Linked to the AI Powered US Equity Adjusted Total Return Index (the "Reference Asset")

The Autocallable Barrier Notes with Step-up Premium (each a “Note” and collectively the “Notes”) offered hereunder will not be listed on any securities exchange or automated quotation system.

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 document relates in market-making transactions in any Notes after their initial sale. Unless we or our agent inform you otherwise in the confirmation of sale, the pricing supplement to which this document relates is being used in a market-making transaction. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-20 of this document.

Investment in the Notes involves certain risks. You should refer to “Risk Factors” beginning on page FWP-9 of this document, page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement, as applicable.

The Estimated Initial Value of the Notes on the Trade Date is expected to be between $850.00 and $950.00 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-5 and “Risk Factors” beginning on page FWP-9 of this document for additional information.

⁽¹⁾ HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 0.75% per $1,000 Principal Amount in connection with the distribution of the Notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-20 of this document

Indicative Terms⁽¹⁾

Principal Amount	$1,000 per Note
Term	Approximate 5 year term if not called.
Reference Asset	AI Powered US Equity Adjusted Total Return Index (Ticker: AIPEXAR)
Call Feature	The Notes will be automatically called if the Official Closing Level of the Reference Asset is at or above the Call Threshold on any Call Observation Date on or after March 31, 2023. In that case, you will receive a payment, per $1,000 Principal Amount, equal to the Principal Amount, plus the applicable Call Premium on the corresponding Call Payment Date.⁽²⁾
Call Threshold	On a Call Observation Date, the relevant percentage of the Initial Value applicable on such Call Observation Date as described on page FWP-4 under Call Observation Dates, Call Payment Dates, Call Premiums and Call Threshold
Call Premiums	At least 10.60% per annum (to be determined on the Pricing Date) payable as described under the Call Feature above and on page FWP-4 under Call Observation Dates, Call Payment Dates and Call Premiums.

Barrier Value	70.00% of the Initial Value
Payment at Maturity per Note	Unless the Notes are called, for each $1,000 Principal Amount, you will receive a cash payment on the Maturity Date, calculated as follows: nIf the Reference Return of the Reference Asset is less than 0.00%, and therefore not called, but greater than or equal to -30.00%: $1,000 (a zero return) nIf the Reference Return of the Reference Asset is less than -30.00%: $1,000 + ($1,000 × Reference Return). If the Notes are not called and the Final Value of Reference Asset is less than the Barrier Value, you will not receive a Call Premium, and will lose up to 100% of the Principal Amount.
Reference Return	Final Value – Initial Value Initial Value
Trade Date	March 31, 2022
Pricing Date	March 31, 2022
Original Issue Date	April 5, 2022
Final Valuation Date ⁽³⁾	March 31, 2027
Maturity Date ⁽³⁾	April 5, 2027
CUSIP/ISIN	40439JG58/US40439JG588

The Notes The Notes may be suitable for investors who believe that the value of the Reference Asset will not decrease significantly over the term of the Notes. If the Official Closing Level of the Reference Asset is at or above the Call Threshold on any Call Observation Date beginning on March 31, 2023, your Notes will be called and you will receive a payment equal to 100% of the Principal Amount, together with the applicable Call Premium on the corresponding Call Payment Date. If the Notes are not called and the Final Value of the Reference Asset is greater than or equal to the Barrier Value, you will receive a Payment at Maturity equal to 100% of the Principal Amount. If the Notes are not called and the Final Value of the Reference Asset is less than the Barrier Value, you will not receive the Call Premium and you will lose 1% of your principal for every 1% decline of that Reference Asset from its Initial Value.
AiPEXAR Key Features

	Information Advantage AiPEXAR is part of suite of AI indexes that are the first and only to use IBM Watson’s unique insights to continuously learn and analyze millions of pieces of traditional and non-traditional data each day.

	Equity Selection Applying what it has learned, AiPEXAR selects a portfolio of US Large & Mid Cap company shares based on their combined AI scores, subject to allocation constrains.

