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Filed Pursuant to Rule 424(b)(2)

Registration No. 333-277211

October 26, 2026

PRICING SUPPLEMENT

(To Prospectus dated February 21, 2024,

Prospectus Supplement dated February\n21, 2024,

ETF Underlying Supplement dated February\n21, 2024, and Stock-Linked
\n Underlying Supplement dated February 21, 2024)

$\"\"$  

Linked to the Least\nPerforming of Domino’s Pizza, Inc. and the State Street^® Utilities\nSelect Sector SPDR^® ETF (the \"Reference Asset\")

►

Monthly Contingent Coupon payments at a rate of 0.90% (equivalent to 10.80% per annum), payable if the Official Closing Price of each\nUnderlying on the applicable Observation Date is greater than or equal to 65.00% of its Initial Value

►

If a Contingent Coupon is not paid on a Coupon Payment Date, such Contingent Coupon will be paid on a later Coupon Payment Date if\nthe Official Closing Price of each Underlying is greater than or equal to 65.00% of its Initial Value

►

Callable monthly at the principal amount plus the applicable Contingent Coupon on any Call Observation Date on or after October 26,\n2027 if the Official Closing Price of each Underlying is at or above its Call Threshold

►

If the Notes are not called and the Least Performing Underlying declines by more than 35.00% but less than or equal to 45.00%, you\nwill receive your principal amount (a zero return)

►

If the Notes are not called and the Least Performing Underlying declines by more than 45.00%, there is full exposure to declines in\nthe Least Performing Underlying, and you will lose all or a portion of your principal amount

►

Due October 29, 2030, if not called

►

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

The Autocallable Contingent Income Barrier Notes with Memory Coupon\n(each a “Note” and collectively the “Notes”) offered hereunder will not be listed on any securities exchange or\nautomated quotation system.

Neither the U.S. Securities and Exchange Commission (the “SEC”)\nnor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this document,\nthe accompanying prospectus, prospectus supplement, ETF Underlying Supplement or Stock-Linked Underlying Supplement. Any representation\nto the contrary is a criminal offense.

We have appointed HSBC Securities (USA) Inc., an affiliate of ours,\nas the agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to other registered\nbroker-dealers or will offer the Notes directly to investors. In addition, HSBC Securities (USA) Inc. or another of its affiliates or\nagents may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless we or our agent inform\nyou 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-16 of this document.

Investment in the Notes involves certain risks. You should refer\nto “Risk Factors” beginning on page PS-8 of this document, page S-1 of the accompanying prospectus supplement and page S-1\nof the accompanying ETF Underlying Supplement or page S-1 of the accompanying Stock-Linked Underlying Supplement.

The Estimated Initial Value of the Notes on the Trade Date is $978.50\nper Note, which is less than the price to public. The market value of the Notes at any time will reflect many factors and cannot be predicted\nwith accuracy. See “Estimated Initial Value” on page PS-4 and “Risk Factors” beginning on page PS-8 of this document\nfor additional information.

\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	$6.00	$994.00
Total	$600,000.00	$3,600.00	$596,400.00

\n \n \n \n

⁽¹⁾ HSBC USA Inc. or one of our affiliates may pay varying underwriting discounts of up to 0.60% per $1,000 Principal Amount in connection with the distribution of the Notes to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts of Interest)” on page PS-16 of this document.

The Notes:

\n \n \n \n \n

Are Not FDIC Insured

Are Not Bank Guaranteed

May Lose Value

$\"\"$  

HSBC USA Inc.

Autocallable Contingent Income Barrier Notes with Memory\nCoupon

This document relates to a single\noffering of Autocallable Contingent Income Barrier Notes with Memory Coupon. The Notes will have the terms described in this document\nand the accompanying prospectus, prospectus supplement, ETF Underlying Supplement and Stock-Linked Underlying Supplement. If the terms\nof the Notes offered hereby are inconsistent with those described in the accompanying prospectus, prospectus supplement, ETF Underlying\nSupplement or Stock-Linked Underlying Supplement, the terms described in 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 \n \n \n \n \n \n

Issuer:	HSBC USA Inc.
Principal Amount:	$1,000 per Note
Reference Asset:	The common stock of Domino’s Pizza, Inc. (Ticker: DPZ) and the State Street^® Utilities Select Sector SPDR^® ETF (Ticker: XLU) (each, an “Underlying” and together the “Underlyings”).
Trade Date:	October 26, 2026
Pricing Date:	October 23, 2026
Original Issue Date:	October 29, 2026
Final Valuation Date:	October 24, 2030, subject to adjustment as described under “Additional Terms of the Notes―Valuation Dates” in the accompanying ETF Underlying Supplement and Stock-Linked Underlying Supplement.
Maturity Date:	October 29, 2030. 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 ETF Underlying Supplement and Stock-Linked Underlying Supplement.
Call Feature:	If the Official Closing Price of each Underlying is at or above its 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 Contingent Coupon on the corresponding Call Payment Date and any previously unpaid Contingent Coupons, if applicable.
Call Threshold:	With respect to each Underlying, 100.00% of its Initial Value.
Payment at Maturity:	Unless the Notes are automatically 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 automatically 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 of the Least Performing Underlying is greater than or equal to -35.00%: \n \n $1,000 + final Contingent Coupon + any previously unpaid Contingent\n Coupons. \n \n n\n If the Reference Return of the Least Performing Underlying is less than -35.00% but greater than or equal to -45.00%: \n \n $1,000 (a zero return) \n \n n\n If the Reference Return of the Least Performing Underlying is less than -45.00%: \n \n $1,000 + ($1,000 × Reference Return of the Least Performing Underlying). \n \n If the Notes are not called and the Final Value of the Least Performing\nUnderlying is less than its Barrier Value, you will lose up to 100% of the Principal Amount. Even with any Contingent Coupons received\nprior to maturity, your return on the Notes may be negative in this case.
Least Performing Underlying:	The Underlying with the lowest Reference Return.
Reference Return:	\n With respect to each Underlying, the quotient, expressed as a percentage,\n calculated as follows: \n \n Final Value – Initial Value \n Initial Value

