index compromised
of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the entire U.S. market,
covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer goods, but excluding
the transportation and utilities industries.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about this underlying
index, see “The Dow Jones Industrial Average<SUP>SM</SUP>” beginning on page S-10 of the accompanying Equity Index
Underlying Supplement.</I></B></P></TD>
<TD STYLE="vertical-align: top; width: 2%; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Historical Performance of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the INDU based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><IMG SRC="tm205943d80_img004.jpg" ALT=""> </P></TD>
</TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="vertical-align: top; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about the NDX,
see “The NASDAQ-100<SUP>®</SUP> Index” beginning on page S-27 of the accompanying Equity Index Underlying Supplement.</I></B></P></TD>
<TD STYLE="text-align: justify; font-size: 10pt"> </TD>
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Historical Performance of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the NDX based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center"><IMG SRC="tm205943d80_img005.jpg" ALT=""><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>EVENTS OF
DEFAULT AND ACCELERATION</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Reference Return of an Underlying, and the accelerated Maturity Date will be three business days
after the accelerated Final Valuation Date. 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 following the postponed accelerated Final Valuation Date. 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 Value will be made on such date, irrespective of the existence of a market disruption
event with respect to any other Underlying occurring on such date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>SUPPLEMENTAL
PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 set forth on the cover page of the pricing supplement to which
this free writing prospectus relates, for distribution to other registered broker-dealers, or will offer the Notes directly to
investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forth on the cover page of this free
writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount
in connection with the distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates
will pay any underwriting discounts.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We expect that delivery of the Notes will
be made against payment for the Notes on or about 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-61 in the prospectus supplement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>U.S. FEDERAL
INCOME TAX CONSIDERATIONS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Underlyings. 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 Underlyings.
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 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We will not attempt to ascertain whether
any of the entities whose stock is included in an 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 an 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 whose stock
is included in the Underlyings and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in an Underlying is or becomes a PFIC or a USRPHC.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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, 2023. 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 an Underlying 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 an Underlying 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">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</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="vertical-align: top; width: 45%; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>TABLE OF CONTENTS</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; width: 7%; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 1%; text-align: right"> </TD>
<TD ROWSPAN="67" STYLE="vertical-align: top; width: 47%; background-color: #C00000; padding-top: 10pt; padding-right: 7pt; padding-left: 7pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: justify; color: white">You should only
rely on the information contained in this free writing prospectus, 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 free writing prospectus, 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 free writing prospectus,
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 free writing prospectus, the accompanying Equity Index
Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.</P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>HSBC USA Inc.</B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>$<BR>
Dual Directional Buffered Notes<BR>
Linked to the Least Performing of<BR>
the Dow Jones Industrial<BR>
Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP><BR>
Index</B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>January 31,
2020</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>Free Writing
Prospectus</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P></TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Free Writing Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">General </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-4</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Payment at Maturity </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-5</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Investor Suitability </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-6</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-7</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Illustrative Examples </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of the Reference Asset</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-13</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Events of Default and Acceleration</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Equity Index Underlying Supplement</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Disclaimer</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">i</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The DAX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Dow Jones Industrial Average<SUP>SM</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The EURO STOXX 50<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The FTSE<SUP>®</SUP> 100 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-15</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng China Enterprises Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-17</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The KOSPI 200 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The MSCI Indices</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-23</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The NASDAQ 100 Index<SUP>®</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-27</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Nikkei 225 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-31</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The PHLX Housing Sector<SUP>SM</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Russell 2000<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 100<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-43</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Low Volatility Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-46</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P BRIC 40 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P MidCap 400<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-51</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The TOPIX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Additional Terms of the Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-56 </FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus Supplement</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pricing Supplement</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds and Hedging</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-39</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-61</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">About this Prospectus</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">2</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Where You Can Find More Information</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">3</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Special Note Regarding Forward-Looking Statements</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">4</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">HSBC USA Inc.</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">7</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">9</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Preferred Stock</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Warrants</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">25</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Purchase Contracts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">30</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Units</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Book-Entry Procedures</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Limitations on Issuances in Bearer Form</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations Relating to Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">41</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to Canadian Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">52</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to EEA Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">53</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to UK Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">UK Financial Promotion</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Matters</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">55</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Legal Opinions</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">57</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Experts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">58</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT><SEC-DOCUMENT>0001104659-20-009457.txt : 20200203<SEC-HEADER>0001104659-20-009457.hdr.sgml : 20200203
<ACCEPTANCE-DATETIME>20200203060908
ACCESSION NUMBER: 0001104659-20-009457
CONFORMED SUBMISSION TYPE: FWP
PUBLIC DOCUMENT COUNT: 7
FILED AS OF DATE: 20200203
DATE AS OF CHANGE: 20200203
SUBJECT COMPANY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
SEC ACT: 1934 Act
SEC FILE NUMBER: 333-223208
FILM NUMBER: 20566866
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
FILED BY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
</SEC-HEADER>
<DOCUMENT>
<TYPE>FWP
<SEQUENCE>1
<FILENAME>tm205943-80_fwp.htm
<DESCRIPTION>FREE WRITING PROSPECTUS
<TEXT>
<HTML>
<HEAD>
<TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; text-align: right"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Filed Pursuant to Rule 433</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Registration No. 333-223208</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">January
31, 2020</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">FREE WRITING PROSPECTUS</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(To Prospectus dated February 26, 2018,</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Prospectus Supplement dated February 26,
2018, and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Equity Index Underlying Supplement dated
February 26, 2018)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; font-size: 10pt"><IMG SRC="tm205943d80_img001.jpg" ALT=""></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="color: #0D0D0D"><B>Linked to the Least Performing
of the Dow Jones Industrial Average</B></FONT><B><FONT STYLE="font-size: 10pt"><SUP>®</SUP></FONT> <FONT STYLE="color: #0D0D0D">and
the </FONT><FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index </FONT><FONT STYLE="color: #0D0D0D">(the “Reference
Asset”)</FONT></B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any positive Reference Return of the Least Performing Underlying subject to a Maximum Cap of at least 28.50%
(to be determined on the pricing date)</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x positive exposure to the Absolute Reference Return of the Least Performing Underlying if its Reference Return is negative
but not less than -14%</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any negative Reference Return of the Least Performing Underlying if its Reference Return is less than -14%,
with up to 86% of Principal Amount at risk.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Approximately 24-month maturity</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Any payments on the Notes are subject to the credit risk of HSBC USA Inc.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Dual Directional Buffered Notes (each a “Note”
and collectively the “Notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation
system. The Notes will not bear interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">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 the pricing supplement to which this free writing prospectus relates in market-making transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement
to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page FWP-14 of this document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><B>Investment in the Notes involves certain
risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-1 of the accompanying prospectus
supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Estimated Initial Value of the Notes
on the Pricing Date is expected to be between $960.00 and $990.00 per Note, which will be 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 FWP-3 and “Risk Factors” beginning on page FWP-7 of this document for additional information.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 25%; border-bottom: Black 1pt solid; padding-left: 10pt"> </TD>
<TD STYLE="width: 25%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Price to Public</FONT></TD>
<TD STYLE="width: 27%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Underwriting Discount<SUP>(1)</SUP></FONT></TD>
<TD STYLE="width: 23%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Proceeds to Issuer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Per Note</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000.00</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Total</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><SUP>(1)</SUP> HSBC USA Inc. or one
of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount in connection with the
distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates will pay any
underwriting discounts. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this
document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt; text-align: center">The Notes:</P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 80%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR>
<TD STYLE="width: 33%; border: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not FDIC Insured</FONT></TD>
<TD STYLE="width: 34%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not Bank Guaranteed</FONT></TD>
<TD STYLE="width: 33%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">May Lose Value</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; text-align: right"><IMG SRC="tm205943d80_img002.jpg" ALT=""></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<!-- Field: Page; Sequence: 1 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin: 0pt"> </P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="margin: 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 50%; font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">HSBC USA Inc.</FONT></TD>
<TD ROWSPAN="2" STYLE="width: 50%; font-size: 10pt; text-align: right; vertical-align: bottom"><IMG SRC="tm205943d80_img003.jpg" ALT=""></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">Dual Directional Buffered Notes</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0; font-size: 3pt"> </P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 11pt"><B>Linked to the Least Performing
of the Dow Jones Industrial Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP> Index</B></FONT></P>
<P STYLE="color: rgb(119,119,119); font: 2pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
a single offering of Dual Directional Buffered Notes. The Notes will have the terms described in this document and the accompanying
prospectus, prospectus supplement, and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent
with those described in the accompanying prospectus, prospectus supplement, or Equity Index Underlying Supplement, the terms described
in this document shall control. <B>You should be willing to forgo interest and dividend payments during the term of the Notes and,
if the Final Value of the Least Performing Underlying (each as defined below) is less than its Buffer Value, <FONT STYLE="font-size: 10pt">lose
some or a significant portion (up to 86%) of your principal</FONT>.</B></P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC
USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of the Notes:</P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Issuer:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">HSBC USA Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Principal Amount:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">$1,000 per Note</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Asset:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">The Dow Jones Industrial Average<SUP>®</SUP> (Ticker: “INDU”) and the </FONT> <FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index (Ticker: “NDX”) (each, an “Underlying” and together the “Underlyings”)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Trade Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Pricing Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Original Issue Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 4, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Valuation Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 1, 2022, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">3 business days after the Final Valuation Date, expected to
be March 4, 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.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Payment at Maturity:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">On the Maturity Date, for each Note, we will pay you the Final Settlement Value.</FONT></TD></TR>
<TR>
<TD STYLE="vertical-align: top; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Settlement Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is greater than its Initial Value, </I></B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of
the Notes, equal to the lesser of:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than or equal to its Initial Value but greater than or equal to its Buffer Value, </I></B>you will receive a cash payment
on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than its Buffer Value,</I></B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the
Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these circumstances, you will lose 1% of the
Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below its
Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss and
receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maximum Cap:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">At least 28.50%(to be determined on the pricing
date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Upside Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Absolute Return Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Absolute Reference Return:</B></P></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, the absolute value of its Reference Return. The Absolute Reference Return will always be a positive value or zero. For example, if the Reference Return is -5.00%, the Absolute Reference Return will be +5.00%.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Least Performing Underlying:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Underlying with the lowest Reference Return.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Return:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">With respect to each Underlying, the quotient, expressed as
a percentage, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><U>Final Value – Initial
Value</U></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Initial Value</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Buffer Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">With respect to each Underlying, 86% of its Initial Value.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Initial Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Pricing Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Final Valuation Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Official Closing Level:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Official Closing Level of the relevant Underlying.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>CUSIP/ISIN:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">40435U4Q4/US40435U4Q47</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Form of Notes:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">Book-Entry</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Listing:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Notes will not be listed on any U.S. Notes exchange or quotation system.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Estimated Initial Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt">The Estimated Initial Value of the Notes will be 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. The Estimated Initial Value will be calculated on the Pricing Date. See “Risk Factors — The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”</FONT></TD></TR>
<TR>
<TD COLSPAN="2" STYLE="padding: 10pt 2.15pt 0"><FONT STYLE="font-size: 10pt"><I>The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.</I></FONT></TD></TR>
</TABLE>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">GENERAL</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This document relates to an offering of Notes linked to the
Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. We reserve the right to
withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the offering of Notes relates to the
Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any
Underlying or any security included in any Underlying or as to the suitability of an investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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, prospectus
supplement 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 FWP-7 of this document, 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You may also obtain:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The Equity Index Underlying Supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">We are using this document to solicit from you an offer to purchase
the Notes. You may revoke your offer to purchase the Notes at any time prior to the time at which we accept your offer by notifying
HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their
issuance. In the event of any material changes to the terms of the Notes, we will notify you.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">PAYMENT
AT MATURITY</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">On the Maturity Date, for each Note you
hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
greater than its Initial Value, </B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
equal to the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than or equal to its Initial Value but greater than or equal to its Buffer Value, </B>you will receive a cash payment on the
Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than its Buffer Value,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Under these circumstances, you will lose
1% of the Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below
its Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss
and receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Interest</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Notes will not pay interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Calculation Agent</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We or one of our affiliates will act as
calculation agent with respect to the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Reference Sponsors</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The reference sponsor of the INDU is S&P Dow Jones Indices
LLC, a division of S&P Global. The reference sponsor of the NDX is Nasdaq, Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B></B></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>INVESTOR SUITABILITY</B></P>
<DIV STYLE="float: left; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes may be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You seek an investment with a return linked to the least performing of the Underlyings and
you believe the Reference Return of the Least Performing Underlying will be positive or will be moderately negative but not below
-14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing
to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying on a 1-to-1 basis for
each percentage point that its Reference Return is below -14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">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.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to forgo interest payments on the Notes, and the dividends or other distributions
paid on the constituents included in the Underlyings.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek current income from your investment.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek an investment for which there is an active secondary market.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to hold the Notes to maturity.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
</DIV>
<DIV STYLE="float: right; width: 48%">
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Notes may not be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 22.3pt"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You believe that the Final Value of at least one Underlying will be less than its Buffer Value or that the Reference Return
or Absolute Reference Return will not be sufficiently positive to provide you with your desired return.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unwilling to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying
on a 1-to-1 basis for each percentage point that its Reference Return is below -14%.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment that provides full return of principal.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">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.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You prefer to receive periodic interest payments on the Notes, or the dividends or other distributions paid on the constituents