	100% Equities AiPEXAR is 100% composed of US equities selected by the AI at all times and will not invest in cash or other instruments.

⁽²⁾ See page FWP-4 for the Call Observation Dates, Call Payment Dates and Call Premiums.

1 Constraints include: diversification market liquidity limits and weight allocation and caps at 2.6% of the Solactive US 500 Index’s volatility at each monthly rebalance. For more information on the index methodology, please see the AI Powered US Equity Adjusted Total Return Index Guideline published by Solactive AG. Information contained in these Index Guidelines or otherwise available from Solactive is not incorporated by reference in, and should not be considered a part of, this document.

The hypothetical back-tested Index data only reflects the application of that methodology in hindsight, since the Index was not actually calculated and published prior to July 14, 2021. The hypothetical back-tested Index data cannot completely account for the impact of financial risk in actual trading. There are numerous factors related to the equities markets in general that cannot be, and have not been, accounted for in the hypothetical back-tested Index data, all of which can affect actual performance. Consequently, you should not rely on that data as a reflection of what the actual Index performance would have been had the Index been in existence or in forecasting future Index performance. The graph above also reflects the actual Index performance from July 14, 2021 to February 28, 2022 based on information that we obtained from Bloomberg L.P. Any hypothetical or actual historical upward or downward trend in the level of the Index during any period shown is not an indication that the level of the Index is more or less likely to increase or decrease at any time during the term of the Notes.

This document relates to a single offering of Autocallable Barrier Notes with Step-up Premium. 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.

This document relates to an offering of Notes linked to the performance of 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:

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

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 the Reference Asset or any security included in the Reference Asset or as to the suitability of an investment in the Notes.

You should read this document together with the prospectus dated February 23, 2021, the prospectus supplement dated February 23, 2021 and the Equity Index Underlying Supplement dated February 23, 2021. 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-9 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.

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.

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.

If the Official Closing Level of the Reference Asset is at or above the Call Threshold on any Call Observation Date the Notes will be automatically called, and you will receive a cash payment, per $1,000 Principal Amount, equal to the Principal Amount plus the applicable Call Premium on the corresponding Call Payment Date.

If the Notes are called on a Call Observation Date, we will pay the applicable Call Premium on the corresponding Call Payment Date, which will be at least 10.60% per annum (or at least $106.00 for each $1,000 Principal Amount) (to be determined on the Trade Date) multiplied by the number of years elapsed from the Trade Date to the applicable Call Observation Date that the Notes are called. See “Call Observation Dates, Call Payment Dates and Call Premiums” on FWP-4 for the applicable Call Premiums to be paid on the corresponding Call Payment Dates. For information regarding the record dates applicable to the Call Premiums payable on the Notes, please see the section entitled “Description of Notes—Interest and Principal Payments—Recipients of Interest Payments” beginning on page S-17 in the accompanying prospectus supplement.

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

■ If the Reference Return of the Reference Asset is less than 0.00%, and therefore not called, but greater than or equal to
-30.00%:

If the Notes are not called and the Final Value of the Reference Asset is less than the Barrier Value, you will not receive a Call Premium and will lose up to 100% of the Principal Amount.

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

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 any Underlying relative to its Initial Value. We cannot predict the Official Closing Level of an Underlying on any Call Observation Date, including the Final Valuation Date. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset or the return on the Notes.

The table and examples below illustrate how the Call Premium and the Payment at Maturity would be calculated with respect to a $1,000 investment in the Notes, given a range of hypothetical performances of any Underlying. The hypothetical returns on the Notes below are numbers, expressed as percentages, that result from comparing the Payment at Maturity per $1,000 Principal Amount to $1,000. The numbers appearing in the following table and examples may have been rounded for ease of analysis. The following table and examples assume the following:

Example 1—The Official Closing Level on the first Call Observation Date is greater than or equal to the Call Threshold.

Because the Official Closing Level of the Reference Asset on the first Call Observation Date is at or above the Call Threshold, the Notes will be called and you will receive $1,106.00 per Note, reflecting the Principal Amount plus the applicable Call Premium, resulting in a 10.60% return on the Notes. No extra payment will be made on account of the Reference Asset closing above the Initial Value.

