Features

Call Return: HSBC will automatically call the Notes for a Call Price equal to the Principal Amount plus the applicable Call Return if the Official Closing Level of the Underlying Index is equal to or greater than the Initial Level on any Observation Date, including the Final Valuation Date. The Call Return, and therefore the Call Price, increases the longer the Notes are outstanding. If the Notes are not called, investors will incur a loss at maturity.

Contingent Repayment of Principal Amount at Maturity: If by the Final Valuation Date, the Notes have not been called and the Underlying Index does not close below the Downside Threshold on the Final Valuation Date, HSBC will repay the Principal Amount. However, if the Underlying Index closes below the Downside Threshold on the Final Valuation Date, HSBC will repay less than the Principal Amount, if anything, resulting in a loss that is proportionate to the decline in the Official Closing Level of the Underlying Index from the Pricing Date to the Final Valuation Date. The contingent repayment of principal only applies if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of HSBC.

Key Dates⁽¹⁾

Pricing Date	December 20, 2023
Trade Date	December 20, 2023
Settlement Date	December 26, 2023

Observation Dates⁽²⁾

Quarterly, beginning December 27, 2024

Final Valuation Date⁽²⁾

December 22, 2025

Maturity Date⁽²⁾	December 26, 2025

⁽¹⁾ Expected ⁽²⁾ See page 4 for additional details

See “Additional Information About HSBC USA Inc. and the Notes” on page 2 of this free writing prospectus. The Notes offered will have the terms specified in the accompanying prospectus dated February 23, 2021, the accompanying prospectus supplement dated February 23, 2021, the accompanying equity index underlying supplement dated February 23, 2021 and the terms set forth herein.

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. The Notes are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction.

The Notes will not be listed on any U.S. securities exchange or quotation system. HSBC Securities (USA) Inc., an affiliate of HSBC USA Inc., will purchase the Notes from HSBC USA Inc. for distribution to UBS Financial Services Inc., acting as agent. See “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this free writing prospectus for a description of the distribution arrangements.

The Estimated Initial Value of the Notes on the Trade Date is expected to be between $9.20 and $9.70 per Note, which is expected to 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 and “Key Risks” beginning on page of this document for additional information.

⁽¹⁾ See “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this free writing prospectus.

The Notes may be suitable for you if:

You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.

You can tolerate a loss of all or a substantial portion of your Principal Amount and are willing to make an investment that may have the same downside market risk as the Underlying Index.

You believe the Official Closing Level of the Underlying Index will not be below the Downside Threshold on the Final Valuation Date, but you are willing to lose up to 100% of your principal if the Notes are not called and the Official Closing Level of the Underlying Index is below the Downside Threshold on the Final Valuation Date.

You understand and accept that you will not participate in any appreciation in the level of the Underlying Index and your potential return is limited to the applicable Call Return.

You are willing to invest in the Notes if the Call Return Rate is set to the low end of the Call Return Rate range indicated on the cover hereof. The actual Call Return Rate will be determined on the Trade Date.

You believe the Underlying Index will remain flat or appreciate moderately during the term of the Notes and the Official Closing Level of the Underlying Index will be equal to or greater than the Initial Level on at least one Observation Date, or equal to or greater than the Downside Threshold on the Final Valuation Date.

You are willing to hold the Notes that will be automatically called on any Observation Date if the Official Closing Level of the Underlying Index on that Observation Date is equal to or greater than the Initial Level.

You are willing to hold the Notes to maturity and do not seek an investment for which there is an active secondary market.

You do understand and accept the risks associated with the Underlying Index.

You are willing to accept the risk and return profile of the Notes versus a conventional debt security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.

You do not seek current income from your investment and are willing to forgo dividends paid on the stocks included in the Underlying Index.

You are willing to assume the credit risk of HSBC, as Issuer of the Notes, and understand that if HSBC defaults on its obligations, you may not receive any amounts due to you, including any repayment of

The Notes may not be suitable for you if:

You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.

You cannot tolerate a loss of all or a substantial portion of your Principal Amount, and you are not willing to make an investment that may have the same downside market risk as the Underlying Index.

