Filed Pursuant to Rule 433

Registration No. 333-223208

April 18, 2018

Free Writing Prospectus

 (To Prospectus Dated February 26, 2018,

Prospectus Supplement Dated February 26, 2018,

Equity Index Underlying Supplement Dated February 26, 2018 And

ETF Underlying Supplement Dated February 26, 2018)

HSBC USA Inc.
Leveraged Buffered Uncapped Market

Participation Securities^TM

4 Linked to a basket consisting of the S&P 500^® Index (69%), the MSCI EAFE^® Index (15%), the S&P MidCap 400^® Index (8%), the iShares^® MSCI Emerging Markets ETF (5%), and the Russell 2000^® Index (3%)

4 Four-year maturity

4 [1.30x – 1.38x] (to be determined on the pricing date) exposure to any increase in the reference asset

4 A return of the principal amount if the reference asset does not decrease by more than 25%

4 Approximately 1.3333x downside exposure to any decreases in the reference asset beyond 25%

4 The final value of the reference asset will be based on the average official closing values of the reference asset components on five quarterly observation dates beginning on May 11, 2021

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

The Leveraged Buffered Uncapped Market Participation Securities^TM (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.

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, Equity Index Underlying Supplement or ETF 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-19 of this free writing prospectus.

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

The Estimated Initial Value of the securities on the Pricing Date is expected to be between $970 and $1,000 per security, which may 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-5 and “Risk Factors” beginning on page FWP-9 of this document for additional information.

	Price to Public	Underwriting Discount1	Proceeds to Issuer
Per security	$1,000
Total

¹ Neither HSBC USA Inc. nor any of our affiliates will pay any underwriting discount in connection with the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page FWP-19 of this free writing prospectus.

The Securities:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

 

HSBC USA Inc.

Leveraged Buffered Uncapped Market Participation Securities^TM 

Linked to a Basket Consisting of the S&P 500^® Index, the MSCI EAFE^® Index, the S&P MidCap 400^® Index, the iShares^® MSCI Emerging Markets ETF and the Russell 2000^® Index

This FWP relates to a single offering of securities by HSBC USA Inc. linked to the performance of the Reference Asset as indicated below.

Reference Asset	Reference Asset Components	Tickers	Component Weightings	CUSIP / ISIN
SPX/MXEA/MID/EEM/RTY Basket	S&P 500® Index (“SPX”) MSCI EAFE® Index (“MXEA”) S&P MidCap 400® Index (“MID”) iShares® MSCI Emerging Markets ETF (“EEM”) Russell 2000® Index (“RTY”)	SPX MXEA MID EEM RTY	69% 15% 8% 5% 3%	40435FWS2 / US40435FWS28

Indicative Terms*

Principal Amount	$1,000 per security
Term	Four years
Upside Participation Rate	130% to 138% (to be determined on the Pricing Date)
Downside Leverage Factor	100/75, which is equal to approximately 1.3333
Buffer Percentage	-25%
Payment at Maturity per Security	If the Reference Return is greater than zero: $1,000 + ($1,000 × Reference Return × Upside Participation Rate). If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Percentage: $1,000 (zero return). If the Reference Return is less than the Buffer Percentage: $1,000 + [$1,000 × (Reference Return + 25%) × Downside Leverage Factor]. For example, if the Reference Return is -40%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit risk of HSBC. If the Reference Return is less than the Buffer Percentage, you will lose some or all (up to 100%) of your investment.
Initial Value	Set to 100 on the Pricing Date
Final Value	See page FWP-5
Component Return	Final Component Value – Initial Component Value Initial Component Value
Final Component Value	With respect to each Reference Asset Component, the arithmetic average of its Official Closing Values on the Averaging Dates.
Pricing Date	May 11, 2018
Trade Date	May 11, 2018
Original Issue Date	May 16, 2018
Averaging Dates**	May 11, 2021, August 11, 2021, November 11, 2021, February 11, 2022 and May 11, 2022
Maturity Date**	May 16, 2022

* As more fully described beginning on page FWP-4.

** Subject to adjustment as described under “Additional Terms of the Notes” in the accompanying Equity Index Underlying Supplement and ETF Underlying Supplement.

The Securities

HSBC Leveraged Buffered Uncapped Market Participation Securities^TM provide an opportunity for a potentially leveraged positive return if the Reference Return is positive. The Reference Return will be calculated based upon the average of the Official Closing Values of the Reference Asset Components on each of the five quarterly Averaging Dates beginning on May 11, 2021.

If the Reference Asset does not change or decreases by no more than 25%, you will receive the principal amount.

If the Reference Asset decreases by more than 25%, you will lose approximately 1.3333% of your investment for every 1% decrease in the Reference Asset beyond the Buffer Percentage.

The offering period for the securities is through May 11, 2018

 

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Payoff Example
The table at right shows the hypothetical payout profile of an investment in the securities reflecting the Downside Leverage Factor of approximately 1.3333 and the Buffer Percentage of      -25%, and  assuming a Upside Participation Rate of 134%. The actual Upside Participation Rate will be determined on the Pricing Date.

