<SEC-DOCUMENT>0001144204-13-032994.txt : 20130604
<SEC-HEADER>0001144204-13-032994.hdr.sgml : 20130604
<ACCEPTANCE-DATETIME>20130603175357
ACCESSION NUMBER: 0001144204-13-032994
CONFORMED SUBMISSION TYPE: FWP
PUBLIC DOCUMENT COUNT: 8
FILED AS OF DATE: 20130604
DATE AS OF CHANGE: 20130603
SUBJECT COMPANY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
SEC ACT: 1934 Act
SEC FILE NUMBER: 333-180289
FILM NUMBER: 13889077
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 2125253735
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
FILED BY:
COMPANY DATA:
COMPANY CONFORMED NAME: HSBC USA INC /MD/
CENTRAL INDEX KEY: 0000083246
STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021]
IRS NUMBER: 132764867
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: FWP
BUSINESS ADDRESS:
STREET 1: 452 FIFTH AVE
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 2125253735
MAIL ADDRESS:
STREET 1: 452 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10018
</SEC-HEADER>
<DOCUMENT>
<TYPE>FWP
<SEQUENCE>1
<FILENAME>v346805_fwp.htm
<DESCRIPTION>FREE WRITING PROSPECTUS
<TEXT>
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<TITLE></TITLE>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Filed Pursuant
to Rule 433</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Registration
No. 333-180289</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">June 3,
2013</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">FREE WRITING
PROSPECTUS </FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">(To Prospectus
dated March 22, 2012,</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Prospectus
Supplement dated March 22, 2012 and</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-weight: normal">Equity
Index Underlying Supplement dated March 22, 2012)</FONT></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"> </P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"> </P>
<P STYLE="font: 18pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 18pt">HSBC USA Inc. </FONT><BR>
<FONT STYLE="font-size: 12pt">Buffered Market Participation Securities</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 4pt; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 4pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 14.2pt"><FONT STYLE="font: 10pt Wingdings 3">}</FONT></TD><TD>Buffered Market Participation Securities linked to the Dow Jones Industrial Average<SUP>SM</SUP></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 4pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 14.2pt"><FONT STYLE="font: 10pt Wingdings 3">}</FONT></TD><TD>Maturity of three years</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 4pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 14.2pt"><FONT STYLE="font: 10pt Wingdings 3">}</FONT></TD><TD>1-for-1 exposure to any positive return of the reference asset, subject to a maximum return</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 4pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 14.2pt"><FONT STYLE="font: 10pt Wingdings 3">}</FONT></TD><TD>Protection from the first 15% of any losses of the reference asset</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 4pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 14.2pt"><FONT STYLE="font: 10pt Wingdings 3">}</FONT></TD><TD>All payments on the securities are subject to the credit risk of HSBC USA Inc.</TD></TR></TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt 14.2pt; text-indent: -14.2pt"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 4pt; text-align: justify">The Buffered Market Participation Securities
(each a “security” and collectively the “securities") offered hereunder will not be listed on any U.S. securities
exchange or automated quotation system. The securities will not bear interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Neither the U.S. Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities 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 securities. HSBC Securities (USA) Inc. will purchase the securities from us for distribution
to other registered broker-dealers or will offer the securities directly to investors. In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making
transactions in any securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale,
the pricing supplement to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental
Plan of Distribution (Conflicts of Interest)” on page FWP-14 of this free writing prospectus.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">The Estimated Initial Value of the securities
at the time the terms of the securities are set is expected to be between $970 and $985 per security, which will be less than the
price to public. The market value of the securities at any time will reflect many factors and cannot be predicted with accuracy.
See “Estimated Initial Value” on page FWP-4 and “Risk Factors” beginning on page FWP-7 of this document
for additional information.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B>Investment in the securities involves certain
risks. You should refer to “Risk Factors” beginning on page FWP-7 of this document, page S-3 of the accompanying prospectus
supplement and page S-1 of the accompanying Equity Index Underlying Supplement.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 28.7pt 0 0.5in; text-align: justify"><B> </B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 45%; border-bottom: #CCCCCC 1pt solid; padding-top: 6pt; text-align: justify; text-justify: inter-ideograph"> </TD>
<TD STYLE="width: 16%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; padding-left: 5.4pt; text-align: left; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">Price to Public</FONT></TD>
<TD STYLE="width: 20%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">Underwriting Discount<SUP>1</SUP></FONT></TD>
<TD STYLE="width: 19%; border-bottom: #CCCCCC 1pt solid; padding-top: 3pt; padding-left: 0.05in; text-align: justify; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">Proceeds to Issuer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">Per security</FONT></TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">$1,000 </FONT></TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"> </TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 0.05in; text-align: justify; text-justify: inter-ideograph"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"><FONT STYLE="font-size: 10pt; color: windowtext">Total</FONT></TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"> </TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 5.4pt; text-align: justify; text-justify: inter-ideograph"> </TD>
<TD STYLE="border-bottom: #CCCCCC 1pt solid; padding-left: 0.05in; text-align: justify; text-justify: inter-ideograph"> </TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 28.7pt 2pt 0.5in; text-align: justify"><SUP> </SUP></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 2pt; text-align: justify"><SUP>1</SUP> HSBC USA Inc. or one of
our affiliates may pay varying underwriting discounts of up to 0.5% and referral fees of up to 1.2% per $1,000 Principal Amount
in connection with the distribution of the securities to other registered broker-dealers. In no case will the sum of the underwriting
discounts and referral fees exceed 1.2% per $1,000 Principal Amount. See “Supplemental Plan of Distribution (Conflicts of
Interest)” on page FWP-14 of this free writing prospectus.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 3pt 28.35pt 3pt 49.6pt; text-align: center; text-indent: -21.25pt"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 3pt 28.35pt 3pt 49.6pt; text-align: center; text-indent: -21.25pt"><B>The
Securities:</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 34%; border: windowtext 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><FONT STYLE="font-size: 10pt; color: windowtext"><B>Are Not FDIC Insured</B></FONT></TD>
<TD STYLE="width: 33%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><FONT STYLE="font-size: 10pt; color: windowtext"><B>Are Not Bank Guaranteed</B></FONT></TD>
<TD STYLE="width: 33%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding: 3pt 5.4pt; text-align: center; color: #595959"><FONT STYLE="font-size: 10pt; color: windowtext"><B>May Lose Value</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 28.7pt 2pt 0.5in; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.2in; text-indent: 0in; text-align: right"><IMG SRC="logo1.jpg" ALT=""> </P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 12pt 0 2pt; text-align: justify"><B>HSBC USA Inc.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify"><FONT STYLE="font-size: 16pt">Buffered
