0001144204-17-023713.txt : 201705010001144204-17-023713.hdr.sgml : 2017050120170501171145ACCESSION NUMBER:0001144204-17-023713CONFORMED SUBMISSION TYPE:FWPPUBLIC DOCUMENT COUNT:11FILED AS OF DATE:20170501DATE AS OF CHANGE:20170501

SUBJECT COMPANY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWPSEC ACT:1934 ActSEC FILE NUMBER:333-202524FILM NUMBER:17801798

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FILED BY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWP

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FWP1v465110_fwp.htmFREE WRITING PROSPECTUS

Filed Pursuant to Rule 433

Registration No. 333-202524

May 1, 2017

FREE WRITING PROSPECTUS

(To Prospectus dated March 5, 2015,

Prospectus Supplement dated March 5, 2015and

Equity Index Underlying Supplement datedMarch 5, 2015)

Linked to the S&P 500 Indexand the Russell 2000 Index (each an Underlying, and together, the Reference Asset)

Annualized monthly coupons of at least 6.25% per annum, to be determined on the Pricing Date and to be paid in equal monthlyinstallments (approximately 0.5208% per month)

Contingent return of principal; if the notes are not called and a Trigger Event occurs, the return on the notes is linked tothe performance of the Least Performing Underlying

Callable quarterly on or after November 27, 2017

15 Month Maturity

All payments on the notes are subject to the credit risk of HSBC USA Inc.

The Autocallable Yield Notes (each a Note andcollectively the Notes) offered hereunder will not be listed on any U.S. securities exchange or automated quotationsystem.

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 thisdocument, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any representation to the contraryis a criminal offense.

We have appointed HSBC Securities (USA) Inc., an affiliate ofours, as the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to otherregistered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. or another of its affiliatesor agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions in any Notesafter their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement to whichthis free writing prospectus relates is being used in a market-making transaction. See Supplemental Plan of Distribution(Conflicts of Interest) on page FWP-17 of this free writing prospectus.

Investment in the Notes involves certain risks. You shouldrefer to Risk Factors beginning on page FWP-9 of this document, page S-1 of the accompanying prospectus supplementand page S-2 of the accompanying Equity Index Underlying Supplement.

The Estimated Initial Value of the Notes on the Pricing Dateis expected to be between $970 and $995 per Note, which will be less than the price to public. The market value of the Notes atany time will reflect many factors and cannot be predicted with accuracy. See Estimated Initial Value on page FWP-5and Risk Factors beginning on page FWP-9 of this document for additional information.

Price to Public Underwriting Discount1 Proceeds to Issuer

Per security $1,000

Total

1HSBC USA Inc. or one of our affiliates may pay varyingunderwriting discounts of up to 0.35% and referral fees of up to 0.75% per $1,000 Principal Amount of Notes in connection withthe distribution of the Notes to other registered broker-dealers. In no case will the sum of the underwriting discounts and referralfees exceed 0.75% per $1,000 Principal Amount. See Supplemental Plan of Distribution (Conflicts of Interest) on pageFWP-17 of this free writing prospectus.

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

Indicative Terms1

Principal Amount $1,000 per security

Term 15 months

Reference Asset Composed of the S&P 500 Index (SPX) and the Russell 2000 Index (RTY) (each an Underlying and together the Underlyings).

Annual Coupon Rate At least 6.25% per annum (to be determined on the Pricing Date), approximately 0.5208% per month.

Call Feature The Notes will be automatically called if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after November 27, 2017.2 In that case, you will receive a payment, per $1,000 Principal Amount of Notes, equal to the Principal Amount plus the coupon payment payable on the corresponding Call Payment Date2

Final Return

With respect to each Underlying
Final Level Initial Level

Initial Level

Least Performing Underlying The Underlying with the lowest Final Return

Payment at

Maturity per Note

Unless the Notes are automatically called, for each $1,000 Principal Amount of Notes, you will receive a payment on the Maturity Date calculated as follows, plus the final coupon payment:

(a)If a Trigger Event does not occur, 100% of the Principal Amount.

(b)If a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or zero, an amount equal to 100% of the Principal Amount.

(c)If a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative, an amount equal to (i) 100% of the Principal Amount multiplied by (ii) the sum of one plus the Final Return of the Least Performing Underlying.

Trigger Event A Trigger Event occurs if the Official Closing Level of either Underlying is below its Trigger Level on any scheduled trading day during the Observation Period.2

Trigger Level For each Underlying, 70% of its Initial Level.

Trade Date and Pricing Date May 25, 2017

Original Issue Date May 31, 2017

Final Valuation Date August 28, 2018

Maturity Date August 31, 2018

CUSIP / ISIN 40433U4P8 / US40433U4P84

(1) As more fullydescribed on page FWP-4.

(2) See page FWP-5 for ObservationPeriod, Call Observation Dates, Call Payment Dates and Coupon Payment Dates.

TheNotes

The Notes may be suitable for investorswho believe the level of each Underlying will remain above its Trigger Level and who seek fixed monthly coupon payments (higherthan the yield on traditional conventional debt securities with a similar term and issued by issuers with a credit rating similarto ours) as long as the Notes are not automatically called.

If the Notes are not automatically calledand if a Trigger Event does not occur during the Observation Period, you will receive the Principal Amount at maturity plus thefinal coupon payment.

If the Notes are not automatically calledand if a Trigger Event occurs with respect to either Underlying in the Reference Asset during the Observation Period, you may losesome or all of your Principal Amount. In that case, even with the coupon payments made prior to maturity, your return on the Notesmay be negative.