Information about the Reference Asset

The following graph illustrates the hypothetical daily performance of the Reference Asset from January 1, 2008 through April 13, 2018 based on information from the Bloomberg Professional^® service, if the value of the Reference Asset was made to equal 100 on January 1, 2008. The hypothetical historical performance reflects the performance the Reference Asset would have exhibited based on (i) the actual historical performance of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Value occurred from January 1, 2008 through April 13, 2018 for any Reference Asset Component. Neither the hypothetical performance of the Reference Asset nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.

We cannot give you assurance that the performance of the Reference Asset will result in the return of your initial investment. You may lose some or all (up to 100%) of your investment.

 

For further information on each Reference Asset Component, please see “Information Relating to the Reference Asset” beginning on page FWP-15, “The S&P 500^® Index,” “The MSCI Indices,” “The S&P MidCap 400^® Index” and “The Russell 2000^® Index” in the accompanying Equity Index Underlying Supplement, and “The iShares^® MSCI Emerging Markets ETF” in the accompanying ETF Underlying Supplement . We have derived all disclosure regarding the Reference Asset Components 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 Components.

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HSBC USA Inc.
Leveraged Buffered Uncapped Market Participation Securities^TM  

Linked to a Basket Consisting of the S&P 500^® Index, the MSCI EAFE^® Index, the S&P MidCap 400^® Index, the iShares^® MSCI Emerging Markets ETF and the Russell 2000^® Index

This free writing prospectus relates to an offering of Leveraged Buffered Uncapped Market Participation Securities^TM. The securities will have the terms described in this free writing prospectus and the accompanying prospectus, prospectus supplement, Equity Index Underlying Supplement and ETF Underlying Supplement. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus, prospectus supplement, Equity Index Underlying Supplement or ETF Underlying Supplement, the terms described in this free writing prospectus shall control. 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 Percentage, lose some or all (up to 100%) of your principal.

This free writing prospectus relates to a single offering of securities linked to the performance of an unequally weighted basket (the “Reference Asset”). The purchaser of a security will acquire a senior unsecured debt security of HSBC USA Inc. as described below. The following key terms relate to the offering of securities:

Issuer:	HSBC USA Inc.
Principal Amount:	$1,000 per security
Reference Asset:	SPX/MXEA/MID/EEM/RTY Basket
Reference Asset Components:	S&P 500® Index (“SPX”) MSCI EAFE® Index (“MXEA”) S&P MidCap 400® Index (“MID”) iShares® MSCI Emerging Markets ETF (“EEM”) Russell 2000® Index (“RTY”)
Component Weightings:	69% for the SPX, 15% for the MXEA, 8% for the MID, 5% for the EEM and 3% for the RTY.
Trade Date:	May 11, 2018
Pricing Date:	May 11, 2018
Original Issue Date:	May 16, 2018
Averaging Dates:	May 11, 2021, August 11, 2021, November 11, 2021, February 11, 2022 and May 11, 2022 (the “Final Valuation Date”), each subject to adjustment as described under “Additional Terms of the Notes—Valuation Dates” in the relevant accompanying underlying supplement.
Maturity Date:	3 business days after the Final Valuation Date, and expected to be May 16, 2022.  The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement and ETF Underlying Supplement.
Upside Participation Rate:	130% to 138% (to be determined on the Pricing Date).
Downside Leverage Factor:	100/75, which is equal to approximately 1.3333.
Buffer Percentage:	-25%
Payment at Maturity:	On the Maturity Date, for each security, we will pay you the Final Settlement Value.

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Final Settlement Value:	If the Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to: $1,000 + ($1,000 × Reference Return × Upside Participation Rate). If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Percentage, you will receive $1,000 per $1,000 Principal Amount (zero return). If the Reference Return is less than the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to: $1,000 + [$1,000 × (Reference Return + 25%) × Downside Leverage Factor]. Under these circumstances, you will lose approximately 1.3333% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Percentage. For example, if the Reference Return is -40%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit risk of HSBC. If the Reference Return is less than the Buffer Percentage, you will lose some or all (up to 100%) of your investment.
Initial Value:	Set to 100 on the Pricing Date.
Final Value:	100 × (1 + Reference Return)
Reference Return:	The sum of the products of Component Return for each Reference Asset Component multiplied by its Component Weighting.
Component Return:	With respect to each Reference Asset Component, Final Component Value – Initial Component Value Initial Component Value
Initial Component Value:	With respect to each Reference Asset Component, its Official Closing Value on the Pricing Date, as determined by the calculation agent.
Final Component Value:	With respect to each Reference Asset Component, the arithmetic average of its Official Closing Values on the Averaging Dates, as determined by the calculation agent.
Official Closing Value:	With respect to each Reference Asset Component, its Official Closing Level  or Official Closing Price, as applicable. The EEM’s Official Closing Values will be subject to adjustment by the calculation agent as described under “Additional Terms of the Notes – Antidilution and Reorganization Adjustments” in the accompanying ETF Underlying Supplement.
Form of Securities:	Book-Entry
Listing:	The securities will not be listed on any U.S. securities exchange or quotation system.
Estimated Initial Value:	The Estimated Initial Value of the securities may be less than the price you pay to purchase the securities.  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, at any time. The Estimated Initial Value will be calculated on the Pricing Date and will be set forth in the pricing supplement to which this free writing prospectus relates.  See “Risk Factors — The Estimated Initial Value of the securities, which will be determined by us on the Pricing Date, may be less than the price to public and may differ from the market value of the securities in the secondary market, if any.”
CUSIP/ISIN:	40435FWS2 / US40435FWS28

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.