You believe the Notes will not be called and that the Final Level of the Underlying Index will be below the Downside Threshold on the Final Valuation Date.

You seek an investment that is designed to return your full Principal Amount at maturity.

You seek an investment that participates in the full appreciation in the level of the Underlying Index or that has unlimited return potential.

You are not willing to invest in the Notes if the Call Return Rate is set to the low end of the Call Return Rate range indicated on the cover hereof. The actual Call Return Rate will be determined on the Trade Date.

You are unable or unwilling to hold the Notes that will be automatically called on any Observation Date if the Official Closing Level of the Underlying Index on that Observation Date is equal to or greater than the Initial Level.

You are unable or unwilling to hold the Notes to maturity and seek an investment for which there will be an active secondary market.

You do not understand or accept the risks associated with the Underlying Index.

You prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.

You seek current income from your investment or prefer to receive the dividends paid on the stocks included in the Underlying Index.

You are not willing or are unable to assume the credit risk of HSBC, as Issuer of the Notes, for any payment on the Notes, including any repayment of principal.

The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. For more information about the Underlying Index, see page of this free writing prospectus and page S-55 of the accompanying Equity Index Underlying Supplement. You should also carefully review “Key Risks” beginning on page of this free writing prospectus and “Risk Factors” beginning on page S-1 of the Equity Index Underlying Supplement and beginning on page S-1 of the prospectus supplement.

INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF HSBC. IF HSBC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.

⁽¹⁾ Expected. In the event HSBC makes any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date will be changed so that the stated term of the Notes remains the same and the Observation Dates and Call Settlement Dates may be adjusted in a similar manner. The Observation Dates are subject to postponement if a Market Disruption Event occurs.

⁽²⁾ Contingent repayment of principal is dependent on the ability of HSBC USA Inc. to satisfy its obligations when they come due.

INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT, AS YOU MAY RECEIVE SHARES AT MATURITY THAT ARE WORTH LESS THAN YOUR PRINCIPAL AMOUNT OR THAT HAVE NO VALUE AT ALL. PAYMENTS ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, ARE SUBJECT TO THE CREDITWORTHINESS OF HSBC. IF HSBC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.

An investment in the Notes involves significant risks. Some of the risks that apply to the Notes are summarized here, but you are urged to read the more detailed explanation of risks relating to the Notes generally in the “Risk Factors” section of the accompanying equity index underlying supplement and the accompanying prospectus supplement. You are also urged to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.

The scenario analysis and examples below are hypothetical and provided for illustrative purposes only. The hypothetical terms used below are not the actual terms that will apply to the Notes. The actual terms will be set on the Trade Date and will be indicated on the cover of the applicable pricing supplement. They do not purport to be representative of every possible scenario concerning increases or decreases in the level of the Underlying Index relative to the Initial Level. We cannot predict the Final Level or the Official Closing Level of the Underlying Index on any Observation Date. You should not take the scenario analysis and these examples as an indication or assurance of the expected performance of the Underlying Index. The numbers appearing in the examples below have been rounded for ease of analysis. The following scenario analysis and examples illustrate the payment at maturity or upon an automatic call per $10.00 Note on a hypothetical offering of the Notes, based on the following assumptions (the actual Initial Level of the Underlying Index for the Notes will be determined on the Pricing Date):

⁽¹⁾The actual Initial Level of the Underlying Index will be determined on the Pricing Date.

Example 1— The Underlying Index closes at 110.00% of the Initial Level on the first Observation Date – the Notes are called.

Because the Official Closing Level of the Underlying Index on the first Observation Date is at or above the Initial Level, the Notes are automatically called at the applicable Call Price of $11.00 per Note, representing a 10.00% return on the Notes. As long as the Underlying Index closes at or above the Initial Level on any Observation Date, HSBC will pay you the applicable Call Price.

Example 2— The Underlying Index closes below the Initial Level on each of the first four Observation Dates and closes at 110.00% of the Initial Level on the Final Valuation Date – the Notes are called.