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

Observation Dates	Observation Dates	Coupon Payment Dates
and Coupon Payment Dates:	November 24, 2026	November 30, 2026
	December 23, 2026	December 29, 2026
	January 26, 2027	January 29, 2027
	February 24, 2027	March 1, 2027

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

March 23, 2027		March 29, 2027
April 26, 2027		April 29, 2027
May 26, 2027		June 1, 2027
June 24, 2027		June 29, 2027
July 26, 2027		July 29, 2027
August 25, 2027		August 30, 2027
September 24, 2027		September 29, 2027
October 26, 2027	*	October 29, 2027	**
November 23, 2027	*	November 29, 2027	**
December 23, 2027	*	December 29, 2027	**
January 26, 2028	*	January 31, 2028	**
February 24, 2028	*	February 29, 2028	**
March 24, 2028	*	March 29, 2028	**
April 26, 2028	*	May 1, 2028	**
May 24, 2028	*	May 30, 2028	**
June 26, 2028	*	June 29, 2028	**
July 26, 2028	*	July 31, 2028	**
August 24, 2028	*	August 29, 2028	**
September 26, 2028	*	September 29, 2028	**
October 25, 2028	*	October 30, 2028	**
November 24, 2028	*	November 29, 2028	**
December 26, 2028	*	December 29, 2028	**
January 24, 2029	*	January 29, 2029	**
February 23, 2029	*	February 28, 2029	**
March 26, 2029	*	March 29, 2029	**
April 25, 2029	*	April 30, 2029	**
May 23, 2029	*	May 29, 2029	**
June 26, 2029	*	June 29, 2029	**
July 25, 2029	*	July 30, 2029	**
August 24, 2029	*	August 29, 2029	**
September 26, 2029	*	October 1, 2029	**
October 24, 2029	*	October 29, 2029	**
November 26, 2029	*	November 29, 2029	**
December 26, 2029	*	December 31, 2029	**
January 24, 2030	*	January 29, 2030	**
February 25, 2030	*	February 28, 2030	**
March 26, 2030	*	March 29, 2030	**
April 24, 2030	*	April 29, 2030	**
May 23, 2030	*	May 29, 2030	**
June 26, 2030	*	July 1, 2030	**
July 24, 2030	*	July 29, 2030	**
August 26, 2030	*	August 29, 2030	**
September 25, 2030	*	September 30, 2030	**
October 24, 2030	*	October 29, 2030	**
(the Final Valuation Date)		(the Maturity Date)

*These Observation Dates are also Call Observation Dates \n
**These Coupon Payment Dates are also Call Payment Dates \n
Each subject to postponement as described under “Additional Terms\nof the Notes—Valuation Dates” and “Additional Terms of the Notes—Coupon Payment Dates, Call Payment Dates and\nMaturity Date” in the accompanying ETF Underlying Supplement and Stock-Linked Underlying Supplement. \n

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

Call Observation Dates:

The applicable Observation Dates on or after October 26, 2027, as indicated above.

Call Payment Dates:

The applicable Coupon Payment Dates on or after October 29, 2027, as indicated above.

Contingent Coupon:

If\n the Official Closing Price of each Underlying is greater than or equal to its Coupon Trigger on an Observation Date, you will\n receive the Contingent Coupon of $9.00 per $1,000 Principal Amount on the applicable Coupon Payment Date.

\n \n

If\nthe Official Closing Price of any Underlying is less than its Coupon Trigger on an Observation Date, the Contingent Coupon\napplicable to such Observation Date will not be payable to you on the relevant

PS - 3

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

	Coupon Payment Date. In addition, if a Contingent Coupon is not paid\non a Coupon Payment Date because the Official Closing Price of any Underlying on that Observation Date is less than its Coupon Trigger,\nsuch Contingent Coupon will be paid on a later Coupon Payment Date if the Official Closing Price of each Underlying is equal to or greater\nthan its Coupon Trigger on such later Observation Date, up to and including the Final Valuation Date. Once a previously unpaid Contingent\nCoupon has been paid on a later Coupon Payment Date, it will not be paid again on any subsequent Coupon Payment Date. \n\n\n\n You may not receive any Contingent Coupon payments over the term\nof the Notes. \n
Contingent Coupon Rate:	0.90% per month (equivalent to 10.80% per annum).
Initial Value:	$313.61 with respect to DPZ and $42.56 with respect to the XLU, each of which was its Official Closing Price on the Pricing Date.
Final Value:	With respect to each Underlying, its Official Closing Price on the Final Valuation Date.
Coupon Trigger:	65.00% of the Initial Value for each Underlying, which is $203.8465 with respect to DPZ and $27.6640 with respect to the XLU.
Barrier Value:	55.00% of the Initial Value for each Underlying, which is $172.4855 with respect to DPZ and $23.4080 with respect to the XLU.
CUSIP/ISIN:	40447LZJ2 / US40447LZJ24
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 of the Notes is less than the price you pay to purchase the Notes. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. See “Risk Factors — The Estimated Initial Value of the Notes, which was determined by us on the Trade Date, is less than the price to public and may differ from the market value of the Notes in the secondary market, if any.”

PS - 4

GENERAL

\n \n \n

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

\n \n

You should read this document together with the\n prospectus dated February 21, 2024, the prospectus supplement dated February 21, 2024, and the ETF Underlying Supplement dated February\n 21, 2024 and the Stock-Linked Underlying Supplement dated February 21, 2024. If the terms of the Notes offered hereby are inconsistent\n with those described in the accompanying prospectus, prospectus supplement, ETF Underlying Supplement or Stock-Linked Underlying Supplement,\n the terms described in this document shall control.

\n \n

You should carefully consider, among other things,\n the matters set forth in “Risk Factors” beginning on page PS-8 of this document, page S-1 of the prospectus supplement, page\n S-1 of the ETF Underlying Supplement and page S-1 of the Stock-Linked Underlying Supplement, as the Notes involve risks not associated\n with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest\n in the Notes. As used herein, references to the “Issuer”, “HSBC”, “we”, “us” and “our”\n are to HSBC USA Inc.