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GENERAL

This free writing prospectus relates to a single offering of securities linked to the Reference Asset. 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 this offering and to reject orders in whole or in part. Although the offering of the securities relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset or any component security included in or held by a Reference Asset Component or as to the suitability of an investment in the securities.

You should read this document together with the prospectus dated February 26, 2018, the prospectus supplement dated February 26, 2018, the Equity Index Underlying Supplement dated February 26, 2018 and the ETF Underlying Supplement dated February 26, 2018. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus supplement, prospectus, or relevant 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-9 of this free writing prospectus, page S-1 of the prospectus supplement, page S-1 of the Equity Index Underlying Supplement and page S-1 of the ETF 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.

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, Equity Index Underlying Supplement and ETF Underlying Supplement 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 relevant underlying supplement if you request them by calling toll-free 1-866-811-8049.

You may also obtain:

4 The Equity Index Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010782/tv486722_424b2.htm

4 The ETF Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010788/tv486720_424b2.htm

4 The prospectus supplement at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010762/tv486944_424b2.htm

4 The prospectus at: https://www.sec.gov/Archives/edgar/data/83246/000114420418010720/tv487083_424b3.htm

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.

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PAYMENT AT MATURITY

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:

If the Reference Return is greater than zero, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to:

$1,000 + ($1,000 × Reference Return × Upside Participation Rate).

If the Reference Return is less than or equal to zero but greater than or equal to the Buffer Percentage, you will receive $1,000 per $1,000 Principal Amount (zero return).

If the Reference Return is less than the Buffer Percentage, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount, equal to:

$1,000 + [$1,000 × (Reference Return + 25%) × Downside Leverage Factor].

Under these circumstances, you will lose approximately 1.3333% of the Principal Amount of your securities for each percentage point that the Reference Return is below the Buffer Percentage. For example, if the Reference Return is -40%, you will suffer a 20% loss and receive 80% of the Principal Amount, subject to the credit risk of HSBC. If the Reference Return is less than the Buffer Percentage, you will lose some or all (up to 100%) of your investment.

Interest

The securities will not pay interest.

Calculation Agent

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

Reference Sponsors and Reference Issuer

With respect to the SPX and MID, S&P Dow Jones Indices LLC, a division of S&P Global, is the reference sponsor. With respect to the MXEA, MSCI Inc. is the reference sponsor. With respect to the the EEM, iShares, Inc. is the reference issuer. With respect to the RTY, FTSE Russell is the reference sponsor.

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INVESTOR SUITABILITY

The securities may be suitable for you if:

4 You seek an investment with an enhanced return linked to the potential positive performance of the Reference Asset and you believe the value of the Reference Asset will increase from the Pricing Date to the Averaging Dates.

4 You are willing to make an investment that is exposed to the negative Reference Return on a 1.3333-to-1 basis for each percentage point that the the Reference Return is below -25%.

4 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.

4 You are willing to forgo dividends or other distributions paid to holders of the EEM or the stocks included in or held by the Reference Asset Components, as applicable.

4 You do not seek current income from your investment.

4 You do not seek an investment for which there is an active secondary market.

4 You are willing to hold the securities to maturity.

4 You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.

The securities may not be suitable for you if:

4 You believe the Reference Return will be negative or that the Reference Return will not be sufficiently positive to provide you with your desired return.

4 You are unwilling to make an investment that is exposed to the negative Reference Return on a 1.3333-to-1 basis for each percentage point that the Reference Return is below -25%.

4 You seek an investment that provides full return of principal.

4 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.

4 You prefer to receive the dividends or other distributions paid on the EEM or the stocks included in or held by the Reference Asset Components, as applicable.

4 You seek current income from your investment.

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

4 You are unable or unwilling to hold the securities to maturity.

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

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RISK FACTORS

We urge you to read the section “Risk Factors” beginning on page S-1 in the accompanying prospectus supplement, page S-1 of the Equity Index Underlying Supplement and page S-1 of the ETF Underlying Supplement. Investing in the securities is not equivalent to investing directly in the EEM or any of the stocks included in or held by the relevant Reference Asset Component. 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 Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus.

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

4 “— Risks Relating to All Note Issuances” in the prospectus supplement;

4 “— General Risks Related to Indices” in the Equity Index Underlying Supplement;

4 “— General Risks Related to Index Funds” in the ETF Underlying Supplement;

4 “— Securities Prices Generally Are Subject to Political, Economic, Financial and Social Factors That Apply to the Markets in Which They Trade and, to a Lesser Extent, Foreign Markets” in the Equity Index Underlying Supplement and ETF Underlying Supplement; and

4 “— Time Differences Between the Domestic and Foreign Markets and New York City May Create Discrepancies in the Trading Level or Price of the Notes” in the Equity Index Underlying Supplement and ETF Underlying Supplement.

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

Your investment in the securities may result in a loss.

