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Filed Pursuant to Rule 424(b)(2)

Registration No. 333-277211

October 16, 2026

PRICING SUPPLEMENT

(To Prospectus dated February 21, 2024,

Prospectus Supplement dated February 21, 2024,

Equity Index Underlying Supplement dated February 21,\n2024) and

ETF Underlying Supplement dated February 21,\n2024)

$\"\"$

Linked to the MerQube US Tech Vol Target 40% Index

►	Call Premium of approximately 2.1667% per month (equivalent to 26.00% per annum)

►	Callable monthly at the principal amount plus the applicable Call Premium on any Observation Date on or after October 18, 2027 if\nthe Official Closing Level of the Reference Asset is at or above its applicable Call Threshold

►	If the Notes are not called and the Reference Asset declines by less than or equal to 40.00%, you will receive your principal amount\n(a zero return)

►	If the Notes are not called and the Reference Asset declines by more than 40.00%, there is full exposure to declines in the Reference\nAsset, and you will lose all or a portion of your principal amount.

►	Due October 21, 2032, if not called

►	All payments on the Notes are subject to the credit\nrisk of HSBC USA Inc.

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

Neither the U.S. Securities and Exchange Commission (the\n“SEC”) nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy\nof this document, the accompanying prospectus, prospectus supplement or Equity Index Underlying Supplement. Any representation to the\ncontrary is a criminal offense.

We have appointed HSBC Securities (USA) Inc., an affiliate\nof ours, as the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to other\nregistered broker-dealers or will offer the Notes directly to investors. In addition, HSBC Securities (USA) Inc. or another of its affiliates\nor agents may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless we or our agent\ninform you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction. See “Supplemental\nPlan of Distribution (Conflicts of Interest)” on page PS-25 of this document.

Investment in the Notes involves certain risks. You should\nrefer to “Risk Factors” beginning on page PS-8 of this document, page S-1 of the accompanying prospectus supplement and page\nS-1 of the accompanying Equity Index Underlying Supplement.

The Estimated Initial Value of the Notes on the Trade Date\nis $1,005.40 per Note. The market value of the Notes at any time will reflect many factors and cannot be predicted with accuracy. See\n“Estimated Initial Value” on page PS-4 and “Risk Factors” beginning on page PS-8 of this document for additional\ninformation.

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

	Price to Public	Underwriting Discount⁽¹⁾	Proceeds to Issuer
Per Note	$1,000.00	$0.00	$1,000.00
Total	$1,319,000.00	$0.00	$1,319,000.00

⁽¹⁾\nNeither HSBC USA Inc. nor any of its affiliates will pay an underwriting discount. See “Supplemental\nPlan of Distribution (Conflicts of Interest)” on page PS-25 of this document.

The Notes:

\n \n \n \n \n

Are Not FDIC Insured

Are Not Bank Guaranteed

May Lose Value

$\"\"$

\n\n\n\n

HSBC USA Inc.
\nAutocallable Barrier Notes with Step-up Premium

$\"\"$

This document relates to a single\noffering of Autocallable Barrier Notes with Step-up Premium. The Notes will have the terms described in this document and the accompanying\nprospectus, prospectus supplement, and Equity Index Underlying Supplement. If the terms of the Notes offered hereby are inconsistent\nwith those described in the accompanying prospectus, prospectus supplement, or Equity Index Underlying Supplement, the terms described\nin this document shall control.

This document relates to an offering\nof Notes linked to the performance of the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC\nUSA Inc. linked to the Reference Asset as described below. The following key terms relate to the offering of the Notes:

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Issuer:	HSBC USA Inc.
Principal Amount:	$1,000 per Note
Reference Asset:	The MerQube US Tech Vol Target 40% Index (Ticker: MQVTUSTE)
Trade Date:	October 16, 2026
Pricing Date:	October 16, 2026
Original Issue Date:	October 21, 2026
Final Valuation Date:	October 18, 2032, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying Equity Index Underlying Supplement.
Maturity Date:	3 October 21, 2032. The Maturity Date is subject to adjustment as described under “Additional Terms of the Notes―Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
Call Feature:	If the Official Closing Level of the Reference Asset is at or above the applicable Call Threshold on any Call Observation Date the Notes will be automatically called, and you will receive a cash payment, per $1,000 Principal Amount, equal to the Principal Amount plus the applicable Call Premium on the corresponding Call Payment Date.
Payment at Maturity:	Unless the Notes are called, on the Maturity Date, for each $1,000 Principal Amount, we will pay you the Final Settlement Value.
Final Settlement Value:	\n Unless the Notes are called, for each $1,000 Principal\n Amount, you will receive a cash payment on the Maturity Date, calculated as follows: \n \n n\n If the Reference Return is less than -5.00% but greater than or equal to -40.00%: \n \n $1,000 (a zero return) \n \n n\n If the Reference Return is less than -40.00%: \n \n $1,000 + ($1,000 × Reference Return). \n \n If\nthe Notes are not called, you will not receive a Call Premium, and if the Final Value is less than the Barrier Value, you will\nlose up to 100% of the Principal Amount.
\n Reference Return: \n	\n Final Value – Initial Value \n Initial Value

PS-2

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Call Observation Dates, Call Payment Dates, Call Premiums and Call Thresholds:	Call Observation Dates	Call Payment Dates	Call Premium	Call Thresholds \n(% of Initial Value)
October 18, 2027	October 22, 2027	26.00000%	95.00%
November 17, 2027	November 22, 2027	28.16667%	95.00%
December 16, 2027	December 21, 2027	30.33333%	95.00%
January 18, 2028	January 21, 2028	32.50000%	95.00%
February 16, 2028	February 22, 2028	34.66667%	95.00%
March 16, 2028	March 21, 2028	36.83333%	95.00%
April 18, 2028	April 21, 2028	39.00000%	95.00%
May 17, 2028	May 22, 2028	41.16667%	95.00%
June 15, 2028	June 21, 2028	43.33333%	95.00%
July 18, 2028	July 21, 2028	45.50000%	95.00%
August 16, 2028	August 21, 2028	47.66667%	95.00%
September 18, 2028	September 21, 2028	49.83333%	95.00%
October 18, 2028	October 23, 2028	52.00000%	95.00%
November 16, 2028	November 21, 2028	54.16667%	95.00%
December 18, 2028	December 21, 2028	56.33333%	95.00%
January 17, 2029	January 22, 2029	58.50000%	95.00%
February 15, 2029	February 21, 2029	60.66667%	95.00%
March 16, 2029	March 21, 2029	62.83333%	95.00%
April 18, 2029	April 23, 2029	65.00000%	95.00%
May 16, 2029	May 21, 2029	67.16666%	95.00%
June 15, 2029	June 21, 2029	69.33334%	95.00%
July 18, 2029	July 23, 2029	71.50000%	95.00%
August 16, 2029	August 21, 2029	73.66666%	95.00%
September 18, 2029	September 21, 2029	75.83334%	95.00%
October 17, 2029	October 22, 2029	78.00000%	95.00%
November 16, 2029	November 21, 2029	80.16666%	95.00%
December 18, 2029	December 21, 2029	82.33334%	95.00%
January 16, 2030	January 22, 2030	84.50000%	95.00%
February 15, 2030	February 21, 2030	86.66666%	95.00%
March 18, 2030	March 21, 2030	88.83334%	95.00%
April 16, 2030	April 22, 2030	91.00000%	95.00%
May 16, 2030	May 21, 2030	93.16666%	95.00%
June 17, 2030	June 21, 2030	95.33334%	95.00%
July 17, 2030	July 22, 2030	97.50000%	95.00%
August 16, 2030	August 21, 2030	99.66666%	95.00%
September 18, 2030	September 23, 2030	101.83330%	95.00%
October 16, 2030	October 21, 2030	104.00000%	95.00%
November 18, 2030	November 21, 2030	106.16670%	95.00%
December 18, 2030	December 23, 2030	108.33330%	95.00%
January 15, 2031	January 21, 2031	110.50000%	95.00%
February 18, 2031	February 21, 2031	112.66670%	95.00%
March 18, 2031	March 21, 2031	114.83330%	95.00%
April 16, 2031	April 21, 2031	117.00000%	95.00%
May 16, 2031	May 21, 2031	119.16670%	95.00%
June 17, 2031	June 23, 2031	121.33330%	95.00%
July 16, 2031	July 21, 2031	123.50000%	95.00%
August 18, 2031	August 21, 2031	125.66670%	95.00%
September 17, 2031	September 22, 2031	127.83330%	95.00%
October 16, 2031	October 21, 2031	130.00000%	95.00%
November 18, 2031	November 21, 2031	132.16670%	95.00%
December 17, 2031	December 22, 2031	134.33330%	95.00%
January 15, 2032	January 21, 2032	136.50000%	95.00%
February 18, 2032	February 23, 2032	138.66670%	95.00%
March 17, 2032	March 22, 2032	140.83330%	95.00%
April 16, 2032	April 21, 2032	143.00000%	95.00%
May 18, 2032	May 21, 2032	145.16670%	95.00%
June 15, 2032	June 21, 2032	147.33330%	95.00%
July 16, 2032	July 21, 2032	149.50000%	95.00%
August 18, 2032	August 23, 2032	151.66670%	95.00%
September 16, 2032	September 21, 2032	153.83330%	95.00%
October 18, 2032	October 21, 2032	156.00000%	95.00%
(the Final Valuation Date)	(the Maturity Date)

\n \n \n \n \n \n \n

	The Call Observation Dates and Call Payment Dates are subject to postponement as described under “Additional Terms of the Notes—Valuation Dates” and “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.
Initial Value:	3,294.88, which was the Official Closing Level of the Reference Asset on the Pricing Date.

PS-3

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

Final Value:	The Official Closing Level of the Reference Asset on the Final Valuation Date.
Barrier Value:	60.00% of the Initial Value, which is approximately 1,976.928.
CUSIP/ISIN:	40447LSE1/US40447LSE10
Form of Notes:	Book-Entry
Listing:	The Notes will not be listed on any securities exchange or quotation system.
Estimated Initial Value:	The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the Notes, which was determined by us on the Trade Date, may differ from the market value of the Notes in the secondary market, if any.”

PS-4

GENERAL

This document relates to an offering of Notes\nlinked to the Reference Asset. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. Although the offering\nof Notes relates to the Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment\nlinked to the Reference Asset or any security included in the Reference Asset or as to the suitability of an investment in the Notes.