\n \n

HSBC has filed a registration statement (including\n a prospectus, prospectus supplement, ETF Underlying Supplement and Stock-Linked Underlying Supplement) with the SEC for the offering to\n which this document relates. Before you invest, you should read the prospectus, prospectus supplement, ETF Underlying Supplement and Stock-Linked\n Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about\n HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively,\n HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement,\n ETF Underlying Supplement and Stock-Linked Underlying Supplement if you request them by calling (212) 525 8010.

\n \n

You may also obtain:

\n \n

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

\n \n

4  \n The Stock-Linked Underlying Supplement at: https://www.sec.gov/Archives/edgar/data/83246/000110465924025892/tm244959d5_424b2.htm

\n \n

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

\n \n

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

PS - 5

PAYMENT\nON THE NOTES

\n \n \n

Call Feature

\n \n

If the Official Closing Price of each Underlying\n is at or above its Call Threshold on any Call Observation Date the Notes will be automatically called, and you will receive a cash payment,\n per $1,000 Principal Amount, equal to the Principal Amount plus the applicable Contingent Coupon on the corresponding Call Payment Date\n and any previously unpaid Contingent Coupons, if applicable.

\n \n

Contingent Coupon

\n \n

We will pay a monthly Contingent Coupon on a Coupon\n Payment Date if the Official Closing Price of each Underlying on the applicable Observation Date is greater than or equal to its Coupon\n Trigger. Otherwise, no coupon will be paid on such Coupon Payment Date. For information regarding the record dates applicable to the Contingent\n Coupons payable on the Notes, please see the section entitled “Description of Notes—Interest and Principal Payments—Recipients\n of Interest Payments” beginning on page S-17 in the accompanying prospectus supplement. The Contingent Coupon Rate is 10.80% per\n annum (or $9.00 per $1,000 Principal Amount per month, if payable). In addition, if a Contingent Coupon is not paid on a Coupon Payment\n Date because the Official Closing Price of any Underlying on that Observation Date is less than its Coupon Trigger, such Contingent Coupon\n will be paid on a later Coupon Payment Date if the Official Closing Price of each Underlying is equal to or greater than its Coupon Trigger\n on such later Observation Date, up to and including the Final Valuation Date. Once a previously unpaid Contingent Coupon has been paid\n on a later Coupon Payment Date, it will not be paid again on any subsequent Coupon Payment Date.

\n \n

Payment at Maturity

\n \n

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

\n \n

n\n If the Reference Return of the Least Performing Underlying is greater than or equal to -35.00%:

\n \n

$1,000 + final Contingent Coupon + any previously\n unpaid Contingent Coupons

\n \n

n\n If the Reference Return of the Least Performing Underlying is less than -35.00% but greater than or equal to -45.00%:

\n \n

$1,000 (a zero return)

\n \n

n\n If the Reference Return of the Least Performing Underlying is less than -45.00%:

\n \n

$1,000 + ($1,000 × Reference Return of the\n Least Performing Underlying).

\n \n

If the Notes are not called and the Final Value of\n the Least Performing Underlying is less than its Barrier Value, you will not receive the final Contingent Coupon, and will lose up to\n 100% of the Principal Amount. Even with any Contingent Coupons received prior to maturity, your return on the Notes may be negative in\n this case.

\n \n

Calculation Agent

\n \n

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

\n \n

Reference Sponsor

\n \n

The reference sponsor of the XLU is the Select\nSector SPDR Trust.

PS - 6

INVESTOR SUITABILITY

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

The Notes may be suitable for you if:

The Notes may not be suitable for you if:

4  \n You believe that the Official Closing Price of each Underlying will be at or above its Coupon Trigger on most or all of the Observation\n Dates, and the Final Value of the Least Performing Underlying will be at or above its Barrier Value.

\n \n

4  \n You seek a monthly Contingent Coupon, based on the performance of the Underlyings, that will be paid at the Contingent Coupon Rate\n of 10.80% per annum if the Official Closing Price of each Underlying is greater than or equal to its Coupon Trigger on the applicable\n Observation Date.

\n \n

4  \n You are willing to invest in the Notes based on the fact that your maximum potential return is limited to any Contingent Coupons\n payable on the Notes.

\n \n

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

\n \n

4  \n You are willing to make an investment that is exposed to the potential downside performance of the Least Performing Underlying\n on a 1-to-1 basis if the Notes are not called and the Reference Return of the Least Performing Underlying is less than -45.00%.

\n \n

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

\n \n

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

\n \n

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

\n \n

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

\n \n

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

\n \n

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

4  \n You believe that the Official Closing Price of at least one Underlying will be below its Coupon Trigger on most or all of the Observation\n Dates, including the Final Valuation Date, and the Final Value of the Least Performing Underlying will be below its Barrier Value.

\n \n

4  \n You believe that the Contingent Coupon, if any, will not provide you with your desired return.

\n \n

4  \n You are unwilling to invest in the Notes based on the fact that your maximum potential return is limited to any Contingent Coupons\n payable on the Notes.

\n \n

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

\n \n

4  \n You are unwilling to make an investment that is exposed to the potential downside performance of the Least Performing Underlying\n on a 1-to-1 basis if the Notes are not called and the Reference Return of the Least Performing Underlying is less than -45.00%.

\n \n

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

\n \n

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

\n \n

4  \n You prefer to receive guaranteed interest payments on the Notes, or the dividends or other distributions paid on DPZ and the stocks\n included in the XLU.

\n \n

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

\n \n

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

\n \n

4  \n You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of 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 ETF Underlying Supplement or page S-1\nof the accompanying Stock-Linked Underlying Supplement. You should understand the risks of investing in the Notes and should reach an\ninvestment decision only after careful consideration, with your advisors, of the suitability of the Notes in light of your particular\nfinancial circumstances and the information set forth in this document and the accompanying prospectus, prospectus supplement, ETF Underlying\nSupplement and Stock-Linked Underlying Supplement.

In addition to the risks discussed below, you\nshould review “Risk Factors” in the accompanying prospectus supplement, ETF Underlying Supplement and Stock-Linked Underlying\nSupplement including the explanation of risks relating to the Notes described in the following sections:

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

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

“—General Risks Related to Reference Stocks” in the Stock-Linked Underlying Supplement.