included in the Underlyings.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek current income from your investment.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment for which there will be an active secondary market.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unable or unwilling to hold the Notes to maturity.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 1pt Times New Roman, Times, Serif"> </P>
</DIV>
<P STYLE="font: 1pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<DIV STYLE="float: none; clear: both; width: 100%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
</DIV>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>RISK FACTORS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We urge you to read the section “Risk
Factors” beginning on page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying
Supplement. 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:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—Risks Relating to All Note
Issuances” in the prospectus supplement; and</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—General Risks Related to
Indices” in the Equity Index Underlying Supplement.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your investment in the Notes may result
in a loss.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be exposed to the decline in the
Least Performing Underlying from the Pricing Date to the Final Valuation Date on a 1:1 basis for each percentage point that the
Final Value of the Least Performing Underlying is less than its Buffer Value. Accordingly, if the Final Value of the Least Performing
Underlying is less than its Buffer Value, your Payment at Maturity will be less than the Principal Amount of your Notes. You will
lose some or a significant portion (up to 86%) of your investment at maturity if the Final Value of the Least Performing Underlying
is less than its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your return on the Notes will be limited
by the Maximum Cap if the Reference Return of the Least Performing Underlying is positive.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will not participate in any appreciation
in the level of any Underlying (as multiplied by the Upside Participation Rate) beyond the Maximum Cap. If the Reference Return
of the Least Performing Underlying is positive, you will not receive a return on the Notes greater than the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The return on the Notes will be limited
by the Buffer Value and the Absolute Return Participation Rate if the Reference Return of the Least Performing Underlying is negative.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">If the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, your return on the Notes will
equal the Absolute Reference Return of the Least Performing Underlying multiplied by the Absolute Return Participation Rate. However,
if the Final Value of the Least Performing Underlying is less than its Initial Value, your return on the Notes will never be greater
than 15% because the Absolute Reference Return will be inapplicable if the Final Value of the Least Performing Underlying is below
its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of each Underlying.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">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 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 value of each Underlying. For example, in the case
of notes linked to a basket, the return would depend on the 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. 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. </FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are subject to the credit
risk of HSBC USA Inc.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 at Maturity.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes will not bear interest. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">As a holder of the Notes, you will not
receive interest payments.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">A Higher Absolute Reference Return
or lower Buffer Values are generally associated with Underlyings with greater expected volatility and therefore can indicate a
greater risk of loss.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">"Volatility"
refers to the frequency and magnitude of changes in the value 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 value of that Underlying could
close below its Buffer Value on the Final Valuation Date, indicating a higher expected risk of not receiving the Absolute Reference
Return or loss on the Notes. This greater expected risk will generally be reflected in a higher Absolute Reference Return than
the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Buffer
Value or a higher Absolute Reference Return) 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 Absolute Reference Return
may indicate an increased risk of loss. Further, a relatively lower Buffer Value 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 value 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.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Estimated Initial Value of the Notes,
which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value
of the Notes in the secondary market, if any.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Estimated Initial Value of the Notes
will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflect
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 will determine 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The price of your Notes in the secondary
market, if any, immediately after the Pricing Date will be less than the price to public.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 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 values 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>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. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may initially be used for customer account statements, if any, may exceed the Estimated
Initial Value on the Pricing Date for a temporary period expected to be approximately 6 months after the</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The amount payable on the Notes is not
linked to the values of the Underlyings at any time other than on the Final Valuation Date. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Final Values of the Underlyings will
be based on the Official Closing Levels of the Underlyings on the Final Valuation Date, subject to postponement for non-trading
days and certain market disruption events. Even if the value of the Least Performing Underlying appreciates during the term of
the Notes other than on the Final Valuation Date but then decreases on the Final Valuation Date, the Payment at Maturity may be
less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Least
Performing Underlying prior to such decrease. Although the actual values of the Underlyings on the Maturity Date or at other times
during the term of the Notes may be higher than their respective Final Values, the Payment at Maturity will be based solely on
the Official Closing Levels of the Underlyings on the Final Valuation Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Changes that affect an Underlying may
affect the value of that Underlying and the market value of the Notes and the amount you will receive on the Notes and the amount
you will receive at maturity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may affect the value of that Underlying.
The policies of the reference sponsor could also affect the value of that Underlying. The reference sponsor may discontinue or
suspend calculation or dissemination of an Underlying. Any such actions could affect the value of an Underlying and the value of
and the return on the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Non-U.S. Securities Risk</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Some of the constituents included in the
NDX are issued by non-U.S. companies. Investments in securities linked to the value of such constituents, such as the Notes, involve
risks associated with the home countries of those non-U.S. companies. The prices of securities in non-U.S. markets may be affected
by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes lack liquidity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Potential conflicts of interest may
exist.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Uncertain tax treatment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>ILLUSTRATIVE
EXAMPLES</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of the Least Performing Underlying relative to its Initial Value. We cannot predict the Final
Value of either Underlying. The assumptions we have made in connection with the illustrations set forth below may not reflect actual
events, and the hypothetical Initial Value of the Least Performing Underlying used in the examples below is not expected to be
its actual Initial Value. You should not take this illustration or these examples as an indication or assurance of the expected
performance of either Underlying or the return on your Notes. The Final Settlement Value may be less than the amount that you would
have received from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers
appearing in the table below and following examples have been rounded for ease of analysis.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The table below illustrates the Final Settlement
Value on a $1,000 investment in the Notes for a hypothetical range of Reference Returns of the Least Performing Underlying from
-100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the
Notes” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000
Principal Amount to $1,000. The potential returns described here assume that your Notes are held to maturity. You should consider
carefully whether the Notes are suitable to your investment goals. The following table and examples assume the following:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 3%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="width: 43%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Principal Amount:</FONT></TD>
<TD STYLE="width: 54%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Initial Value for each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Buffer Value of each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">860 (86% of its Initial Value)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Maximum Cap:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">28.50% (to be determined on the Pricing Date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Upside Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Absolute Return Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The actual Initial Value of each Underlying
will be determined on the Pricing Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 75%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="border-top: Black 1pt solid; width: 33%; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical<BR>
Reference Return of <BR>
the Least Performing<BR>
Underlying </B></FONT></TD>
<TD STYLE="border-top: Black 1pt solid; width: 32%; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical Final <BR>
Settlement Value</B></FONT></TD>
<TD STYLE="text-align: center; width: 35%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Hypothetical </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Return on the Notes</B></P></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">100.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">60.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,285.00</B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,200.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,150.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,000.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>-14.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,140.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>14.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$940.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-6.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-30.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$840.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-16.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$740.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-26.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-50.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$640.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-36.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$340.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-66.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-100.00%</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$140.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-86.00%</FONT></TD></TR>
</TABLE>
<P STYLE="text-align: right; margin-top: 0; margin-bottom: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 1: The Final Value of the Least
Performing Underlying is greater than its Initial Value but less than less than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,050.00 (105% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,050.00, the Reference Return of the Least Performing
Underlying is 5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,050.00 – 1,000.00) / 1,000.00 =
5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
less than the Maximum Cap, the Final Settlement Value would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as
follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Reference Return of the Least Performing Underlying × Hypothetical Upside Participation Rate)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 2: The Final Value of the Least
Performing Underlying is greater than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,400.00 (140% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,400.00, the Reference Return of the Least Performing