You should read this document together with the\nprospectus dated February 21, 2024, the prospectus supplement dated February 21, 2024, the Equity Index Underlying Supplement\ndated February 21, 2024 and the ETF Underlying Supplement dated February 21, 2024. If the terms of the Notes offered hereby\nare inconsistent with those described in the accompanying prospectus, prospectus supplement, Equity Index Underlying Supplement or ETF\nUnderlying Supplement, the terms described in this document shall control. You should carefully consider, among other things, the matters\nset forth in “Risk Factors” beginning on page PS-8 of this document, page S-1 of the prospectus supplement, page S-1\nof the Equity Index Underlying Supplement and page S-1 of the ETF Underlying Supplement, as the Notes involve risks not associated\nwith conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest\nin the Notes. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our”\nare to HSBC USA Inc.

HSBC has filed a registration statement (including\na prospectus, prospectus supplement, Equity Index Underlying Supplement and ETF Underlying Supplement) with the SEC for the offering\nto which this document relates. Before you invest, you should read the prospectus, prospectus supplement, Equity Index Underlying Supplement\nand ETF Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information\nabout 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,\nHSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement,\nEquity Index Underlying Supplement and ETF Underlying Supplement if you request them by calling (212) 525-8010.

You may also obtain:

🞂

The\n Equity Index Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000110465924025885/tm244959d3_424b2.htm

🞂

The\n ETF Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000110465924025949/tm244959d4_424b2.htm

🞂

The\n prospectus supplement at: https://www.sec.gov/Archives/edgar/data/83246/000110465924025878/tm244959d1_424b2.htm

🞂

The\n prospectus at: https://www.sec.gov/Archives/edgar/data/83246/000110465924025864/tm244959d13_424b3.htm

PS-5

PAYMENT ON THE NOTES

Call Feature

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

Call Premium

If the Notes are called on a Call Observation Date, we will pay the\napplicable Call Premium on the corresponding Call Payment Date, which is approximately 2.1667% per month (or $21.667 for each $1,000\nPrincipal Amount) multiplied by the number of months elapsed from the Trade Date to the applicable Call Observation Date that the Notes\nare called. See “Call Observation Dates, Call Payment Dates, Call Premiums and Call Thresholds” on PS-3 for the applicable\nCall Premiums to be paid on the corresponding Call Payment Dates. For information regarding the record dates applicable to the Call Premiums\npayable on the Notes, please see the section entitled “Description of Notes—Interest and Principal Payments—Recipients\nof Interest Payments” beginning on page S-17 in the accompanying prospectus supplement.

Payment at Maturity

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

\n\n

■

If\nthe Reference Return is less than -5.00% but greater than or equal to -40.00%:

$1,000 (a zero return)

\n\n

■

If\nthe Reference Return is less than -40.00%:

$1,000 + ($1,000 × Reference Return).

If the Notes are not called you will not receive the Call Premium,\nand if the Final Value is less than the Barrier Value, will lose up to 100% of the Principal Amount.

Calculation Agent

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

Reference Sponsor

The reference sponsor of the MQVTUSTE is MerQube, Inc.

PS-6

INVESTOR SUITABILITY

The Notes may be suitable for you if:

🞂

You\n believe that the Official Closing Level of the Reference Asset will be at or above the applicable\n Call Threshold on at least one of the Call Observation Dates.

🞂

You\n seek a Call Premium based on the performance of the Reference Asset, that is approximately\n 2.1667% per month if the Official Closing Level of the Reference Asset is greater than or\n equal to the Call Threshold on any Call Observation Date.

🞂

You\n are willing to invest in the Notes based on the fact that your maximum potential return is\n limited to the applicable Call Premium payable on the Notes on a given Call Payment Date.

🞂

You\n do not seek an investment that provides an opportunity to participate in the appreciation\n of the Reference Asset.

🞂

You\n are willing to make an investment that is exposed to the potential downside performance of\n the Reference Asset on a 1-to-1 basis if the Notes are not called and the Reference Return\n of the is less than -40.00%.

🞂

You\n are willing to lose up to 100% of the Principal Amount.

🞂

You\n are willing to hold the Notes which will be automatically called on any Call Observation\n Date on which the Official Closing Level of the Reference Asset is at or above the Call Threshold,\n or you are otherwise willing to hold the Notes to maturity.

🞂

You\n are willing to forgo guaranteed interest payments on the Notes, and the dividends or other\n distributions paid on the stocks included in the Reference Asset.

🞂

You\n do not seek an investment for which there will be an active secondary market.

🞂

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

🞂

You\n are comfortable with the creditworthiness of HSBC, as Issuer of the Notes.

The Notes may not be suitable for you if:

🞂

You\n believe that the Official Closing Level of the Reference Asset will be below the applicable\n Call Threshold on all of the Call Observation Dates, and the Final Value will be below the\n Barrier Value.

🞂

You\n believe that the Call Premium, if any, will not provide you with your desired return.

🞂

You\n are unwilling to invest in the Notes based on the fact that your maximum potential return\n is limited to the applicable Call Premium payable on the Notes on a given Call Payment Date.

🞂

You\n seek an investment that provides an opportunity to participate in the appreciation of the\n Reference Asset.

🞂

You\n are unwilling to make an investment that is exposed to the potential downside performance\n of the Reference Asset on a 1-to-1 basis if the Notes are not called and the Reference Return\n is less than -40.00%.

🞂

You\n seek an investment that provides full return of principal at maturity.

🞂

You\n are unable or unwilling to hold Notes that will be automatically called on any Call Observation\n Date on which the Official Closing Level of the Reference Asset is at or above the Call Threshold,\n or you are otherwise unable or unwilling to hold the Notes to maturity.

🞂

You\n prefer to receive guaranteed periodic interest payments on the Notes, or the dividends or\n other distributions paid on the stocks included in the Reference Asset.

🞂

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

🞂

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

🞂

You\n are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of\n the Notes.

PS-7

RISK FACTORS

We urge you to read the section “Risk Factors”\nbeginning on page S-1 of the accompanying prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.\nYou should understand the risks of investing in the Notes and should reach an investment decision only after careful consideration, with\nyour advisors, of the suitability of the Notes in light of your particular financial circumstances and the information set forth in this\ndocument and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement. In addition to the risks discussed\nbelow, you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement\nincluding the explanation of risks relating to the Notes described in the following sections:

🞂

“—Risks\n Relating to All Note Issuances” in the prospectus supplement; and

🞂

“—General\n Risks Related to Indices” in the Equity Index Underlying Supplement.

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

Risks Relating to the Structure or Features\nof the Notes

The Notes do not guarantee any return of principal\nand you may lose all of your Principal Amount.

The Notes do not guarantee any return of principal.\nThe Notes differ from ordinary debt securities in that we will not pay you 100% of the Principal Amount of your Notes if the Notes are\nnot called and the Final Value is less than the Barrier Value. In this case, the Payment at Maturity you will be entitled to receive\nwill be less than the Principal Amount and you will lose 1% for each 1% that the Reference Return is less than 0.00%.You may lose up\nto 100% of your investment at maturity.

You may not receive the Call Premium.

The Notes may not be called, and in such a case\nyou will not receive the Call Premium. If the Official Closing Level of the Reference Asset on the Final Valuation Date is less than\nthe Barrier Value the notes will not be called, we will not pay you the Call Premium at maturity, you will not receive a positive return\non the Notes, and you will lose some or all of your Principal Amount.

Your return on the Notes is limited to the\nPrincipal Amount plus the Call Premium, if any, regardless of any appreciation in the value of the Reference Asset.

If the Notes are called, for each $1,000 Principal\nAmount, you will receive $1,000 the plus the applicable Call Premium, regardless of any appreciation in the value of the Reference Asset,\nwhich may be significant. Accordingly, the return on the Notes may be significantly less than the return on a direct investment in the\nstocks included in the Reference Asset during the term of the Notes.

Higher Call Premiums or lower Barrier Values\nare generally associated with Reference Assets with greater expected volatility and therefore can indicate a greater risk of loss.

\"Volatility\" refers to the frequency\nand magnitude of changes in the value of a Reference Asset. The greater the expected volatility with respect to a Reference Asset on\nthe Trade Date, the higher the expectation as of the Trade Date that the value of a Reference Asset could close below the Call Threshold\non a Call Observation Date or the Barrier Value on the Final Valuation Date, indicating a higher expected risk of non-payment of Call\nPremiums or loss on the Notes. This greater expected risk will generally be reflected in a higher Call Premium than the yield payable\non our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Barrier Value or a higher Call\nPremium ) than for similar securities linked to the performance of a Reference Asset with a lower expected volatility as of the Trade\nDate. You should therefore understand that a relatively higher Call Premium may indicate an increased risk of loss. Further, a relatively\nlower Barrier Value may not necessarily indicate that the Notes have a greater likelihood of a repayment of principal at maturity. The\nvolatility of a Reference Asset can change significantly over the term of the Notes. The value of the Reference Asset for your Notes\ncould fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market risk of\nthe Reference Asset, including the potential of not receiving a Call Premium and losing some or all of your principal at maturity.

The amount payable on the Notes is not linked\nto the values of the Reference Asset at any time other than the Call Observation Dates, including the Final Valuation Date.

The payments on the Notes will be based on the\nOfficial Closing Levels of the Reference Asset on the Call Observation Dates, including the Final Valuation Date, subject to postponement\nfor non-trading days and certain Market Disruption Events. Even if the value of the Reference Asset is greater than or equal to the Call\nThreshold during the term of the Notes other than on a Call Observation Date but then decreases on a Call Observation Date to a value\nthat is less than the Call Threshold, the Call Premium will not be payable for the relevant Call Payment Date. Similarly, if the Notes\nare not called, even if the value of the Reference Asset is greater than or equal to the Barrier Value during the term of the Notes other\nthan on the Final Valuation Date but then decreases on the Final Valuation Date to a value that is less than the Barrier Value, the Payment\nat Maturity will be less, possibly significantly less, than it would have been had the Payment at Maturity been linked to the value of\nthe Reference Asset prior to such decrease. Although the actual values of the Reference

PS-8

Asset on the Maturity Date or at other times\nduring the term of the Notes may be higher than its values on the Call Observation Dates, whether a Call Premium will be payable and\nthe Payment at Maturity will be based solely on the Official Closing Levels of the Reference Asset on the applicable Call Observation\nDates.

Risks Relating to the Reference Asset

The strategy tracked by the MQVTUSTE and the views\nimplicit in the MQVTUSTE are not guaranteed to succeed.

The strategy tracked by the MQVTUSTE is not guaranteed\nto be successful. It is impossible to predict whether and the extent to which the MQVTUSTE or the Sub-Index will yield positive or negative\nresults. You should seek your own advice as necessary to assess the MQVTUSTE and its strategy.