You will be exposed to the decline in the Final Value from the Initial Value beyond the Buffer Percentage of -25% on a leveraged basis. Accordingly, if the Reference Return is less than -25%, you will lose approximately 1.3333% of the Principal Amount for each 1% that the Reference Return is less than the Buffer Percentage. You will lose up to 100% of your investment at maturity if the Reference Return is less than the Buffer Percentage.

Credit risk of HSBC USA Inc.

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.

The securities will not bear interest.

As a holder of the securities, you will not receive interest payments.

Changes that affect the Reference Asset Components will affect the market value of the securities and the amount you will receive at maturity.

The policies of the reference sponsors or the reference issuer concerning additions, deletions and substitutions of the constituents included in or held by the Reference Asset Components and the manner in which the reference sponsors or the reference issuer takes account of certain changes affecting those constituents may affect the values of those Reference Asset Components. The policies of the reference sponsors or the reference issuer with respect to the calculation of the relevant Reference Asset Components could also affect the values of those Reference Asset Components. The reference sponsors or the reference issuer may discontinue or suspend calculation or dissemination of the relevant Reference Asset Components. Any such actions could affect the value of the securities.

The securities are not insured or guaranteed by any governmental agency of the United States or any other jurisdiction.

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.

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The Estimated Initial Value of the securities, which will be determined by us on the Pricing Date, may be less than the price to public and may differ from the market value of the securities in the secondary market, if any.

The Estimated Initial Value of the securities will be calculated by us on the Pricing Date and may be less than the price to public. The Estimated Initial Value will reflect our internal funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market value of the embedded derivatives in the securities. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the securities may be lower if it were based on the prices at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the securities to be more favorable to you. We will determine the value of the embedded derivatives in the securities 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 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.

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

The price to public takes into account certain costs. These costs, which will be used or retained by us or one of our affiliates, include the underwriting discount, our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligations under the securities and the costs associated with structuring and hedging our obligations under 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 because secondary market prices will not take into account these costs. 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.

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.

Assuming that all relevant factors remain constant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the securities in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately 10 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the securities and other costs in connection with the securities that we will no longer expect to incur over the term of the securities. We will make such discretionary election and determine this temporary reimbursement period on the basis of a number of factors, including the tenor of the securities and any agreement we may have with the distributors of the securities. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the Original Issue Date of the securities based on changes in market conditions and other factors that cannot be predicted.

The securities lack liquidity.

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.

Potential conflicts of interest may exist.

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.

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The amount payable on the securities is not linked to the values of the Reference Asset Components at any time other than on the Averaging Dates.

The Final Value will be based on the Official Closing Values of the Reference Asset Components on the Averaging Dates, subject to postponement for non-trading days and certain market disruption events. Even if the values of the Reference Asset Components appreciate other than on the Averaging Dates but then decrease on the Averaging Dates to a value that is less than their respective Initial Component Value, 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 values of the Reference Asset Components prior to such decrease. Although the actual values of the Reference Asset Components on the stated Maturity Date or at other times during the term of the securities may be higher than their respective Final Component Value, the Payment at Maturity will be based solely on the Official Closing Values of the Reference Asset Components on the Averaging Dates.

Because the Final Component Value of a Reference Asset Component is equal to the arithmatic average of its Official Closing Values on the Averaging Dates, such Final Component Value may be less than its Official Closing Value on the Final Valuation Date.

Because the Final Component Value of each Reference Asset Component is calculated by reference to an average of its Official Closing Values on five quarterly Averaging Date beginning on May 11, 2021, the Final Component Value, as so calculated, may be less than its Official Closing Value on the Final Valuation Date. As a result, the Payment at Maturity you receive may be less than the return you would receive if the Payment at Maturity were based solely on the Official Closing Values of the Reference Asset Components on the Final Valuation Date. This difference could be particularly large if there is a significant increase in the Official Closing Values of the Reference Asset Components close to maturity. Additionally, the secondary market value of the securities, if such a market exists, will be impacted by the Official Closing Values of the Reference Asset on any previous Averaging Dates, in that those values will impact the amount payable at maturity.

Change in the value of one or more Reference Asset Components may be offset by change in the values of the other Reference Asset Components.

A change in the value of one or more Reference Asset Components on the Averaging Dates may not correlate with change in the values of the other Reference Asset Components. The value of one or more Reference Asset Components may increase, while the values of the other Reference Asset Components may not increase as much, or may even decrease. Therefore, in calculating the value of the Reference Asset, increases in the value of one or more Reference Asset Components may be moderated, or wholly offset, by lesser increases or decreases in the values of the other Reference Asset Components. This effect is further amplified by the differing weights of the Reference Asset Components. Changes in the level of the SPX, which is more heavily weighted in the Reference Asset, will have a larger impact than changes in the values of the other four Reference Asset Components.

Risks associated with non-U.S. companies.

The value of the MXEA and the EEM depend upon the stocks of non-U.S. companies, and thus involve risks associated with the home countries of those non-U.S. companies. The prices of these non-U.S. stocks may be affected by political, economic, financial and social factors in the home country of each applicable company, including changes in that country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions, which could affect the value of the securities. These foreign securities may have less liquidity and could be more volatile than many of the securities traded in U.S. or other securities markets. Direct or indirect government intervention to stabilize the relevant foreign securities markets, as well as cross shareholdings in foreign companies, may affect trading levels or prices and volumes in those markets. The other special risks associated with foreign securities may include, but are not limited to: less liquidity and smaller market capitalizations; less rigorous regulation of securities markets; different accounting and disclosure standards; governmental interference; currency fluctuations; higher inflation; and social, economic and political uncertainties. These factors may adversely affect the performance of the MXEA or the EEM and, as a result, the value of the securities.