Underlying is 40.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,400.00 – 1,000.00) / 1,000.00 =
40.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
greater than the Maximum Cap, the Final Settlement Value would be $1,285.00 per $1,000 Principal Amount of the Notes, calculated
as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Maximum Cap)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 28.50%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,285.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 3: The Final Value of the Least
Performing Underlying is less than its Initial Value but greater than or equal to its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">950.00 (95% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00 (100% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">INDU is the Least Performing Underlying. Because the Initial
Value of the INDU is 1,000.00 and the Final Value of INDU is 950.00, the Reference Return of the Least Performing Underlying is
-5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(950.00 - 1,000.00) / 1,000.00 = -5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, the Final Settlement Value
would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; margin-left: 1.5in">
<TR STYLE="vertical-align: bottom">
<TD STYLE="font: 10pt Times New Roman, Times, Serif">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate)</TD></TR>
</TABLE>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + ($1,000
× 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 4: The Final Value of the Least
Performing Underlying is less than its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">800.00 (80% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">500.00 (50% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">NDX is the Least Performing Underlying. Because the Initial
Value of NDX is 1,000.00 and the Final Value of NDX is 500.00, the Reference Return of the Least Performing Underlying is -50.00%,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(500.00 – 1,000.00) / 1,000.00 = -50.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than its Buffer Value, the Final Settlement Value would be $640.00 per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">$1,000 + [$1,000
× (Reference Return of the Least Performing Underlying + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + [$1,000
× (-50.00% + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $640.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Example 3 shows that you are exposed on a 1-to-1 basis to declines
in the value of the Least Performing Underlying that is less than its Buffer Value. <B>YOU MAY LOSE UP TO 86% OF THE PRINCIPAL
AMOUNT OF YOUR NOTES.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><FONT STYLE="text-transform: uppercase"><B>DESCRIPTION
OF THE REFERENCE ASSET</B></FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="vertical-align: top; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The INDU is a price-weighted index compromised
of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the entire U.S. market,
covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer goods, but excluding
the transportation and utilities industries.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about this underlying
index, see “The Dow Jones Industrial Average<SUP>SM</SUP>” beginning on page S-10 of the accompanying Equity Index
Underlying Supplement.</I></B></P></TD>
<TD STYLE="vertical-align: top; width: 2%; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Historical Performance of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the INDU based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><IMG SRC="tm205943d80_img004.jpg" ALT=""> </P></TD>
</TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="vertical-align: top; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about the NDX,
see “The NASDAQ-100<SUP>®</SUP> Index” beginning on page S-27 of the accompanying Equity Index Underlying Supplement.</I></B></P></TD>
<TD STYLE="text-align: justify; font-size: 10pt"> </TD>
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Historical Performance of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the NDX based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center"><IMG SRC="tm205943d80_img005.jpg" ALT=""><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>EVENTS OF
DEFAULT AND ACCELERATION</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Reference Return of an Underlying, and the accelerated Maturity Date will be three business days
after the accelerated Final Valuation Date. 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 following the postponed accelerated Final Valuation Date. 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 Value will be made on such date, irrespective of the existence of a market disruption
event with respect to any other Underlying occurring on such date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>SUPPLEMENTAL
PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 set forth on the cover page of the pricing supplement to which
this free writing prospectus relates, for distribution to other registered broker-dealers, or will offer the Notes directly to
investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forth on the cover page of this free
writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount
in connection with the distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates
will pay any underwriting discounts.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We expect that delivery of the Notes will
be made against payment for the Notes on or about 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-61 in the prospectus supplement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>U.S. FEDERAL
INCOME TAX CONSIDERATIONS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Underlyings. 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 Underlyings.
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 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We will not attempt to ascertain whether
any of the entities whose stock is included in an 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 an 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 whose stock
is included in the Underlyings and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in an Underlying is or becomes a PFIC or a USRPHC.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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, 2023. 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 an Underlying 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 an Underlying 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">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</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<TD STYLE="vertical-align: top; width: 45%; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>TABLE OF CONTENTS</B></FONT></TD>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: justify; color: white">You should only
rely on the information contained in this free writing prospectus, 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 free writing prospectus, 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 free writing prospectus,
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 free writing prospectus, the accompanying Equity Index
Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.</P>
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<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>HSBC USA Inc.</B></P>
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<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>$<BR>
Dual Directional Buffered Notes<BR>
Linked to the Least Performing of<BR>
the Dow Jones Industrial<BR>
Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP><BR>
Index</B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>January 31,
2020</B></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>Free Writing
Prospectus</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P></TD></TR>
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<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Free Writing Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">General </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-4</FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Payment at Maturity </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-5</FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Investor Suitability </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-6</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-7</FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Illustrative Examples </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-10</FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of the Reference Asset</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-13</FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Events of Default and Acceleration</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
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<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
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<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Equity Index Underlying Supplement</B></FONT></TD>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Disclaimer</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">i</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The DAX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Dow Jones Industrial Average<SUP>SM</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The EURO STOXX 50<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The FTSE<SUP>®</SUP> 100 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-15</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng China Enterprises Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-17</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The KOSPI 200 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The MSCI Indices</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-23</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The NASDAQ 100 Index<SUP>®</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-27</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Nikkei 225 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-31</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The PHLX Housing Sector<SUP>SM</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Russell 2000<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 100<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-43</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Low Volatility Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-46</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P BRIC 40 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P MidCap 400<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-51</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The TOPIX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Additional Terms of the Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-56 </FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus Supplement</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pricing Supplement</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds and Hedging</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-39</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-61</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
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<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">About this Prospectus</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">2</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Where You Can Find More Information</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">3</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Special Note Regarding Forward-Looking Statements</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">4</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">HSBC USA Inc.</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">7</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">9</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Preferred Stock</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Warrants</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">25</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Purchase Contracts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">30</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Units</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Book-Entry Procedures</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Limitations on Issuances in Bearer Form</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations Relating to Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">41</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to Canadian Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">52</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to EEA Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">53</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to UK Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">UK Financial Promotion</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Matters</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">55</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Legal Opinions</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">57</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Experts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">58</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT><SEC-DOCUMENT>0001104659-20-009457.txt : 20200203
<SEC-HEADER>0001104659-20-009457.hdr.sgml : 20200203