The MQVTUSTE aims to provide a hypothetical exposure\nto the excess return performance of the Sub-Index with a rules-based volatility control mechanism that aims to adjust the exposure of\nthe MQVTUSTE to the Sub-Index strategy, based on a pre-defined target level, subject to a maximum exposure level and a limit on daily\nchanges in exposure. By seeking to maintain a predetermined level of volatility, the MQVTUSTE may underperform an alternative strategy\nthat seeks to maintain a higher or lower volatility or an alternative strategy that does not seek to maintain a level volatility. In\naddition, the volatility control mechanism includes a maximum limit on exposure to the excess return performance of the Sub-Index, and\nalso limits the daily change in exposure to a pre-defined level, in each case regardless of whether the observed daily volatility of\nthe excess return performance of the Sub-Index corresponds with the targeted volatility of the excess return performance. Additionally,\nthe adjustments to the exposure of the MQVTUSTE to the excess return performance occur on a two-day lag, meaning that an observed change\nin volatility will not be immediately reflected and the MQVTUSTE’s exposure may not be reduced quickly enough to avoid negative\nperformance or increased quickly enough to capture positive performance. These provisions may limit the ability of the MQVTUSTE to adjust\nto market conditions with sufficient speed during periods of excessive changes in volatility or to participate in favorable Sub-Index\nperformance and may cause the MQVTUSTE to underperform another strategy that is not subject to these or similar conditions. The MQVTUSTE\nincludes a decrement feature, which reduces the performance of the MQVTUSTE in all cases, whether the Sub-Index appreciates or depreciates.

It is impossible to predict and list all factors and\nevents that may impact the MQVTUSTE and Sub-Index, positively or negatively. Conditions in particular markets, as well as overall market\nand macroeconomic conditions and other events and circumstances, may affect the MQVTUSTE and Sub-Index in different ways. Moreover, market\nor other conditions or events may cause the MQVTUSTE or Sub-Index to act in unanticipated ways, which could adversely affect the MQVTUSTE\nperformance and, therefore, your return on any structured product investment linked to the MQVTUSTE. Certain disruption or extraordinary\nevents may also require the applicable Index Sponsor to adjust or terminate the MQVTUSTE or the Sub-Index, which could adversely affect\nthe MQVTUSTE performance and the return on any structured product investment linked to the MQVTUSTE.

No assurance can be given that the investment strategy\non which the MQVTUSTE or Sub-Index is based will be successful or that the MQVTUSTE or Sub-Index will outperform any alternative strategy\nthat might be employed in respect of the Sub-Index or QQQ.

The MQVTUSTE may underperform the Sub-Index and\nthe QQQ.

The MQVTUSTE is intended to provide volatility-adjusted\nexposure to the excess return performance of the Sub-Index which tracks the total return performance of the QQQ. The MQVTUSTE increases\nits exposure to the excess return performance of the Sub-Index when volatility is lower and decreases exposure to the Sub-Index when\nthe volatility is higher. The underlying investment thesis, which may or may not prove to be accurate, is that decreasing exposure to\nthe excess return performance of the Sub-Index during periods of increased volatility will limit the MQVTUSTE’s participation in\nrapid downturns. However, decreasing exposure to the excess return performance of the Sub-Index during periods of increased volatility\nwill also limit the MQVTUSTE’s participation in any rapid growth. There can be no assurance that the MQVTUSTE’s investment\nthesis will prove correct or that the MQVTUSTE will effectively implement its investment thesis. Additionally, because of the embedded\nfees and costs and the decrement feature, the MQVTUSTE will underperform the QQQ unless its performs sufficiently well to overcome the\nnegative effect of the embedded fees and costs and decrement on the level of the MQVTUSTE.

The decrement will reduce the performance of the\nMQVTUSTE.

The MQVTUSTE includes a decrement feature, whereby\na daily deduction based on a decrement rate of 6% per annum is deducted daily from the excess return performance of the Sub-Index, adjusted\nfor exposure, as part of the calculation of the MQVTUSTE level. The excess return performance of the Sub-Index must increase by an amount\nsufficient to offset the decrement in order for the MQVTUSTE to display a positive return. Accordingly, the level of the MQVTUSTE may\ndecline even if the excess return performance of the Sub-Index increases or the level of the QQQ appreciates. The decrement will adversely\naffect the performance of the MQVTUSTE in all cases, whether the Sub-Index appreciates or depreciates.

PS-9

The MQVTUSTE measures the performance of the Sub-Index\non an “excess return” basis which may reduce or eliminate any increase in the level of the Sub-Index.

“Excess return” is\na measure of the extent to which a particular asset, in this case the Sub-Index, outperforms another market measure. The MQVTUSTE measures\nthe excess return performance of the Sub-Index over the Effective Federal Funds Rate (as defined herein) plus (i) the Spread (as\ndefined herein) and (ii) the Adjustment Rate (as defined herein), which is based on an interpolation of the settlement prices of\nshorter-dated and longer-dated “basis trade at index close” futures contracts on the S&P^® 500 Index. Therefore,\nany increase in the level of the effective federal funds rate, the Spread and/or any changes in the closing prices of reference futures\ncontracts (including any inversion in the forward curve of such futures contracts), may offset in whole or in part any increases in the\nlevel of the Sub-Index. As a result, such increase in level of the Sub-Index would not be reflected in the performance of the MQVTUSTE,\nwhich will have the effect of reducing the amount payable to you. This deduction is separate from the decrement feature. Generally speaking,\non any day, the increase in level of the Sub-Index must be sufficient to overcome both the excess return deductions in the Sub-Index\nand the decrement feature in the MQVTUSTE, in order for the level of the MQVTUSTE to increase.

The MQVTUSTE is subject to risks associated with\nsignificant leverage.

The MQVTUSTE uses a volatility-control mechanism to\nachieve its target volatility, which may involve the use of significant leverage. The volatility control mechanism adjusts the “exposure”\nof the MQVTUSTE to the excess return performance of the Sub-Index, which may result in a divergence between the performance of the MQVTUSTE\nand the percentage change in excess return performance of the Sub-Index. At times, the exposure can be as high as 500%, meaning that\na 1% daily decrease in the excess return performance of the Sub-Index will be reflected as a 5% daily decrease in the level of the MQVTUSTE,\nbefore accounting for the daily decrement which will further diminish the performance of the MQVTUSTE. When the MQVTUSTE employs leveraged\nexposure in this way, any declines in the excess return performance of the Sub-Index will be magnified, resulting in accelerated losses.

The MQVTUSTE may not approximate\nits target volatility and may be restricted by the maximum daily change or maximum level of adjustment in exposure.

The MQVTUSTE seeks to maintain a target volatility\nby dynamically adjusting its exposure to the excess return performance of the Sub-Index on a daily basis, subject to a maximum exposure\nof 500% and a maximum daily change in exposure of 25%. These adjustments are made based on the historic volatility of the excess return\nperformance of the Sub-Index, and there is no guarantee that trends exhibited by any such measures will continue in the future. The volatility\nof a portfolio on any day may change quickly and unexpectedly. If the volatility of the excess return performance of the Sub-Index changes\nrapidly, the MQVTUSTE will not match such changes in volatility due to the restriction on the daily change in exposure and the effect\nof this restriction may be magnified by the two-day lag period over which any adjustments to exposure occur. Further, there can be no\nassurance that the volatility control mechanism employed by the MQVTUSTE will be the most effective way to accurately assess volatility\nor to predict patterns of volatility. There can also be no assurance that the MQVTUSTE will achieve its target volatility. For example,\nif the exposure adjustment level reaches 500%, there will be no further adjustment to the exposure until the adjustment level declines\nbelow 500% and, therefore, during periods of excessive volatility when the exposure reaches its maximum adjustment level the actual volatility\nof the of the percentage change in excess return may not correspond with the targeted volatility. Additionally, if on any day the excess\nreturn performance would have to be adjusted by more than 25% in order to reach the targeted MQVTUSTE volatility of 40%, then the change\nin exposure level on that day will be limited to 25% because of the maximum daily change in exposure restriction and the MQVTUSTE might\nexperience higher or lower volatility than the targeted volatility level.

Historical volatility may be a poor indicator of\nfuture volatility.

The MQVTUSTE seeks to take on a defined and limited\ndegree of expected risk by allocating exposure to the excess return performance of the Sub-Index with an expected risk close to a pre-defined\ntarget level and subject to the volatility control mechanism. The MQVTUSTE measures the expected risk of its portfolio based on historical\nvolatility. There can be no assurance that the historical volatility of a portfolio will be indicative of future volatility. In addition,\nother potential measures of volatility, such as implied volatility, may be more predictive of future volatility than historical volatility.\nAs a result, the measure of expected risk used by the MQVTUSTE may be less accurate than other measures that could have been used.

The volatility control mechanism may negatively\nimpact the performance of the MQVTUSTE.

The MQVTUSTE employs a rules-based volatility control\nmechanism that aims to control volatility close to a pre-defined target level. By seeking to maintain a predetermined level of volatility,\nthe MQVTUSTE may underperform an alternative strategy that seeks to maintain a higher or lower volatility or an alternative strategy\nthat does not seek to maintain a level volatility. The volatility control mechanisms also include limits on maximum daily change and\nmaximum adjustment level of exposure, regardless of the observed volatility. These provisions may limit the ability to adjust to market\nconditions or to participate in favorable performance of the Sub-Index or QQQ and, accordingly, may cause the MQVTUSTE to underperform\nanother strategy that is not subject to these or similar conditions.

PS-10

There can be no guarantee that the method by which\nvolatility is determined will be effective; exponentially weighted moving averages place greater emphasis on more recent levels.

The volatility measure referenced in the calculation\nof the exposure of the MQVTUSTE to the excess return performance of the Sub-Index is determined based on exponentially weighted moving\naverage levels of reference measures. The exponentially weighted moving average is a type of moving average in which greater emphasis\nis given to more recent history by weighting each input according to the relevant decay factor with more recent values receiving a higher\nweighting than more distant values. Moving average itself is a concept in which an average value is obtained by observing a value at\na specific frequency during a particular period, and this average “moves” every day to record the average daily return for\nthe specified period. An exponentially weighted moving average will react more quickly to recent changes than a simple moving average.

There can be no guarantee that the method by which\nvolatility is determined for purposes of calculating the MQVTUSTE (including whether determined using an exponentially weighted moving\naverage, simple average or otherwise) will be effective or achieve the intended results. Alternative methods of calculating volatility\ncould produce more effective results.