The securities will not be adjusted for changes in exchange rates.

Although the equity securities that are included in the MXEA or held by the EEM are traded in currencies other than U.S. dollars, and your securities are denominated in U.S. dollars, the amount payable on your securities at maturity, if any, will not be adjusted for changes in the exchange rates between the U.S. dollar and the currencies in which these non-U.S. equity securities are denominated. Changes in exchange rates, however, may also reflect changes in the applicable non-U.S. economies that in turn may affect the value of the MXEA or the EEM, and therefore your securities. The amount we pay in respect of your securities on the maturity date, if any, will be determined solely in accordance with the procedures described in this free writing prospectus.

Risks associated with emerging markets.

Because the EEM is a Reference Asset Component, an investment in the securities will involve risks not generally associated with investments which have no emerging market component. In particular, many emerging nations are undergoing rapid change, involving

FWP-11

the restructuring of economic, political, financial and legal systems. Regulatory and tax environments may be subject to change without review or appeal. Many emerging markets suffer from underdevelopment of capital markets and tax regulation. The risk of expropriation and nationalization remains a threat. Guarding against such risks is made more difficult by low levels of corporate disclosure and unreliability of economic and financial data.

Small- and mid-capitalization risk. 

The RTY tracks companies that are considered small-capitalization and the MID tracks companies that are considered mid-capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the level of the RTY or the MID, as applicable, may be more volatile than an investment in stocks issued by large-capitalization companies. Stock prices of small- and mid-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small- and mid-capitalization companies may be thinly traded, making it difficult for the RTY or the MID, as applicable, to track them. In addition, small- and mid-capitalization companies are typically less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Small- and mid-capitalization companies are often subject to less analyst coverage and may be in early, and less predictable, periods of their corporate existences. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

Uncertain tax treatment.

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.

FWP-12

ILLUSTRATIVE EXAMPLES

The following table and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the value of the Reference Asset relative to its Initial Value. We cannot predict the Final Value of the Reference Asset or the Official Closing Value of any Reference Asset Component on any Averaging Date. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected performance of the Reference Asset to which your securities are linked or the return on your securities. 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.

The table below illustrates the Final Settlement Value 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 Final Settlement Value 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 following table and examples assume the following:

4	Principal Amount:	$1,000
4	Hypothetical Upside Participation Rate:	134% (The actual Upside Participation Rate will be determined on the Pricing Date and will  be between 130% and 138%)
4	Downside Leverage Factor:	100/75, which is equal to approximately 1.3333
4	Buffer Percentage:	-25%

Hypothetical Reference Return	Hypothetical Final Settlement Value	Hypothetical Return on the Securities
100.00%	$2,340.00	134.00%
80.00%	$2,072.00	107.20%
60.00%	$1,804.00	80.40%
40.00%	$1,536.00	53.60%
20.00%	$1,268.00	26.80%
10.00%	$1,134.00	13.40%
5.00%	$1,067.00	6.70%
0.00%	$1,000.00	0.00%
-5.00%	$1,000.00	0.00%
-10.00%	$1,000.00	0.00%
-15.00%	$1,000.00	0.00%
-20.00%	$1,000.00	0.00%
-25.00%	$1,000.00	0.00%
-30.00%	$933.33	-6.67%
-40.00%	$800.00	-20.00%
-60.00%	$533.33	-46.67%
-80.00%	$266.67	-73.33%
-100.00%	$0.00	-100.00%

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The following examples indicate how the Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.

Example 1: The Reference Return is 5.00%.

Reference Return:	5.00%
Final Settlement Value:	$1,067.00

Because the Reference Return is positive, the Final Settlement Value would be $1,067.00 per $1,000 Principal Amount, calculated as follows:

$1,000 + ($1,000 × Reference Return × Upside Participation Rate)

= $1,000 + ($1,000 × 5.00% × 134%)

= $1,067.00

Example 1 shows that you will receive the return of your principal amount plus a return equal to the Reference Return multiplied by the Upside Participation Rate when such Reference Return is positive.

Example 2: The Reference Return is -5.00%.

Reference Return:	-5.00%
Final Settlement Value:	$1,000.00

Because the Reference Return is less than zero but greater than the Buffer Percentage of -25%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount (a zero return).

Example 2 shows that you will receive the return of your principal amount where the value of the Reference Asset declines by no more than 25% from the Pricing Date to the Averaging Dates.

Example 3: The Reference Return is -60.00%.

Reference Return:	-60.00%
Final Settlement Value:	$533.33

Because the Reference Return is less than the Buffer Percentage of -25%, the Final Settlement Value would be $533.33 per $1,000 Principal Amount, calculated as follows:

$1,000 + [$1,000 × (Reference Return + 25%) × Downside Leverage Factor]

= $1,000 + [$1,000 × (-60.00% + 25%) × 100/75)

= $533.33

Example 3 shows that you are exposed on a 1.3333-to-1 basis to declines in the value of the Reference Asset beyond the Buffer Percentage of -25%. You may lose some or all (up to 100%) of your investment.