Because (i) the Official Closing Level of the Underlying Index on each of the first four Observation Dates is below the Initial Level and (ii) the Official Closing Level of the Underlying Index on the final Observation Date (which is also the Final Valuation Date) is at or above the Initial Level, the Notes are automatically called at the applicable Call Price of $12.00 per Note, representing an 20.00% return on the Notes.

Example 3— The Underlying Index closes below the Initial Level on each of the first four Observation Dates and closes at 70.00% of the Initial Level on the Final Valuation Date – the Notes are NOT called.

Because (i) the Official Closing Level of the Underlying Index on each of the first four Observation Dates is below the Initial Level and (ii) the Official Closing Level of the Underlying Index on the final Observation Date (which is also the Final Valuation Date) is below the Initial Level but at or above the Downside Threshold, the Notes are not automatically called, and HSBC will repay the Principal Amount of $10.00 per Note, representing a 0.00% return on the Notes.

Example 4— The Underlying Index closes below the Initial Level on each of the first four Observation Dates. In addition, the Underlying Index closes at 59.00% of the Initial Level on the Final Valuation Date – the Notes are NOT called.

Because the Official Closing Level of the Underlying Index on each of the first four Observation Dates is below the Initial Level, the Notes are not automatically called. Furthermore, because the Final Level of the Underlying Index is below the Downside Threshold on the Final Valuation Date, your principal is fully exposed to any decrease in the Final Level of the Underlying Index relative to the Initial Level. Therefore you will suffer a loss on the Notes of 41.00%. Expressed as a formula:

If the Final Level of the Underlying Index is below the Downside Threshold on the Final Valuation Date, you are fully exposed to the negative Underlying Index Return, resulting in a loss of some or all of your principal that is proportionate to the decrease in the Official Closing Level of the Underlying Index from the Pricing Date to the Final Valuation Date.

You should carefully consider, among other things, the matters set forth in the section “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement. The following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of each of the Notes. This summary supplements the section “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement and supersedes it to the extent inconsistent therewith.

There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Notes. Under one reasonable approach, the Notes should be treated as pre-paid executory contracts with respect to the Underlying Index. HSBC intends to treat the Notes consistent with this approach, and pursuant to the terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal income tax purposes. Subject to certain limitations described in the accompanying prospectus supplement, and based on certain factual representations received from HSBC, in the opinion of HSBC’s special U.S. tax counsel, Mayer Brown LLP, it is reasonable to treat the Notes in accordance with this approach. Pursuant to this approach, HSBC does not intend to report any income or gain with respect to the Notes prior to their maturity or an earlier sale, exchange or call and HSBC intends to treat any gain or loss upon maturity or an earlier sale, exchange or call as long-term capital gain or loss, provided you have held the Note for more than one year at such time for U.S. federal income tax purposes. See “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — Certain Notes Treated as a Put Option and a Deposit or an Executory Contract — Certain Notes Treated as Executory Contracts” in the accompanying prospectus supplement for certain U.S. federal income tax considerations applicable to securities that are treated as pre-paid executory contracts.

Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and treatments are possible and the timing and character of income in respect of the Notes might differ materially and adversely from the treatment described above. For example, the Notes could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal income tax purposes, subject to the treatment described under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of U.S. Holders — U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Notes” in the accompanying prospectus supplement.

In Notice 2008-2, the Internal Revenue Service (“IRS”) and the Treasury Department requested comments as to whether the purchaser of an exchange traded note or pre-paid forward contract (which may include the Notes) should be required to accrue income during its term under a mark-to-market, accrual or other methodology, whether income and gain on such a note or contract should be ordinary or capital, and whether foreign holders should be subject to withholding tax on any deemed income accrual. Accordingly, it is possible that regulations or other guidance could provide that a U.S. holder (as defined in the accompanying prospectus supplement) of a Note is required to accrue income in respect of the Notes prior to the receipt of payments with respect to the Notes or their earlier sale. Moreover, it is possible that any such regulations or other guidance could treat all income and gain of a U.S. holder in respect of the Notes as ordinary income (including gain on a sale). Finally, it is possible that a non-U.S. holder (as defined in the accompanying prospectus supplement) of the Notes could be subject to U.S. withholding tax in respect of the Notes. It is unclear whether any regulations or other guidance would apply to the Notes (possibly on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice 2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax treatment of the Notes.