No ownership rights in any component stocks or\nany rights in any equity index futures contracts.

Owners of any structured product investment linked\nto the MQVTUSTE will not have the same rights as holders of the equity index futures contracts referenced in the calculation of the MQVTUSTE\nor holders of the QQQ or any of its component stocks or the component stocks of the Nasdaq-100 Index^®. Structured product\ninvestments linked to the MQVTUSTE will be paid in cash, and you will have no right to receive any payment or delivery in respect of\nany equity index futures contracts or securities referenced directly or indirectly in the calculation of the MQVTUSTE.

Non-U.S. securities risk.

The MQVTUSTE references the excess return performance\nof the Sub-Index, which in turn tracks the total return performance of the QQQ. Some of the equity securities held by the QQQ are issued\nby non-U.S. companies. Investments linked to the value of such non-U.S. equity securities involve risks associated with the home countries\nof the issuers of those non-U.S. equity securities. The prices of securities in non-U.S. markets may be affected by political, economic,\nfinancial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and\ncurrency exchange laws.

The MQVTUSTE and the Sub-Index were recently launched\nand have limited operating history.

The MQVTUSTE was launched on May 30, 2025 and\nthe Sub-Index was launched on December 15, 2023 and each therefore has limited historical performance. As a result, limited actual\nhistorical performance information is available for you to consider in making an independent investigation of the MQVTUSTE, which may\nmake it more difficult for you to evaluate the historical performance of the MQVTUSTE and make an informed investment decision than would\nbe the case if each of the MQVTUSTE and the Sub-Index had a longer trading history.

Hypothetical back-tested performance prior to the\nlaunch of the MQVTUSTE and the Sub-Index provided in this document refers to simulated performance data created by applying each index’s\nrespective calculation methodology to historical or simulated levels of the Sub-Index (which itself is based on applying the Sub-Index’s\ncalculation methodology to historical or simulated levels of the QQQ) and other market measures. Such simulated performance data has\nbeen produced by the retroactive application of a back-tested methodology in hindsight, that is, with the benefit of being able to evaluate\nhow the MQVTUSTE methodology would have caused the MQVTUSTE to perform had it existed during the hypothetical back-test period. It is\nimpossible to predict whether the MQVTUSTE will rise or fall. Accordingly, the actual performance of the MQVTUSTE may differ significantly\nfrom the back-tested information, and if the MQVTUSTE is shown to have generally appreciated over the hypothetical back-test period,\nthat may not therefore be an accurate or reliable indication of any fundamental aspect of the MQVTUSTE methodology.

In addition, the MQVTUSTE used a different baseline\nrate for purposes of determining the daily out-performance of the Sub-Index when calculating hypothetical back-tested information for\nany period prior to December 18, 2020. For such periods, the MQVTUSTE referenced historical levels of 3-month U.S. dollar LIBOR,\nplus a spread of 0.30%, instead of referencing the Effective Federal Funds Rate and the Spread. The back-tested data was produced by\napplying the MQVTUSTE’s methodology to historical levels of the 3-month U.S. dollar LIBOR rate. The 3-month U.S. dollar LIBOR rate\ndiffers significantly from, and is not calculated in the same manner as, the Effective Federal Funds Rate. The application of the MQVTUSTE\nmethodology to historical levels of the 3-month U.S. dollar LIBOR rate is for illustrative purposes only and may not be an accurate or\nreliable indication of the performance of the MQVTUSTE for the period prior to December 18, 2020. Hypothetical back-tested results\nare neither an indicator nor a guarantor of future results.

The hypothetical back-tested performance of the MQVTUSTE\nand the Sub-Index, prior to May 30, 2025 and December 15, 2023 respectively, cannot fully reflect the actual results that would\nhave occurred had each of the MQVTUSTE and the Sub-Index actually

PS-11

been calculated during that period, and should not\nbe relied upon as an indication of the MQVTUSTE’s future performance. A longer history of actual performance could be helpful in\nproviding more reliable information on which to assess the MQVTUSTE.

MerQube sponsors, administers, calculates and publishes\nthe MQVTUSTE and the Sub-Index.

MerQube has the authority to determine whether certain\nevents affecting the MQVTUSTE or the Sub-Index have occurred including, but not limited to, events affecting the measures referenced\nin the calculation of the indices.

Potential investors in any financial instrument of\nwhich the MQVTUSTE is an underlying need to be aware that any determination or calculation made by MerQube may affect the level of the\nMQVTUSTE and the Sub-Index and, as appropriate, the performance of any instruments linked to the performance of the MQVTUSTE. MerQube\nhas no obligation to consider the interest of investors in any such instruments when making any determination or calculation. Such discretion\nin the decisions taken by MerQube (in the absence of manifest or proven error) are binding on all investors and holders of such instruments.

HSBC USA Inc. and HSBC Bank Plc (together, “HSBC”),\nare members of the HSBC Group. Any member of the HSBC Group may from time to time underwrite, make a market or otherwise buy and sell,\nas principal, structured investments, or together with their directors, officers and employers may have either long or short positions\nin the structured investments, or stocks, commodities or currencies to which the structured investments are linked, or may perform or\nseek to perform investment banking services for those linked assets mentioned herein. These activities may be in conflict with the interests\nof investors of debt obligations or certificates of deposit issued by members of the HSBC Group.

The Adjustment Rate used in the calculation of\nthe excess return performance of the Sub-Index is based on basis trade at index close (“BTIC”) futures contracts on\nthe S&P 500® Index, which allows the trade of these futures at a fixed spread to their price. The price of such futures contracts\nrelative to contracts with a later expiration, and therefore the BTIC price on these futures, could have a negative impact on the excess\nreturn performance of the Sub-Index and the MQVTUSTE.

The Adjustment Rate is determined by referencing,\namongst other things, the BTIC prices of a pair of the eligible contracts with expiration that is the closest to 1 year prior to and\n1 year after the applicable determination date. Therefore, as time passes, the previously referenced pair of eligible contracts is replaced\nwith the next pair of eligible contracts with the expiration that is the closest to 1 year prior to or after the next applicable determination\ndate. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations)\nin “contango,” where the prices are higher in the distant delivery months than in the nearer delivery months, the BTIC prices\nof the replacement eligible contracts is higher. Conversely, if the market for these contracts is (putting aside other considerations)\nin “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the BTIC\nprices of the replacement eligible contracts are lower. The rolling of the futures contracts will affect the BTIC price of the eligible\ncontracts and, therefore, the level of the Adjustment Rate and the performance of the MQVTUSTE. There is no way to predict whether markets\nwill be in contango or backwardation.

Suspension or disruptions\nof market trading in futures contracts may adversely affect the level of the MQVTUSTE.

Futures markets are subject to temporary distortions\nor other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government\nregulation and intervention. In addition, futures markets typically have regulations that limit the amount of fluctuation in some futures\ncontract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation\nlimits,” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit\nprice.” Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading\nmay be limited for a specified period of time. Limit prices have the effect of precluding trading in a particular contract or forcing\nthe liquidation of contracts at potentially disadvantageous times or prices. These circumstances could affect the levels of the Adjustment\nRate and, therefore, could adversely affect the performance of the MQVTUSTE.

Prices of futures contracts\nare characterized by high and unpredictable volatility.

Market prices of the futures\ncontracts included in the calculation of the Adjustment Rate could be highly volatile and may fluctuate rapidly based on numerous factors,\nincluding the factors that affect the prices of these futures contracts. The prices of futures contracts are subject to variables that\nmay be less significant to the values of traditional securities such as stocks and bonds.

General Risk Factors

The Notes are subject to the credit risk of\nHSBC USA Inc.

The Notes are senior unsecured debt obligations\nof the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying\nprospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated debt obligations\nof HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including any return of\nprincipal at maturity, depends on the ability of HSBC to satisfy its obligations

PS-12

as they come due. As a result, the actual and\nperceived creditworthiness of HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations,\nyou may not receive the amounts owed to you under the terms of the Notes.

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

The Notes are not deposit liabilities or other\nobligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency\nor program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC, and in the\nevent that HSBC is unable to pay its obligations as they become due, you may not receive the full payments due on the Notes.

The Estimated Initial Value of the Notes, which was determined\nby us on the Trade Date, may differ from the market value of the Notes in the secondary market, if any.

The Estimated Initial Value of the Notes was\ncalculated by us on the Trade Date. The Estimated Initial Value reflects our and our affiliates’ internal funding rate, which is\nthe borrowing rate paid to issue market-linked securities, as well as the mid-market value of the embedded derivatives in the Notes.\nThis internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities.\nAs a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating\nrate debt securities, the Estimated Initial Value of the Notes may be lower if it were based on the prices at which our fixed or floating\nrate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating\nrate debt issuances, we would expect the economic terms of the Notes to be more favorable to you. We determined the value of the embedded\nderivatives in the Notes by reference to our or our affiliates’ internal pricing models. These pricing models consider certain\nassumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions could provide valuations\nfor the Notes that are different from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future\nevents, which may prove to be incorrect. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates\nwould be willing to purchase your Notes in the secondary market (if any exists) at any time.

The price of your Notes in the secondary market, if any, immediately\nafter the Trade Date is expected to be less than the price to public.

The price to public takes into account certain\ncosts. These costs include our affiliates’ projected hedging profits (which may or may not be realized) for assuming risks inherent\nin hedging our obligations under the Notes, and the costs associated with structuring and hedging our obligations under the Notes. These\ncosts will be used or retained by us or one of our affiliates. If you were to sell your Notes in the secondary market, if any, the price\nyou would receive for your Notes may be less than the price you paid for them because secondary market prices will not take into account\nthese costs. The price of your Notes in the secondary market, if any, at any time after issuance will vary based on many factors, including\nthe value of the Reference Asset and changes in market conditions, and cannot be predicted with accuracy. The Notes are not designed\nto be short-term trading instruments, and you should, therefore, be able and willing to hold the Notes to maturity. Any sale of the Notes\nprior to maturity could result in a loss to you.

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

Assuming that all relevant factors remain constant\nafter the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the Notes in the secondary market,\nif any, and the value that may initially be used for customer account statements, if any, may exceed the Estimated Initial Value on the\nTrade Date for a temporary period expected to be approximately 6 months after the Original Issue Date. This temporary price difference\nmay exist because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our\nobligations under the Notes and other costs in connection with the Notes that we will no longer expect to incur over the term of the\nNotes. We will make such discretionary election and determine this temporary reimbursement period on the basis of a number of factors,\nincluding the tenor of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated costs\nwhich we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may\ndiscontinue such reimbursement at any time or revise the duration of the reimbursement period after the Original Issue Date of the Notes\nbased on changes in market conditions and other factors that cannot be predicted.