FWP-14

INFORMATION RELATING TO THE REFERENCE ASSET

Description of the SPX   The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.   The top 5 industry groups by market capitalization as of March 29, 2018 were: Information Technology, Financials, Health Care, Consumer Discretionary and Industrials.   For more information about the SPX, see “The S&P 500^Ò Index” beginning on page S-43 of the accompanying Equity Index Underlying Supplement. Historical Performance of the SPX   The following graph sets forth the historical performance of the SPX based on the daily historical closing levels from January 1, 2008 through April 13, 2018. We obtained the closing levels below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service.  

The historical levels of the SPX should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the SPX on any Averaging Date.

Description of the MXEA   The MXEA is intended to measure equity market performance in developed market countries, excluding the U.S. and Canada. The Underlying Index is a free float-adjusted market capitalization equity index with a base date of December 31, 1969 and an initial value of 100. The MXEA is calculated daily in U.S. dollars and published in real time every 60 seconds during market trading hours. As of March 30, 2018, the MXEA consisted of companies from the following 21 developed countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.   For more information about the MXEA, see “The MSCI Indices” beginning on page S-23 of the accompanying Equity Index Underlying Supplement. Historical Performance of the MXEA   The following graph sets forth the historical performance of the MXEA based on the daily historical closing levels from January 1, 2008 through April 13, 2018. We obtained the closing levels below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service.  

The historical levels of the MXEA should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the MXEA on any Averaging Date.

FWP-15

Description of the MID   The MID is comprised of 400 companies with mid-sized market capitalizations ranging from $850 million to $3.8 billion and covers over 7% of the United States equities market. The calculation of the value of the MID is based on the relative value of the aggregate market value of the common stocks of 400 companies as of a particular time compared to the aggregate average market value of the common stocks of 400 similar companies during the base period of June 28, 1991.   The top 5 industry groups by market capitalization as of March 29, 2018 were: Financials, Information Technology, Industrials, Consumer Discretionary and Real Estate.   For more information about the MID, see “The S&P MidCap 400^® Index” beginning on page S-51 of the accompanying Equity Index Underlying Supplement. Historical Performance of the MID   The following graph sets forth the historical performance of the MID based on the daily historical closing levels from January 1, 2008 through April 13, 2018. We obtained the closing levels below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service.    

The historical levels of the MID should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the MID on any Averaging Date.

Description of the RTY   The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000^® Index. The Russell 3000^® Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.   The top 5 industry groups by market capitalization as of March 31, 2018 were: Financial Services, Health Care, Technology, Producer Durables, and Consumer Discretionary.   For more information about the RTY, see “The Russell 2000^Ò Index” beginning on page S-37 of the accompanying Equity Index Underlying Supplement. Historical Performance of the RTY   The following graph sets forth the historical performance of the RTY based on the daily historical closing levels from January 1, 2008 through April 13, 2018. We obtained the closing levels below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service.  

The historical levels of the RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the RTY on any Averaging Date.

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Description of the EEM   The EEM seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The returns of the EEM may be affected by certain management fees and other expenses, which are detailed in its prospectus.   The MSCI Emerging Markets Index is intended to measure the performance of equity markets in the global emerging markets. As of March 30, 2018, the MSCI Emerging Markets Index consisted of the following 24 component country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, South Korea, Taiwan, Thailand, Turkey and United Arab Emirates.   For more information about the EEM, see “The iShares^® MSCI Emerging Markets Index ETF” beginning on page S-26 of the accompanying ETF Underlying Supplement. Historical Performance of the EEM   The following graph sets forth the historical performance of the EEM based on the daily historical closing prices from January 1, 2008 through April 13, 2018. We obtained the closing prices below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service.    

The historical prices of the EEM should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Value of the EEM on any Averaging Date.

Quarter Ending	Quarter High ($)	Quarter Low ($)	Quarter Close ($)	Quarter Ending	Quarter High ($)	Quarter Low ($)	Quarter Close ($)
March 31, 2008	50.37	42.17	44.79	June 28, 2013	44.23	36.63	38.57
June 30, 2008	51.70	44.43	45.19	September 30, 2013	43.29	37.34	40.77
September 30, 2008	45.19	31.33	34.53	December 31, 2013	43.66	40.44	41.77
December 31, 2008	34.53	18.22	24.97	March 31, 2014	41.77	37.09	40.99
March 31, 2009	27.09	19.94	24.81	June 30, 2014	43.95	40.82	43.23
June 30, 2009	34.64	24.81	32.23	September 30, 2014	45.85	41.56	41.56
September 30, 2009	39.29	30.75	38.91	December 31, 2014	42.44	37.73	39.29
December 31, 2009	42.07	37.56	41.50	March 31, 2015	41.07	37.92	40.13
March 31, 2010	43.22	36.83	42.12	June 30, 2015	44.09	39.04	39.62
June 30, 2010	43.98	36.16	37.32	September 30, 2015	39.78	31.32	32.78
September 30, 2010	44.77	37.32	44.77	December 31, 2015	36.29	31.55	32.19
December 31, 2010	48.58	44.77	47.62	March 31, 2016	34.28	28.25	34.25
March 31, 2011	48.69	44.63	48.69	June 30, 2016	35.26	31.87	34.36
June 30, 2011	50.21	45.50	47.60	September 30, 2016	38.20	33.77	37.45
September 30, 2011	48.46	34.95	35.07	December 31, 2016	38.10	34.08	35.01
December 30, 2011	42.80	34.36	37.94	March 31, 2017	39.98	35.01	39.39
March 30, 2012	44.76	37.94	42.94	June 30, 2017	41.93	38.81	41.39
June 29, 2012	43.54	36.68	39.19	September 30, 2017	45.85	41.05	44.81
September 28, 2012	42.37	37.42	41.32	December 31, 2017	47.81	44.81	47.12
December 31, 2012	44.35	40.14	44.35	March 29, 2018	52.08	45.69	48.28
March 28, 2013	45.20	41.80	42.78	April 13, 2018*	48.28	47.08	47.57