<ACCEPTANCE-DATETIME>20200203060908
ACCESSION NUMBER: 0001104659-20-009457
CONFORMED SUBMISSION TYPE: FWP
PUBLIC DOCUMENT COUNT: 7
FILED AS OF DATE: 20200203
DATE AS OF CHANGE: 20200203
SUBJECT COMPANY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
SEC ACT: 1934 Act
SEC FILE NUMBER: 333-223208
FILM NUMBER: 20566866
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
FILED BY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 212-525-5000
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
</SEC-HEADER>
<DOCUMENT>
<TYPE>FWP
<SEQUENCE>1
<FILENAME>tm205943-80_fwp.htm
<DESCRIPTION>FREE WRITING PROSPECTUS
<TEXT>
<HTML>
<HEAD>
<TITLE></TITLE>
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<P STYLE="margin: 0"> </P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Filed Pursuant to Rule 433</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Registration No. 333-223208</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">January
31, 2020</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">FREE WRITING PROSPECTUS</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(To Prospectus dated February 26, 2018,</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Prospectus Supplement dated February 26,
2018, and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Equity Index Underlying Supplement dated
February 26, 2018)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; font-size: 10pt"><IMG SRC="tm205943d80_img001.jpg" ALT=""></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="color: #0D0D0D"><B>Linked to the Least Performing
of the Dow Jones Industrial Average</B></FONT><B><FONT STYLE="font-size: 10pt"><SUP>®</SUP></FONT> <FONT STYLE="color: #0D0D0D">and
the </FONT><FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index </FONT><FONT STYLE="color: #0D0D0D">(the “Reference
Asset”)</FONT></B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any positive Reference Return of the Least Performing Underlying subject to a Maximum Cap of at least 28.50%
(to be determined on the pricing date)</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x positive exposure to the Absolute Reference Return of the Least Performing Underlying if its Reference Return is negative
but not less than -14%</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>1x exposure to any negative Reference Return of the Least Performing Underlying if its Reference Return is less than -14%,
with up to 86% of Principal Amount at risk.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Approximately 24-month maturity</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.3in">►</TD><TD>Any payments on the Notes are subject to the credit risk of HSBC USA Inc.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Dual Directional Buffered Notes (each a “Note”
and collectively the “Notes") offered hereunder will not be listed on any U.S. securities exchange or automated quotation
system. The Notes will not bear interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">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 the pricing supplement to which this free writing prospectus relates in market-making transactions
in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement
to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page FWP-14 of this document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><B>Investment in the Notes involves certain
risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-1 of the accompanying prospectus
supplement, and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">The Estimated Initial Value of the Notes
on the Pricing Date is expected to be between $960.00 and $990.00 per Note, which will be 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 FWP-3 and “Risk Factors” beginning on page FWP-7 of this document for additional information.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 25%; border-bottom: Black 1pt solid; padding-left: 10pt"> </TD>
<TD STYLE="width: 25%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Price to Public</FONT></TD>
<TD STYLE="width: 27%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Underwriting Discount<SUP>(1)</SUP></FONT></TD>
<TD STYLE="width: 23%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Proceeds to Issuer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Per Note</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000.00</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: Black 1pt solid; padding-left: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Total</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD>
<TD STYLE="border-bottom: Black 1pt solid"> </TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><SUP>(1)</SUP> HSBC USA Inc. or one
of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount in connection with the
distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates will pay any
underwriting discounts. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this
document.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 26.1pt; text-align: center">The Notes:</P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="width: 80%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR>
<TD STYLE="width: 33%; border: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not FDIC Insured</FONT></TD>
<TD STYLE="width: 34%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Are Not Bank Guaranteed</FONT></TD>
<TD STYLE="width: 33%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-left: 26.1pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">May Lose Value</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0; text-align: right"><IMG SRC="tm205943d80_img002.jpg" ALT=""></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 50%; font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">HSBC USA Inc.</FONT></TD>
<TD ROWSPAN="2" STYLE="width: 50%; font-size: 10pt; text-align: right; vertical-align: bottom"><IMG SRC="tm205943d80_img003.jpg" ALT=""></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 14pt; color: #C00000">Dual Directional Buffered Notes</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0; font-size: 3pt"> </P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 11pt"><B>Linked to the Least Performing
of the Dow Jones Industrial Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP> Index</B></FONT></P>
<P STYLE="color: rgb(119,119,119); font: 2pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
a single offering of Dual Directional Buffered Notes. The Notes will have the terms described in this document and the accompanying
prospectus, prospectus supplement, and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent
with those described in the accompanying prospectus, prospectus supplement, or Equity Index Underlying Supplement, the terms described
in this document shall control. <B>You should be willing to forgo interest and dividend payments during the term of the Notes and,
if the Final Value of the Least Performing Underlying (each as defined below) is less than its Buffer Value, <FONT STYLE="font-size: 10pt">lose
some or a significant portion (up to 86%) of your principal</FONT>.</B></P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">This document relates to
an offering of Notes linked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC
USA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of the Notes:</P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Issuer:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">HSBC USA Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Principal Amount:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">$1,000 per Note</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Asset:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">The Dow Jones Industrial Average<SUP>®</SUP> (Ticker: “INDU”) and the </FONT> <FONT STYLE="font-size: 10pt">NASDAQ-100<SUP>®</SUP> Index (Ticker: “NDX”) (each, an “Underlying” and together the “Underlyings”)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Trade Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Pricing Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">February 28, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Original Issue Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 4, 2020</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Valuation Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">March 1, 2022, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">3 business days after the Final Valuation Date, expected to
be March 4, 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.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Payment at Maturity:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt">On the Maturity Date, for each Note, we will pay you the Final Settlement Value.</FONT></TD></TR>
<TR>
<TD STYLE="vertical-align: top; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Settlement Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is greater than its Initial Value, </I></B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of
the Notes, equal to the lesser of:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than or equal to its Initial Value but greater than or equal to its Buffer Value, </I></B>you will receive a cash payment
on the Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>If the Final Value of the Least Performing Underlying
is less than its Buffer Value,</I></B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the
Notes, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Under these circumstances, you will lose 1% of the
Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below its
Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss and
receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maximum Cap:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">At least 28.50%(to be determined on the pricing
date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Upside Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Absolute Return Participation Rate:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">100%</FONT></TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Absolute Reference Return:</B></P></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, the absolute value of its Reference Return. The Absolute Reference Return will always be a positive value or zero. For example, if the Reference Return is -5.00%, the Absolute Reference Return will be +5.00%.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="width: 20%; padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Least Performing Underlying:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Underlying with the lowest Reference Return.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Return:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">With respect to each Underlying, the quotient, expressed as
a percentage, calculated as follows:</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><U>Final Value – Initial
Value</U></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Initial Value</P>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Buffer Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">With respect to each Underlying, 86% of its Initial Value.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Initial Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Pricing Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">With respect to each Underlying, its Official Closing Level on the Final Valuation Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Official Closing Level:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Official Closing Level of the relevant Underlying.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>CUSIP/ISIN:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">40435U4Q4/US40435U4Q47</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Form of Notes:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">Book-Entry</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Listing:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 3pt"><FONT STYLE="font-size: 10pt">The Notes will not be listed on any U.S. Notes exchange or quotation system.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Estimated Initial Value:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 2.15pt 1pt"><FONT STYLE="font-size: 10pt">The Estimated Initial Value of the Notes will be 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. The Estimated Initial Value will be calculated on the Pricing Date. See “Risk Factors — The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”</FONT></TD></TR>
<TR>
<TD COLSPAN="2" STYLE="padding: 10pt 2.15pt 0"><FONT STYLE="font-size: 10pt"><I>The Trade Date, the Pricing Date and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.</I></FONT></TD></TR>
</TABLE>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">GENERAL</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">This document relates to an offering of Notes linked to the
Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. We reserve the right to
withdraw, cancel or modify this offering and to reject orders in whole or in part. Although the offering of Notes relates to the
Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any
Underlying or any security included in any Underlying or as to the suitability of an investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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, prospectus
supplement 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 FWP-7 of this document, 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">You may also obtain:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The Equity Index Underlying Supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus supplement at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The prospectus at: <A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm" STYLE="-sec-extract: exhibit">https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm</A></FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">We are using this document to solicit from you an offer to purchase