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

Risks Relating to the Structure\nor Features of the Notes

Your return on the Notes is limited to\nthe Principal Amount plus the Contingent Coupons, if any, regardless of any appreciation in the value of any Underlying.

For each $1,000 Principal Amount, you will receive\n$1,000 at maturity plus the final Contingent Coupon and any previously unpaid Contingent Coupons, if applicable, if the Final Value of\nthe Least Performing Underlying is equal to or greater than its Coupon Trigger, regardless of any appreciation in the value of any Underlying,\nwhich may be significant. Accordingly, the return on the Notes may be significantly less than the return on a direct investment in DPZ\nand the stocks included in the XLU during the term of the Notes.

The Notes may be called prior to the Maturity\nDate.

If the Notes are called early, the holding period\nover which you may receive coupon payments could be as little as approximately 12 months. There is no guarantee that you would be able\nto reinvest the proceeds from an investment in the Notes at a comparable return for a similar level of risk in the event the Notes are\ncalled prior to the Maturity Date.

If the Notes are not called, your return\nwill be based on the Reference Return of the Least Performing Underlying.

If the Notes are not called, your return will\nbe based on the Reference Return of the Least Performing Underlying without regard to the performance of any other Underlying. As a result,\nyou could lose all or some of your initial investment if the Final Value of the Least Performing Underlying is less than its Barrier Value,\neven if there is an increase in the value of any other Underlying. This could be the case even if any other Underlying increased by an\namount greater than the decrease in the Least Performing Underlying.

Higher Contingent Coupon Rates or lower\nBarrier Values are generally associated with Underlyings with greater expected volatility and therefore can indicate a greater risk of\nloss.

\"Volatility\" refers to the frequency\nand magnitude of changes in the value of an Underlying. The greater the expected volatility with respect to an Underlying on the Trade\nDate, the higher the expectation as of the Trade Date that the value of that Underlying could close below its Coupon Trigger on an Observation\nDate or its Barrier Value on the Final Valuation Date, indicating a higher expected risk of non-payment of Contingent Coupons or loss\non the Notes. This greater expected risk will generally be reflected in a higher Contingent Coupon Rate than the yield payable on our\nconventional debt securities with a similar maturity, or in more favorable terms (such as a lower Barrier Value, a lower Coupon Trigger\nor a higher Contingent Coupon Rate) than for similar securities linked to the performance of an Underlying with a lower expected volatility\nas of the Trade Date. You should therefore understand that a relatively higher Contingent Coupon Rate may indicate an increased risk of\nloss. Further, a relatively lower Barrier Value may not necessarily indicate that the Notes have a greater likelihood of a repayment of\nprincipal at maturity. The volatility of an Underlying can change significantly over the term of the Notes. The value of an Underlying\nfor your Notes could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside\nmarket risk of the Least Performing Underlying and the potential to lose some or all of your principal at maturity not receive any Contingent\nCoupons.

The Notes do not guarantee any return\nof principal and 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 of the Least Performing Underlying is less than its Barrier Value. In this case, the Payment at Maturity\nyou will be entitled to receive will be less than the Principal Amount and you will lose 1% for each 1% that the Reference Return of the\nLeast Performing Underlying is less than 0.00%. You may lose up to 100% of your investment at maturity. Even with any Contingent Coupons\nreceived prior to maturity, your return on the Notes may be negative in this case.

PS - 8

You may not receive any Contingent Coupons.

We will not necessarily make periodic coupon payments\non the Notes. If the Official Closing Price of any Underlying on an Observation Date is less than its Coupon Trigger, we will not pay\nyou the Contingent Coupon applicable to that Observation Date, unless the Official Closing Price of each Underlying on a subsequent Observation\nDate, including the Final Valuation Date, is equal to or greater than its Coupon Trigger. If on each of the Observation Dates, the Official\nClosing Price of any Underlying is less than its Coupon Trigger, we will not pay you any Contingent Coupons during the term of the Notes,\nand you will not receive a positive return on, the Notes. Generally, this non-payment of the Contingent Coupon coincides with a period\nof greater risk of principal loss on the Notes.

The amount payable on the Notes is not\nlinked to the values of the Underlyings at any time other than the Observation Dates, including the Final Valuation Date.

The payments on the Notes will be based on the\nOfficial Closing Prices of the Underlyings on the Observation Dates, including the Final Valuation Date, subject to postponement for non-trading\ndays and certain Market Disruption Events. Even if the value of each Underlying is greater than or equal to its Coupon Trigger during\nthe term of the Notes other than on an Observation Date but then decreases on an Observation Date to a value that is less than its Coupon\nTrigger, the Contingent Coupon will not be payable for the relevant monthly period. Similarly, if the Notes are not called, even if the\nvalue of the Least Performing Underlying is greater than or equal to its Barrier Value during the term of the Notes other than on the\nFinal Valuation Date but then decreases on the Final Valuation Date to a value that is less than its Barrier Value, the Payment at Maturity\nwill be less, possibly significantly less, than it would have been had the Payment at Maturity been linked to the value of the Least Performing\nUnderlying prior to such decrease. Although the actual values of the Underlyings on the Maturity Date or at other times during the term\nof the Notes may be higher than their respective values on the Observation Dates, whether each Contingent Coupon will be payable and the\nPayment at Maturity will be based solely on the Official Closing Prices of the Underlyings on the applicable Observation Dates.

Because the Notes are linked to the performance\nof the Least Performing Underlying, you are exposed to greater risks of receiving no Contingent Coupons and sustaining a significant loss\non your investment than if the Notes were linked to just one Underlying.

The risk that you will not receive any Contingent\nCoupons, or that you will suffer a significant loss on your investment, is greater if you invest in the Notes as opposed to substantially\nsimilar securities that are linked to the performance of just one Underlying. With multiple Underlyings, it is more likely that one of\nthe Underlyings will close below its respective Coupon Trigger on any Observation Date (including the Final Valuation Date) and below\nits respective Barrier Value on the Final Valuation Date, than if the Notes were linked to only one Underlying. Therefore, it is more\nlikely that you will not receive any Contingent Coupons, and that you will suffer a significant loss on your investment. In addition,\nbecause each Underlying must close above its Call Threshold on a Call Observation Date in order for the Notes to be called, the Notes\nare less likely to be called than if the Notes were linked to just one Underlying.