Market Participation Securities</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><FONT STYLE="font-size: 16pt">Linked to the
Dow Jones Industrial Average<SUP>SM</SUP></FONT></P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 6pt 0 2pt">Indicative Terms*</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
<TD STYLE="width: 20%; border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Principal Amount</B></FONT></TD>
<TD STYLE="width: 80%; border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">$1,000 per security </FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Asset</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">Dow Jones Industrial Average<SUP>SM</SUP> (“INDU”)</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Term</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">Three years</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Buffer Level</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">-15%</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maximum Cap</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">36% to 42%, which will be determined on the Pricing Date.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Payment at </B></FONT><BR>
<FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity</B></FONT><BR>
<FONT STYLE="font-size: 10pt; color: #777777"><B>per Security</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 4.25pt; text-indent: 0">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 1pt 0"><B>If the underlying Reference Return is greater
than zero</B>, you will receive the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 1pt 8.8pt; text-indent: -8.8pt">a) $1,000 + ($1,000 ×
Reference Return); and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 6pt 0">b) $1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 1pt 0"><B>If the Reference Return is less than or equal
to zero but greater than or equal to the Buffer Level:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 6pt 0">$1,000 (zero return).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 9.35pt 1pt 0"><B>If the Reference Return is less than the Buffer
Level:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">$1,000 + [$1,000 × (Reference Return + 15%)]. For example,
if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit risk
of HSBC. If the Reference Return is less than the Buffer Level, you may lose up to 85% of your investment.</P></TD></TR>
<TR>
<TD STYLE="border-top: silver 1pt solid; border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Reference Return</B></FONT></TD>
<TD STYLE="border-top: silver 1pt solid; border-bottom: silver 1pt solid; padding: 1.15pt 0 0.85pt 4.25pt; text-indent: 0">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 0"><U>Final Level – Initial Level</U></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 1pt 0; text-indent: 0.5in">Initial Level</P></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Initial Level</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">The Official Closing Level of the Reference Asset on the Pricing Date.</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Level</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">The Official Closing Level of the Reference Asset on the Final Valuation Date.</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Pricing Date</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">June 25, 2013</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Trade Date</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">June 25, 2013</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Original Issue Date</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">June 28, 2013</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Final Valuation Date</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">June 27, 2016</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>Maturity Date</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">June 30, 2016</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.2pt"><FONT STYLE="font-size: 10pt; color: #777777"><B>CUSIP/ISIN</B></FONT></TD>
<TD STYLE="border-bottom: silver 1pt solid; padding: 1pt 0 1pt 4.25pt; text-indent: 0"><FONT STYLE="font-size: 10pt">40432XG96/US40432XG964</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 3pt 0 0; text-indent: 0">* As more fully described beginning
on page FWP-4.</P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 8pt 0 2pt">The Securities</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 5.5pt; text-align: justify"><FONT STYLE="font-weight: normal">For
investors who believe that the Reference Asset will appreciate over the term of the securities, the securities provide an opportunity
for 1:1 exposure to any positive Reference Return (subject to a Maximum Cap). If the Reference Return is below the Buffer Level,
then the securities are subject to 1:1 exposure to any potential decline of the Reference Asset beyond -15%.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 11pt 0 5.5pt; text-align: justify"><FONT STYLE="font-weight: normal">If
the Reference Asset appreciates over the term of the securities, you will realize 100% (1.0x) of the Reference Asset appreciation,
up to the Maximum Cap. If the Reference Asset declines, you will lose 1% of your investment for every 1% decline in the Reference
Asset beyond the -15% Buffer Level.</FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 11pt 0 5.5pt; text-align: justify"><FONT STYLE="font-weight: normal"></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="background-color: #E0E0E0">
<TD STYLE="width: 100%; padding: 6pt 5.4pt 5.5pt; text-align: center; font-size: 10pt; color: red; font-weight: bold"><FONT STYLE="font-size: 10pt; font-weight: normal; color: black">The offering period for the securities is through </FONT><FONT STYLE="font-size: 10pt; color: black">June 24, 2013</FONT></TD></TR>
</TABLE>
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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 48%; padding-right: 5.4pt; padding-left: 0">
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0">Payoff Example</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">The table at right shows the hypothetical payout
profile of an investment in the securities reflecting the Buffer Level of -15%, and assuming a 36% Maximum Cap. The actual Maximum
Cap will be determined on the Pricing Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B><I> </I></B></P></TD>
<TD STYLE="width: 52%; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">
<IMG SRC="img2.jpg" ALT=""><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify; text-indent: 0in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"> </P></TD></TR>
</TABLE>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in"><B> </B></P>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in"><B>Information about the Reference
Asset</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 48%; padding-right: 5.4pt; padding-left: 0">
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 6pt 0; text-align: justify">Description of the INDU</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 9pt; text-align: justify">The INDU is a price-weighted
index compromised of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the
entire U.S. market, covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer
goods, but excluding the transportation and utilities industries.<I> </I></P></TD>
<TD STYLE="width: 52%; padding-right: 0; padding-left: 0; text-align: center">
<IMG SRC="graph1.jpg" ALT=""><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 9pt; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 10pt 0 0; text-align: justify; text-indent: 0in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"> </P></TD></TR>
</TABLE>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in"><B> </B></P>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">The graph above illustrates the daily five year performance of the
Reference Asset through May 22, 2013. The closing levels in the graph above were obtained from the Bloomberg Professional<SUP>®</SUP>
Service. Past performance is not necessarily an indication of future results. For further information on the Reference Asset, please
see “Information Relating to the Reference Asset” beginning on page FWP-12 of this free writing prospectus and “The
Dow Jones Industrial Average<SUP>SM</SUP>” beginning on page S-25 of the accompanying Equity Index Underlying Supplement.