If both Underlyingsare at or above their respective Initial Levels on any Call Observation Date, your Notes will be automatically called and you willreceive a payment equal to 100% of the Principal Amount plus the coupon payment payable on the corresponding Call Payment Date

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Illustration of Payment Scenarios

Your payment on the Notes will depend on whether the Notes have been automatically called and whether a Trigger Event occurs. Regardless of whether a Trigger Event occurs, you will receive your monthly coupons on each Coupon Payment Date, subject to your Notes being automatically called. If you lose some or all of your Principal Amount, even with the coupon payments, your return on the Notes may be negative.

Information about the Reference Asset

The S&P 500 Index is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

The Russell 2000 Index consists of the smallest 2,000 companies included in the Russell 3000 Index, which is composed of the 3,000 largest U.S. companies as determined by market capitalization.

The graphs above illustrate the performance of the Underlyingsfrom January 1, 2008 through April 25, 2017. Past performance is not necessarily an indication of future results. For further informationon the Reference Asset please see Information Relating to the Reference Asset beginning on page FWP-15 and TheS&P 500 Index and The Russell 2000 Index in the accompanying Equity IndexUnderlying Supplement. We have derived all disclosure regarding the Underlyings from publicly available information. Neither HSBCUSA Inc. nor any of its affiliates have undertaken any independent review of, or made any due diligence inquiry with respect to,the publicly available information about the Underlyings.

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HSBC USA Inc.

15-Month Autocallable Yield Notes

This free writing prospectusrelates to a single offering of Autocallable Yield Notes. The Notes will have the terms described in this free writing prospectusand the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement. If the terms of the Notes offeredhereby are inconsistent with those described in the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement,the terms described in this free writing prospectus shall control.

This free writing prospectusrelates to an offering of Notes linked to the performance of two indices (the Reference Asset). The purchaser ofa Note will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described below. The followingkey terms relate to the offering of Notes:

Issuer: HSBC USA Inc.

Principal Amount: $1,000 per Note

Reference Asset: The S&P 500 Index (SPX) and the Russell 2000 Index (RTY) (each an Underlying and together the Underlyings)

Trade Date: May 25, 2017

Pricing Date: May 25, 2017

Original Issue Date: May 31, 2017

Final Valuation Date: August 28, 2018, subject to adjustment as described under Additional Terms of the NotesValuation Dates in the accompanying Equity Index Underlying Supplement.

Maturity Date: 3 business days after the Final Valuation Date, expected to be August 31, 2018. The Maturity Date is subject to adjustment as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Call Feature: We will automatically call the Notes if the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after November 27, 2017. If the Notes are automatically called, they will be redeemed on the corresponding Call Payment Date, per $1,000 Principal Amount of Notes, at 100% of their Principal Amount together with the coupon payment payable on that day.

Payment at Maturity: Unless the Notes are automatically called, on the Maturity Date, for each $1,000 Principal Amount of Notes, we will pay you the Final Settlement Value plus the final coupon payment.

Final Settlement Value:

4If a Trigger Event does not occur, 100% of the Principal Amount.

4If a Trigger Event occurs and the Final Return of the Least Performing Underlying is positive or zero, 100% of the Principal Amount.

4If a Trigger Event occurs and the Final Return of the Least Performing Underlying is negative, 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least Performing Underlying. In such a case, you may lose up to 100% of your Principal Amount regardless of the performance of the other Underlying.

Trigger Event: A Trigger Event occurs if the Official Closing Level of either Underlying is below its Trigger Level on any trading day during the Observation Period.

Trigger Level: For each Underlying, 70% of the Initial Level of such Underlying.

Least Performing Underlying: The Underlying with the lowest Final Return.

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Observation Period: The period from but excluding the Trade Date to and including the Final Valuation Date, subject to adjustment as described under Additional Terms of the NotesObservation Periods in the accompanying Equity Index Underlying Supplement.

Call Observation Dates: The 3rd Business Day prior to the relevant Call Payment Date. The Call Observation Dates are subject to postponement as described under Additional Terms of the NotesValuation Dates in the accompanying Equity Index Underlying Supplement.

Call Payment Dates: November 30, 2017, February 28, 2018, May 31, 2018, and the Maturity Date, The Call Payment Dates are subject to postponement as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Annual Coupon Rate (paid monthly): At least 6.25% per annum (to be determined on the Pricing Date), payable monthly in equal installments (approximately 0.5208% per month).

Coupon Payment Dates: June 30, 2017, July 31, 2017, August 31, 2017, September 29, 2017, October 31, 2017, November 30, 2017, December 29, 2017, January 31, 2018, February 28, 2018, March 29, 2018, April 30, 2018, May 31, 2018, June 29, 2018, July 31, 2018 and the Maturity Date. The Coupon Payment Dates are subject to postponement as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Final Return:

With respect to each Underlying, the quotient, expressed as a percentage, calculated as follows:

Final Level Initial Level

Initial Level

Initial Level: The Official Closing Level of the relevant Underlying on the Pricing Date.

Final Level: The Official Closing Level of the relevant Underlying on the Final Valuation Date.

Official Closing Level: With respect to each Underlying, the Official Closing Level on any trading day for such Underlying will be the closing level of the Underlying as determined by the calculation agent as described under Payment on the NotesOfficial Closing Level on page FWP-7 below.

CUSIP / ISIN: 40433U4P8 / US40433U4P84

Form of Notes: Book-Entry

Listing: The Notes will not be listed on any U.S. securities exchange or quotation system.