Since the Notes are linked to the performance\nof more than one Underlying, you will be fully exposed to the risk of fluctuations in the value of each Underlying.

Since the Notes are linked to the performance\nof more than one Underlying, the Notes will be linked to the individual performance of each Underlying. Because the Notes are not linked\nto a weighted basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the\nrisk of fluctuations in the values of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked\nto a weighted basket, the return would depend on the weighted aggregate performance of the basket components reflected as the basket return.\nThus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, as scaled by the weightings\nof such basket components. However, in the case of these Notes, the individual performance of each of the Underlyings would not be combined\nto calculate your return and the depreciation of either of the Underlyings would not be mitigated by the appreciation of the other Underlying.\nInstead, your return would depend on the Least Performing Underlying.

Risks Relating to the Reference\nAsset

There are risks associated with concentration\nof investment in a particular sector.

The equity securities held by the XLU are issued\nby companies that are in the following industries: electric utilities; water utilities; multi-utilities; independent power and renewable\nelectricity producers; and gas utilities. Consequently, the value of the notes may be subject to greater volatility and be more adversely\naffected by a single economic, environmental, political or regulatory occurrence affecting such industries than an investment linked to\na more broadly diversified group of issuers. Stock prices for these types of companies are affected by supply and demand both for their\nspecific product or service and for utilities products and services in general.

Risks associated with the utilities sector.

The XLU invests in utilities companies, which\nare affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage\nand general civil liabilities, and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate\ncorrelation with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following a delay after\nthe changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings

PS - 9

and dividends in\ntimes of decreasing costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated\nutility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced\nfull or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they\nare subject to greater competition and have been permitted by regulators to diversity outside of their original geographic regions and\ntheir traditional lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated\nrates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In additional, natural\ndisasters, terrorist attacks, government intervention or other factors may render a utility company’s equipment unusable or obsolete\nand negatively impact profitability.

Among the risks that may affect utility companies\nare the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction during\ninflationary periods; restrictions on operations and increased costs and delays associated with compliance with environmental and nuclear\nsafety regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating electricity at reasonable\nprices. Other rises include those related to the construction and operation of nuclear power plants, the effects of energy conversation\nand the effects of regulatory changes.

General Risk Factors

The Notes are subject to the credit risk\nof HSBC USA Inc.

The Notes are senior unsecured debt obligations\nof the Issuer, 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 of\nHSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including any return of principal\nat maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness\nof HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amounts\nowed to you under the terms of the Notes.

The Notes are not insured or guaranteed\nby any 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,\nwhich was determined by us on the Trade Date, is less than the price to public and may differ from the market value of the Notes in the\nsecondary market, if any.

The Estimated Initial Value of the Notes was calculated\nby us on the Trade Date and is less than the price to public. The Estimated Initial Value reflects our and our affiliates’ internal\nfunding rate, which is the borrowing rate paid to issue market-linked securities, as well as the mid-market value of the embedded derivatives\nin the Notes. This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate\ndebt securities. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional\nfixed or floating rate debt securities, the Estimated Initial Value of the Notes may be lower if it were based on the prices at which\nour fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional\nfixed or floating rate debt issuances, we would expect the economic terms of the Notes to be more favorable to you. We determined the\nvalue of the embedded derivatives in the Notes by reference to our or our affiliates’ internal pricing models. These pricing models\nconsider certain assumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions\ncould provide valuations for the Notes that are different from our Estimated Initial Value. These pricing models rely in part on certain\nforecasts about future events, which may prove to be incorrect. The Estimated Initial Value does not represent a minimum price at which\nwe or any of our affiliates would be willing to purchase your Notes in the secondary market (if any exists) at any time.

The price of your Notes in the secondary\nmarket, if any, immediately after 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, the underwriting discount and the costs associated with structuring and hedging our obligations\nunder the Notes. These costs will be used or retained by us or one of our affiliates, except for underwriting discounts paid to unaffiliated\ndistributors. If you were to sell your Notes in the secondary market, if any, the price you would receive for your Notes may be less than\nthe price you paid for them because secondary market prices will not take into account these costs. The price of your Notes in the secondary\nmarket, if any, at any time after issuance will vary based on many factors, including the values of the Underlyings and changes in market\nconditions, and cannot be predicted with accuracy. The Notes are not designed to be short-term trading instruments, and you should, therefore,\nbe able and willing to hold the Notes to maturity. Any sale of the Notes prior to maturity could result in a loss to you.

PS - 10

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 Notes.\nWe will make such discretionary election and determine this temporary reimbursement period on the basis of a number of factors, including\nthe tenor of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively\nreimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement\nat any time or revise the duration of the reimbursement period after the Original Issue Date of the Notes based on changes in market conditions\nand other factors that cannot be predicted.

You will not have any ownership interest\nin DPZ or the stocks included in the XLU.

As a holder of the Notes, you will not have any\nownership interest in DPZ or the stocks included in the XLU, 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 DPZ or the stocks\nincluded in the XLU.

The Notes lack liquidity.

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 ours\nare potentially adverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a\nholder 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 - 11

ILLUSTRATIVE EXAMPLES

\n \n \n

The following table and examples are provided\n for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases\n or decreases in the value of any Underlying relative to its Initial Value. We cannot predict the Official Closing Price of an Underlying\n on any Observation Date, including the Final Valuation Date. The assumptions we have made in connection with the illustrations set forth\n below may not reflect actual events. You should not take this illustration or these examples as an indication or assurance of the expected\n performance of the Underlyings or the return on the Notes.