* This free writing prospectus includes information for the second calendar quarter of 2018 for the period from April 1, 2018 through April 13, 2018. Accordingly, the “Quarter High,” “Quarter Low” and “Quarter Close” data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2018.

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Hypothetical Performance of the Reference Asset

The following graph illustrates the hypothetical daily performance of the Reference Asset from January 1, 2008 through April 13, 2018 based on information from the Bloomberg Professional^® service, if the value of the Reference Asset was made to equal 100 on January 1, 2008. The hypothetical performance reflects the performance the Reference Asset would have exhibited based on (i) the actual historical performance of the Reference Asset Components and (ii) the assumption that no adjustment to the Official Closing Value occurred from January 1, 2008 through April 13, 2018 for any Reference Asset Component. Neither the hypothetical historical performance of the Reference Asset nor the actual historical performance of the Reference Asset Components should be taken as indications of future performance.

We cannot give you assurance that the performance of the Reference Asset will result in the return of your initial investment. You may lose some or all (up to 100%) of your investment.

 

FWP-18

EVENTS OF DEFAULT AND ACCELERATION

If the securities have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the securities, the calculation agent will determine the accelerated payment due and payable at maturity in the same general manner as described in “Payment at Maturity” in this free writing prospectus. In that case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Reference Return, and the accelerated maturity date will be three business days after the accelerated Final Valuation Date. If a Market Disruption Event exists with respect to any Reference Asset Component on that scheduled trading day, then the accelerated Final Valuation Date for that Reference Asset Component will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated maturity date will also be postponed by an equal number of business days. For the avoidance of doubt, if no Market Disruption Event exists with respect to a Reference Asset Component on the scheduled trading day immediately preceding the date of acceleration, the determination of that Reference Asset Component’s relevant values will be made on that date, irrespective of the existence of a Market Disruption Event with respect to another Reference Asset Component occurring on that date.

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

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)

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. Neither HSBC USA Inc. nor any of our affiliates will pay any underwriting discounts in connection with the distribution of the securities to other registered broker-dealers.

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.

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 make a market in the securities and may discontinue any market-making activities at any time without notice.

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

See “Supplemental Plan of Distribution (Conflicts of Interest)” on page S-61 in the prospectus supplement.

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U.S. FEDERAL INCOME TAX CONSIDERATIONS

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, Mayer Brown LLP, it is reasonable to treat a security as a pre-paid executory contract with respect to the Reference Asset. Pursuant to this approach and subject to the discussion below regarding “constructive ownership transactions,” 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.

Despite the foregoing, U.S. holders (as defined under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement) should be aware that the Internal Revenue Code of 1986, as amended (the “Code”), contains a provision, Section 1260 of the Code, which sets forth rules which are applicable to what it refers to as “constructive ownership transactions.” Due to the manner in which it is drafted, the precise applicability of Section 1260 of the Code to any particular transaction is often uncertain. In general, a “constructive ownership transaction” includes a contract under which an investor will receive payment equal to or credit for the future value of any equity interest in a regulated investment company (such as shares of the EEM (the “Underlying Shares”)). Under the “constructive ownership” rules, if an investment in the securities is treated as a “constructive ownership transaction,” any long-term capital gain recognized by a U.S. holder in respect of a security will be recharacterized as ordinary income to the extent such gain exceeds the amount of “net underlying long-term capital gain” (as defined in Section 1260 of the Code) (the “Excess Gain”). In addition, an interest charge will also apply to any deemed underpayment of tax in respect of any Excess Gain to the extent such gain would have resulted in gross income inclusion for the U.S. holder in taxable years prior to the taxable year of the sale, exchange or maturity of the security (assuming such income accrued at a constant rate equal to the applicable federal rate as of the date of sale, exchange or maturity of the security). Furthermore, unless otherwise established by clear and convincing evidence, the “net underlying long-term capital gain” is treated as zero.