Example 2—The Official Closing Level of the Reference Asset on the final Call Observation Date is greater than or equal to the Call Threshold.

Because the Official Closing Level of the Reference Asset on the Final Valuation Date is at or above the Call Threshold, the Notes will be called and you will receive $1,530.00 per Note, reflecting the Principal Amount plus the applicable Call Premium, resulting in a 53.00% return on the Notes. No extra payment will be made on account of the Reference Asset closing above the Initial Value.

Example 3— The Notes are not called and the Final Value of the Reference Asset is greater than or equal to the Barrier Value.

Because the Final Value of the Reference Asset is less than the Call Threshold but is greater than or equal to the Barrier Value, you will receive $1,000 per Note, reflecting the Principal Amount, resulting in a 0.00% return on the Notes, even though the value of the Reference Asset has declined.

Example 4—The Notes are not called and the Final Value of the Reference Asset is less than the Barrier Value.

Because the Final Value is less than the Barrier Value, you will receive $490.00 per $1,000 Principal Amount, calculated as follows:

You will not receive a Call Premium, resulting in a -51.00% return on the Notes.

If the Notes are not called and the Final Value of the Reference Asset is less than the Barrier Value, you will be exposed to any decrease in the value of the Reference Asset on a 1:1 basis and could lose up to 100% of your principal at maturity.

Any excess weight that results from implementing these constraints shall be allocated to the iShares^® 1-3 Year Treasury Bond ETF (SHY UP Equity).

The Tracking Error between constituents of the US 500 Index (the US 500 Constituents”) and the Benchmark may not exceed 2.60%.

The tracker error universe (the “TEU”) on any Selection Day will be the union of (i) the components of the Benchmark (the “Benchmark Components”) and (ii) the Index Components) Any duplicates in the TEU will be removed.

The annualized covariance between component(i) and component(k), in the TEU, is calculated according to the following formula:

L is the length of the relevant covariance observation period and is equal to 126 Calculation Days.

n refers to each Calculation Day within the relevant covariance observation period.

If the Tracking Error defined above exceeds 2.60%, then the Index Administrator will compute Modified Index Composition and Modified Selection Weights (each as described below) as follows:

If the Tracking Error defined above using the Modified Selection Weights is still above 2.60%, then the Index Administrator shall recalculate the Modified Selection Weights with 𝑤 equal to 4.00%. The process will be repeated, with 𝑤 being increased in steps of 2.00% each time, until the Tracking Error using the Modified Selection Weights falls below 2.00%.

The level of the Index at any given time is the overall sum of the products of the weight of each Index Component and the Trading Price of such Index Component at such time, subject to the daily effect of the Adjustment Factor, or decrement, and the monthly effect of the Rebalancing Fee, each as described below. If the currency of a Trading Price is not U.S. dollars (that is, is different from the Index’s currency), the foreign exchange rate is used to convert the Trading Price into USD. For each Index Component whose Trade Price is given in U.S. dollars, f_i,t in the formula below is equal to 1.00.

The “Fraction of Shares” of an Index Component is, in respect of an Index Component and a Calculation Day, the number of shares of such Index Component included in the Index on such Calculation Day. This number is adjusted on the Calculation Day following each Trading Day during a Rebalancing Period, and is calculated as (i) the target weight of such Index Component in respect of the immediately preceding Trading Day multiplied by the closing level of the Index in respect of such Trading Day (ii) divided by the Closing Price of such Index Component in respect of such Trading Day.

The Fraction of Shares for an Index Component will be adjusted in response to dividend payments or relevant corporate actions. Due to a dividend payment, for example, the Fraction of Shares of the dividend-paying stock increases by a price adjustment factor.