\n \n

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

4	Principal\nAmount:	$1,000
4	Hypothetical\nInitial Value of each Underlying:	$1,000.00
4 \n	Hypothetical Call Threshold of each Underlying:	$1,000.00, 100.00% of its Hypothetical Initial value
4 \n	Hypothetical Barrier Value of each Underlying:	$550.00 (55.00% of its Hypothetical Initial value)
4 \n	Hypothetical Coupon Trigger of each Underlying:	$650.00 (65.00% of its Hypothetical Initial value)
4 \n	Contingent Coupon Rate:	10.80% per annum, payable monthly (0.90% for each month in which it is payable). If the Official Closing Price (i) of each Underlying on every Observation Date is greater than or equal to its Coupon Trigger or (ii) of each Underlying is greater than or equal to its Coupon Trigger on the Final Valuation Date, the Contingent Coupon paid over the term of the Notes would total approximately $432.00 per $1,000 Principal Amount of the Notes.

The hypothetical Initial Value of $1,000.00 used\nin the examples below has been chosen for illustrative purposes only and does not represent the actual Initial Value of any Underlying.\nThe actual Initial Value of each Underlying is set forth on page PS-3 of this document.

Summary of the Examples

	Notes Are Called on a \n Call Observation Date	Notes Are Not Called on Any Call Observation Date
	Example 1	Example 2	Example 3	Example 4
Initial Value of each Underlying	$1,000.00	$1,000.00	$1,000.00	$1,000.00
Call Threshold of each Underlying	$1,000.00	$1,000.00	$1,000.00	$1,000.00
Barrier Value of each Underlying	$550.00	$550.00	$550.00	$550.00
Coupon Trigger of each Underlying	$650.00	$650.00	$650.00	$650.00
Observation Dates	Official Closing Price / Percentage Change of the Least Performing Underlying
1^st Observation Date to 11^th Observation Date	\n $682.50 / -31.75% \n Contingent Coupons: \n 11 x $9.00 = $99.00	\n $695.50 / -30.45% \n Contingent Coupons: \n 11 x $9.00 = $99.00	\n $585.00 / -41.50% \n Contingent Coupons: \n $0	\n $585.00 / -41.50% \n Contingent Coupons: \n $0
12^th Observation Date (1^st Call Observation Date)	\n $1,200.00 / 20.00% \n Contingent Coupons: \n 1 x $9.00 = $9.00	\n $687.91 / -31.209% \n Contingent Coupons: \n 1 x $9.00 = $9.00	\n $513.33 / -48.667% \n Contingent Coupons: \n $0	\n $682.50 / -31.75% \n Contingent Coupons: \n 12 x $9.00 = $108.00
13^th Observation Date to the 47^th Observation Date (including 2^nd Call Observation Date to 36^th Call Observation Date)	N/A	\n Official Closing Price is below the Coupon Trigger \n Contingent Coupons: \n $0	\n Official Closing Price is below the Coupon Trigger \n Contingent Coupons: \n $0	\n Official Closing Price is below the Coupon Trigger \n Contingent Coupons: \n $0
Final Valuation Date	N/A	\n $672.75 / -32.725% \n Contingent Coupon: \n 36 x $9.00 = $324.00	\n $600.00 / -40.00% \n Contingent Coupon: \n 48 x $9.00 = $432.00	\n $330.00 / -67.00% \n Contingent Coupon: \n $0
Contingent Coupon Payment Amounts Prior to Maturity or Call	$99.00	12 x $9.00 = $108.00	0 x $9.00 = $0	12 x $9.00 = $108.00
Payment if Notes are Called	$1,000 + $9.00 = $1,009.00	N/A	N/A	N/A
Payment at Maturity	N/A	$1,000 + 36 x $9.00 = $1,324.00	$1,000 + 48 x $9.00 = $1,432.00	$1,000 + ($1,000 x -67.00%) = $330.00
Total payments on the Notes	$1,108.00	$1,432.00	$1,000.00	$438.00
Return of the Notes	10.80%	43.20%	0.00%	-56.20%**

PS - 12

Example 1—The Official Closing Price of each\nUnderlying on the first Call Observation Date is greater than or equal to its Call Threshold and the Notes are called.

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

Underlying	Initial Value	Official Closing Price
DPZ	$1,000.00	$1,250.00 (125.00% of Initial Value)
XLU	$1,000.00	$1,200.00 (120.00% of Initial Value)

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


Payment Upon a Call:	$1,009.00

Because the Official Closing Price of each Underlying\non the first Call Observation Date is at or above its Call Threshold, the Notes will be called and you will receive $1,009.00 per Note,\nreflecting the Principal Amount plus the Contingent Coupon. When added to the prior Contingent Coupon payments of $99.00 received in respect\nto the previous Observation Dates, we will have paid you a total of $1,108.00 per Note, resulting in a 10.80% return on the Notes. No\nextra payment will be made on account of each Underlying closing above its respective Initial Value.

Example 2— The Notes are not called,\nthe Final Value of the Least Performing Underlying is greater than or equal to its Coupon Trigger, and each Underlying closed above its\nCoupon Trigger (but below its Call Threshold) on all the first 12 Observation Dates prior to maturity.

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

Underlying	Initial Value	Final Value
DPZ	$1,000.00	$1,150.00 (115.00% of Initial Value)
XLU	$1,000.00	$672.75 (67.28% of Initial Value)

The XLU is the Least Performing Underlying.

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


Reference Return of the Least Performing Underlying:	-32.725%
Payment at Maturity:	$1,324.00

Even though the Official Closing Price of the\neach Underlying is at or above the Coupon Trigger on only 12 of the previous Observation Dates prior to maturity, since the Notes are\nnot called and the Final Value of the Least Performing Underlying is at or above its Coupon Trigger, we will pay you a total of $1,324.00\nat maturity per $1,000 Note, reflecting your Principal Amount plus the final Contingent Coupon of $9.00 and the previously unpaid Contingent\nCoupons of $315.00. When added to the 12 previously paid Contingent Coupons prior to maturity totaling $108.00, the total return on the\nNotes would be 43.20%.

PS - 13

Example 3—The Notes are not called, the\nUnderlyings did not all close at or above their respective Coupon Triggers on any of the Observation Dates prior to maturity. The Final\nValue of the Least Performing Underlying is greater than its Barrier Value.