You will not have any ownership interest in\nthe stocks included in a Reference Asset.

As a holder of the Notes, you will not have any\nownership interest in the stocks included in a Reference Asset, such as rights to vote, dividend payments or other distributions. Because\nthe return on the Notes will not reflect any dividends on those stocks, the Notes may underperform an investment in the stocks included\nin a Reference Asset.

The Notes lack liquidity.

PS-13

The Notes will not be listed on any securities\nexchange or automated quotation system. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market,\nif any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily.\nBecause other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes\nis likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.

Potential conflicts of interest may exist.

An affiliate of HSBC has a minority equity interest\nin the owner of an electronic platform, through which we may make available certain structured investments offering materials. HSBC and\nits affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging\nour obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of\nours are potentially adverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests\nas a holder of the Notes in taking any action that might affect the value of your Notes.

Uncertain tax treatment.

For a discussion of the U.S. federal income tax\nconsequences of your investment in a Note, please see the discussion under “U.S. Federal Income Tax Considerations” herein\nand the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.

PS-14

ILLUSTRATIVE EXAMPLES

The following table and examples are provided\nfor illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases\nor decreases in the value of the Reference Asset relative to the Initial Value. We cannot predict the Official Closing Level of the Reference\nAsset on any Call Observation Date, including the Final Valuation Date. The assumptions we have made in connection with the illustrations\nset forth below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance\nof the expected performance of the Reference Asset or the return on the Notes.

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

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

🞂	Principal Amount:	$1,000
🞂	Hypothetical Initial Value:	1,000.00*
🞂	Hypothetical Call Threshold:	On\n a Call Observation Date, the relevant percentage of the Initial Value applicable on such Call Observation Date as described on page FWP-5\n under “Call Observation Dates, Call Payment Dates, Call Premiums and Call Thresholds.”
🞂	Hypothetical Barrier Value:	600.00\n (60.00% of the Initial Value)
🞂	Call Premium:	2.1667%\n per month (or $21.667 for each $1,000 Principal Amount) multiplied by the number of months elapsed from the Trade Date to the applicable\n Call Observation Date that the Notes are called. See “Call Observation Dates, Call Payment Dates, Call Premiums and Call Thresholds”\n on page FWP-5.

* The hypothetical Initial Value of 1,000.00\nused in the examples below has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual\nInitial Value of the Reference Asset is set forth on page PS-3 of this document.

Summary of the Examples

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

	Notes Are Called on a Call Observation Date	Notes Are Not Called on any Call Observation Date
Example 1	Example 2	Example 3	Example 4
Initial Value	1,000.00	1,000.00	1,000.00	1,000.00
Call Threshold	950.00	950.00	950.00	950.00
Barrier Value	600.00	600.00	600.00	600.00
Call Observation Dates	Official Closing Level / Percentage Change
1^st Call Observation Date	\n 997.00 / -0.30% \n Call Premium: $260.00 \n	\n 650.00 / -35.00% \n Call Premium: $0.00 \n	\n 610.00/ -39.00% \n Call Premium: $0.00	\n 615.00 / -38.50% \n Call Premium: $0.00
2nd Call Observation Date to the last Call Observation Date prior to the Final Valuation Date	N/A	\n Official Closing Level is below the Call Threshold \n Call Premium: $0.00 \n	\n Official Closing Level is below the Call Threshold \n Call Premium: $0.00	\n Official Closing Level is below the Call Threshold \n Call Premium: $0.00
Final Valuation Date	N/A	\n 997.00 / -0.30% \n \n Call Premium: $1,560.00 \n	620.00 / -38.00%	400.00 / -60.00%
Payment if Notes are Called prior to the Final Valuation Date	$1,260.00	N/A	N/A	N/A
Payment at Maturity	N/A	$2,560.00	$1,000.00	$1,000 + ($1,000 x \n-60.00%) = $400.00
Return of the Notes	26.00%	156.00%	0.00%	-60.00%

PS-15

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

\n \n \n \n \n \n \n \n \n

Initial\n Value		Official\n Closing Level
1,000.00		997.00\n (99.70% of Initial Value)

\n \n \n \n \n \n \n


Payment\n Upon a Call:	$1,260.00

Because the Official Closing Level of the Reference\nAsset on the first Call Observation Date is at or above the applicable Call Threshold, the Notes will be automatically called and you\nwill receive $1,260.00 per Note, reflecting the Principal Amount plus the applicable Call Premium, resulting in a 26.00% return on the\nNotes. No extra payment will be made on account of the Reference Asset closing above the Initial Value.

Example 2—The Official Closing Level of the\nReference Asset on the Final Valuation Date is greater than or equal to the applicable Call Threshold.

\n \n \n \n \n \n \n \n \n

Initial\n Value		Final\n Value
1,000.00		997.00\n (99.70% of Initial Value)

\n \n \n \n \n \n \n


Payment\n Upon a Call:	$2,560.00

Because the Official Closing Level of the Reference\nAsset on the Final Valuation Date is at or above the applicable Call Threshold, the Notes will be automatically called and you will receive\n$2,560.00 per Note, reflecting the Principal Amount plus the applicable Call Premium, resulting in a 156.00% return on the Notes. No\nextra payment will be made on account of the Reference Asset closing above the Initial Value.

Example 3— The Notes are not called and the\nFinal Value is greater than or equal to the Barrier Value.

\n \n \n \n \n \n \n \n \n

Initial\n Value		Final\n Value
1,000.00		620.00\n (62.00% of Initial Value)

\n \n \n \n \n \n \n \n \n \n


Reference\n Return:	-38.00%
Payment\n at Maturity:	$1,000.00

Because the Final Value is less the Call Threshold\nbut greater than or equal to the Barrier Value, you will receive $1,000.00 per Note, reflecting the Principal Amount, resulting in a\n0.00% return on the Notes, even though the value of the Reference Asset has declined.

PS-16

Example 4—The Notes are not called,\nand the Final Value is less than the Barrier Value.

\n \n \n \n \n \n \n \n \n

Initial\n Value		Final\n Value
1,000.00		400.00\n (40.00% of Initial Value)

\n \n \n \n \n \n \n \n \n \n


Reference\n Return:	-60.00%
Payment\n at Maturity:	$400.00

Because the Final Value is less than the Barrier Value,\nyou will receive $400.00 per $1,000 Principal Amount, calculated as follows:

Final Settlement Value = $1,000 + ($1,000 x -60.00%)\n= $400.00

You will not receive a Call Premium, resulting in\na -60.00% return on the Notes.

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

PS-17

DESCRIPTION OF THE REFERENCE ASSET

Description of the MQVTUSTE

The MerQube US Tech Vol Target\n40% Index (the “MQVTUSTE”) tracks a synthetic investment in a strategy based on the MerQube ETF QQQ Total Return Index (the\n“MQROQQQTU” or the “Sub-Index”), net of a fixed daily decrement of 6% per annum. The investment strategy is based\non the Excess Return (as described in greater detail below), which is a measure that tracks daily out-performance of the Sub-Index over\ntime compared to a baseline rate consisting of the sum of the Effective Federal Funds Rate, a Spread, and an Adjustment Rate based on\nthe settlement price of certain exchange traded futures contracts on the S&P 500® Index (each as described in further detail\nbelow). The exposure of the MQVTUSTE to the Excess Return performance will not exceed 500% and will be dynamically adjusted based on\nthe level of realized volatility of the Excess Return (as described in greater detail below), subject to a volatility target of 40% and\na daily maximum change in exposure of 25%. The Sub-Index tracks the performance of the Invesco QQQ Trust, Series 1 on a total return\nbasis.

The MQVTUSTE is sponsored and\nadministered by MerQube, which collectively refers to MerQube Inc, MerQube UK Limited and any of their respective subsidiaries and affiliates\n(in such roles, the “Index Sponsor” and the “Index Administrator,” respectively) and calculated by MerQube UK\nLimited (in such role, the “Index Calculation Agent”). The MQVTUSTE was first calculated on May 30, 2025, and is calculated\nbased on a base value of 1,000.00 as of the base date of January 4, 2006. The MQVTUSTE is calculated on each day on which the New\nYork Stock Exchange is scheduled to open for trading for its regular trading session (such day, an “Index Business Day”)\nand is published on Bloomberg under the ticker “MQVTUSTE”.

The Sub-Index was first calculated\non December 15, 2023 and is calculated using a base value of 580.52 as of the base date of January 7, 2005. The Sub-Index is\nsponsored and calculated by MerQube and administrated by MerQube UK Limited. The Sub-Index is calculated on each day on which the NASDAQ\nis scheduled to open for trading for its regular trading session (such day, a “Sub-Index Business Day”) and is published\non Bloomberg under the ticker “MQROQQTU”.

This description\nof the MQVTUSTE is derived from publicly available information, including the MQVTUSTE methodology, which is available at: https://merqube.com/files/c8b05589-2e9a-4c45-8c95-3ea883d00cda/methodology/MerQube%20US%2040%25%20Vol%20Target%20Indices.pdf
\n. That information reflects the policies of, and is subject to change by, the Index Sponsor. Information\nfrom outside sources is not incorporated by reference in, and should not be considered a part of, this document. No website referenced\nherein is incorporated by reference in, or a part of, this document. The description of the MQVTUSTE is qualified in its entirety\nby the full description in the MQVTUSTE methodology. Neither HSBC USA Inc. nor any of its affiliates has made any independent investigation\nas to the adequacy or accuracy of information about the MQVTUSTE or any other constituent included in the MQVTUSTE contained in this\ndocument.