the Notes. You may revoke your offer to purchase the Notes at any time prior to the time at which we accept your offer by notifying
HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject any offer to purchase, the Notes prior to their
issuance. In the event of any material changes to the terms of the Notes, we will notify you.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">PAYMENT
AT MATURITY</P>
<P STYLE="color: #C00000; font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">On the Maturity Date, for each Note you
hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
greater than its Initial Value, </B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
equal to the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Reference Return of the Least Performing
Underlying × Upside Participation Rate), and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than or equal to its Initial Value but greater than or equal to its Buffer Value, </B>you will receive a cash payment on the
Maturity Date, per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + ($1,000 × Absolute Reference Return of the Least
Performing Underlying × Absolute Return Participation Rate).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>If the Final Value of the Least Performing Underlying is
less than its Buffer Value,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">$1,000 + [$1,000 × (Reference Return of the Least Performing
Underlying + 14%)].</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Under these circumstances, you will lose
1% of the Principal Amount of your Notes for each percentage point that the Final Value of the Least Performing Underlying is below
its Buffer Value. For example, if the Reference Return of the Least Performing Underlying is -50%, you will suffer a 36% loss
and receive 64% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Final Value of the Least Performing Underlying
is less than its Buffer Value, you will lose some or a significant portion (up to 86%) of your investment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Interest</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Notes will not pay interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Calculation Agent</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We or one of our affiliates will act as
calculation agent with respect to the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">Reference Sponsors</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The reference sponsor of the INDU is S&P Dow Jones Indices
LLC, a division of S&P Global. The reference sponsor of the NDX is Nasdaq, Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B></B></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>INVESTOR SUITABILITY</B></P>
<DIV STYLE="float: left; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes may be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You seek an investment with a return linked to the least performing of the Underlyings and
you believe the Reference Return of the Least Performing Underlying will be positive or will be moderately negative but not below
-14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing
to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying on a 1-to-1 basis for
each percentage point that its Reference Return is below -14%.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">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.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to forgo interest payments on the Notes, and the dividends or other distributions
paid on the constituents included in the Underlyings.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek current income from your investment.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You do not seek an investment for which there is an active secondary market.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are willing to hold the Notes to maturity.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; color: #C00000; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left">►</TD><TD STYLE="text-align: left"><FONT STYLE="color: windowtext">You are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
</DIV>
<DIV STYLE="float: right; width: 48%">
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Notes may not be suitable for you if:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 22.3pt"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You believe that the Final Value of at least one Underlying will be less than its Buffer Value or that the Reference Return
or Absolute Reference Return will not be sufficiently positive to provide you with your desired return.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unwilling to make an investment that is exposed to any negative Reference Return of the Least Performing Underlying
on a 1-to-1 basis for each percentage point that its Reference Return is below -14%.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment that provides full return of principal.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">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.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You prefer to receive periodic interest payments on the Notes, or the dividends or other distributions paid on the constituents
included in the Underlyings.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek current income from your investment.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You seek an investment for which there will be an active secondary market.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are unable or unwilling to hold the Notes to maturity.</TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif; text-align: left"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in; text-align: left"><FONT STYLE="color: #C00000">►</FONT></TD><TD STYLE="text-align: left">You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.</TD></TR></TABLE>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>RISK FACTORS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We urge you to read the section “Risk
Factors” beginning on page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying
Supplement. 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:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
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<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—Risks Relating to All Note
Issuances” in the prospectus supplement; and</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.25in"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT></TD><TD STYLE="text-align: justify"><FONT STYLE="font-family: Times New Roman, Times, Serif">“—General Risks Related to
Indices” in the Equity Index Underlying Supplement.</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0pt; margin-bottom: 0pt; font: 10pt Times New Roman, Times, Serif"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your investment in the Notes may result
in a loss.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will be exposed to the decline in the
Least Performing Underlying from the Pricing Date to the Final Valuation Date on a 1:1 basis for each percentage point that the
Final Value of the Least Performing Underlying is less than its Buffer Value. Accordingly, if the Final Value of the Least Performing
Underlying is less than its Buffer Value, your Payment at Maturity will be less than the Principal Amount of your Notes. You will
lose some or a significant portion (up to 86%) of your investment at maturity if the Final Value of the Least Performing Underlying
is less than its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Your return on the Notes will be limited
by the Maximum Cap if the Reference Return of the Least Performing Underlying is positive.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">You will not participate in any appreciation
in the level of any Underlying (as multiplied by the Upside Participation Rate) beyond the Maximum Cap. If the Reference Return
of the Least Performing Underlying is positive, you will not receive a return on the Notes greater than the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The return on the Notes will be limited
by the Buffer Value and the Absolute Return Participation Rate if the Reference Return of the Least Performing Underlying is negative.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">If the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, your return on the Notes will
equal the Absolute Reference Return of the Least Performing Underlying multiplied by the Absolute Return Participation Rate. However,
if the Final Value of the Least Performing Underlying is less than its Initial Value, your return on the Notes will never be greater
than 15% because the Absolute Reference Return will be inapplicable if the Final Value of the Least Performing Underlying is below
its Buffer Value.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of each Underlying.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">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 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 value of each Underlying. For example, in the case
of notes linked to a basket, the return would depend on the 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. 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. </FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are subject to the credit
risk of HSBC USA Inc.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes are not insured or guaranteed
by any governmental agency of the United States or any other jurisdiction.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 at Maturity.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes will not bear interest. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">As a holder of the Notes, you will not
receive interest payments.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">A Higher Absolute Reference Return
or lower Buffer Values are generally associated with Underlyings with greater expected volatility and therefore can indicate a
greater risk of loss.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><FONT STYLE="font-weight: normal">"Volatility"
refers to the frequency and magnitude of changes in the value 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 value of that Underlying could
close below its Buffer Value on the Final Valuation Date, indicating a higher expected risk of not receiving the Absolute Reference
Return or loss on the Notes. This greater expected risk will generally be reflected in a higher Absolute Reference Return than
the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Buffer
Value or a higher Absolute Reference Return) 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 Absolute Reference Return
may indicate an increased risk of loss. Further, a relatively lower Buffer Value 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 value 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.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Estimated Initial Value of the Notes,
which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value
of the Notes in the secondary market, if any.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Estimated Initial Value of the Notes
will be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflect
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 will determine 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The price of your Notes in the secondary
market, if any, immediately after the Pricing Date will be less than the price to public.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 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 values 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>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. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may initially be used for customer account statements, if any, may exceed the Estimated
Initial Value on the Pricing Date for a temporary period expected to be approximately 6 months after the</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The amount payable on the Notes is not
linked to the values of the Underlyings at any time other than on the Final Valuation Date. </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The Final Values of the Underlyings will
be based on the Official Closing Levels of the Underlyings on the Final Valuation Date, subject to postponement for non-trading
days and certain market disruption events. Even if the value of the Least Performing Underlying appreciates during the term of
the Notes other than on the Final Valuation Date but then decreases on the Final Valuation Date, the Payment at Maturity may be
less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the value of the Least
Performing Underlying prior to such decrease. Although the actual values of the Underlyings on the Maturity Date or at other times
during the term of the Notes may be higher than their respective Final Values, the Payment at Maturity will be based solely on
the Official Closing Levels of the Underlyings on the Final Valuation Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Changes that affect an Underlying may
affect the value of that Underlying and the market value of the Notes and the amount you will receive on the Notes and the amount
you will receive at maturity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 may affect the value of that Underlying.