HSBC will not attempt to ascertain whether any of the entities whose stock is included in the Underlying Index 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 the Underlying Index were so treated, certain adverse U.S. federal income tax consequences might apply. You should refer to information filed with the SEC and other authorities by the entities whose stock is included in the Underlying Index and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is included in the Underlying Index is or becomes a PFIC or USRPHC.

Under current law, while the matter is not entirely clear, individual non-U.S. holders, and entities whose property is potentially includible in those individuals’ gross estates for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent an applicable treaty benefit, the Notes are likely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their tax advisors regarding the U.S. federal estate tax consequences of investing in the Notes.

A “dividend equivalent” payment is treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on the Issuer’s determination that the Notes are not “delta-one” instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Underlying Index or the Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in respect of the Underlying Index or the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.

PROSPECTIVE PURCHASERS OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE U.S. FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF NOTES.

If the Notes have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the Calculation Agent will determine the accelerated payment due and payable in the same general manner as described in “Indicative Terms” in this free writing prospectus. In that case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Underlying Index Return and the accelerated Maturity Date will be four business days after the accelerated Final Valuation Date. The Call Return will be calculated based on the length of time that the Notes are outstanding. The Call Return, and therefore the Call Price, increases the longer the Notes are outstanding. If a Market Disruption Event exists on that scheduled trading day, then the accelerated Final Valuation Date will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed by an equal number of business days.

If the Notes have become immediately due and payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. For more information, see “Description of Debt Securities—Senior Debt Securities—Events of Default” in the accompanying prospectus.

Pursuant to the terms of a distribution agreement, HSBC Securities (USA) Inc., an affiliate of HSBC, will purchase the Notes from HSBC for distribution to UBS Financial Services Inc. (the “Agent”). HSBC Securities (USA) Inc. will agree to sell to the Agent, and the Agent will agree to purchase, all of the Notes at the price to public less the underwriting discount indicated on the cover hereof. HSBC has agreed to indemnify the Agent against liabilities, including liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agent may be required to make relating to these liabilities as described in the accompanying prospectus supplement and the prospectus. The Agent may allow a concession to its affiliates not in excess of the underwriting discount set forth on the cover hereof.

Subject to regulatory constraints, HSBC USA Inc. (or an affiliate thereof) intends to offer to purchase the Notes in the secondary market, but is not required to do so and may cease making such offers at any time. HSBC or HSBC’s affiliate will enter into swap agreements or related hedge transactions with one of HSBC’s other affiliates or unaffiliated counterparties, which may include the Agent, in connection with the sale of the Notes and the Agent and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.

In addition, HSBC Securities (USA) Inc. or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions after the initial sale of the Notes, but is under no obligation to make a market in the Notes and may discontinue any market-making activities at any time without notice.

We expect that delivery of the Notes will be made against payment for the Notes on or about the Settlement Date set forth on the cover page of this document, which is more than two business days following the Trade Date. Under Rule 15c6-1 under the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than two business days prior to the Settlement Date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement, and should consult their own advisors.

See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-83 in the accompanying prospectus supplement.

Underlying Index	Call Return Rate	Initial Level	Downside Threshold	CUSIP		ISIN
The Russell 2000^® Index (“RTY”)	10.00% to 10.55% per annum (to be determined on the Trade Date)	·	70.00% of the Initial Level	40443B387	US40443B3877

	Price to Public	Underwriting Discount⁽¹⁾	Proceeds to Us
Per Note	$10.00	$0.175	$9.825
Total	·	·	·