Estimated Initial Value: The Estimated Initial Value of the Notes 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 and will be set forth in the pricing supplement to which this free writing prospectus relates. 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.

The Trade Date, the Pricing Date and the other dates setforth above are subject to change, and will be set forth in the final pricing supplement relating to the Notes.

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GENERAL

This free writing prospectus relates tothe offering of Notes identified on the cover page. The purchaser of a Note will acquire a senior unsecured debt security of HSBCUSA Inc. We reserve the right to withdraw, cancel or modify this offering and to reject orders in whole or in part. Although theoffering of Notes relates to the Reference Asset identified on the cover page, you should not construe that fact as a recommendationas to the merits of acquiring an investment in any component security included in any Underlying or as to the suitability of aninvestment in the Notes.

You should read this document togetherwith the prospectus dated March 5, 2015, the prospectus supplement dated March 5, 2015 and the Equity Index Underlying Supplementdated March 5, 2015. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectussupplement, prospectus or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.You should carefully consider, among other things, the matters set forth in Risk Factors beginning on page FWP-9of this free writing prospectus, beginning on page S-1 of the prospectus supplement and beginning on page S-2 of the Equity IndexUnderlying Supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult yourinvestment, legal, tax, accounting and other advisors before you invest in the Notes. As used herein, references to the Issuer,HSBC, we, us and our are to HSBC USA Inc.

HSBC has filed a registration statement(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which thisfree writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index UnderlyingSupplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBCand this offering. You may get these documents for free by visiting EDGAR on the SECs 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 supplementand Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.

You may also obtain:

4The Equity Index Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm

4The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm

4The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm

We are using this free writing prospectusto solicit from you an offer to purchase the Notes. You may revoke your offer to purchase the Notes at any time prior to the timeat which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject anyoffer to purchase, the Notes prior to their issuance. In the event of any material changes to the terms of the Notes, we will notifyyou.

PAYMENT ON THE NOTES

Call Feature

The Notes will be automatically calledif the Official Closing Level of each Underlying is at or above its Initial Level on any Call Observation Date on or after November27, 2017. If the Notes are automatically called, investors will receive, on the corresponding Call Payment Date, a cash paymentper $1,000 Principal Amount of Notes equal to 100% of the Principal Amount plus the coupon payment payable on that day.

Maturity

Unless the Notes are automatically called,on the Maturity Date and for each $1,000 Principal Amount of Notes, you will receive a cash payment equal to the final coupon paymentplus the Final Settlement Value determined as follows:

4If a Trigger Event does not occur, 100% of the Principal Amount.

4If a Trigger Event occurs and the Final Return of the Least PerformingUnderlying is positive or zero, 100% of the Principal Amount.

4If a Trigger Event occurs and the Final Return of the Least PerformingUnderlying is negative, 100% of the Principal Amount multiplied by the sum of one plus the Final Return of the Least PerformingUnderlying, which will result in a Final Settlement Value less than the Principal Amount.

Coupon

Unless the Notes are automatically called,on each Coupon Payment Date, for each $1,000 Principal Amount of Notes, you will be paid an amount equal to the product of (a)$1,000 multiplied by (b) the Annual Coupon Rate divided by twelve. The expected Coupon Payment Dates are set forth above. The CouponPayment Dates are subject to postponement for non-business days and other events as described under Additional Terms ofthe NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.For information regarding the record dates applicable to the Coupons paid on the

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Notes, please see the section entitledDescription of NotesInterest and Principal PaymentsRecipients of Interest Payments on page S-11 inthe accompanying prospectus supplement.

The Annual Coupon Rate will be at least6.25% per annum, to be determined on the Pricing Date and to be paid in equal monthly installments.

Official Closing Level

With respect to each Underlying, the OfficialClosing Level on any trading day will be determined by the calculation agent based upon the closing level of such index, displayedon the following pages on the Bloomberg Professional service: for SPX, page SPX , andfor RTY page RTY . With respect to any of the foregoing, if the level for the relevant Underlying isnot so displayed on such page, the calculation agent may refer to the display on any successor page on the Bloomberg Professionalservice or any successor service, as applicable.

Observation Period

The period from but excluding the TradeDate to and including the Final Valuation Date, subject to adjustment as described under AdditionalTerms of the NotesObservation Periods in the accompanying Equity Index Underlying Supplement.

Calculation Agent

We or one of our affiliates will act ascalculation agent with respect to the Notes.

Reference Sponsor

With respect to SPX, S&P Dow JonesIndices LLC, a division of S&P Global, is the reference sponsor. With respect to RTY, FTSE Russell is the reference sponsor.

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INVESTOR SUITABILITY

The Notes may be suitable for you if:

4You believe that the Official Closing Level of each of the Underlyings will not be below its Trigger Level on any trading day during the Observation Period.

4Youare willing to make an investment that is potentially exposed to downside performance of the Least Performing Underlying on a1-to-1 basis.

4Youare willing to hold Notes that will be automatically called on any Call Observation Date on or after November 27, 2017 on whichthe Official Closing Level of each Underlying is at or above its Initial Level.

4Youare willing to invest in the Notes based on the fact that your maximum potential return is the coupon being offered with respectto the Notes.

4Youare willing to be exposed to the possibility of early redemption.

4Youare willing to forgo distributions paid on the stocks comprising the indices included in the Reference Asset.

4Youare willing to hold the Notes to maturity.

4Youdo not seek an investment for which there will be an active secondary market.