The policies of the reference sponsor could also affect the value of that Underlying. The reference sponsor may discontinue or
suspend calculation or dissemination of an Underlying. Any such actions could affect the value of an Underlying and the value of
and the return on the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Non-U.S. Securities Risk</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Some of the constituents included in the
NDX are issued by non-U.S. companies. Investments in securities linked to the value of such constituents, such as the Notes, involve
risks associated with the home countries of those non-U.S. companies. The prices of securities in non-U.S. markets may be affected
by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic
and fiscal policies and currency exchange laws.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>The Notes lack liquidity.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Potential conflicts of interest may
exist.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Uncertain tax treatment.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>ILLUSTRATIVE
EXAMPLES</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 value of the Least Performing Underlying relative to its Initial Value. We cannot predict the Final
Value of either Underlying. The assumptions we have made in connection with the illustrations set forth below may not reflect actual
events, and the hypothetical Initial Value of the Least Performing Underlying used in the examples below is not expected to be
its actual Initial Value. You should not take this illustration or these examples as an indication or assurance of the expected
performance of either Underlying or the return on your Notes. The Final Settlement Value may be less than the amount that you would
have received from a conventional debt security with the same stated maturity, including such a security issued by HSBC. The numbers
appearing in the table below and following examples have been rounded for ease of analysis.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The table below illustrates the Final Settlement
Value on a $1,000 investment in the Notes for a hypothetical range of Reference Returns of the Least Performing Underlying from
-100% to +100%. The following results are based solely on the assumptions outlined below. The “Hypothetical Return on the
Notes” as used below is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000
Principal Amount to $1,000. The potential returns described here assume that your Notes are held to maturity. You should consider
carefully whether the Notes are suitable to your investment goals. The following table and examples assume the following:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 3%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="width: 43%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Principal Amount:</FONT></TD>
<TD STYLE="width: 54%; text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">$1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Initial Value for each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1,000</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Buffer Value of each Underlying:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">860 (86% of its Initial Value)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Hypothetical Maximum Cap:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">28.50% (to be determined on the Pricing Date)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Upside Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-bottom: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Webdings; color: #C00000">4</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: #C00000"> </FONT><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"> </FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Absolute Return Participation Rate:</FONT></TD>
<TD STYLE="text-align: justify; padding-right: 1pt; padding-left: 1pt"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">100%</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The actual Initial Value of each Underlying
will be determined on the Pricing Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 75%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="border-top: Black 1pt solid; width: 33%; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical<BR>
Reference Return of <BR>
the Least Performing<BR>
Underlying </B></FONT></TD>
<TD STYLE="border-top: Black 1pt solid; width: 32%; padding-right: 5.75pt; padding-left: 5.75pt; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: white"><B>Hypothetical Final <BR>
Settlement Value</B></FONT></TD>
<TD STYLE="text-align: center; width: 35%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Hypothetical </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center; color: white"><B>Return on the Notes</B></P></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">100.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">60.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,285.00</FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">28.50%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,285.00</B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>28.50%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,200.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">20.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,150.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">15.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,000.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>0.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-1.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,010.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">1.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-2.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,020.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">2.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-5.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,050.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">5.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-10.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$1,100.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">10.00%</FONT></TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>-14.00%</B></FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>$1,140.00 </B></FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black"><B>14.00%</B></FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-20.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$940.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-6.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-30.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$840.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-16.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-40.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$740.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-26.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-50.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$640.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-36.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-80.00%</FONT></TD>
<TD STYLE="padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$340.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-66.00%</FONT></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-100.00%</FONT></TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">$140.00 </FONT></TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 0.75in; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt; color: black">-86.00%</FONT></TD></TR>
</TABLE>
<P STYLE="text-align: right; margin-top: 0; margin-bottom: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 1: The Final Value of the Least
Performing Underlying is greater than its Initial Value but less than less than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,050.00 (105% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,050.00, the Reference Return of the Least Performing
Underlying is 5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,050.00 – 1,000.00) / 1,000.00 =
5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
less than the Maximum Cap, the Final Settlement Value would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as
follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Reference Return of the Least Performing Underlying × Hypothetical Upside Participation Rate)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 2: The Final Value of the Least
Performing Underlying is greater than 1,300.00.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,500.00 (150% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,400.00 (140% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NDX is the Least Performing Underlying.
Because the Initial Value of NDX is 1,000.00 and the Final Value of NDX is 1,400.00, the Reference Return of the Least Performing
Underlying is 40.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(1,400.00 – 1,000.00) / 1,000.00 =
40.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is greater than its Initial Value, and the sum of its Reference Return multiplied by the Upside Participation Rate is
greater than the Maximum Cap, the Final Settlement Value would be $1,285.00 per $1,000 Principal Amount of the Notes, calculated
as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">$1,000 + ($1,000
× Maximum Cap)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,000 +
($1,000 × 28.50%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in">= $1,285.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left; text-indent: 0.75in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 3: The Final Value of the Least
Performing Underlying is less than its Initial Value but greater than or equal to its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">950.00 (95% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00 (100% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">INDU is the Least Performing Underlying. Because the Initial
Value of the INDU is 1,000.00 and the Final Value of INDU is 950.00, the Reference Return of the Least Performing Underlying is
-5.00%, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(950.00 - 1,000.00) / 1,000.00 = -5.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than or equal to its Initial Value but greater than or equal to its Buffer Value, the Final Settlement Value
would be $1,050.00 per $1,000 Principal Amount of the Notes, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; margin-left: 1.5in">
<TR STYLE="vertical-align: bottom">
<TD STYLE="font: 10pt Times New Roman, Times, Serif">$1,000 + ($1,000 × Absolute Reference Return of the Least Performing Underlying × Absolute Return Participation Rate)</TD></TR>
</TABLE>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + ($1,000
× 5.00% × 100%)</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Example 4: The Final Value of the Least
Performing Underlying is less than its Buffer Value.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse">
<TR STYLE="background-color: #C00000">
<TD STYLE="vertical-align: top; width: 30%; border-top: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="width: 30%; border-top: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 40%; border-top: Black 1pt solid; border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Underlying</B></TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Initial Value</B></TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center"><B>Final Value</B></TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">INDU</TD>
<TD STYLE="padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">800.00 (80% of its Initial Value)</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="vertical-align: top; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">NDX</TD>
<TD STYLE="border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">1,000.00</TD>
<TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; font-size: 10pt; text-align: center">500.00 (50% of its Initial Value)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">NDX is the Least Performing Underlying. Because the Initial
Value of NDX is 1,000.00 and the Final Value of NDX is 500.00, the Reference Return of the Least Performing Underlying is -50.00%,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(500.00 – 1,000.00) / 1,000.00 = -50.00%</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Because the Final Value of the Least Performing
Underlying is less than its Buffer Value, the Final Settlement Value would be $640.00 per $1,000 Principal Amount of the Notes,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">$1,000 + [$1,000
× (Reference Return of the Least Performing Underlying + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $1,000 + [$1,000
× (-50.00% + 14%)]</P>
<P STYLE="font: 2pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in">= $640.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: left; text-indent: 0.5in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Example 3 shows that you are exposed on a 1-to-1 basis to declines
in the value of the Least Performing Underlying that is less than its Buffer Value. <B>YOU MAY LOSE UP TO 86% OF THE PRINCIPAL
AMOUNT OF YOUR NOTES.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; color: #C00000"><FONT STYLE="text-transform: uppercase"><B>DESCRIPTION