We have derived all disclosure regarding the Reference Asset from publicly available information. Neither HSBC USA 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 Reference Asset.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"></P>
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<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in"></P>
<P STYLE="margin: 0"></P>
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<TD STYLE="width: 50%; padding-right: 0; padding-left: 0"><P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font-size: 14pt">HSBC USA Inc.</FONT></P>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt"><FONT STYLE="font-size: 14pt">Buffered
Market Participation Securities</FONT></P></TD>
<TD STYLE="width: 50%; padding-right: 0; padding-left: 0; font-size: 12pt; text-align: right"><IMG SRC="logo2.jpg" ALT=""><FONT STYLE="font-size: 14pt"> </FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 4pt; text-indent: 0in">Linked to the Dow Jones Industrial Average<SUP>SM</SUP></P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">This free writing prospectus
relates to an offering of Buffered Market Participation Securities. The securities will have the terms described in this free writing
prospectus and the accompanying prospectus supplement, prospectus and Equity Index Underlying Supplement. If the terms of the securities
offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus or Equity Index Underlying
Supplement, the terms described in this free writing prospectus shall control.<FONT STYLE="font-family: Times New Roman, Times, Serif">
</FONT><B>You should be willing to forgo interest and dividend payments during the term of the securities and, if the Reference
Return is less than the Buffer Level, lose up to 85% of your principal.</B></P>
<P STYLE="color: #777777; font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><B>This free writing prospectus
relates to an offering of securities linked to the performance of the Dow Jones Industrial Average<SUP>SM</SUP>. The purchaser
of a security 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 securities:</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
<TD STYLE="width: 20%; padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Issuer:</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 0 1pt 5.75pt">HSBC USA Inc.</TD></TR>
<TR STYLE="vertical-align: bottom">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Principal Amount:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">$1,000 per security</TD></TR>
<TR STYLE="vertical-align: bottom">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Reference Asset:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">Dow Jones Industrial Average<SUP>SM</SUP> (“INDU”)</TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Trade Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">June 25, 2013</TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Pricing Date:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">June 25, 2013</TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Original Issue Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">June 28, 2013</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Final Valuation Date:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">June 27, 2016, subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the accompanying Equity Index Underlying Supplement.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Maturity Date:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">3 business days after the Final Valuation Date, and expected to be June 30, 2016. 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.</TD></TR>
<TR>
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Payment at Maturity:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">On the Maturity Date, for each security, we will pay you the Final Settlement Value.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="width: 20%; padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Reference Return:	</B></FONT></TD>
<TD STYLE="width: 80%; padding: 1.45pt 0 1.45pt 5.75pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt; text-indent: 0">The quotient, expressed as a percentage,
calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt; text-align: center"><U>Final Level – Initial Level</U></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt; text-align: center">Initial Level</P></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Final Settlement Value:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1.45pt 5.75pt">
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt"><B><I>If the Reference Return is greater than zero, </I></B>you
will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt">(a) $1,000 + ($1,000 × Reference Return); and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt">(b) $1,000 + ($1,000 × Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt"><B><I>If the Reference Return is less than or equal to zero
but greater than or equal to the Buffer Level</I></B>, you will receive $1,000 per $1,000 Principal Amount (zero return).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt"><B><I>If the Reference Return is less than the Buffer Level</I>,
</B>you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt">$1,000 + [$1,000 × (Reference Return + 15%)].</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 1pt">Under these circumstances, you will lose 1% of the Principal
Amount for each percentage point that the Reference Return is below the Buffer Level. For example, if the Reference Return is -30%,
you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit risk of HSBC. <B>If the Reference Return
is less than the Buffer Level, you will lose up to 85% of your investment.</B></P></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Buffer Level:</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-bottom: 1pt; padding-left: 5.75pt"><FONT STYLE="font-size: 10pt">-15%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Maximum Cap: </B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">36% to 42%, which will be determined on the Pricing Date.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Initial Level:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">The Official Closing Level of the Reference Asset on the Pricing Date.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Final Level:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">The Official Closing Level of the Reference Asset on the Final Valuation Date. </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Official Closing Level:	</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">The closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent based upon the level displayed on the Bloomberg Professional<SUP>®</SUP> service page “INDU <INDEX>”, any successor page on the Bloomberg Professional<SUP>®</SUP> service or any successor service, as applicable.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Form of Securities:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">Book-Entry</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Listing:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">The securities will not be listed on any U.S. securities exchange or quotation system.</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>CUSIP/ISIN:</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">40432XG96/US40432XG964</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0"><FONT STYLE="color: #777777"><B>Estimated Initial Value</B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt">The Estimated Initial Value of the securities will be less than the price you pay to purchase the securities. The Estimated Initial Value is determined by reference to our or our affiliates’ internal pricing models and reflects the implied borrowing rate we pay to issue market-linked securities, which is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities, and the value of the embedded derivatives in the securities. The Estimated Initial Value will be calculated on the Pricing Date and will be set forth in the pricing supplement to which this </TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"></P>
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<P STYLE="margin: 0"></P>
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<TR STYLE="vertical-align: top">
<TD STYLE="padding: 1.45pt 0 1pt; text-indent: 0; width: 20%"><FONT STYLE="color: #777777"><B></B></FONT></TD>
<TD STYLE="padding: 1.45pt 0 1pt 5.75pt; width: 80%"> free writing prospectus relates.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><I>The Trade Date, the Pricing Date and the other dates set forth
above are subject to change, and will be set forth in the final pricing supplement relating to the securities.</I></P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">GENERAL</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">This free writing prospectus relates
to a single offering of securities linked to the Reference Asset identified on the cover page. The purchaser of a security will
acquire a senior unsecured debt security of HSBC USA Inc. We reserve the right to withdraw, cancel or modify the offering and to
reject orders in whole or in part. Although the offering of securities relates to the Reference Asset identified on the cover page,
you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset
or any component security included in the Reference Asset or as to the suitability of an investment in the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement
dated March 22, 2012. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus
supplement, 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-7
of this free writing prospectus, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement,
as the securities 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 securities. As used herein, references to the “Issuer”,
“HSBC”, “we”, “us” and “our” are to HSBC USA Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 9pt; text-align: justify">HSBC has filed a registration statement
(including a prospectus, a prospectus supplement and underlying supplements) with the SEC for the offering to which this free writing
prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and relevant underlying supplement
in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this
offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov. Alternatively, HSBC
Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement
and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 5pt; text-align: justify">You may also obtain:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 5.5pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">The Prospectus Supplement at: <FONT STYLE="font-size: 10pt"><A HREF="http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm">http://www.sec.gov/Archives/edgar/data/83246/000104746912003151/a2208335z424b2.htm</A></FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 5.5pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">The Prospectus at: <FONT STYLE="font-size: 10pt"><A HREF="http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm">http://www.sec.gov/Archives/edgar/data/83246/000104746912003148/a2208395z424b2.htm</A></FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 5.5pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 17.85pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: left">The Equity Index Underlying Supplement at: <FONT STYLE="font-size: 10pt"><A HREF="http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm">http://www.sec.gov/Archives/edgar/data/83246/000114420412016693/v306691_424b2.htm</A></FONT></TD></TR></TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 9pt; text-align: justify">We are using this free writing prospectus
to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities 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 securities prior to their issuance. In the event of any material changes to the terms of the
securities, we will notify you.</P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">PAYMENT AT MATURITY</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">On the Maturity Date, for each security
you hold, we will pay you the Final Settlement Value, which is an amount in cash, as described below:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>If the Reference Return is greater
than zero</B>, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to the lesser of:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify; text-indent: 21.3pt">(a) $1,000 + ($1,000 ×
Reference Return); and</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify; text-indent: 21.3pt">(b) $1,000 + ($1,000
× Maximum Cap).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>If the Reference Return is less than
or equal to zero but greater than or equal to the Buffer Level,</B> you will receive $1,000 per $1,000 Principal Amount (zero return).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>If the Reference Return is less than
the Buffer Level,</B> you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify; text-indent: 21.3pt">$1,000 + [$1,000
× (Reference Return + 15%)].</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Under these circumstances, you will lose
1% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Level. For
example, if the Reference Return is -30%, you will suffer a 15% loss and receive 85% of the Principal Amount, subject to the credit
risk of HSBC. <B>You should be aware that if the Reference Return is less than the Buffer Level, you will lose up to 85% of your
investment.</B></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0">Interest</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">The securities will not pay interest.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0; text-align: justify">Business Day</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0; text-align: justify"><FONT STYLE="font-weight: normal">A
“business day” means any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking
institutions are authorized or required by law or regulation to close in the City of New York.</FONT></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0; text-align: justify">Payment When Offices or Settlement
Systems Are Closed</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0; text-align: justify"><FONT STYLE="font-weight: normal">If
any payment is due on the securities on a day that would otherwise be a “business day” but is a day on which the office
of a paying agent or a settlement system is closed, we will make the payment on the next business day when that paying agent or
system is open. Any such payment will be deemed to have been made on the original due date, and no additional payment will be made
on account of the delay.</FONT></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0">Calculation Agent</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">We or one of our affiliates will act
as calculation agent with respect to the securities.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0">Reference Sponsor</P>
<P STYLE="margin: 0">S&P Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor.	</P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 6pt 0">INVESTOR SUITABILITY</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">The securities may be suitable for
you if:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You seek an investment with a return linked to the potential positive performance of the Reference
Asset and you believe the level of the Reference Asset will increase over the term of the securities.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to invest in the securities based on the Maximum Cap indicated herein, which may
limit your return at maturity. The actual Maximum Cap will be determined on the Pricing Date.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the Reference Return is less than -15%.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to accept the risk and return profile of the securities versus a conventional debt
security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to forgo dividends or other distributions paid to holders of the stocks comprising
the Reference Asset.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You do not seek current income from your investment.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You do not seek an investment for which there is an active secondary market.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are willing to hold the securities to maturity.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.</TD></TR></TABLE>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">The securities may not be suitable
for you if:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You believe the Reference Return will be negative on the Final Valuation Date or that the Reference
Return will not be sufficiently positive to provide you with your desired return.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are unwilling to invest in the securities based on the Maximum Cap indicated herein, which
may limit your return at maturity. The actual Maximum Cap will be determined on the Pricing Date.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1
basis for each percentage point that the Reference Return is less than -15%.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You seek an investment that provides full return of principal.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You prefer the lower risk, and therefore accept the potentially lower returns, of conventional
debt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You prefer to receive the dividends or other distributions paid on the stocks comprising the Reference
Asset.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You seek current income from your investment.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You seek an investment for which there will be an active secondary market.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are unable or unwilling to hold the securities to maturity.</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 2pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 9pt"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of
the securities.</TD></TR></TABLE>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 0 0"> </P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">RISK FACTORS</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">We urge you to read the section “Risk
Factors” beginning on page S-3 in the accompanying prospectus supplement and page S-1 of the Equity Index Underlying
Supplement. Investing in the securities is not equivalent to investing directly in any of the stocks comprising the Reference Asset
or the Reference Asset itself, as applicable. You should understand the risks of investing in the securities and should reach an
investment decision only after careful consideration, with your advisors, of the suitability of the securities in light of your
particular financial circumstances and the information set forth in this free writing prospectus and the accompanying prospectus
supplement, prospectus and Equity Index Underlying Supplement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement including
the explanation of risks relating to the securities described in the following sections:</P>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 5.5pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">“— Risks Relating to All Note Issuances” in the prospectus supplement; and</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 5.5pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.25in"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD><TD STYLE="text-align: justify">“— General risks related to Indices” in the Equity Index Underlying Supplement.</TD></TR></TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 9pt 0 0; text-align: justify; text-indent: 0in">You will be subject
to significant risks not associated with conventional fixed-rate or floating-rate debt securities.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">Your investment in the securities
may result in a loss.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">You will be exposed to the decline in
the Final Level from the Initial Level beyond the Buffer Level of -15%. Accordingly, if the Reference Return is less than -15%,
your Payment at Maturity will be less than the Principal Amount of your securities. You will lose up to 85% of your investment
at maturity if the Reference Return is less than the Buffer Level.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">The appreciation on the securities
