0001144204-16-131000.txt : 201611020001144204-16-131000.hdr.sgml : 2016110220161102110933ACCESSION NUMBER:0001144204-16-131000CONFORMED SUBMISSION TYPE:FWPPUBLIC DOCUMENT COUNT:5FILED AS OF DATE:20161102DATE AS OF CHANGE:20161102

SUBJECT COMPANY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWPSEC ACT:1934 ActSEC FILE NUMBER:333-202524FILM NUMBER:161966691

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FILED BY:

COMPANY DATA:COMPANY CONFORMED NAME:HSBC USA INC /MD/CENTRAL INDEX KEY:0000083246STANDARD INDUSTRIAL CLASSIFICATION:NATIONAL COMMERCIAL BANKS [6021]IRS NUMBER:132764867STATE OF INCORPORATION:MDFISCAL YEAR END:1231

FILING VALUES:FORM TYPE:FWP

BUSINESS ADDRESS:STREET 1:452 FIFTH AVECITY:NEW YORKSTATE:NYZIP:10018BUSINESS PHONE:2125253735

MAIL ADDRESS:STREET 1:452 FIFTH AVENUECITY:NEW YORKSTATE:NYZIP:10018

FWP1v451969_fwp.htmFREE WRITING PROSECTUS

Filed Pursuantto Rule 433

RegistrationNo. 333-202524

November2, 2016

FREE WRITINGPROSPECTUS

(To Prospectusdated March 5, 2015,

ProspectusSupplement dated March 5, 2015 and

EquityIndex Underlying Supplement dated March 5, 2015)

HSBC USA Inc.

Buffered Fixed Rate NotesLinked

to the S&P 500Index and the

Russell 2000Index

4Buffered Fixed Rate Notes linked to a reference asset consistingof the S&P 500 Index and the Russell 2000 Index

4Approximately 3-year maturity

4Annual coupon payments of 3.00% - 3.25% (to be determinedon the Pricing Date)

4The return on the notes is linked to the performance ofthe least performing underlying

4You will not participate in any appreciation in the levelof the S&P 500 Index or the Russell 2000 Index

4Protection from the first 25% of any losses in the referenceasset

4All payments on the Notes are subject to the credit riskof HSBC USA Inc.

The Buffered Fixed Rate Notes (each a Noteand collectively the Notes) offered hereunder will not be listed on any U.S. securities exchange or automated quotationsystem.

Neither the U.S. Securities and ExchangeCommission (the SEC) nor any state securities commission has approved or disapproved of the Notes or passed uponthe accuracy or the adequacy of this document, the accompanying Equity Index Underlying Supplement, prospectus or prospectus supplement.Any representation to the contrary is a criminal offense. We have appointed HSBC Securities (USA) Inc., an affiliate of ours, asthe agent for the sale of the Notes. HSBC Securities (USA) Inc. will purchase the Notes from us for distribution to other registeredbroker-dealers or will offer the Notes directly to investors. HSBC Securities (USA) Inc. or another of its affiliates or agentsmay use the pricing supplement to which this free writing prospectus relates in market-making transactions in any Notes after theirinitial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing supplement to which this freewriting prospectus relates is being used in a market-making transaction. See Supplemental Plan of Distribution (Conflictsof Interest) on page FWP-14 of this free writing prospectus.

Investment in the Notes involves certainrisks. You should refer to Risk Factors beginning on page FWP-7 of this document, page S-1 of the accompanying prospectussupplement, and page S-2 of the accompanying Equity Index Underlying Supplement.

The Estimated Initial Value of the Noteson the Pricing Date is expected to be between $955 and $980 per security, which will be less than the price to public. The marketvalue of the Notes at any time will reflect many factors and cannot be predicted with accuracy. See Estimated Initial Valueon page FWP-3 and Risk Factors beginning on page FWP-7 of this document for additional information.

Price to Public Underwriting Discount1 Proceeds to Issuer

Per Note $1,000

Total

1HSBC USA Inc. or one of ouraffiliates may pay varying underwriting discounts of up to 1.50% per $1,000 Principal Amount of Notes in connection with the distributionof the Notes to other registered broker-dealers. See Supplemental Plan of Distribution (Conflicts of Interest) onpage FWP-14 of this free writing prospectus.

The Notes:

Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value

HSBC USA Inc.

BufferedFixed Rate Notes

Linked to theSPX 500 Index and the Russell 2000 Index

The Notes will have theterms described in this free writing prospectus and the accompanying prospectus supplement, prospectus and Equity Index UnderlyingSupplement. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus supplement,prospectus, or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control. You shouldbe willing to forgo dividend payments during the term of the Notes and, if the Reference Return of the Least Performing Underlyingis negative, lose up to 75% of your principal.