After the calculation of the Index closes on any given Trading Day, the Adjustment Factor, or decrement, of 5.00% per annum is calculated and applied to reduce the opening level of the Index on the following Trading Day. The opening level of the Index is thereby reduced each day as follows:

After the new composition of the Index is determined on the applicable Selection Day, the Index is adjusted during the corresponding Rebalance Period. An Index Component’s weight in the Index on any Trading Day will be referred to as its “Target Weight” with respect to such Trading Day. On any Trading Day that does not fall during a Rebalance Period, the Target Weight of an Index Component will be equal to its weight on the preceding Selection Day. During the three Trading Days during a Rebalance Period, the Target Weight for an Index Component will adjust, based on an equal adjustment on each such Trading Day, from its weight during the prior Rebalance Period to its newly selected weight.

For example, if an Index Component had an effective weight of 1.00% immediately prior to a Rebalance Period and is assigned a new weight of 1.18% as of the new Selection Date, its weight on each Trading Day of the Rebalance Period will increase by 0.06% (calculated as (i) the new target weight minus the previous effective weight (ii) divided by three

). Therefore, such Component would have a weight of 1.06% on the relevant Rebalance Day, a weight of 1.12% on the first Trading Day immediately following such Rebalance Day, and a weight of 1.18% on and from the second Trading Day immediately following such Rebalance Day (the last day of such Rebalance Period) through and not including the next Rebalance Day.

On each Rebalance Day, the Rebalancing Fee of 0.01% applied to the total absolute change in the weights of each Index Component included in, entering or leaving the Notional Portfolio is deducted from the level of the Index. The sum of the weights of Index Components (which are to be removed from the Index during the Rebalance Period) on a Rebalance Day are added to the sum of the absolute delta between the target weights of Index Components on the Trading Day immediately following such Rebalance Day and closing index weights on such Rebalance Day. This number is then multiplied by 0.01%, the rebalance fee factor.

Solactive may make adjustments to the Index as a result of corporate actions that are in addition to any of the regular adjustments or rebalances that are described above. Corporate actions which may require, but are not limited to, adjustments to the Index include cash and/or stock distributions, share splits, reverse splits, capital increases, share repurchases, spin-offs, mergers and acquisitions, delistings, nationalization and insolvency. Such adjustments may affect the inclusion of an Index Component in the Notional Portfolio or affect its weighting within the Index. Such adjustments may have a material impact on the price and/or weighting of any Index Component and, therefore, the overall integrity of the Index. The applicable adjustments are described in further detail in the Solactive Equity Index Methodology, which is available on Solactive’s website. Solactive reserves the right to deviate from these standard procedures in case of any unusual or complex corporate action or if such deviation is made to preserve the comparability and representativeness of the Index over time.

The level of the Index is calculated on each Calculation Day from 9:00 a.m. to 10:50 p.m. CET based on the Trading Prices on the Exchanges on which the Index Components are listed. Trading Prices of Index Components not listed in the Index Currency (USD) are converted using the current Intercontinental Exchange (ICE) spot foreign exchange rate. Should there be no current Trading Price for an Index Component, the later of (i) the most recent Closing Price or (ii) the last available Trading Price for the preceding Trading Day is used in the calculation.

In addition to the intraday calculation, a closing level of the Index for each Calculation Day is also calculated. This closing level is based on the Closing Prices for the Index Components on the respective Exchanges on which the Index Components are listed. The Closing Prices of Index Components not listed in the Index Currency (USD) are converted using the 4:00 p.m. London time WM Fixing quoted by Reuters. If there is no 4:00 p.m. London time WM Fixing for the relevant Calculation Day, the last available 4:00 p.m. London time WM Fixing will be used for the closing level calculation.

A “Calculation Day” is every weekday from Monday to Friday when the New York Stock Exchange is open for general business.

The “Exchange” is, with respect to the Index and every Index Component, the respective exchange where the respective Index Component has its listing.

“Trading Day” is, with respect to an Index Component included in the Index at any given Rebalance Day and every Index Component included in the Index at the Calculation Day immediately following such Rebalance Day, a day on which the relevant Exchange is open for trading (or a day that would have been such a day if a market disruption had not occurred), excluding days on which trading may be ceased prior to the scheduled Exchange closing time and days on which the Exchange is open for a scheduled shortened period.