is limited by the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">You will not participate in any appreciation
in the level of the Reference Asset beyond the Maximum Cap. The Maximum Cap (to be determined on the Pricing Date) will be between
36% and 42%. You will not receive a return on the securities greater than the Maximum Cap.</P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"></P>
<P STYLE="margin: 0"></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">The amount payable on the securities
is not linked to the level of the Reference Asset at any time other than on the Final Valuation Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"><FONT STYLE="font-weight: normal">The Final
Level will be based on the Official Closing Level of the Reference Asset on the Final Valuation Date, subject to postponement for
non-trading days and certain market disruption events. Even if the level of the Reference Asset appreciates prior to the Final
Valuation Date but then decreases on the Final Valuation Date to a level that is below the Initial Level, the Payment at Maturity
will be less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the level of the
Reference Asset prior to such decrease. Although the actual level of the Reference Asset on the Maturity Date or at other times
during the term of the securities may be higher than the Final Level, the Payment at Maturity will be based solely on the Official
Closing Level of the Reference Asset on the Final Valuation Date.</FONT></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">Credit risk of HSBC USA Inc.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">The securities are senior unsecured
debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further
described in the accompanying prospectus supplement and prospectus, the securities will rank on par with all of the other unsecured
and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be
made on the securities, including any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations
as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the securities
and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">The securities will not bear interest.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">As a holder of the securities, you will
not receive interest payments.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify">Changes that affect the Reference
Asset will affect the market value of the securities and the amount you will receive at maturity.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">The policies of the reference sponsor
of the Reference Asset concerning additions, deletions and substitutions of the constituents comprising the Reference Asset and
the manner in which the reference sponsor takes account of certain changes affecting those constituents included in the Reference
Asset may affect the level of the Reference Asset. The policies of the reference sponsor with respect to the calculation of the
Reference Asset could also affect the level of the Reference Asset. The reference sponsor may discontinue or suspend calculation
or dissemination of its Reference Asset. Any such actions could affect the value of the securities.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">The securities are not insured
or guaranteed by any governmental agency of the United States or any other jurisdiction.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">The securities are not deposit liabilities
or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency or program of the United States or any other jurisdiction. An investment in the securities 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
Maturity of the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"><B>The Estimated Initial Value of the
securities, which will be determined by us at the time the terms of the securities are set, will be less than the price to public
and may differ from the market value of the securities in the secondary market, if any.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">The Estimated Initial Value of the securities
will be calculated by us at the time the terms of the securities are set. We will determine the Estimated Initial Value by reference
to our or our affiliates’ internal pricing models. These pricing models consider certain assumptions and variables, which
can include volatility and interest rates. Different pricing models and assumptions could provide valuations for the securities
that are different from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future events,
which may prove to be incorrect. The Estimated Initial Value will reflect the implied borrowing rate we use to issue market-linked
securities, as well as the mid-market value of the embedded derivatives in the securities. The implied borrowing rate is typically
lower than the rate we would use when we issue conventional fixed or floating rate debt securities. As a result of the difference
between our implied borrowing rate and the rate we would use when we issue conventional fixed or floating rate debt securities,
the Estimated Initial Value of the securities may be lower if it were based on the levels at which our fixed or floating rate debt
securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating
rate debt issuances, we would expect the economic terms of the securities to be more favorable to you. The Estimated Initial Value
does not represent a minimum price at which we or any of our affiliates would be willing to purchase your securities in the secondary
market (if any exists) at any time.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"><B>The price of your securities in the
secondary market, if any, immediately after the Pricing Date will be less than the price to public.</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">The price to public takes into account
certain costs. These costs, which will be used or retained by us or one of our affiliates, will include our affiliates’ projected
hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the securities,
the costs associated with hedging our obligations under the securities, the underwriting discount and the costs associated</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"></P>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">with issuing the securities (such as
costs associated with creating and documenting the securities). If you were to sell your securities in the secondary market, if
any, the price you would receive for your securities may be less than the price you paid for them. The price of your securities
in the secondary market, if any, at any time after issuance will vary based on many factors, including the value of the Reference
Asset and changes in market conditions, and cannot be predicted with accuracy. The securities are not designed to be short-term
trading instruments, and you should, therefore, be able and willing to hold the securities to maturity. Any sale of the securities
prior to maturity could result in a loss to you.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"><B>If we were to repurchase your securities
immediately after the Original Issue Date, the price you receive may be higher than the Estimated Initial Value of the securities.
</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">Although not obligated to do so, for
a predetermined period of time after the Original Issue Date, if we were to buy back your securities, the purchase price you would
receive (and which may be shown on your customer account statements) is expected to exceed the Estimated Initial Value, assuming
all other market conditions remain the same. This pricing differential is only temporary and the excess amount is expected to decline
on an approximate straight line basis to zero over a period of approximately six months from the Original Issue Date. The length
of this period is generally dictated by market conditions. Thereafter, if you are able to sell your securities, the price you would
receive would be based on the market value of the securities at that time, which would take into account factors including, but
not limited to, then-prevailing market conditions, the relevant Reference Asset, our creditworthiness and transaction costs.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">The securities lack liquidity.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">The securities will not be listed on
any securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market,
if any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.</P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">Potential conflicts of interest
may exist.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify">HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the securities. We will not have any obligation to consider your interests as a holder
of the securities in taking any action that might affect the value of your securities.</P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"></P>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 12pt 0 0; text-align: justify">Uncertain tax treatment.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">For a discussion of the U.S. federal
income tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.</P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">ILLUSTRATIVE EXAMPLES</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">The following table and examples are
provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario
concerning increases or decreases in the level of the Reference Asset relative to its Initial Level. We cannot predict the Final
Level of the Reference Asset. 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 to which your securities are linked or the return on your securities<B>. </B>The Final Settlement Value
may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including
those issued by HSBC. The numbers appearing in the table below and following examples have been rounded for ease of analysis.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">The table below illustrates the Payment
at Maturity on a $1,000 investment in the securities for a hypothetical range of Reference Returns from -100% to +100%. The following
results are based solely on the assumptions outlined below. The “Hypothetical Return on the Securities” as used below
is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount to $1,000.