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

Underlying	Initial Value	Final Value
DPZ	$1,000.00	$1,050.00 (105.00% of Initial Value)
XLU	$1,000.00	$600.00 (60.00% of Initial Value)

The XLU is the Least Performing Underlying.

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


Reference Return of the Least Performing Underlying:	-40.00%
Payment at Maturity:	$1,000.00

Because the Official Closing Price of the Least\nPerforming Underlying is below the Coupon Trigger on all of the previous Observation Dates, since the Notes are not called and the Final\nValue of the Least Performing Underlying is above its Barrier Value, we will pay you a total of $1,000.00 at maturity per $1,000 Note.\nBecause there was no Contingent Coupon payable in respect of the prior Observation Dates, the total return on the Notes would be 0.00%.

Example 4—The Notes are not called, the\nFinal Value of the Least Performing Underlying is less than its Barrier Value, and each of the Underlyings only closed at or above their\nrespective Coupon Triggers on the 12th Observation Date prior to maturity.

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

Underlying	Initial Value	Final Value
DPZ	$1,000.00	$550.00 (55.00% of Initial Value)
XLU	$1,000.00	$330.00 (33.00% of Initial Value)

The XLU is the Least Performing Underlying.

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


Reference Return of the Least Performing Underlying:	-67.00%
Payment at Maturity:	$330.00

Because the Final Value of the Least Performing\nUnderlying is less than its Barrier Value, you will receive $330.00 per $1,000 Principal Amount, calculated as follows:

Final Settlement Value = $1,000\n+ ($1,000 x -67.00%) = $330.00

When added to the Contingent Coupon payment of\n$108.00 received on the 12th Observation Date, we will have paid you a total of $438.00 per Note, resulting in a -56.20% return on the\nNotes.

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

PS - 14

DESCRIPTION OF THE REFERENCE\nASSET

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

\n Description of DPZ \n \n Domino’s Pizza, Inc. operates a network\n of company-owned and franchise Domino's Pizza stores, located throughout the United States and in other countries. The Company also operates\n regional dough manufacturing and distribution centers in the contiguous United States and outside the United States. The shares of common\n stock of the Company trade and are listed on the NASDAQ under the symbol \"DPZ.\" \n \n Information filed by the Company with the\nSEC under the Securities Exchange Act of 1934 (\"Exchange Act\") can be located on the SEC website (https://www.sec.gov).		\n Historical Performance of DPZ \n \n The following graph sets forth the historical\n performance of DPZ based on the daily historical closing values from October 26, 2016 through October 26, 2026. We obtained the closing\n values below from the Bloomberg Professional^® service. We have not undertaken any independent review of, or made any due\n diligence inquiry with respect to, the information obtained from the Bloomberg Professional^® service. \n \n $\"\"$
\n \n The historical values of DPZ should not be taken\n as an indication of future performance, and no assurance can be given as to the Official Closing Price of DPZ on any Observation Date,\n including the Final Valuation Date. \n
\n Description of the XLU \n \n The State Street^® Utilities Select\n Sector SPDR^® ETF (\"XLU\") is an exchange-traded fund. The XLU's objective is to provide investment results that\n correspond generally to the price and yield performance, before fees and expenses, of the Utilities Select Sector Index. The XLU includes\n communication services, electrical power providers and natural gas distributors. Shares of this Underlying are listed and trade on the\n NYSE Arca under the symbol “XLU.” \n \n \n *For more information about the XLU, see \"The\n Utilities Select Sector SPDR^® Fund\" beginning on page S-23 of the accompanying ETF Underlying Supplement.*		\n Historical Performance of the XLU \n \n The following graph sets forth the historical\n performance of the XLU based on the daily historical closing values from October 26, 2016 through October 26, 2026. The daily historical\n closing values for the XLU in the following graph reflect a 2-for-1 stock split that became effective before the market open on December\n 5, 2025. We obtained the closing values below from the Bloomberg Professional^® service. We have not undertaken any independent\n review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional^®\n service. \n \n $\"\"$
\n \n The historical values of the XLU should not\nbe taken as an indication of future performance, and no assurance can be given as to the Official Closing Price of the XLU on any Observation\nDate, including the Final Valuation Date.

EVENTS OF DEFAULT AND ACCELERATION

If the Notes have become immediately due and payable following an Event of Default (as defined in the accompanying prospectus) with respect to the Notes, the calculation agent will determine the accelerated payment due and payable in the same general manner as described in this document except that in such a case, the scheduled trading day immediately preceding the date of acceleration will be used as the Final Valuation Date for purposes of determining the Reference Return of any Underlying, and the accelerated Maturity Date will be three business days after the accelerated Final Valuation Date. If a Market Disruption Event exists with respect to any

PS - 15

Underlying on that scheduled trading day, then the accelerated Final Valuation Date for that Underlying will be postponed for up to five scheduled trading days (in the same manner used for postponing the originally scheduled Final Valuation Date). The accelerated Maturity Date will also be postponed by an equal number of business days. For the avoidance of doubt, if no Market Disruption Event exists with respect to an Underlying on the scheduled trading day preceding the date of acceleration, the determination of such Underlying's Reference Return will be made on such date, irrespective of the existence of a Market Disruption Event with respect to any other Underlying occurring on such date.

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

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTS\nOF INTEREST)

\n \n \n

We have appointed HSBC Securities (USA) Inc.,\n an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities (USA)\n Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover page of this pricing\n supplement for distribution to other registered broker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc.\n has offered the Notes at the price to public set forth on the cover page of this document. HSBC USA Inc. or one of our affiliates may\n pay varying underwriting discounts of up to 0.60% per $1,000 Principal Amount in connection with the distribution of the Notes to other\n registered broker-dealers.

\n \n

An affiliate of HSBC has paid or may pay in the\n future an amount to broker-dealers in connection with the costs of the continuing implementation of systems to support the Notes. We or\n one of our affiliates may pay a fee to one or more broker dealers for providing certain services with respect to this offering, which\n may reduce the economic terms of the Notes to you.