4Youare willing to accept the risk and return profile of the Notes versus a conventional debt security with a comparable maturityissued by HSBC or another issuer with a similar credit rating.

4Youare comfortable with the creditworthiness of HSBC, as Issuer of the Notes.

The Notes may not be suitable for you if:

4You believe that the Official Closing Level of one or both of the Underlyings will be below its Trigger Level on any trading day during the Observation Period.

4Youare unwilling to make an investment that is potentially exposed to downside performance of the Least Performing Underlying ona 1-to-1 basis.

4Youare unable or unwilling to hold Notes that will be automatically called on any Call Observation Date on or after November 27,2017 on which the Official Closing Level of each Underlying is at or above its Initial Level, or you are otherwise unable or unwillingto hold the Notes to maturity.

4Youare unwilling to invest in the Notes based on the fact that your maximum potential return is the coupon being offered with respectto the Notes.

4Youare unwilling to be exposed to the possibility of early redemption.

4Youprefer to receive the distributions paid on the stocks comprising the indices included in the Reference Asset.

4Youprefer a product that provides upside participation in the Reference Asset, as opposed to the coupon being offered with respectto your Notes.

4Youseek an investment for which there will be an active secondary market.

4Youprefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturitiesissued by HSBC or another issuer with a similar credit rating.

4Youare not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the Notes.

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RISK FACTORS

We urge you to read the section RiskFactors beginning on pageS-1 in the accompanying prospectus supplement and beginning on page S-2 of the accompanyingEquity Index Underlying Supplement. Investing in the Notes is not equivalent to investing directly in any of the stocks comprisingeither Underlying. You should understand the risks of investing in the Notes and should reach an investment decision only aftercareful consideration, with your advisors, of the suitability of the Notes in light of your particular financial circumstancesand the information set forth in this free writing prospectus and the accompanying prospectus, prospectus supplement and EquityIndex Underlying Supplement.

In addition to the risks discussed below,you should review Risk Factors in the accompanying prospectus supplement and Equity Index Underlying Supplement includingthe explanation of risks relating to the Notes described in the following sections:

4Risks Relating to All Note Issuances in the prospectus supplement; and

4General risks related to Indices in the Equity Index Underlying Supplement.

You will be subject tosignificant risks not associated with conventional fixed-rate or floating-rate debt securities.

The Notes do not guarantee returnof principal and you may lose all of your Principal Amount.

The Notes do not guarantee any return ofprincipal. The Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notesif the Notes are not automatically called and if a Trigger Event occurs during the Observation Period and the Final Return of theLeast Performing Underlying is negative. In this case, the Payment at Maturity will be less than the Principal Amount and you couldlose all your Principal Amount if the level of the Least Performing Underlying falls to zero. In that case, even with the couponpayments, your return on the Notes may be negative.

You will not participate in any appreciationin the level of any of the Underlyings included in the Reference Asset.

The Notes will not pay more than the PrincipalAmount, plus any unpaid coupon payment, at maturity or if the Notes are automatically called. Even if the Final Return of eachUnderlying in the Reference Asset is greater than zero (regardless of whether a Trigger Event has occurred), you will not participatein the appreciation of any Underlying. Assuming the Notes are held to maturity, the maximum amount payable with respect to theNotes will not exceed the sum of the Principal Amount plus any coupon payments. Under no circumstances, regardless of the extentto which the level of any Underlying appreciates, will your return exceed the total amount of the coupon payments. In some cases,you may earn significantly less by investing in the Notes than you would have earned by investing in an instrument directly linkedto the performance of the Underlyings included in the Reference Asset.

The Notes are subject to the creditrisk of HSBC USA Inc.

The Notes are senior unsecured debt obligationsof the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in theaccompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinateddebt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes,including coupons and any return of principal at maturity or upon early redemption, as applicable, depends on the ability of HSBCto satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the marketvalue of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you underthe terms of the Notes.

If a Trigger Event occurs with respectto any Underlying, your return will be based on the Final Return of the Least Performing Underlying.

The performanceof either of the Underlyings may cause a Trigger Event to occur. If a Trigger Event occurs and the Notes are not automaticallycalled, your return will be based on the Final Return of the Least Performing Underlying without regard to the performance of theother Underlying or which Underlying caused the Trigger Event to occur. As a result, you could lose all or some of your initialinvestment if the Final Return of the Least Performing Underlying is negative and a Trigger Event occurs, even if there is an increasein the level of the other Underlying. This could be the case even if the other Underlying caused the Trigger Event to occur orthe other Underlying increased by an amount greater than the decrease in the Least Performing Underlying.

The Notes may be automatically calledprior to the Maturity Date.

If theNotes are automatically called early, the holding period over which you will receive coupon payments could be as little as 6 months.There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return fora similar level of risk in the event the Notes are automatically called prior to the Maturity Date.

Small-capitalization risk.

The RTYtracks companies that are considered small-capitalization. These companies often have greater stock price volatility, lower tradingvolume and less liquidity than large-capitalization companies and therefore the level of the RTY may be more volatile than an investmentin stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable

FWP-9

thanthose of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companiesmay be thinly traded, making it difficult for the RTY to track them. In addition, small-capitalization companies are typicallyless stable financially than large-capitalization companies and may depend on a small number of key personnel, making them morevulnerable to loss of personnel. Small-capitalization companies are often subject to less analyst coverage and may be in early,and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse productlines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalizationcompanies and are more susceptible to adverse developments related to their products.

Since the Notes are linked to theperformance of more than one Underlying, you will be fully exposed to the risk of fluctuations in the levels of each Underlying.