Indicative Terms
Issuer	HSBC USA Inc. (“HSBC”)
Principal Amount	$10 per Note (subject to a minimum investment of $1,000).
Term	2 years, unless earlier called
Pricing Date	December 20, 2023
Trade Date⁽¹⁾	December 20, 2023
Settlement Date ⁽¹⁾	December 26, 2023
Final Valuation Date⁽¹⁾	December 22, 2025, subject to adjustment if a Market Disruption Event occurs, as described under “Additional Terms of the Notes — Valuation Dates” in the accompanying equity index underlying supplement.
Maturity Date⁽¹⁾	December 26, 2025, subject to adjustment if a Market Disruption Event occurs, as described under “Additional Terms of the Notes — Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying equity index underlying supplement.
Underlying Index	The Russell 2000^® Index (Ticker: “RTY”)
Call Feature	The Notes will be automatically called if the Official Closing Level of the Underlying Index on any Observation Date, including the Final Valuation Date, is equal to or greater than the Initial Level. If the Notes are called, HSBC will pay you on the applicable Call Settlement Date a cash payment per Note equal to the Call Price for the applicable Observation Date.
Call Settlement Dates	With respect to any of the first four Observation Dates, two business days following the applicable Observation Date, unless otherwise indicated in the table below. For the Final Valuation Date, the Call Settlement Date will be the Maturity Date.

Expected Observation Date⁽¹⁾	Expected Call Settlement Date⁽¹⁾	Call Return Rate	Call Price (per $10.00 Note)
December 27, 2024	December 31, 2024	10.00% to 10.5500%	$11.00 to $11.05500
March 20, 2025	March 24, 2025	12.50% to 13.1875%	$11.25 to $11.31875
June 20, 2025	June 24, 2025	15.00% to 15.8250%	$11.50 to $11.58250
September 22, 2025	September 24, 2025	17.50% to 18.4625%	$11.75 to $11.84625
Final Valuation Date (December 22, 2025)	Maturity Date (December 26, 2025)	20.00% to 21.1000%	$12.00 to $12.11000

Downside Threshold	70.00% of the Initial Level.
Initial Level	The Official Closing Level on the Pricing Date.
Final Level	The Official Closing Level on the Final Valuation Date.
Calculation Agent	HSBC USA Inc. or one of its affiliates.
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 "Key Risks — 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."

		The Initial Level and Downside Threshold of the Underlying Index are determined. The Call Return and Call Return Rate are set.


		The Notes will automatically be called if the Official Closing Level of the Underlying Index on any of the first four Observation Dates is equal to or greater than the Initial Level. If the Notes are called, HSBC will pay the Call Price for the relevant Observation Date: equal to the Principal Amount plus an amount based on the Call Return Rate.


		The Final Level and Underlying Index Return are determined on the Final Valuation Date. If the Notes have not been called and the Final Level of the Underlying Index is equal to or greater than the Downside Threshold, HSBC will pay the Principal Amount (a zero return). If the Notes have not been called and the Final Level of the Underlying Index is below the Downside Threshold, HSBC will repay less than the Principal Amount, if anything, resulting in a loss proportionate to the decline of the Underlying Index; equal to a return of: $10.00 × (1 + Underlying Index Return) per Note

Investment term:	2 years (unless earlier called)
Hypothetical Initial Level:⁽¹⁾	2,000.00
Call Return Rate:	10.00% per annum (or 2.50% per quarter) (the actual Call Return Rate will be between 10.00% and 10.55% per annum, to be determined on the Trade Date)
Downside Threshold:	70.00%
Hypothetical Downside Threshold:	1,400.00 (70.00% of the Hypothetical Initial Level)

Expected Observation Date	Expected Call Settlement Date	Hypothetical Call Return Rate	Hypothetical Call Price (per $10.00 Note)
December 27, 2024	December 31, 2024	10.00%	$11.00
March 20, 2025	March 24, 2025	12.50%	$11.25
June 20, 2025	June 24, 2025	15.00%	$11.50
September 22, 2025	September 24, 2025	17.50%	$11.75
Final Valuation Date (December 22, 2025)	Maturity Date (December 26, 2025)	20.00%	$12.00

Date	Official Closing Level	Payment (per Note)
First Observation Date	2,200.00	$11.00 (Call Price) – Notes are automatically called
	Total Payment: $11.00 (10.00% return)

Second through Fourth Observation Dates	Various levels below the Initial Level but above the Downside Threshold	$0.00 – Notes are not automatically called
Final Valuation Date	1,500.00	$10 (Principal Amount) – Notes are not called
	Total Payment: $10.00 (0.00% return)