\n \n

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

\n \n

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

\n \n

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

U.S. FEDERAL INCOME TAX CONSIDERATIONS

\n \n \n

There is no direct legal authority as to the proper\n tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as to both the timing and\n character of any inclusion in income in respect of the Notes. Under one approach, a Note should be treated as a contingent income-bearing\n pre-paid executory contract with respect to the Underlyings. We intend to treat the Notes consistent with this approach. Pursuant to the\n terms of the Notes, you agree to treat the Notes under this approach for all U.S. federal income tax purposes. Subject to the limitations\n described therein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Mayer\n Brown LLP, it is reasonable to treat a Note as a contingent income-bearing pre-paid executory contract with respect to the Underlyings.\n Because there are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S.\n federal income tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and\n treatments are possible and the timing and character of income in respect of the Notes might differ from the treatment described herein.\n For example, the Notes could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal\n income tax purposes subject to the treatment described under the heading “U.S. Federal Income Tax Considerations — Tax Treatment\n of U.S. Holders — U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent\n Notes” in the accompanying prospectus supplement.

\n \n

We will not attempt to ascertain whether any Underlying\n or any of the entities whose stock is included in an Underlying would be treated as a passive foreign investment company (“PFIC”)\n or United States real property holding corporation (“USRPHC”), both as defined for U.S. federal income tax purposes. If any\n Underlying or one or more of the entities whose stock is included in an Underlying were so treated, certain adverse U.S. federal income\n tax consequences might apply. You should refer to information filed with the SEC and other authorities by any Underlying and the entities\n whose stock is included in an Underlying and consult your tax advisor regarding the possible consequences to you if any Underlying or\n one or more of the entities whose stock is included in any Underlying is or becomes a PFIC or a USRPHC.

\n \n

U.S.\nHolders. Please see the discussion under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of\nU.S. Holders — Certain Notes Treated as a Put Option and a Deposit or an Executory Contract — Certain Notes Treated as Executory\nContracts” in 

PS - 16

the accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable\n to U.S. holders (as defined in the accompanying prospectus supplement). Pursuant to the approach discussed above, we intend to treat any\n gain or loss upon maturity or an earlier sale, exchange, or call as capital gain or loss in an amount equal to the difference between\n the amount you receive at such time (other than with respect to a Contingent Coupon) and your tax basis in the Note. Any such gain or\n loss will be long-term capital gain or loss if you have held the Note for more than one year at such time for U.S. federal income tax\n purposes. Your tax basis in a Note generally will equal your cost of the Note. In addition, the tax treatment of the Contingent Coupons\n is unclear. Although the tax treatment of the Contingent Coupons is unclear, we intend to treat any Contingent Coupon, including on the\n Maturity Date, as ordinary income includible in income by you at the time it accrues or is received in accordance with your normal method\n of accounting for U.S. federal income tax purposes.

\n \n

Non-U.S.\n Holders. Please see the discussion under the heading “U.S. Federal Income Tax Considerations — Tax Treatment of\n Non-U.S. Holders” in the accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable\n to non-U.S. holders (as defined in the accompanying prospectus supplement). Because the U.S. federal income tax treatment (including the\n applicability of withholding) of the Contingent Coupons is uncertain, the entire amount of the Contingent Coupons will be subject to U.S.\n federal income tax withholding at a 30% rate (or at a lower rate under an applicable income tax treaty). We will not pay any additional\n amounts in respect of such withholding.

\n \n

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

\n \n

A “dividend equivalent” payment is\n treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax\n if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked\n instruments (“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference\n an interest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal\n income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, the IRS has issued\n guidance that states that the Treasury and the IRS intend to amend the applicability dates of the Treasury regulations to provide that\n withholding on dividend equivalent payments paid or deemed paid will not apply to specified ELIs that are not delta-one instruments and\n that are issued through 2028. Based on the Issuer’s determination that the Notes are not “delta-one” instruments, non-U.S.\n holders should not be subject to withholding on dividend equivalent payments, if any, under the Notes. However, it is possible that the\n Notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting an Underlying\n or the Notes, and following such occurrence the Notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S.\n holders that enter, or have entered, into other transactions in respect of an Underlying or the Notes should consult their tax advisors\n as to the application of the dividend equivalent withholding tax in the context of the Notes and their other transactions. If any payments\n are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without\n being required to pay any additional amounts with respect to amounts so withheld.

\n \n

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

\n \n

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

VALIDITY OF THE NOTES

\n \n \n

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

PS - 17

TABLE OF CONTENTS		\n You should only rely on the information\n contained in this document, the accompanying ETF Underlying Supplement and Stock-Linked Underlying Supplement, prospectus supplement and\n prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in\n this document, the accompanying ETF Underlying Supplement and Stock-Linked Underlying Supplement, prospectus supplement and prospectus.\n If anyone provides you with different or inconsistent information, you should not rely on it. This document, the accompanying ETF Underlying\n Supplement and Stock-Linked Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these Notes, and these\n documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted. You should not,\n under any circumstances, assume that the information in this document, the accompanying ETF Underlying Supplement and Stock-Linked Underlying\n Supplement, prospectus supplement and prospectus is correct on any date after their respective dates. \n \n \n \n \n \n \n \n HSBC USA Inc. \n \n \n \n \n $600,000 \n Autocallable Contingent Income\nBarrier \n Notes with Memory Coupon Linked to the \n Least Performing of \n Domino’s Pizza, Inc.\nand \n the State Street^®\n Utilities Select Sector \nSPDR^® ETF \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n October\n 26, 2026 \n \n Pricing\n Supplement \n
Pricing Supplement
General	PS-5
Payment on the Notes	PS-6
Investor Suitability	PS-7
Risk Factors	PS-8
Illustrative Examples	PS-12
Description of the Reference Asset	PS-15
Events of Default and Acceleration	PS-15
Supplemental Plan of Distribution (Conflicts of Interest)	PS-16
U.S. Federal Income Tax Considerations	PS-16
Validity of the Notes	PS-17
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 1	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
Stock-Linked Underlying Supplement
Risk Factors	S-1
Additional Terms of the Notes	S-7
Information Regarding the Reference Stocks and the Reference Stock Issuers	S-13
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
Legal Opinions	57
Experts	58

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