Calculation of the Level of the MQVTUSTE

The Index Calculation Agent will calculate the level\nof the MQVTUSTE on each Index Business Day. Specifically, on any Index Business Day, the level of the MQVTUSTE will equal the product\nof:

(i)

the level of the MQVTUSTE on the immediately preceding Index Business\n Day and

(ii)

one plus percentage\n increase or decrease in the leveraged exposure to the Excess Return performance, as adjusted\n for a daily “decrement” deduction (each discussed in greater detail below), calculated\n as the result of one plus (a) the Exposure (defined below) computed as of two Index\n Business Days prior multiplied by the daily Excess Return (defined below) performance\n minus (b) the daily decrement deduction. The Excess Return performance is calculated\n as the result of (a) the quotient of the Excess Return on such Index Business Day divided\n by the Excess Return on the immediately preceding Index Business Day minus\n (b) one. The daily decrement is calculated as the product of (a) the Decrement\n Rate (defined below) multiplied by (b) the day count fraction (calculated based\n on the actual number of calendar days elapsed divided by 360).\n Expressed as a formula:

$\"\"$

Where:

\n \n \n \n \n \n \n \n \n \n \n \n \n

$\"\"$	=	the\n level of the MQVTUSTE in respect of Index Business Day t;
$\"\"$	=	the\n level of the MQVTUSTE in respect of the Index Business Day immediately preceding Index Business Day t;
$\"\"$	=	the\n Exposure in respect of the second Index Business Day preceding Index Business Day t (calculated\n as described in greater detail below);

PS-18

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

$\"\"$	=	the\n Excess Return in respect of Index Business Day t (calculated as described\n in greater detail below);
$\"\"$	=	the\n Excess Return in respect of the Index Business Day immediately preceding Index Business Day t (calculated\n as described in greater detail below);
$\"\"$	=	the Decrement Rate; and
$\"\"$	=	the\n number of calendar days from, and including, the Index Business Day immediately preceding Index Business Day t, to,\n but excluding, Index Business Day t.

Accordingly, the MQVTUSTE is\nbased on the leveraged exposure to the daily percentage change in the Excess Return (as described in greater detail below), which is\na measure that tracks the excess return rate over time, net of the daily decrement. An excess return rate reflects the extent to which\na particular asset outperforms another market measure, determined by comparing the asset’s rate of return to the baseline of a\nbenchmark, risk-free or other rate. In the case of the, the baseline rate used is the effective federal funds rate published by the Federal\nReserve Bank of New York (the “Effective Federal Funds Rate”), which represents the interest rate at which U.S. banks lend\nto each other on an unsecured overnight basis, plus a fixed spread of 0.0005 (the “Spread”) and the Adjustment Rate (described\nin greater detail below). We collectively refer to the sum of the Effective Federal Funds Rate, the Spread and the Adjustment Rate as\nthe “Baseline Rate”. Prior to December 18, 2020, the Baseline Rate used in the calculation of the MQVTUSTE included\n3-month US dollar LIBOR plus a spread of 0.30% instead of the Effective Federal Funds Rate. The calculation that tracks the extent to\nwhich the Sub-Index outperforms the Baseline Rate over time (the “Excess Return”) and the calculation of Baseline Rate are\ndescribed in greater detail under “—Calculation of Excess Return of Sub-Index” below.

The exposure to a change in the\nExcess Return (the “Exposure”) is a factor that reflects the degree of participation of the MQVTUSTE in the Excess Return\nperformance before the daily decrement is applied. As an example, if the Exposure is equal to 200% on a particular Index Business Day,\nthen a 1% one-day increase in the Excess Return will be reflected as a 2% one day increase in the level of the MQVTUSTE, before accounting\nfor the daily decrement. The Exposure changes daily depending on the volatility of the Excess Return, is applied based on a two-day lag\nperiod and will not exceed 500%, as discussed in greater detail below.

The decrement is a daily deduction\nfrom the level of the MQVTUSTE that is intended to reflect the costs and fees associated with maintaining the portfolio of assets tracked\nby the MQVTUSTE. The daily decrement deduction is based on a decrement rate of 6% per annum (the “Decrement Rate”). The\nDecrement Rate will adversely affect the performance of the MQVTUSTE.

Calculation of Exposure

Even though the MQVTUSTE is calculated\nbased on base date of January 4, 2006, the calculation of Exposure is based on a realized volatility calculation that utilizes values\nprior to this launch date (specifically, December 30, 2005 which we refer to as the “Realized Volatility Start Date”).\nThe Exposure of the MQVTUSTE to the daily Excess Return performance of the Sub-Index on the Realized Volatility Start Date equals to\nthe quotient of the target volatility of 40% divided by a base realized volatility determined by the Index Calculation Agent.

$\"\"$

Where:

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

$\"\"$	=	the Exposure on the Realized Volatility Start Date;

$\"\"$	=	the base realized volatility as set by the Index Calculation Agent; and

VolTarget	=	40%.

The Exposure of\nthe MQVTUSTE to the daily Excess Return performance of the Sub-Index after the Realized Volatility\nStart Date will not exceed 500% and is calculated based on the volatility of the Excess Return, subject to a volatility control mechanism\nthat utilizes a target exposure (the “Target Exposure”) and a maximum daily change of 25% (the “Maximum Change”).\nThe Target Exposure is calculated as the lesser of (a) 500% and (b) the quotient of the target volatility of 40% divided\nby the Realized Volatility (as defined below).

More specifically, the Exposure\nwith respect to a particular Index Business Day is calculated by reference to the Target Exposure, the Maximum Change and the Exposure\nas of the immediately preceding Index Business Day. If the Target Exposure is less than or equal to the Exposure on the immediately\npreceding Index Business Day, then the Exposure will be reduced. If the Target Exposure is greater than the Exposure on the immediately\nIndex Business Day, then the Exposure will be increased. The amount of any such increase or decrease with respect to a particular Index\nBusiness Day, as applicable, will equal the lesser of (a) the Maximum Change and (b) the absolute value of the result\nof the Target Exposure on such Index Business Day minus the Exposure on the immediately preceding

PS-19

Index Business Day. Specifically,\nthe Exposure on any Index Business Day will equal the Exposure on the immediately preceding Index Business Day plus (if the Target\nExposure is greater than the Exposure on the immediately Index Business Day) or minus (if the Target Exposure is less\nthan or equal to the Exposure on the immediately preceding Index Business Day) the lesser of (i) the Maximum Change and\n(ii) the absolute value of the result of the Target Exposure on such Index Business Day minus the Exposure on the immediately\npreceding Index Business Day.

The Exposure of the MQVTUSTE\nto the daily Excess Return performance of the Sub-Index will not exceed 500% and the daily change in Exposure will never exceed 25%.

Due to the Maximum Change, the\nExposure may not correspond with the Target Exposure (and the actual volatility of the Excess Return may not correspond with the targeted\nlevel of volatility of the Excess Return) during periods of excessive volatility. Therefore, it may take multiple days for the Exposure\nto reflect changes based on the targeted volatility of the Excess Return. The MQVTUSTE may underperform an alternative investment that\nmore directly tracks the relevant market volatility. MQVTUSTE may underperform an alternative investment that more directly tracks the\nrelevant market volatility. In addition, if the Exposure of the MQVTUSTE to the daily Excess Return performance of the Sub-Index reaches\n500%, there will be no further adjustment until the Target Exposure declines below 500%.

After the Realized Volatility\nStart Date, the volatility of the Excess Return is calculated using an exponentially weighted moving average and a decay factor of 0.94\nrepresenting a half-life of approximately two weeks (the “Realized Volatility”). An exponentially weighted moving average\nis a type of moving average in which greater emphasis is given to more recent history with more recent values receiving a higher weighting\nthan more distant values. Moving average itself is a concept in which an average value is obtained for a value observed at a specific\nfrequency during a particular period, and this average “moves” every day to record the average daily return for the specified\nperiod. An exponentially weighted moving average will react more quickly to recent changes than a simple moving average. There\ncan be no guarantee that the method by which the volatility is determined will be effective or achieve the intended results. Alternative\nmethods of calculating volatility could produce more effective results.

Volatility is expressed\nas a percentage and will typically equal the square root of the annualized variance (achieved by multiplying the variance by 252 which\nrepresents the number of trading days in one year). An exponentially weighted average is a type of weighted average that gives\nexponentially greater weight to historical returns calculated as of more recent days. The degree to which more recent historical returns\nhave a greater effect than less recent historical returns is dictated by the “half-life,” which determines the “decay\nfactor” or “lambda”, used in the calculation. The Realized Volatility with respect to\na particular Index Business Day will equal the square root of the sum of (a) the product of 0.94 (the decay factor) multiplied by\nthe square of the Realized Volatility of the Excess Return on the immediately preceding Index Business Day and (b) the product of\n0.06 (representing one minus the decay factor), 252 and the squared daily log return of the Excess Return on such Index Business Day.\nThe daily log return reflects the natural logarithm of the daily change in the level of the Excess Return. Expressed as a formula:

$\"\"$

Where:

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

$\"\"$	=	the Realized\n Volatility of the Excess Return on Index Business Day t;

$\"\"$	=	the\n Realized Volatility of the Excess Return in respect of the Index Business Day immediately preceding Index Business Day t;

Ret_t	=	In\n $\"\"$ , which represents the daily\n log return of the Excess Return on Index Business Day t;

$\"\"$	=	the\n natural logarithm (i.e. the logarithm to the base of the mathematical constant e);

$\"\"$	=	the\n Excess Return in respect of Index Business Day t, (calculated as described\n in greater detail below); and

$\"\"$	=	the\n Excess Return on the Index Business Day immediately preceding Index Business Day t (calculated\n as described in greater detail below).

PS-20

Calculation of Excess Return of the Sub-Index

An excess return rate is a measure of the extent to\nwhich a particular asset outperforms another market measure, determined by comparing the asset’s rate of return to the baseline\nrate of a benchmark, risk-free or other rate. With respect to the MQVTUSTE, the excess return rate reflects the extent to which the Sub-Index\noutperforms the Baseline Rate on each Index Business Day. As described above, the Baseline Rate is calculated as the sum of (a) the\nEffective Federal Funds Rate, (b) the Spread and (c) the Adjustment Rate. Prior to December 18, 2020, the Baseline Rate\nused in the calculation of the Excess Return for the MQVTUSTE was 3-month US dollar LIBOR plus a spread of 0.30%.

The Excess Return on any Index Business\nDay tracks the excess return rate over time and is calculated as the product of (i) the Excess Return as of the immediately preceding\nIndex Business Day multiplied by (ii) the difference between (a) the daily change in the level of the Sub-Index minus\n(b) the product of the Baseline Rate and a day count fraction (reflecting the actual number\nof calendar days elapsed divided by 360). The daily change in the level of the Sub-Index is calculated as the quotient of the level of\nthe Sub-Index on an Index Business Day divided by the level of the Sub-Index on the immediately preceding Index Business Day.\nExpressed as a formula:

$\"\"$

Where:

\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n

$\"\"$	=	the Excess\n Return on Index Business Day t;

$\"\"$	=	the Excess Return on\n the Index Business Day immediately preceding Index Business Day t;

$\"\"$	=	the level of the Sub-Index\n on Index Business Day t;

$\"\"$	=	the level of the Sub-Index\n on the Index Business Day immediately preceding Index Business Day t;

$\"\"$	=	the\n Effective Federal Funds Rate for the first date that is both an Index Business Day and New York Business Day immediately preceding\n Index Business Day t;

$\"\"$	=	the Adjustment Rate on\n the Index Business Day immediately preceding Index Business Day t;

$\"\"$	=	0.0005;

$\"\"$	=	the\n number of calendar days from, and including, the Index Business Day immediately preceding Index Business Day t,\n to, but excluding, Index Business Day t.