Sincethe Notes are linked to the performance of more than one Underlying, the Notes will be linked to the individual performance ofeach Underlying. Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among allof the components of a basket, you will be exposed to the risk of fluctuations in the prices of the Underlyings to the same degreefor each Underlying. For example, in the case of Notes linked to a weighted basket, the return would depend on the weighted aggregateperformance of the basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigatedby the appreciation of another basket component, as scaled by the weightings of such basket components. However, in the case ofthese Notes, the individual performance of each of the Underlyings would not be combined to calculate your return and the depreciationof either Underlying would not be mitigated by the appreciation of the other Underlying. Instead, your return would depend on theLeast Performing Underlying of the two Underlyings to which the Notes are linked.

Changes that affect the ReferenceAsset may affect the market value of the Notes and the amount you will receive at maturity.

The policies of the reference sponsor ofeach Underlying concerning additions, deletions and substitutions of the constituents comprising such Underlying and the mannerin which the reference sponsor takes account of certain changes affecting those constituents may affect the level of such Underlying.The policies of the reference sponsor with respect to the calculation of the relevant Underlying could also affect the level ofsuch Underlying. The reference sponsor may discontinue or suspend calculation or dissemination of the relevant Underlying. Anysuch actions could affect the value of the Notes and the return on the Notes.

The Notes are not insured or guaranteedby any governmental agency of the United States or any other jurisdiction.

The Notes are not deposit liabilities orother obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmentalagency or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC,and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturityon the Notes.

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 valueof the Notes in the secondary market, if any.

The Estimated Initial Value of the Noteswill be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflectour internal funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market valueof the embedded derivatives in the Notes. This internal funding rate is typically lower than the rate we would use when we issueconventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the ratewe would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the Notes may belower 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 termsof the Notes to be more favorable to you. We will determine the value of the embedded derivatives in the Notes by reference toour or our affiliates internal pricing models. These pricing models consider certain assumptions and variables, which caninclude volatility and interest rates. Different pricing models and assumptions could provide valuations for the Notes that aredifferent from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future events, which mayprove to be incorrect. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates wouldbe willing to purchase your Notes in the secondary market (if any exists) at any time.

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The price of your Notes in the secondary market, if any,immediately after the Pricing Date will be less than the price to public.

The priceto public takes into account certain costs. These costs, which will be used or retained by us or one of our affiliates, includethe underwriting discount, our affiliates projected hedging profits (which may or may not be realized) for assuming risksinherent in hedging our obligations under the Notes, and the costs associated with structuring and hedging our obligations underthe Notes. If you were to sell your Notes in the secondary market, if any, the price you would receive for your Notes may be lessthan the price you paid for them because secondary market prices will not take into accountthese costs. The price of your Notes in the secondary market, if any, at any time after issuance will vary based on many factors,including the value of the relevant Reference Asset and changes in market conditions, and cannot be predicted with accuracy. TheNotes are not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the Notes tomaturity. Any sale of the Notes prior to maturity could result in a loss to you.

If we were to repurchase your Notesimmediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the Notes.

Assuming that all relevant factors remainconstant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the Notes in thesecondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer accountstatements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately3 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectivelyreimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connectionwith the Notes that we will no longer expect to incur over the term of the Notes. We will make such discretionary election anddetermine this temporary reimbursement period on the basis of a number of factors, including the tenor of the Notes and any agreementwe may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors inthis way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any timeor revise the duration of the reimbursement period after the Original Issue Date of the Notes based on changes in market conditionsand other factors that cannot be predicted.

The Notes lack liquidity.

The Notes will not be listed on any securitiesexchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Evenif there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because otherdealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likelyto depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.

Potential conflicts of interest mayexist.

HSBC and its affiliates play a varietyof roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations underthe Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentiallyadverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a holder ofthe Notes in taking any action that might affect the value of your Notes.

Uncertain tax treatment.

For a discussion of the U.S. federal incometax consequences of your investment in a Note, please see the discussion under U.S. Federal Income Tax Considerationsherein and the discussion under U.S. Federal Income Tax Considerations in the accompanying prospectus supplement.

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ILLUSTRATIVE EXAMPLES

The following table and examples are providedfor illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerningincreases or decreases in the level of any Underlying relative to its Initial Level. We cannot predict the Official Closing Levelof either Underlying at any time during the Observation Period, including on a Call Observation Date or on the Final ValuationDate. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You shouldnot take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset orreturn on the Notes. The Final Settlement Value may be less than the amount that you would have received from a conventionaldebt security with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and followingexamples have been rounded for ease of analysis.

The table below illustratesthe total payment on the Notes on a $1,000 investment in the Notes for a hypothetical range of the Least Performing UnderlyingsFinal Returns from -100% to +100%. The following results are based solely on the assumptions outlined below. You should considercarefully whether the Notes are suitable to your investment goals.

4 Principal Amount: $1,000

4 Trigger Level: 70% of the Initial Level of each Underlying

4 Hypothetical Annual Coupon Rate (paid monthly): 6.25% per annum, approximately 0.5208% per month. The actual Annual Coupon Rate will be determined on the Pricing Date and will not be less than 6.25% per annum.