The “Trading Price” in respect of an Index Component and a Trading Day is the most recent published price at which the Index Component was traded on the respective Exchange.

The methodology of the Index is subject to regular review, at least annually. Any change to the methodology will be made in accordance with the Solactive Methodology Policy (the “Methodology Policy”), which is available on the Solactive website. Any such change in the methodology will be announced on the Solactive website under the Section “Announcement.”

In periods of market stress, Solactive calculates its indices following predefined and exhaustive arrangements as described in the Solactive Disruption Policy, which is available on the Solactive website. Such market stress can arise due to a variety of reasons, but generally results in inaccurate or delayed prices for one or more Index Components. The determination of the Index may be limited or impaired at times of illiquid or fragmented markets and market stress.

An oversight committee composed of staff from Solactive and its subsidiaries (the “Oversight Committee”) is responsible for decisions regarding any amendments to the rules of the Index. Any such amendment, which may result in an amendment of the Index methodology, must be submitted to the Oversight Committee for prior approval and will be made in compliance with the Methodology Policy.

We have entered into a license agreement with EquBot, whereby HSBC and its affiliates and subsidiary companies, in exchange for a fee, will be permitted to use the Index, which is owned by EquBot, in connection with certain products,

EquBot makes no representation or warranty, express or implied, to the holders of the Notes or any member of the public regarding the advisability of investing in structured products generally or in the Notes particularly, or the performance of the Index. EquBot’s only relationship with the Issuer is the licensing of the Index and other indices and certain trademarks and trade names without regard to the Issuer or the Notes. EquBot has no obligation to take the needs of the Issuer or the holders of the Notes into consideration, and has not participated in the determination of the timing, price or quantity of the Notes to be issued or in the determination or calculation of the amount due at maturity of the Notes or otherwise. EquBot has no obligation or liability in connection with the administration, marketing or trading of the Notes.

The Notes are not in any way sponsored, endorsed, sold or promoted by EquBot, and EquBot makes no warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Index and/or the figure at which any particular component stands at any particular time on any particular day or otherwise. The Index is compiled and calculated by Solactive. However, neither EquBot nor Solactive shall be liable (whether in negligence or otherwise) to any person for any error in the Index, and neither EquBot nor Solactive shall be under any obligation to advise any person of any error therein.

“EquBot”, “AI Powered US Equity Adjusted Total Return Index” and “AIPEXAR” are trademarks of EquBot and “Solactive US Large and Mid Cap Index” is a trademark of Solactive. Such trademarks are used under license.

	Price to Public	Underwriting Discount⁽¹⁾	Proceeds to Issuer
Per Note	$1,000.00
Total

	1.Score	2. Select	3. Diversify & Adjust
Scores for the companies included in the Solactive US Large & Mid Cap Index are calculated based on:		Approximately 250 companies with the highest combined Financial Health, Management, and News and Information Scores are selected for the portfolio.	Companies are assigned portfolio weights, with the largest weights going to the companies with the highest combined scores, subject to strategic constraints1.

·	Financial Health Score: evaluates a company’s fundamentals and key figures.

·	Management Score: assesses a company’s management strength and thought leadership.

·	News & Information Score: measures a company’s market sentiment, economic, and geopolitical risks.