The Adjustment Rate is calculated with reference to\nthe settlement prices of the Adjusted Interest Rate S&P 500 Total Return (EFFR) Futures (the “Reference Futures Contracts”),\nwhich are a type of futures contract offered by CME Group, Inc. The only contracts that are eligible to be included as Reference\nFutures Contracts for purposes of calculating the MQVTUSTE are contracts expiring in March, June, September and December. The Reference\nFutures Contracts allow investors to trade the total return of the S&P 500® Index with a financing rate (the effective federal\nfunds rate) that is adjusted daily to reflect the cost of borrowing shares. The Reference Futures Contracts are only tradeable as “BTIC”.\nBTIC is a trading mechanism that allows market participants to trade equity index futures at a fixed spread, expressed in basis points,\nto the official closing value of the underlying index. The BTIC price is determined and published after the market closes, once the official\nclosing price of the reference index has been published and after adjusting for the fixed spread.

The calculation of the Adjustment Rate is based on\nthe settlement price of two Reference Futures Contracts. The first (the “Near Contract”) is the Reference Futures Contract\nwith an expiration date closest to and prior to (including on) the calendar day that is one year after the applicable Index Business\nDay. The second (the “Far Contract”) is the Reference Futures Contract with an expiration date closest to and after (excluding\non) the calendar day that is one year after the applicable Index Business Day.

The Adjustment Rate will be calculated by interpolating\na value between the published settlement prices (expressed in basis points and as an annualized number) of the Near Contract and the\nFar Contract. Specifically, the Adjustment Rate will equal the sum of (a) the settlement price of the Near Contract on the applicable\nIndex Business Day plus (b) the product of (i) the difference resulting from the

PS-21

official settlement price of the Far Contract on such\nIndex Business Day minus the official settlement price of the Near Contract on such Index Business Day multiplied by (ii) a\nfraction, the numerator of which is equal to the difference between (x) the actual number of calendar days from, and including,\nsuch Index Business Day to, but excluding, the calendar day that is one year after such Index Business Day and (y) the actual number\nof calendar days from, and including, such Index Business Day to, but excluding, the expiry date of the Near Contract and the denominator\nof which is equal to the difference between (x) the actual number of calendar days from, and including, such Index Business Day\nto, but excluding, the expiry date of the Far Contract and (y) the actual number of calendar days from, and including, such Index\nBusiness Day to, but excluding, the expiry date of the Near Contract. Expressed as a formula:

$\"\"$

Where:

$\"\"$	=	the Adjustment Rate on Index Business Day t;

$\"\"$	=	the published settlement price of the Near Contract, quoted in basis points expressed as an annualized number, on Index Business Day t;

$\"\"$	=	the published settlement price of the Far Contract, quoted in basis points expressed as an annualized number, on Index Business Day t;

$\"\"$	=	the actual number of calendar days from, and including, Index Business Day t to, but excluding, the calendar day that is one year after Index Business Day t;

$\"\"$	=	the actual number of calendar days from, and including, Index Business Day t to, but excluding, the expiry date of the Near Contract; and

$\"\"$	=	the actual number of calendar days from, and including, such Index Business Day to, but excluding, the expiry date of the Far Contract.

If the Far Contract is unavailable, the Adjustment\nRate will instead be equal to the settlement price (expressed in basis points and as an annualized number) of the Near Contract.

The Sub-Index

The Sub-Index tracks the total return of the Invesco\nQQQ Trust, Series 1 (the “QQQ”). “Total return” refers to a method of calculating the return of an asset\nor basket of assets, in this case the QQQ, while taking into account any applicable ordinary and special dividends without applying any\nwithholding tax rate. The Sub-Index was first calculated on December 15, 2023 and is calculated using a base value of 580.52 as\nof the base date of January 7, 2005. The Sub-Index is calculated on each Sub-Index Business Day and is published on Bloomberg under\nthe ticker “MQROQQTU”.

The methodology for calculating the MQROQQTU (the\n“Sub-Index Methodology”) can be found under https://merqube.com/files/d983268d-7d66-4e1d-bc50-d4b8bc6bd280/methodology/MerQube%20Single%20Asset%20Return%20Index%20Series.pdf.\nThe reference is included in this document as an inactive textual reference only and the information on such website is not incorporated\nby reference into this document and should not be considered to be a part of this document.

Calculating the Level of the\nSub-Index

The level of the Sub-Index on a particular Sub-Index\nBusiness Day is equal to the product of (a) the number of shares of the QQQ comprising the Sub-Index multiplied by (b) the\nofficial closing price of the QQQ. The number of shares of the QQQ reflected in the Sub-Index will be adjusted to reflect the reinvestment\nof dividends as well as corporate actions and market events affecting the QQQ, and any reinvestment of dividends into the index (i.e.,\n“purchase” of additional shares of the QQQ based on the dividend “received” in respect of existing shares reflected\nin the Sub-Index) will be made as of the relevant market close.

PS-22

The Invesco QQQ Trust^SM, Series 1

Invesco QQQ Trust^SM, Series 1\n(\"QQQ\") is a unit investment trust. The QQQ tracks the Nasdaq-100 Index®, which includes 100 of the largest non-financial\ncompanies by market cap listed on Nasdaq. The Index reflects companies across major industry groups. Shares of this Underlying are listed\nand trade on the NYSE Arca under the symbol “QQQ.”

For more information about the QQQ, see\n“PowerShares QQQ Trust^SM, Series 1 ETF” beginning on page S-51 of the accompanying ETF Underlying Supplement.

Index Governance

Each of the MQVTUSTE and the\nSub-Index is overseen by an index committee that is made up of MerQube staff. In the case of any scenario occurring that is not explicitly\ncovered in the relevant index methodology, the index committee will use its discretion to determine the action to be taken. Merqube and/or\nthe index committee may also make determinations regarding matters such as recalculations and changes in the methodology used to calculate\neach of the MQVTUSTE and the Sub-Index or adjustments based on corporate actions. These determination may (but are not required to be)\nrelated to market events and developments or the availability of or changes to reference measures used in the calculation of the MQVTUSTE\nor Sub-Index. MerQube may also decide to terminate the calculation of the MQVTUSTE or Sub-Index.

License Agreement

We have entered into a license\nagreement with MerQube that provides, in exchange for a fee, of the right to use the indices described herein which are owned and published\nby MerQube. We and/or our affiliates worked with MerQube in developing the guidelines and policies governing the composition and calculation\nof some or all of the indices. The policies and judgments for which we or one or more of our affiliates was responsible could have an\nimpact, positive or negative, on the level of the relevant index and the value of your investment. We had no obligation and have no obligation\nto consider your interests as an investor in our role in developing the guidelines and policies governing any index or making judgments\nthat may affect the level of any index. Investment suitability must be determined individually for each investor, and investments linked\nto the MQVTUSTE or the Sub-Index may not be suitable for all investors.

MerQube is not the issuer or\nproducer of any investment linked to the MQVTUSTE or the Sub-Index referenced herein and MerQube has no duties, responsibilities, or\nobligations to investors in any such investment. Each of the MQVTUSTE and the Sub-Index is a product of MerQube and has been licensed\nfor use by the issuer and its affiliates (“Licensee”). Such indices are calculated using, among other things, market data\nor other information (“Input Data”) from one or more sources (each a “Data Provider”). MerQube is a registered\ntrademark of MerQube. These trademarks have been licensed for certain purposes by Licensee, including in its capacity as the issuer of\ninvestments linked to the MQVTUSTE or the Sub-Index. Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data\nProvider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such\nproduct(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, MQVTUSTE, Sub-Index or\nany associated data.

PS-23

Hypothetical and Historical Performance of\nthe MQVTUSTE

Hypothetical and historical levels of the MQVTUSTE\nshould not be taken as an indication of its future performance. The hypothetical back-tested MQVTUSTE data only reflects the application\nof that methodology in hindsight, since the MQVTUSTE was not actually calculated and published prior to May 30, 2025 and the Sub-Index\nwas not actually calculated and published prior to October 3, 2024. The hypothetical back-tested MQVTUSTE data cannot completely account\nfor the impact of financial risk in actual trading. There are numerous factors related to the equities markets in general that cannot\nbe, and have not been, accounted for in the hypothetical back-tested MQVTUSTE data, all of which can affect actual performance. Consequently,\nyou should not rely on that data as a reflection of what the actual MQVTUSTE performance would have been had the Index been in existence\nor in forecasting future MQVTUSTE performance. In addition, the hypothetical back-tested data was produced by applying the MQVTUSTE’s\nmethodology to historical levels of the 3-month U.S. dollar LIBOR rate, which differs significantly from, and is not calculated in the\nsame manner as, the Effective Federal Funds Rate. See “Risk Factors – The MQVTUSTE and the Sub-Index were recently launched\nand have limited history.” The graph below shows the hypothetical back-tested MQVTUSTE data from October 16, 2016 up to May 29,\n2025. The graph below also reflects the actual MQVTUSTE performance from May 30, 2025 through October 16, 2026 based on information that\nwe obtained from Bloomberg L.P. Any hypothetical or actual historical upward or downward trend in the level of the MQVTUSTE during any\nperiod shown is not an indication that the level of the MQVTUSTE is more or less likely to increase or decrease at any time during the\nterm of the Notes.

$\"\"$

The hypothetical and historical values of the\nMQVTUSTE should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing Level of\nthe MQVTUSTE on any Call Observation Date, or the Final Valuation Date.

PS-24

EVENTS OF DEFAULT AND ACCELERATION

If the Notes have become immediately due and\npayable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the calculation agent will\ndetermine the accelerated payment due and payable in the same general manner as described in this document except that in such a case,\nthe scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining\nthe Reference Return of the Reference Asset, and the accelerated Maturity Date will be three business days after the accelerated Final\nValuation Date. If a Market Disruption Event exists with respect to the Reference Asset on that scheduled trading day, then the accelerated\nFinal Valuation Date will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled\nFinal Valuation Date). The accelerated Maturity Date will also be postponed by an equal number of business days following the postponed\naccelerated Final Valuation Date.