Issuer: HSBC USA Inc.

Principal Amount: $1,000 per Note

Reference Asset: The S&P 500 Index (SPX) and the Russell 2000 Index (RTY) (each, an Underlying, and together the Underlyings).

Trade Date: November 21, 2016

Pricing Date: November 21, 2016

Original Issue Date: November 25, 2016

Final Valuation Date: November 25, 2019.The Final Valuation Date is subject to postponement as described under Additional Terms of the NotesValuation Dates in the accompanying Equity Index Underlying Supplement.

Maturity Date: 3 business days after the Final Valuation Date, and is expected to be November 29, 2019.The Maturity Date is subject to postponement as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Coupon Rate: [3.00% - 3.25%] of the $1,000 Principal Amount of Notes payable on each annual Coupon Payment Date

Coupon Payment Dates: November 30, 2017, November 30, 2018 and November 29, 2019 (the Maturity Date). Each Coupon Payment Date is subject to postponement as described under Additional Terms of the NotesCoupon Payment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement.

Payment at Maturity: On the Maturity Date, for each $1,000 Principal Amount of the Notes, we will pay you the Final Settlement Value plus the final coupon payment.

Final Settlement Value:

If the Reference Return of the Least Performing Underlying is greater than or equal to the Buffer Level, you will receive a payment on the Maturity Date equal to 100% of the Principal Amount plus the final coupon payment.

If the Reference Return of the Least Performing Underlying is less than the Buffer Level, you will receive a payment on the Maturity Date calculated as follows:

$1,000 + [$1,000 (Reference Return of the Least Performing Underlying + 25%)] + final coupon payment.

If the Reference Return of the Least Performing Underlying is less than the Buffer Level, you will lose some or a significant portion (up to 75%) of your investment.

Least Performing Underlying: The Underlying with the lowest Reference Return.

Reference Return: The quotient, expressed as a percentage, calculated as follows:

Final Level Initial Level

Initial Level

Buffer Level: -25%

Initial Level: The Official Closing Level of the relevant Underlying on the Pricing Date.

Final Level: The Official Closing Level of the relevant Underlying on the Final Valuation Date.

FWP-2

Official Closing Level: With respect to each Underlying, the Official Closing Level on any trading day will be determined by the calculation agent based upon the closing level of such index displayed on the following pages on the Bloomberg Professional service: for SPX page SPX and for RTY page RTY .With respect to any of the foregoing, if the level of the relevant Underlying is not so displayed on such page, the calculation agent may refer to the display on any successor page on the Bloomberg Professional service or any successor service, as applicable.

Form of Notes: Book-Entry

Listing: The Notes will not be listed on any U.S. securities exchange or quotation system.

CUSIP / ISIN: 40433UYD2 / US40433UYD26

Estimated Initial Value: The Estimated Initial Value of the Notes will be less than the price you pay to purchase the Notes.The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market, if any, at any time. The Estimated Initial Value will be calculated on the Pricing Date and will be set forth in the pricing supplement to which this free writing prospectus relates.See Risk Factors The Estimated Initial Value of the Notes, which will be determined by us on the Pricing Date, will be less than the price to public and may differ from the market value of the Notes in the secondary market, if any.

The Trade Date, the PricingDate and the other dates set forth above are subject to change, and will be set forth in the final pricing supplement relatingto the Notes.

FWP-3

GENERAL

This free writing prospectus relates toan offering of Notes. The purchaser of a Note will acquire a senior unsecured debt security of HSBC USA Inc. We reserve the rightto withdraw, cancel or modify the offering and to reject orders in whole or in part. Although the offering of Notes relates tothe Reference Asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment in any componentsecurity included in the Reference Asset or as to the suitability of an investment in the Notes.

You should read this document togetherwith the prospectus dated March 5, 2015, the prospectus supplement dated March 5, 2015 and the Equity Index Underlying Supplementdated March 5, 2015. If the terms of the Notes offered hereby are inconsistent with those described in the accompanying prospectus,prospectus supplement or Equity Index Underlying Supplement, the terms described in this free writing prospectus shall control.You should carefully consider, among other things, the matters set forth in Risk Factors beginning on page FWP-7of this free writing prospectus, page S-1 of the prospectus supplement and page S-2 of the Equity Index Underlying Supplement,as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,accounting and other advisors before you invest in the Notes. As used herein, references to the Issuer, HSBC,we, us and our are to HSBC USA Inc.

HSBC has filed a registration statement(including a prospectus, prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which thisfree writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index UnderlyingSupplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBCand this offering. You may get these documents for free by visiting EDGAR on the SECs web site at www.sec.gov. Alternatively,HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplementand Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.