Issuer:	HSBC USA Inc.
Principal Amount:	$1,000 per Note
Reference Asset:	AI Powered US Equity Adjusted Total Return Index (the “Index” or “AiPEXAR”) (Ticker: AIPEXAR).
Trade Date:	March 31, 2022
Pricing Date:	March 31, 2022
Original Issue Date:	April 5, 2022
Final Valuation Date:	March 31, 2027, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement.
Maturity Date:	3 business days after the Final Valuation Date, expected to be April 5, 2027. 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.
Call Feature:	If the Official Closing Level of the Reference Asset is at or above the Call Threshold on any Call Observation Date, the Notes will be automatically called, and you will receive a cash payment, per $1,000 Principal Amount, equal to the Principal Amount plus the applicable Call Premium on the corresponding Call Payment Date.
Payment at Maturity:	Unless the Notes are called, on the Maturity Date, for each $1,000 Principal Amount, we will pay you the Final Settlement Value.
Final Settlement Value:	Unless the Notes are called, for each $1,000 Principal Amount, you will receive a cash payment on the Maturity Date, calculated as follows: ■ If the Reference Return of the Reference Asset is less than 0.00%, and therefore not called, but greater than or equal to -30.00%: $1,000 (a zero return) ■ If the Reference Return of the Reference Asset is less than -30.00%: $1,000 + ($1,000 × Reference Return of the Reference Asset). If the Notes are not called and the Final Value of the Reference Asset is less than the Barrier Value, you will not receive a Call Premium, and will lose up to 100% of the Principal Amount.
Reference Return:	Final Value – Initial Value Initial Value

Dates, Call Payment Dates, Call Premiums and Call Thresholds:	Call Observation Dates	Call Payment Dates	Call Premiums*	Call Threshold
	March 31, 2023	April 5, 2023	at least 10.60%	100.00% of the Initial Value
	April 2, 2024	April 5, 2024	at least 21.20%	100.00% of the Initial Value
	March 31, 2025	April 7, 2025	at least 31.80%	100.00% of the Initial Value
	March 31, 2026	April 7, 2026	at least 42.40%	100.00% of the Initial Value
	March 31, 2027	April 5, 2027	at least 53.00%	100.00% of the Initial Value
	(the Final Valuation Date)	(the Maturity Date)

	* To be determined on the Trade Date The Call Observation Dates and Call Payment Dates are subject to postponement as described under “Additional Terms of the Notes—Valuation Dates” and “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
Initial Value:	The Official Closing Level of the Reference Asset on the Pricing Date.
Final Value:	The Official Closing Level of the Reference Asset on the Final Valuation Date.
Barrier Value:	70.00% of the Initial Value
CUSIP/ISIN:	40439JG58/US40439JG588

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 is expected to 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 Trade 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 Trade Date, is expected to be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”

🞂	Principal Amount:	$1,000
🞂	Hypothetical Initial Value	1,000.00
🞂	Hypothetical Call Threshold	On a Call Observation Date, the relevant percentage of the Initial Value^* applicable on such Call Observation Date as described on page FWP-4 under Call Observation Dates, Call Payment Dates, Call Premiums and Call Threshold
🞂	Hypothetical Barrier Value:	700.00 (70.00% of the Initial value)
🞂	Hypothetical Call Premium:	10.60% per annum, payable as described on page FWP-4 under Call Observation Dates, Call Payment Dates, Call Premiums and Call Threshold. The actual Call Premium will be determined on the Trade Date and will be at least 10.60% per annum.

	Notes Are Called on a Call Observation Date		Notes Are Not Called on Any Call Observation Date
	Example 1	Example 2	Example 3	Example 4
Initial Value	1,000.00	1,000.00	1,000.00	1,000.00
Call Threshold	1,000.00	1,000.00	1,000.00	1,000.00
Barrier Value	700.00	700.00	700.00	700.00
Call Observation Dates	Official Closing Level / Percentage Change of the Reference Asset
1^st Call Observation Date	1,200.00 / 20.00% Call Premium: $106.00	750.00 / -25.00% Call Premium: $0.00	710.00/ -29.00% Call Premium: $0.00	630.00 / -37.00% Call Premium: $0.00
2^nd Call Observation Date to 4^th Call Observation Date	N/A	Official Closing Level is below the Call Threshold Call Premium: $0.00	Official Closing Level is below the Call Threshold Call Premium: $0.00	Official Closing Level is below the Call Threshold Call Premium: $0.00
Final Valuation Date	N/A	1,200.00 / 20.00% Call Premium: $530.00	730.00 / -27.00%	490.00 / -51.00%
Payment if Notes are Called	$1,106.00	See below	N/A	N/A
Payment at Maturity	N/A	$1,530.00	$1,000.00	$1,000 + ($1,000 x -51.00%) = $490.00
Return of the Notes	10.60%	53.00%	0.00%	-51.00%

Initial Value		Official Closing Level
1,000.00		1,200.00 (120.00% of Initial Value)

Initial Value		Final Value
1,000.00		1,200.00 (120.00% of Initial Value))


Reference Return:	27.00%
Payment at Maturity:	$1,000.00

	N_i,s=	the future price of share ⁱ, expressed as a percentage of its current price, as estimated on Selection Day ^s by the model related to the relevant AI Score.