4 The Notes are held until maturity and are not automatically called.

Trigger Event Does Not Occur1 Trigger Event Occurs2

Least
Performing
Underlyings
Final Return Hypothetical
Total Coupon
Paid Over the
Term of the
Notes3 Hypothetical
Final
Settlement
Value Hypothetical
Total Payment
on the Notes Hypothetical
Total Return
on the Notes Hypothetical
Total Coupon
Paid Over the
Term of the
Notes3 Hypothetical
Final
Settlement
Value Hypothetical
Total Payment
on the Notes Hypothetical
Total Return
on Notes

100.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

90.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

80.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

70.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

60.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

50.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

40.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

30.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

20.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

10.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

0.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $1,000 $1,078.13 7.81%

-10.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $900 $978.13 -2.19%

-20.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $800 $878.13 -12.19%

-25.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $750 $828.13 -17.19%

-30.00% $78.13 $1,000 $1,078.13 7.81% $78.13 $700 $778.13 -22.19%

-40.00% N/A N/A N/A N/A $78.13 $600 $678.13 -32.19%

-50.00% N/A N/A N/A N/A $78.13 $500 $578.13 -42.19%

-60.00% N/A N/A N/A N/A $78.13 $400 $478.13 -52.19%

-70.00% N/A N/A N/A N/A $78.13 $300 $378.13 -62.19%

-80.00% N/A N/A N/A N/A $78.13 $200 $278.13 -72.19%

-90.00% N/A N/A N/A N/A $78.13 $100 $178.13 -82.19%

-100.00% N/A N/A N/A N/A $78.13 $0 $78.13 -92.19%

1 The Official Closing Level of eachUnderlying never falls below its respective Trigger Level on any trading day during the Observation Period.

2 The Official Closing Level of eitherUnderlying falls below its Trigger Level on any trading day during the Observation Period.

3 Assuming theAnnual Coupon Rate is 6.25% and the Notes have been held to maturity, the hypothetical total amount of the coupons paid on theNotes as of the Maturity Date will equal $78.13, with hypothetical coupon payments of $5.21 made on each Coupon Payment Date.

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Hypothetical Examples of the Final SettlementValue

The three examples below set forth a samplingof hypothetical Final Settlement Values based on the following assumptions:

4 Principal Amount of Notes: $1,000

4 Trigger Level: 70% of the Initial Level of each Underlying

4 Hypothetical Annual Coupon Rate (paid monthly): 6.25% per annum, approximately 0.5208% per month. The actual Annual Coupon Rate will be determined on the Pricing Date and will not be less than 6.25% per annum

4 Hypothetical Initial Level: 2,000.00 with respect to the SPX and 1,100.00 with respect to the RTY

The actual Initial Levels with respectto the SPX and RTY will be determined on the Pricing Date.

In addition to the Final Settlement Value,you will be entitled to receive coupon payments monthly on each Coupon Payment Date, up to and including the Maturity Date (orthe Call Payment Date corresponding to a Call Observation Date on which the Notes are automatically called, if applicable).

The examples provided herein are for illustrationpurposes only. The actual Final Settlement Value, if any, will depend on whether the Notes are automatically called and if a TriggerEvent occurs and, if so, the Final Return of the Least Performing Underlying. You should not take these examples as an indicationof potential payments. It is not possible to predict whether the Notes will be automatically called and if a Trigger Event willoccur and, if so, whether and to what extent the Final Return of the Least Performing Underlying will be less than zero.

Example 1: The Notes are not automaticallycalled and each Underlying falls below its Trigger Level, therefore a Trigger Event occurs. Additionally, the Final Return of theLeast Performing Underlying is less than zero.

Underlying Initial Level Lowest Official Closing Level
During the Observation Period Final Level

SPX 2,000.00 1,300.00 (65% of Initial Level) 1,300.00 (65% of Initial Level)

RTY 1,100.00 605.00 (55% of Initial Level) 660.00 (60% of Initial Level)

Since each of the Official Closing Levels of SPX and RTY arebelow their respective Trigger Levels during the Observation Period, a Trigger Event occurs. RTY is the Least PerformingUnderlying.

Therefore, the Final Return of the Least Performing Underlying=

FinalLevel of RTY Initial Level of RTY
Initial Level of RTY

= (660.00 1,100.00) / 1,100.00=-40.00%

Final Settlement Value= Principal Amount of the Notes(1+Final Return of the Least Performing Underlying)

= $1,000 (1 + -40%)=600.00

Therefore, with the total coupon paymentof $78.13 over the term of the Notes, the total payment on the Notes is $678.13.

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Example 2: The Notes are not automaticallycalled and a Trigger Event occurs, even though the Least Performing Underlying never reaches or falls below its Trigger Level.Additionally, the Final Return of the Least Performing Underlying is less than zero.

Underlying Initial Level Lowest Official Closing Level
During the Observation Period Final Level

SPX 2,000.00 1,700.00 (85% of Initial Level) 1,760.00 (88% of Initial Level)

RTY 1,100.00 605.00 (55% of Initial Level) 1,045.00 (95% of Initial Level)

Since the Official Closing Level of RTY is below its TriggerLevel during the Observation Period, a Trigger Event occurs. SPX is the Least Performing Underlying, even though its OfficialClosing Level never falls below its Trigger Level.

Therefore, the Final Return of the Least Performing Underlying=

FinalLevel of SPX Initial Level of SPX
Initial Level of SPX

= (1,760.002,000.00)/ 2,000.00= -12.00%

Final Settlement Value= Principal Amount of the Notes(1+Final Return of the Least Performing Underlying)

= $1,000 (1 + -12%)=$880.00

Therefore, with the total coupon payment of $78.13 over theterm of the Notes, the total payment on the Notes is $958.13.

Example 3: The Notes are not automaticallycalled and a Trigger Event does not occur.