The potential returns described here assume that your securities are held to maturity. You should consider carefully whether the
securities are suitable to your investment goals. The numbers appearing in the following table and examples have been rounded for
ease of analysis. The following table and examples assume the following:</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 3%; padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD>
<TD STYLE="width: 22%; padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0">Principal Amount:</TD>
<TD STYLE="width: 75%; padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0">$1,000</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD>
<TD STYLE="padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0">Buffer Level:</TD>
<TD STYLE="padding-right: 0; padding-bottom: 5.5pt; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-left: 0">-15%</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-right: 0; padding-left: 0"><FONT STYLE="font-family: Wingdings 3; color: red">}</FONT></TD>
<TD STYLE="text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-right: 0; padding-left: 0">Hypothetical Maximum Cap:</TD>
<TD STYLE="text-align: justify; text-justify: inter-ideograph; text-indent: 0in; padding-right: 0; padding-left: 0">36% (The actual Maximum Cap will be determined on the Pricing Date and will be between 36% and 42%).</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in"> </P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 0.25in; text-align: justify; text-indent: 0in">The actual Initial
Level and Maximum Cap will be determined on the Pricing Date.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: justify; text-indent: 0in"> </P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 60%; border-collapse: collapse">
<TR STYLE="background-color: red">
<TD STYLE="width: 35%; border-top: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; color: white; font-weight: bold; text-align: center">Hypothetical Reference <BR>
Return</TD>
<TD STYLE="width: 32%; border-top: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; color: white; font-weight: bold; text-align: center">Hypothetical Payment <BR>
at Maturity</TD>
<TD STYLE="width: 33%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; color: white; font-weight: bold; text-align: center">Hypothetical Return on <BR>
the Securities</TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">100.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,360.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">36.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">80.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,360.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">36.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">60.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,360.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">36.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">50.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,360.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">36.00% </TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>36.00%</B></TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt"><B>$1,360.00</B></FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>36.00% </B></TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">20.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,200.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">20.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">15.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,150.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">15.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">10.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,100.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">10.00% </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">5.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,050.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">5.00%</TD></TR>
<TR STYLE="background-color: #CCCCCC">
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>0.00%</B></TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt"><B>$1,000.00 </B></FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>0.00%</B></TD></TR>
<TR STYLE="background-color: white">
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-10.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$1,000.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">0.00%</TD></TR>
<TR STYLE="background-color: #BFBFBF">
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>-15.00%</B></TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt"><B>$1,000.00</B></FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><B>0.00%</B></TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-20.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$950.00</FONT></TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-5.00%</TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-30.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$850.00</FONT></TD>
<TD STYLE="vertical-align: top; border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">-15.00%</FONT></TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-40.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$750.00</FONT></TD>
<TD STYLE="vertical-align: top; border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">-25.00%</FONT></TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-60.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$550.00</FONT></TD>
<TD STYLE="vertical-align: top; border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">-45.00%</FONT></TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-80.00%</TD>
<TD STYLE="vertical-align: top; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$350.00</FONT></TD>
<TD STYLE="vertical-align: top; border-right: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">-65.00%</FONT></TD></TR>
<TR>
<TD STYLE="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center">-100.00%</TD>
<TD STYLE="vertical-align: top; border-bottom: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">$150.00</FONT></TD>
<TD STYLE="vertical-align: top; border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 2pt; padding-left: 2pt; text-align: center"><FONT STYLE="font-size: 10pt">-85.00%</FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%"> </TD></TR></TABLE></DIV>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 11pt; text-align: left">The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>Example 1: The Reference Return is
5.00%.</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 50%; border-collapse: collapse">
<TR STYLE="background-color: red">
<TD STYLE="width: 74%; border-top: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold"> </TD>
<TD STYLE="width: 26%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">Reference Return:</TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right">5.00%</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt"><B>Final Settlement Value:</B></TD>
<TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right"><B>$1,050.00</B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Because the Reference Return is positive,
and the Reference Return is less than the hypothetical Maximum Cap, the Final Settlement Value would be $1,050.00 per $1,000 Principal
Amount, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	$1,000 + ($1,000 × Reference
Return)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	= $1,000 + ($1,000 × 5.00%)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	= $1,050.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Example 1 shows that you will receive
the return of your principal investment plus a return equal to the Reference Return when the Reference Return is positive and equal
to or less than the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>Example 2: The Reference Return is
60.00%.</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 50%; border-collapse: collapse">
<TR STYLE="background-color: red">
<TD STYLE="width: 74%; border-top: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold"> </TD>
<TD STYLE="width: 26%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">Reference Return:</TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right">60.00%</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt"><B>Final Settlement Value:</B></TD>
<TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right"><B>$1,360.00</B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Because the Reference Return is positive,
and the Reference Return is greater than the hypothetical Maximum Cap, the Final Settlement Value would be $1,360.00 per $1,000
Principal Amount, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	$1,000 + ($1,000 × Maximum
Cap)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	= $1,000 + ($1,000 × 36.00%)</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">	= $1,360.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Example 2 shows that you will receive
the return of your principal investment plus a return equal to the Maximum Cap when the Reference Return is positive and the Reference
Return exceeds the Maximum Cap.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>Example 3: The Reference Return is
-5.00%.</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 50%; border-collapse: collapse">
<TR STYLE="background-color: red">
<TD STYLE="width: 74%; border-top: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold"> </TD>
<TD STYLE="width: 26%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">Reference Return:</TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right">-5.00%</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt"><B>Final Settlement Value:</B></TD>
<TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right"><B>$1,000.00</B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Because the Reference Return is less
than zero but greater than the Buffer Level of -15%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount
(a zero return).</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Example 3 shows that you will receive
the return of your principal investment where the level of the Reference Asset declines by no more than 15% over the term of the
securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"><B>Example 4: The Reference Return is
-30.00%.</B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 10pt Times New Roman, Times, Serif; width: 50%; border-collapse: collapse">
<TR STYLE="background-color: red">
<TD STYLE="width: 74%; border-top: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold"> </TD>
<TD STYLE="width: 26%; border-top: windowtext 1pt solid; border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; color: white; font-weight: bold; text-align: right"> </TD></TR>
<TR>
<TD STYLE="border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt">Reference Return:</TD>
<TD STYLE="border-right: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right">-30.00%</TD></TR>
<TR STYLE="background-color: #E6E6E6">
<TD STYLE="border-bottom: windowtext 1pt solid; border-left: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt"><B>Final Settlement Value:</B></TD>
<TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.75pt; padding-left: 5.75pt; text-align: right"><B>$850.00</B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Because the Reference Return is less
than the Buffer Level of -15%, the Final Settlement Value would be $850.00 per $1,000 Principal Amount, calculated as follows:</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">$1,000 + [$1,000 × (Reference
Return + 15%)]</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">= $1,000 + [$1,000 × (-30.00%
+ 15%)]</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt 140pt; text-align: justify">= $850.00</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Example 4 shows that you are exposed
on a 1-to-1 basis to declines in the level of the Reference Asset beyond the Buffer Level of -15%. <B>YOU MAY LOSE UP TO 85% OF
THE PRINCIPAL AMOUNT OF YOUR SECURITIES.</B></P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">INFORMATION RELATING TO THE REFERENCE
ASSET</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 48%; padding-right: 12pt; padding-left: 0">
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 6pt 0; text-align: justify">Description of the INDU</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 10pt 0 0; text-align: justify; text-indent: 0in">The INDU is a price-weighted
index compromised of 30 blue chip stocks considered to be the leaders in their industry. It is intended to be a measure of the
entire U.S. market, covering a diverse set of industries such as financial services, technology, retail, entertainment and consumer
goods, but excluding the transportation and utilities industries.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 40pt 0 0; text-align: justify; text-indent: 0in"><B><I>For more information
about the INDU, see “The Dow Jones Industrial Average<SUP>SM</SUP>” on page S-25 of the accompanying Equity Index Underlying
Supplement.</I></B></P></TD>
<TD STYLE="width: 52%; padding-right: 0; padding-left: 0">
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 6pt 0; text-align: justify">Historical Performance of the INDU</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 9pt; text-align: justify">The following graph sets forth the historical
performance of the INDU based on the daily historical closing levels from May 22, 2008 through May 22, 2013. The closing level
for the INDU on May 22, 2013 was 15,307.17. We obtained the closing levels below from the Bloomberg Professional<SUP>®</SUP>
service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained
from the Bloomberg Professional<SUP>®</SUP> service.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"> <IMG SRC="graph2.jpg" ALT=""></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: center; text-indent: 0in"> </P></TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="2" STYLE="padding-top: 6pt; padding-right: 5.4pt; padding-left: 0; text-align: justify; text-justify: inter-ideograph; text-indent: 0in; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The historical levels of the INDU should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the INDU on the Final Valuation Date. </FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in"><B> </B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in"><B>License Agreement</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in">S&P<SUP>®</SUP>
is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones<SUP>®</SUP>, DJIA<SUP>®</SUP>,
The Dow<SUP>®</SUP> and Dow Jones Industrial Average<SUP>SM</SUP> are trademarks of Dow Jones Trademark Holdings LLC (“Dow
Jones”) and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes
by HSBC. The Dow Jones Industrial Average<SUP>SM</SUP> (the “Index”) is a product of S&P Dow Jones Indices LLC
and/or its affiliates, and has been licensed for use by HSBC.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in">The securities are
not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard & Poor’s Financial Services
LLC or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices
makes no representation or warranty, express or implied, to the holders of the securities or any member of the public regarding
the advisability of investing in securities generally or in the securities particularly or the ability of the Index to track general
market performance. S&P Dow Jones Indices’ only relationship to HSBC with respect to the Index is the licensing
of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices. The Index is determined,
composed and calculated by S&P Dow Jones Indices without regard to HSBC or the securities. S&P Dow Jones Indices
has no obligation to take the needs of HSBC or the holders of the securities into consideration in determining, composing or calculating
the Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices,
and amount of the securities or the timing of the issuance or sale of the securities or in the determination or calculation of
the equation by which the securities are to be converted into cash. S&P Dow Jones Indices has no obligation or liability
in connection with the administration, marketing or trading of the securities. There is no assurance that investment products based
on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC
is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices
to buy, sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME
Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the securities currently being
issued by HSBC, but which may be similar to and competitive with the securities. In addition, CME Group Inc. and its affiliates
may trade financial products which are linked to the performance of the Index. It is possible that this trading activity
will affect the value of the Index and the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in">S&P DOW JONES INDICES
DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION,
INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P
DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P
DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in"></P>
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<!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 0; text-align: justify; text-indent: 0in">WARRANTIES, OF MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY HSBC, HOLDERS OF THE SECURITIES, OR ANY OTHER PERSON
OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN
NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL
DAMAGES INCLUDING, BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF
THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND HSBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.</P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<P STYLE="color: red; font: 10pt Times New Roman, Times, Serif; margin: 6pt 0 2pt; text-align: justify"><B>SUPPLEMENTAL PLAN OF
DISTRIBUTION (CONFLICTS OF INTEREST)</B></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the securities. Pursuant to the terms of a distribution agreement, HSBC
Securities (USA) Inc. will purchase the securities from HSBC at the price to public less the underwriting discount set forth on
the cover page of the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers,
or will offer the securities directly to investors. HSBC Securities (USA) Inc. proposes to offer the securities at the price to
public set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying underwriting
discounts of up to 0.5% and referral fees of up to 1.2% per $1,000 Principal Amount of securities in connection with the distribution
of the securities to other registered broker-dealers. In no case will the sum of the underwriting discounts and referral fees exceed
1.2% per $1,000 Principal Amount.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">An affiliate of HSBC has paid or may
pay in the future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support
the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making
transactions after the initial sale of the securities, but is under no obligation to do so and may discontinue any market-making
activities at any time without notice.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">See “Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-49 in the prospectus supplement.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify"> </P>
<P STYLE="color: red; font: bold 10pt Times New Roman, Times, Serif; margin: 0 0.7pt 5pt 0">U.S. FEDERAL INCOME TAX CONSIDERATIONS</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">There is no direct legal authority as
to the proper tax treatment of the securities, and therefore significant aspects of the tax treatment of the securities are uncertain
as to both the timing and character of any inclusion in income in respect of the securities. Under one approach, a security should
be treated as a pre-paid executory contract with respect to the Reference Asset. We intend to treat the securities consistent with
this approach. Pursuant to the terms of the securities, you agree to treat the securities under this approach for all U.S. federal
income tax purposes. Subject to the limitations described therein, and based on certain factual representations received from us,
in the opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a security as a pre-paid
executory contract with respect to the Reference Asset. Pursuant to this approach, we do not intend to report any income or gain
with respect to the securities prior to their maturity or an earlier sale or exchange and we intend to treat any gain or loss upon
maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the security for more than
one year at such time for U.S. federal income tax purposes.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">We will not attempt to ascertain whether
any of the entities whose stock is included in, or owned by, the Reference Asset, as the case may be, 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, or owned by, the Reference
Asset, as the case may be, 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, or owned by, the Reference
Asset, as the case may be, and consult your tax advisor regarding the possible consequences to you if one or more of the entities
whose stock is included in, or owned by, the Reference Asset, as the case may be, is or becomes a PFIC or a USRPHC.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: justify">Withholding and reporting requirements
under the legislation enacted on March 18, 2010 (as discussed beginning on page S-48 of the prospectus supplement) will generally
apply to payments made after December 31, 2013. However, this withholding tax will not be imposed on payments pursuant to obligations
outstanding on January 1, 2014. Additionally, withholding due to any payment being treated as a “dividend equivalent”
(as discussed beginning on page S-47 of the prospectus supplement) will begin no earlier than January 1, 2014. Holders are urged
to consult with their own tax advisors regarding the possible implications of this recently enacted legislation on their investment
in the securities.</P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 6pt; text-align: left">For a discussion of the U.S. federal income