	N_min,s=	the theoretical minimum value of N_i,sin respect of such Selection Day across all shares within the Index Universe, assuming the N_i,s in respect of such Selection Day are normally distributed.

	N_max,s=	the theoretical maximum value of N_i,s in respect of such Selection Day across all shares within the Index Universe, assuming the N_i,s in respect of such Selection Day are normally distributed.

	=	7.50%.

	=	(1/2,700,000,000) * 15% * 3.

	=	(1/2,700,000,000) * 50% * 3.

	=	the average over the 20 Trading Days period ending on Selection Day s of the daily traded

		volume across all Exchanges on which Index Component i is listed.

	=	the average over the 20 Trading Days period ending on Selection Day s of the daily traded volume on the primary Exchange on which Index Component i is listed on the close or, if such data is not available, the product of 10% multiplied by .

TABLE OF CONTENTS		You should only rely on the information contained in this document, 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 document, 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 document, 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 document, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates HSBC USA Inc. $[ ] Autocallable Barrier Notes with Step-up Premium Linked to the AI Powered US Equity Adjusted Total Return Index March 2, 2022 Free Writing Prospectus
Free Writing Prospectus
General	FWP-6
Payment on the Notes	FWP-7
Investor Suitability	FWP-8
Risk Factors	FWP-9
Illustrative Examples	FWP-16
Description of the Reference Asset	FWP-19
Events of Default and Acceleration	FWP-19
Supplemental Plan of Distribution (Conflicts of Interest)	FWP-20
U.S. Federal Income Tax Considerations	FWP-20
Annex A	FWP-22
Equity Index Underlying Supplement
Disclaimer	ii
Risk Factors	S-1
The DAX^® Index	S-8
The Dow Jones Industrial Average^®	S-10
The EURO STOXX 50^® Index	S-12
The EURO STOXX^® Banks Index	S-14
The FTSE^® 100 Index	S-16
The Hang Seng^® Index	S-17
The Hang Seng China Enterprises Index	S-19
The KOSPI 200 Index	S-22
The MSCI Indices	S-24
The NASDAQ 100 Index^®	S-31
The Nikkei Stock Average	S-34
The NYSE^® FANG+™ Index	S-36
The PHLX Housing Sector Index	S-41
The Russell 2000^® Index	S-45
The S&P 100^® Index	S-48
The S&P 500^® Index	S-55
The S&P 500^® Low Volatility Index	S-62
The S&P BRIC 40 Index	S-65
The S&P MidCap 400^®Index	S-68
The S&P/ASX 200 Index	S-75
The S&P 500^®ESG Index	S-78
The TOPIX^® Index	S-82
The Swiss Market Index	S-84
Additional Terms of the Notes	S-86
Prospectus Supplement
Risk Factors	S-1
Pricing Supplement	S-12
Description of Notes	S-14
Use of Proceeds and Hedging	S-55
Certain ERISA and Related Considerations	S-56
U.S. Federal Income Tax Considerations	S-58
Supplemental Plan of Distribution (Conflicts of Interest)	S-83
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.	7
Use of Proceeds	8
Description of Debt Securities	9
Description of Preferred Stock	20
Description of Warrants	25
Description of Purchase Contracts	30
Description of Units	33
Book-Entry Procedures	35
Limitations on Issuances in Bearer Form	39
U.S. Federal Income Tax Considerations Relating to Debt Securities	40
Certain European Union Tax Considerations	48
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 and Related Matters	55
Legal Opinions	57
Experts	58


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