Although the matter is not clear, there exists a risk that an investment in the securities will be treated as a “constructive ownership transaction.” If such treatment applies, it is not entirely clear to what extent any long-term capital gain recognized by a U.S. holder in respect of a security will be recharacterized as ordinary income. It is possible, for example, that the amount of the Excess Gain (if any) that would be recharacterized as ordinary income in respect of each security will equal the excess of (i) any long-term capital gain recognized by the U.S. holder in respect of such a security and attributable to the Underlying Shares over (ii) the “net underlying long-term capital gain” such U.S. holder would have had if such U.S. holder had acquired a number of the Underlying Shares at fair market value on the original issue date of such security for an amount equal to the “issue price” of the security allocable to the Underlying Shares and, upon the date of sale, exchange or maturity of the securities, sold such Underlying Shares at fair market value (which would reflect the percentage increase in the value of the Underlying Shares over the term of the security). Accordingly, it is possible that all or a portion of any gain on the sale or settlement of a security after one year could be treated as “Excess Gain” from a “constructive ownership transaction,” which gain would be recharacterized as ordinary income, and subject to an interest charge. U.S. holders should consult their tax advisors regarding the potential application of the “constructive ownership” rules.

We will not attempt to ascertain whether any of the entities whose stock is included in, or owned by, any Reference Asset Component, 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, any Reference Asset Component, 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 Components, 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, any Reference Asset Component, as the case may be, is or becomes a PFIC or a USRPHC.

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

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.

FWP-20

TABLE OF CONTENTS		You should only rely on the information contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This free writing prospectus, the accompanying Equity Index Underlying Supplement, ETF 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, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates. HSBC USA Inc. $  Leveraged Buffered Uncapped Market Participation SecuritiesTM Linked to a Basket Consisting of the S&P 500® Index, the MSCI EAFE® Index, the S&P MidCap 400® Index, the iShares® MSCI Emerging Markets ETF and the Russell 2000® Index April 18, 2018 FREE WRITING PROSPECTUS
Free Writing Prospectus
General	FWP-6
Payment at Maturity	FWP-7
Investor Suitability	FWP-8
Risk Factors	FWP-9
Illustrative Examples	FWP-13
Information Relating to the Reference Asset	FWP-15
Events of Default and Acceleration	FWP-19
Supplemental Plan of Distribution (Conflicts of Interest)	FWP-19
U.S. Federal Income Tax Considerations	FWP-20
Equity Index Underlying Supplement
Risk Factors	S-1
The DAX® Index	S-8
The Dow Jones Industrial AverageSM	S-10
The EURO STOXX 50® Index	S-12
The FTSE® 100 Index	S-14
The Hang Seng® Index	S-15
The Hang Seng China Enterprises Index	S-17
The KOSPI 200 Index	S-20
The MSCI Indices	S-23
The NASDAQ 100 Index®	S-27
The Nikkei 225 Index	S-31
The PHLX Housing SectorSM Index	S-33
The Russell 2000® Index	S-37
The S&P 100® Index	S-40
The S&P 500® Index	S-43
The S&P 500® Low Volatility Index	S-46
The S&P BRIC 40 Index	S-49
The S&P MidCap 400® Index	S-51
The TOPIX® Index	S-54
Additional Terms of the Notes	S-56
ETF Underlying Supplement
Risk Factors	S-1
Reference Sponsors and Index Funds	S-9
The Energy Select Sector SPDR® Fund	S-10
The Financial Select Sector SPDR® Fund	S-12
The Health Care Select Sector SPDR® Fund	S-14
The iShares® China Large-Cap ETF	S-16
The iShares® Latin America 40 ETF	S-19
The iShares® MSCI Brazil Capped ETF	S-21
The iShares® MSCI EAFE ETF	S-24
The iShares® MSCI Emerging Markets ETF	S-26
The iShares® MSCI Mexico Capped ETF	S-28
The iShares® Transportation Average ETF	S-30
The iShares® U.S. Real Estate ETF	S-31
The Market Vectors® Gold Miners ETF	S-32
The Powershares QQQ TrustSM, Series 1	S-34
The SPDR® Dow Jones Industrial AverageSM ETF Trust	S-37
The SPDR® S&P 500® ETF Trust	S-39
The Vanguard® FTSE Emerging Markets ETF	S-41
The WisdomTree® Japan Hedged Equity Fund	S-44
Additional Terms of the Notes	S-47
Prospectus Supplement
Risk Factors	S-1
Pricing Supplement	S-10
Description of Notes	S-12
Use of Proceeds and Hedging	S-36
Certain ERISA Considerations	S-37
U.S. Federal Income Tax Considerations	S-39
Supplemental Plan of Distribution (Conflicts of Interest)	S-61
Prospectus
About this Prospectus	1
Risk Factors	2
Where You Can Find More Information	3
Special Note Regarding Forward-Looking Statements	4
HSBC USA Inc.	7
Use of Proceeds	8
Description of Debt Securities	9
Description of Preferred Stock	20
Description of Warrants	25
Description of Purchase Contracts	30
Description of Units	33
Book-Entry Procedures	36
Limitations on Issuances in Bearer Form	40
U.S. Federal Income Tax Considerations Relating to Debt Securities	41
Plan of Distribution (Conflicts of Interest)	49
Notice to Canadian Investors	52
Notice to EEA Investors	53
Notice to UK Investors	54
UK Financial Promotion	54
Certain ERISA Matters	55
Legal Opinions	57
Experts	58