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

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS OF\nINTEREST)

We have appointed HSBC Securities (USA) Inc.,\nan affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities (USA)\nInc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page of this\ndocument, for distribution to other registered broker-dealers, or will offer the Notes directly to investors. HSBC Securities (USA) Inc.\nhas offered the Notes at the price to public set forth on the cover page of this document. Neither HSBC USA Inc. nor any of its\naffiliates will pay an underwriting discount.

An affiliate of HSBC has paid or may pay in the\nfuture an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the Notes. We\nor one of our affiliates may pay a fee to one or more broker dealers for providing certain services with respect to this offering, which\nmay reduce the economic terms of the notes to you.

In addition, HSBC Securities (USA) Inc. or another\nof its affiliates or agents may use this document in market-making transactions after the initial sale of the Notes, but is under no\nobligation to make a market in the Notes and may discontinue any market-making activities at any time without notice.

See “Supplemental Plan of Distribution\n(Conflicts of Interest)” on page S-87 in the prospectus supplement.

Delivery of the Notes will be made against payment\nfor the Notes on the Original Issue Date set forth on the inside cover page of this document, which is more than one business day\nfollowing the Trade Date. Under Rule 15c6-1 under the Securities Exchange Act of 1934, trades in the secondary market generally\nare required to settle in one business day, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish\nto trade the Notes more than one business day prior to the Original Issue Date will be required to specify an alternate settlement cycle\nat the time of any such trade to prevent a failed settlement, and should consult their own advisors.

U.S. FEDERAL INCOME TAX CONSIDERATIONS

There is no direct legal authority as to the\nproper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as to both the timing\nand character of any inclusion in income in respect of the Notes. Under one approach, a Note should be treated as a pre-paid executory\ncontract with respect to the Reference Asset. We intend to treat the Notes consistent with this approach. Pursuant to the terms of the\nNotes, you agree to treat the Notes under this approach for all U.S. federal income tax purposes. Subject to the limitations described\ntherein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Mayer Brown LLP,\nit is reasonable to treat a Note as a pre-paid executory contract with respect to the Reference Asset. Pursuant to this approach, we\ndo not intend to report any income or gain with respect to the Notes prior to their maturity or an earlier sale, call or exchange and\nwe intend to treat any gain or loss upon maturity or an earlier sale, call or exchange as long-term capital gain or loss, provided you\nhave held the Note for more than one year at such time for U.S. federal income tax purposes. If the Notes are held by the same United\nStates holder until maturity, that holder’s holding period will generally include the maturity date.

We will not attempt to ascertain whether any\nof the entities whose stock is included in the Reference Asset would be treated as a passive foreign investment company (“PFIC”)\nor United States real property holding corporation (“USRPHC”), both as defined for U.S. federal income tax purposes. If one\nor more of the entities whose stock is included in the Reference Asset were so treated, certain adverse U.S. federal income tax consequences\nmight apply. You should refer to information filed with the SEC and other authorities by the entities whose stock is included in the\nReference Asset and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock is\nincluded in the Reference Asset is or becomes a PFIC or a USRPHC.

PS-25

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

A “dividend equivalent” payment is\ntreated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax\nif paid to a non-U.S. holder. Under U.S. Treasury Department (the “Treasury”) regulations, payments (including deemed payments)\nwith respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents\nif such specified ELIs reference an interest in an “underlying security,” which is generally any interest in an entity taxable\nas a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend.\nHowever, the IRS has issued guidance that states that the Treasury and the IRS intend to amend the applicability dates of the Treasury\nregulations to provide that withholding on dividend equivalent payments paid or deemed paid will not apply to specified ELIs that are\nnot delta-one instruments and that are issued through 2028. Based on the Issuer’s determination that the Notes are not “delta-one”\ninstruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However,\nit is possible that the Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain\nevents affecting the Reference Asset or the Notes, and following such occurrence the Notes could be treated as subject to withholding\non dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in respect of the Reference Asset\nor the Notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the\nNotes and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable\npaying agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.

For a discussion of the U.S. federal income tax\nconsequences of your investment in a Note, please see the discussion under “U.S Federal Income Tax Considerations” in the\naccompanying prospectus supplement.

PROSPECTIVE PURCHASERS OF NOTES SHOULD CONSULT\nTHEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF\nNOTES.

VALIDITY OF THE NOTES

In the opinion of Mayer Brown LLP, as counsel\nto the Issuer, when this pricing supplement has been attached to, and duly notated on, the master note that represents the Notes pursuant\nto the Senior Indenture referred to in the prospectus supplement dated February 21, 2024, and issued and paid for as contemplated\nherein, the Notes offered by this pricing supplement will be valid, binding and enforceable obligations of the Issuer, entitled to the\nbenefits of the Senior Indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,\nconcepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,\nfair dealing and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York,\nthe Maryland General Corporation Law (including the statutory provisions, all applicable provisions of the Maryland Constitution and\nthe reported judicial decisions interpreting the foregoing) and the federal laws of the United States of America. This opinion is subject\nto customary assumptions about the trustee’s authorization, execution and delivery of the Senior Indenture and the genuineness\nof signatures and to such counsel’s reliance on the Issuer and other sources as to certain factual matters, all as stated in the\nlegal opinion dated February 21, 2024, which has been filed as Exhibit 5.3 to the Issuer’s registration statement on\nForm S-3 dated February 21, 2024.

PS-26

TABLE OF CONTENTS		You should only rely\non the information contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement,\nprospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you\nthat is not contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement,\nprospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This\nfree writing prospectus, the accompanying Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus\nare not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the\noffer or sale is not permitted. You should not, under any circumstances, assume that the information in this free writing prospectus,\nthe accompanying Equity Index Underlying Supplement, ETF Underlying Supplement, prospectus supplement and prospectus is correct on any\ndate after their respective dates. \n\n\n\n\n\n\n\n\n\n\n\n\n\n\n HSBC USA Inc. \n\n\n\n\n $1,319,000 \nAutocallable Barrier Notes with \nStep-up Premium Linked to the \nMerQube US Tech Vol Target 40% \nIndex \n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n October 16, 2026 \n\n\n\n\n Pricing Supplement \n\n\n
Pricing Supplement
General	PS-5
Payment on the Notes	PS-6
Investor Suitability	PS-7
Risk Factors	PS-8
Illustrative Examples	PS-15
Description of the Reference Asset	PS-18
Events of Default and Acceleration	PS-25
Supplemental Plan of Distribution (Conflicts of Interest)	PS-25
U.S. Federal Income Tax Considerations	PS-25
Validity of the Notes	PS-27
Equity Index Underlying Supplement
Disclaimer	ii
Risk Factors	S-1
The DAX^® Index	S-8
The Dow Jones Industrial Average^®	S-10
The EURO STOXX 50^® Index	S-12
The EURO STOXX^® Banks Index	S-14
The FTSE^® 100 Index	S-16
The Hang Seng^® Index	S-17
The Hang Seng China Enterprises Index	S-19
The KOSPI 200 Index	S-21
The MSCI Indices	S-23
The NASDAQ 100 Index^®	S-30
The Nikkei Stock Average	S-33
The NYSE^® FANG+™ Index	S-35
The PHLX Housing Sector Index	S-40
The Russell 2000^® Index	S-44
The S&P 100^® Index	S-47
The S&P 500^® Index	S-54
The S&P 500^® Low Volatility Index	S-61
The S&P BRIC 40 Index	S-64
The S&P MidCap 400^® Index	S-67
The S&P/ASX 200 Index	S-74
The S&P 500^® ESG Index	S-77
The TOPIX^® Index	S-82
The Swiss Market Index	S-84
Additional Terms of the Notes	S-86
ETF Underlying Supplement
Risk Factors	S-1
Reference Sponsors and Index Funds	S-12
The Consumer Staples Select Sector SPDR^® Fund	S-13
The Energy Select Sector SPDR^® Fund	S-15
The Financial Select Sector SPDR^® Fund	S-17
The Health Care Select Sector SPDR^® Fund	S-19
The Technology Select Sector SPDR^® Fund	S-21
The Utilities Select Sector SPDR^® Fund	S-23
The iShares^® China Large-Cap ETF	S-25
The iShares^® Global Clean Energy ETF	S-28
The iShares^® Latin America 40 ETF	S-31
The iShares^® MSCI Brazil ETF	S-33
The iShares^® MSCI EAFE ETF	S-35
The iShares^® MSCI Emerging Markets ETF	S-40
The iShares^® MSCI Mexico ETF	S-41
The iShares^® Russell 2000 ETF	S-44
The iShares^® Transportation Average ETF	S-47
The iShares^® U.S. Real Estate ETF	S-49
The Invesco S&P 500^® Equal Weight ETF	S-51
The Invesco QQQ Trust^SM, Series I	S-58
The SPDR^® Dow Jones^® Industrial Average ETF Trust	S-61
The SPDR^® S&P 500^® ETF Trust	S-63
The SPDR^® S&P^® Bank ETF	S-70
The SPDR^® S&P^® Regional Banking ETF	S-73
The SPDR^® S&P Midcap 400^® ETF Trust	S-74
The SPDR^® S&P^® Biotech ETF	S-81
The SPDR^® S&P^® Oil & Gas Exploration & Production ETF	S-82
The VanEck Vectors^® Gold Miners ETF	S-83
The Vanguard^® FTSE Emerging Markets ETF	S-86
The WisdomTree^® Japan Hedged Equity Fund	S-88
Additional Terms of the Notes	S-92
Prospectus Supplement
Risk Factors	S-1
Pricing Supplement	S-12
Description of Notes	S-14
Use of Proceeds and Hedging	S-58
Certain ERISA and Related Considerations	S-59
U.S. Federal Income Tax Considerations	S-61
Supplemental Plan of Distribution (Conflicts of Interest)	S-87
Prospectus
About this Prospectus	1
Risk Factors	2
Where You Can Find More Information	3
Special Note Regarding Forward-Looking Statements	4
HSBC USA Inc.	6
Use of Proceeds	7
Description of Debt Securities	8
Description of Preferred Stock	19
Description of Warrants	24
Description of Purchase Contracts	29
Description of Units	32
Book-Entry Procedures	35
Limitations on Issuances in Bearer Form	39
U.S. Federal Income Tax Considerations Relating to Debt Securities	40
Certain European Union Tax Considerations Relating to Debt Securities	48
Plan of Distribution (Conflicts of Interest)	49
Notice to Canadian Investors	52
Notice to EEA Investors	53
Notice to U.K. Investors	54
U.K. Financial Promotion	54
Certain ERISA and Related Matters	55

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