OF THE REFERENCE ASSET</B></FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="vertical-align: top; width: 48%">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The INDU is a price-weighted index compromised
of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the entire U.S. market,
covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer goods, but excluding
the transportation and utilities industries.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about this underlying
index, see “The Dow Jones Industrial Average<SUP>SM</SUP>” beginning on page S-10 of the accompanying Equity Index
Underlying Supplement.</I></B></P></TD>
<TD STYLE="vertical-align: top; width: 2%; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Historical Performance of the INDU</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the INDU based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><IMG SRC="tm205943d80_img004.jpg" ALT=""> </P></TD>
</TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="vertical-align: top; font-size: 10pt"> </TD>
<TD STYLE="vertical-align: top"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Description of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B><I>For more information about the NDX,
see “The NASDAQ-100<SUP>®</SUP> Index” beginning on page S-27 of the accompanying Equity Index Underlying Supplement.</I></B></P></TD>
<TD STYLE="text-align: justify; font-size: 10pt"> </TD>
<TD>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><B>Historical Performance of the NDX</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">The following graph sets forth the historical
performance of the NDX based on the daily historical closing levels from January 30, 2010 through January 30, 2020. We obtained
the closing levels below from the Bloomberg Professional<SUP>®</SUP> service. We have not undertaken any independent review
of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional<SUP>®</SUP>
service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: center"><IMG SRC="tm205943d80_img005.jpg" ALT=""><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>EVENTS OF
DEFAULT AND ACCELERATION</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Reference Return of an Underlying, and the accelerated Maturity Date will be three business days
after the accelerated Final Valuation Date. 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 following the postponed accelerated Final Valuation Date. 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 Value will be made on such date, irrespective of the existence of a market disruption
event with respect to any other Underlying occurring on such date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>SUPPLEMENTAL
PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 set forth on the cover page of the pricing supplement to which
this free writing prospectus relates, for distribution to other registered broker-dealers, or will offer the Notes directly to
investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forth on the cover page of this free
writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying referral fees of up to 0.80% per $1,000 Principal Amount
in connection with the distribution of the Notes to other registered broker-dealers. Neither HSBC USA Inc. nor any of its affiliates
will pay any underwriting discounts.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We expect that delivery of the Notes will
be made against payment for the Notes on or about 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-61 in the prospectus supplement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"><B>U.S. FEDERAL
INCOME TAX CONSIDERATIONS</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify; color: #C00000"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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 Underlyings. 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 Underlyings.
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 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We will not attempt to ascertain whether
any of the entities whose stock is included in an 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 an 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 whose stock
is included in the Underlyings and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in an Underlying is or becomes a PFIC or a USRPHC.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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, 2023. 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 an Underlying 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 an Underlying 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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">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.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify">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</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font-size: 10pt">FWP-<!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></P></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><P STYLE="margin: 0pt"> </P></DIV>
<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.7pt 0pt 0; text-align: justify"></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="vertical-align: top; width: 45%; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>TABLE OF CONTENTS</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; width: 7%; text-align: right"> </TD>
<TD STYLE="vertical-align: top; width: 1%; text-align: right"> </TD>
<TD ROWSPAN="67" STYLE="vertical-align: top; width: 47%; background-color: #C00000; padding-top: 10pt; padding-right: 7pt; padding-left: 7pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: justify; color: white">You should only
rely on the information contained in this free writing prospectus, 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 free writing prospectus, 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 free writing prospectus,
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 free writing prospectus, the accompanying Equity Index
Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.</P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>HSBC USA Inc.</B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>$<BR>
Dual Directional Buffered Notes<BR>
Linked to the Least Performing of<BR>
the Dow Jones Industrial<BR>
Average<SUP>®</SUP> and the NASDAQ-100<SUP>®</SUP><BR>
Index</B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B> </B></P>
<P STYLE="font: 14pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>January 31,
2020</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"><B>Free Writing
Prospectus</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0.05pt 0pt 0; text-align: center; color: white"> </P></TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Free Writing Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">General </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-4</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Payment at Maturity </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-5</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Investor Suitability </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-6</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-7</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Illustrative Examples </FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of the Reference Asset</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-13</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Events of Default and Acceleration</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Equity Index Underlying Supplement</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Disclaimer</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">i</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The DAX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Dow Jones Industrial Average<SUP>SM</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The EURO STOXX 50<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The FTSE<SUP>®</SUP> 100 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-14</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-15</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Hang Seng China Enterprises Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-17</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The KOSPI 200 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The MSCI Indices</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-23</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The NASDAQ 100 Index<SUP>®</SUP></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-27</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Nikkei 225 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-31</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The PHLX Housing Sector<SUP>SM</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The Russell 2000<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 100<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-43</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P 500<SUP>®</SUP> Low Volatility Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-46</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P BRIC 40 Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The S&P MidCap 400<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-51</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">The TOPIX<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Additional Terms of the Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-56 </FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus Supplement</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Pricing Supplement</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-10</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Notes</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-12</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds and Hedging</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-37</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-39</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">S-61</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"> </TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt"><B>Prospectus</B></FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"> </TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">About this Prospectus</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">1</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">2</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Where You Can Find More Information</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">3</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Special Note Regarding Forward-Looking Statements</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">4</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">HSBC USA Inc.</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">7</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Use of Proceeds</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">8</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">9</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Preferred Stock</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">20</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Warrants</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">25</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Purchase Contracts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">30</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Description of Units</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">33</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Book-Entry Procedures</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">36</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Limitations on Issuances in Bearer Form</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">40</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">U.S. Federal Income Tax Considerations Relating to Debt Securities</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">41</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">49</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to Canadian Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">52</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to EEA Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">53</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Notice to UK Investors</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">UK Financial Promotion</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">54</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Certain ERISA Matters</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">55</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Legal Opinions</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">57</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
<TR>
<TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">Experts</FONT></TD>
<TD STYLE="white-space: nowrap; vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 10pt">58</FONT></TD>
<TD STYLE="vertical-align: top; text-align: right"> </TD></TR>
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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