Underlying Initial Level Lowest Official Closing Level
During the Observation Period Final Level

SPX 2,000.00 1,700.00 (85% of Initial Level) 1,800.00 (90% of Initial Level)

RTY 1,100.00 990.00 (90% of Initial Level) 990.00 (90% of Initial Level)

Since the Official Closing Level of each Underlying was notbelow its Trigger Level, a Trigger Event does not occur.

Therefore, the Final Settlement Value equals $1,000.

Additionally, with the total coupon payment of $78.13 over theterm of the Notes, the total payment on the Notes is $1,078.13.

Example 4: The Notes are automatically called on the firstCall Observation Date.

Underlying Initial Level Official Closing Level
on the first Call Observation Date

SPX 2,000.00 2,100.00

RTY 1,100.00 1,210.00

Since the Official Closing Level of both Underlyings was ator above their respective Initial Levels, the Notes were automatically called and you are no longer entitled to receive any FinalSettlement Value. Therefore, on the corresponding Call Payment Date you would receive your $1,000 Principal Amount of Notes plusthe coupon payment of $5.21 owed to you on that date. As a result, on the first Call Payment Date, you would be entitled to receivea total payment of $1,005.21. Once the Notes are automatically called, they will no longer remain outstanding and there will notbe any further coupon payments on the Notes.

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INFORMATION RELATING TO THE REFERENCE ASSET

Description of the SPX

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure the performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

The top 5 industry groups by market capitalization as of March 31, 2017 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.

For more information about the SPX, see The S&P 500 Index beginning on page S-44 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the SPX

The following graph sets forth the historical performance of the SPX based on the daily historical closing levels from January 2, 2008 through April 25, 2017. We obtained the closing levels below from the Bloomberg Professional 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 service.

The historical levels of the SPX should not be taken as an indicationof future performance, and no assurance can be given as to the Official Closing Level of the SPX during the Observation Period,including on a Call Observation Date or on the Final Valuation Date.

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Description of the RTY

The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000 Index. The Russell 3000 Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.

The top 5 industry groups by market capitalization as of March 31, 2017 were: Financial Services, Technology, Producer Durables, Consumer Discretionary and Health Care.

For more information about the RTY, see The Russell 2000 Index beginning on page S-36 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the RTY

The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from January 2, 2008 through April 25, 2017. We obtained the closing levels below from the Bloomberg Professional 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 service.

The historical levels of the RTY shouldnot be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of the RTYduring the Observation Period, including on a Call Observation Date or on the Final Valuation Date.

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EVENTS OF DEFAULT AND ACCELERATION

If the Notes have become immediately dueand payable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the calculationagent will determine (i) the accelerated Payment at Maturity due and payable in the same general manner as described in Paymentat Maturity in this free writing prospectus and (ii) any accrued but unpaid interest payable based upon the Coupon Ratecalculated using the actual number of days in the applicable Coupon Payment Period, and on the basis of a 360-day year In thatcase, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposesof determining the accelerated Final Return for each Underlying, and the accelerated maturity date will be the third business dayafter the accelerated Final Valuation Date. If a market disruption event exists with respect to an Underlying on that scheduledtrading day, then the accelerated Final Valuation Date will be postponed for up to five scheduled trading days (in the same mannerused for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed by anequal number of business days. For the avoidance of doubt, if no market disruption event exists with respect to an Underlying onthe scheduled trading day preceding the date of acceleration, the determination of such Underlyings Final Return will bemade on such date, irrespective of the existence of a market disruption event with respect to the other Underlying occurring onsuch date.

If the Notes have become immediately dueand payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. For moreinformation, see Description of Debt Securities Senior Debt Securities Events of Default in the accompanyingprospectus.

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTSOF INTEREST)

We have appointed HSBC Securities (USA)Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover pageof the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers orwill offer the Notes directly to investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forthon the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may payvarying underwriting discounts of up to 0.35% and referral fees of up to 0.75% per $1,000 Principal Amount of Notes in connectionwith the distribution of the Notes to other registered broker-dealers. In no case will the sum of the underwriting discounts andreferral fees exceed 0.75% per $1,000 Principal Amount.

An affiliate of HSBC has paid or may payin the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support theNotes.

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-makingtransactions after the initial sale of the Notes, but is under no obligation to make a market in the Notes and may discontinueany market-making activities at any time without notice.

See Supplemental Plan of Distribution(Conflicts of Interest) on page S-59 in the prospectus supplement.

FWP-17

U.S. FEDERAL INCOME TAX CONSIDERATIONS

There is no direct legal authority as tothe proper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as toboth the timing and character of any inclusion in income in respect of the Notes. Under one approach, each Note should be treatedas a put option written by you (the Put Option) that permits us to cash settle the Put Option, anda deposit with us of cash in an amount equal to the Principal Amount of the Note (the Deposit) to secure your potentialobligation under the Put Option, as described in the accompanying prospectus supplement under the heading U.S. Federal IncomeTax Considerations Tax Treatment of U.S. Holders Certain Notes Treated as a Put Option and a Deposit or an ExecutoryContract Certain Notes Treated as a Put Option and a Deposit. We intend to treat the Notes consistent withthis approach, and we intend to treat the Deposits as non-contingent debt instruments for U.S. federal income tax purposes. Pursuantto the terms of the Notes, you agree to treat each Note as consisting of the Deposit and the Put Option for all U.S. federal incometax 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, Morrison & Foerster LLP, it is reasonable to treat a Note as consisting ofthe Deposit and the Put Option for all U.S. federal income tax purposes. Because there are no statutory provisions, regulations,published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities withterms that are substantially the same as those of the Notes, other characterizations and treatments are possible and the timingand character of income in respect of the Notes might differ from the treatment described above. We do not plan to request a rulingfrom the Internal Revenue Service (the IRS) regarding the tax treatment of the Notes, and the IRS or a court maynot agree with the tax treatment described in this free writing prospectus.