tax consequences of your investment in a security, please see the discussion under “U.S Federal Income Tax Considerations”
in the accompanying prospectus supplement.</P>
<P STYLE="margin: 0"></P>
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<P STYLE="margin: 0"> </P>
<P STYLE="margin: 0"></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
<TD STYLE="width: 42%; padding-right: 0; padding-left: 0; text-align: center"> </TD>
<TD STYLE="width: 1%; padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="width: 7%; padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"> </TD>
<TD STYLE="width: 2%; padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="width: 48%; padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="3" STYLE="padding-right: 0; padding-left: 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>TABLE OF CONTENTS</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD ROWSPAN="65" STYLE="background-color: red; padding-right: 0; padding-left: 0">
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 12pt 12pt 0; text-align: justify">You should only rely on the information
contained in this free writing prospectus, any accompanying 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, any accompanying 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, any accompanying underlying supplement, prospectus
supplement and prospectus are not an offer to sell these securities, and these documents are not soliciting an offer to buy these
securities, 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, any accompanying underlying supplement, prospectus supplement and prospectus is
correct on any date after their respective dates.</P>
<P STYLE="color: white; font: 18pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 18pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 18pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>HSBC USA Inc.</B></P>
<P STYLE="color: white; font: 18pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 12pt 0; text-align: center"><FONT STYLE="font-size: 14pt"><B>$ Buffered
Market Participation<BR>
Securities Linked to the<BR>
Dow Jones Industrial Average<SUP>SM</SUP></B></FONT></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 12pt 0; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 12pt 0; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 0 0 0.25in; text-align: center"><B> </B></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 0 0 0.25in; text-align: center"><FONT STYLE="font-size: 12pt"><B>June
3, 2013</B></FONT></P>
<P STYLE="color: white; font: 10pt Times New Roman, Times, Serif; margin: 24pt 0; text-align: center"><FONT STYLE="font-size: 12pt"><B>FREE
WRITING PROSPECTUS</B></FONT></P>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-align: right"><B> </B></P></TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="3" STYLE="padding-top: 2pt; padding-right: 0; padding-left: 0; text-align: center"><FONT STYLE="font-size: 10pt"><B>Free Writing Prospectus</B></FONT></TD>
<TD STYLE="padding-top: 2pt; padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">General</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-5</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Payment at Maturity</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-6</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Investor Suitability</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-7</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-7</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Illustrative Examples</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-10</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Information Relating to the Reference Asset</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-12</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">FWP-14</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0; text-align: center"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="3" STYLE="padding-right: 0; padding-left: 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Equity Index Underlying Supplement</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-1</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The S&P 500<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-6</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The S&P 100<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-10</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The S&P MidCap 400<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-14</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The S&P 500 Low Volatility Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-18</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Russell 2000<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-21</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Dow Jones Industrial Average<SUP>SM</SUP></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-25</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Hang Seng China Enterprises Index<SUP>®</SUP></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-27</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Hang Seng<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-30</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Korea Stock Price Index 200</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-33</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">MSCI Indices</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-36</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The EURO STOXX 50<SUP>®</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-40</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The PHLX Housing Sector<SUP>SM</SUP> Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-42</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The TOPIX<SUP>®</SUP> Index </FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-46</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The NASDAQ-100 Index<SUP>®</SUP></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-49</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">S&P BRIC 40 Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-53</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The Nikkei 225 Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-56</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">The FTSE™ 100 Index</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-58</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Other Components</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-60</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Additional Terms of the Notes</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-60 </FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0; text-align: center"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="3" STYLE="padding-right: 0; padding-left: 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Prospectus Supplement</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0.25in"><FONT STYLE="font-size: 10pt">Risks Relating to Our Business</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0.25in"><FONT STYLE="font-size: 10pt">Risks Relating to All Note Issuances</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Pricing Supplement</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-7</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Notes</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-8</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Use of Proceeds and Hedging</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-30</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Certain ERISA Considerations</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-30</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">U.S. Federal Income Tax Considerations</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-32</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Supplemental Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">S-49</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0; text-align: center"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD COLSPAN="3" STYLE="padding-right: 0; padding-left: 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Prospectus</B></FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">About this Prospectus</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">1</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Risk Factors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">1</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Where You Can Find More Information</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">1</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Special Note Regarding Forward-Looking Statements</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">2</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">HSBC USA Inc.</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Use of Proceeds</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Debt Securities</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">3</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Preferred Stock</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">15</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Warrants</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">21</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Purchase Contracts</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">25</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Description of Units</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">28</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Book-Entry Procedures</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">30</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Limitations on Issuances in Bearer Form</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">35</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0.125in; text-indent: -0.125in"><FONT STYLE="font-size: 10pt">U.S. Federal Income Tax Considerations Relating to Debt Securities</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">35</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Plan of Distribution (Conflicts of Interest)</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">51</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Notice to Canadian Investors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">53</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Notice to EEA Investors</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">58</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="padding-right: 0; padding-left: 0"><FONT STYLE="font-size: 10pt">Certain ERISA Matters</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt">59</FONT></TD>
<TD STYLE="padding-right: 0; padding-left: 0; text-align: right"> </TD></TR>
<TR STYLE="vertical-align: top">
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<TD STYLE="padding-right: 0; padding-left: 0; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 10pt"> 60</FONT></TD>
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<TYPE>FWP
<SEQUENCE>2
<FILENAME>v346805_fwp.pdf
<DESCRIPTION>FREE WRITING PROSPECTUS
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end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>