We will not attempt to ascertain whetherany 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 taxconsequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stockis included in an Underlying and consult your tax advisor regarding the possible consequences to you if one or more of the entitieswhose stock is included in an Underlying is or becomes a PFIC or a USRPHC.

U.S. Holders. Please see the discussionunder the heading U.S. Federal Income Tax Considerations Tax Treatment of U.S. Holders Certain Notes Treatedas a Put Option and a Deposit or an Executory Contract Certain Notes Treated as a Put Option and a Deposit in theaccompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to U.S. holders(as defined in the accompanying prospectus supplement). For purposes of dividing the Annual Coupon Rate of at least 6.25% (to bedetermined on the Pricing Date) on the Notes among interest on the Deposit and Put Premium, []% constitutes interest onthe Deposit and []% constitutes Put Premium.

If the Notes are redeemed prior to maturity,you should recognize the total Put Premium received as short-term capital gain at that time.

Non-U.S. Holders. Please see thediscussion under the heading U.S. Federal Income Tax Considerations Tax Treatment of Non-U.S. Holders inthe accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to non-U.S.holders (as defined in the accompanying prospectus supplement). Because the U.S. federal income tax treatment (including the applicabilityof withholding) of coupon payments on the Notes is uncertain, the entire amount of the coupon payment will be subject to U.S. federalincome tax withholding at a 30% rate (or at a lower rate under an applicable income tax treaty). We will not pay any additionalamounts in respect of such withholding.

A dividend equivalent paymentis treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholdingtax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respectto equity-linked instruments (ELIs) that are specified ELIs may be treated as dividend equivalentsif such specified ELIs reference an interest in an underlying security, which is generally any interest in an entitytaxable 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, U.S. Treasury regulations provide that withholding on dividend equivalent payments will not apply tospecified ELIs that are not delta-one instruments and that are issued before January 1, 2018. Based on the Issuers determinationthat the Notes are not delta-one instruments, non-U.S. holders should not be subject to withholding on dividend equivalentpayments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federalincome tax purposes upon the occurrence of certain events affecting an Underlying or the Notes, and following such occurrence theNotes 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 thedividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividendequivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being requiredto pay any additional amounts with respect to amounts so withheld.

Foreign Account Tax Compliance Act.The IRS has announced that withholding under the Foreign Account Tax Compliance Act (as discussed in the accompanying prospectussupplement) on payments of gross proceeds from a sale, exchange, redemption, or other disposition of the Notes will only applyto dispositions after December 31, 2018.

PROSPECTIVE PURCHASERS OF NOTES SHOULDCONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITIONOF NOTES.

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TABLE OF CONTENTS

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.

HSBC USA Inc.

$ Autocallable Yield Notes

May 1, 2017

FREE WRITING PROSPECTUS

Free Writing Prospectus

General FWP-6

Payment on the Notes FWP-6

Investor Suitability FWP-8

Risk Factors FWP-9

Illustrative Examples FWP-12

Information Relating to the Reference Asset FWP-15

Events of Default and Acceleration FWP-17

Supplemental Plan of Distribution (Conflicts of Interest) FWP-17

U.S. Federal Income Tax Considerations FWP-18

Equity Index Underlying Supplement

Disclaimer S-1

Risk Factors S-2

The DAX Index S-7

The Dow Jones Industrial AverageSM S-9

The EURO STOXX 50 Index S-11

The FTSE 100 Index S-13

The Hang Seng Index S-14

The Hang Seng China Enterprises Index S-16

The KOSPI 200 Index S-19

The MSCI Indices S-22

The NASDAQ 100 Index S-26

The Nikkei 225 Index S-30

The PHLX Housing SectorSM Index S-32

The Russell 2000 Index S-36

The S&P 100 Index S-40

The S&P 500 Index S-44

The S&P 500 Low Volatility Index S-47

The S&P BRIC 40 Index S-50

The S&P MidCap 400 Index S-52

The TOPIX Index S-55

Additional Terms of the Notes S-57

Prospectus Supplement

Risk Factors S-1

Pricing Supplement S-8

Description of Notes S-10

Use of Proceeds and Hedging S-33

Certain ERISA Considerations S-34

U.S. Federal Income Tax Considerations S-37

Supplemental Plan of Distribution (Conflicts of Interest) S-58

Prospectus

About this Prospectus 1

Risk Factors 2

Where You Can Find More Information 3

Special Note Regarding Forward-Looking Statements 4

HSBC USA Inc. 6

Use of Proceeds 7

Description of Debt Securities 8

Description of Preferred Stock 19

Description of Warrants 25

Description of Purchase Contracts 29

Description of Units 32

Book-Entry Procedures 35

Limitations on Issuances in Bearer Form 40

U.S. Federal Income Tax Considerations Relating to Debt Securities 40

Plan of Distribution (Conflicts of Interest) 49

Notice to Canadian Investors 52

Notice to EEA Investors 53

Notice to UK Investors 54

UK Financial Promotion 54

Certain ERISA Matters 54

Legal Opinions 57

Experts 58

FWP2v465110_fwp.pdfFREE WRITING PROSPECTUS

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