You may also obtain:

4The Equity Index Underlying Supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014327/v403626_424b2.htm

4The prospectus supplement at: http://www.sec.gov/Archives/edgar/data/83246/000114420415014311/v403645_424b2.htm

4The prospectus at: http://www.sec.gov/Archives/edgar/data/83246/000119312515078931/d884345d424b3.htm

We are using this free writing prospectusto solicit from you an offer to purchase the Notes. You may revoke your offer to purchase the Notes at any time prior to the timeat which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of, or reject anyoffer to purchase, the Notes prior to their issuance. In the event of any material changes to the terms of the Notes, we will notifyyou.

FWP-4

PAYMENT ON THE NOTES

Maturity

On the Maturity Date, for each Note youhold, we will pay you (in addition to the final coupon payment) the Final Settlement Value, which is an amount in cash, as describedbelow:

If the Reference Return of the LeastPerforming Underlying is greater than or equal to the Buffer Level, you will receive a cash payment equal to 100% of the PrincipalAmount.

If the Reference Return of the LeastPerforming Underlying is less than the Buffer Level, you will receive a cash payment on the Maturity Date, per $1,000 PrincipalAmount, calculated as follows:

$1,000 + [$1,000 (Reference Return of the Least Performing Underlying Least Performing Underlying + 25%)]

If the Reference Returnof the Least Performing Underlying is less than the Buffer Level, you will lose some or a significant portion (up to 75%) of yourinvestment.

Coupon Payments

On each Coupon Payment Date,for each $1,000 Principal Amount of Notes, you will be paid the coupon payment of (a) $1,000 multiplied by (b) the Coupon Rate.The expected Coupon Payment Dates are November 30, 2017, November 30, 2018 and November 29, 2019 (which is also the expected MaturityDate). The Coupon Payment Dates are subject to postponement as described under Additional Terms of the NotesCouponPayment Dates, Call Payment Dates and Maturity Date in the accompanying Equity Index Underlying Supplement. For informationregarding the record dates applicable to the Coupons paid on the Notes, please see the section entitled Description of Notes Interest and Principal Payments Recipients of Interest Payments on page S-11 in the accompanying prospectussupplement.

Annual Coupon Rate

The Coupon Rate is [3.00% - 3.25%] (tobe determined on the Pricing Date) of the Principal Amount of Notes, payable on each annual Coupon Payment Date.

Calculation Agent

We or one of our affiliates will act ascalculation agent with respect to the Notes.

Reference Sponsors

With respect to the SPX, S&P Dow JonesIndices LLC, a part of McGraw-Hill Financial, is the reference sponsor. With respect to the RTY, FTSE Russell is the referencesponsor.

FWP-5

INVESTOR SUITABILITY

The Notes may be suitable for youif:

4You believe the Reference Return of the Least Performing Underlying will not be below the BufferLevel of -25%.

4You are willing to make an investment that is exposed to the negative Least Performing Underlyingon a 1-to-1 basis for each percentage point that its Reference Return is less than the Buffer Level of -25%.

4You are willing to invest in the Notes based on the fact that your maximum potential return isthe coupon payments being offered with respect to the Notes.

4You are willing to forgo dividends or other distributions paid on the stocks included in the SPXor the RTY.

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

4You are willing to hold the Notes to maturity.

4You do not prefer the lower risk, and therefore accept the potentially lower returns, of conventionaldebt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.

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

The Notes may not be suitable foryou if:

4You believe that the Reference Return of the Least Performing Underlying will be below the BufferLevel of -25%.

4You are unwilling to make an investment that is exposed to the negative Reference Return of theLeast Performing Underlying on a 1-to-1 basis for each percentage point that its Reference Return is less than the Buffer Levelof -25%.

4You are unwilling to invest in the Notes based on the fact that your maximum potential return isthe coupon payments being offered with respect to the Notes.

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

4You prefer a product that provides upside participation in one or both Underlyings, as opposedto the coupon payments being offered with respect to your Notes.

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

4You prefer to receive the dividends or other distributions paid on the stocks included in the SPXor the RTY.

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

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

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

FWP-6

RISK FACTORS

We urge you to read the section RiskFactors beginning on pageS-1 in the accompanying prospectus supplement and on page S-2 of the Equity Index UnderlyingSupplement. Investing in the Notes is not equivalent to investing directly in any of the stocks included in any Underlying. Youshould understand the risks of investing in the Notes and should reach an investment decision only after careful consideration,with your advisors, of the suitability of the Notes in light of your particular financial circumstances and the information setforth in this free writing prospectus and the accompanying prospectus, prospectus supplement and Equity Index Underlying Supplement.

In addition to the risks discussed below,you should review Risk Factors in the accompanying prospectus supplement and the accompanying Equity Index UnderlyingSupplement, including the explanation of risks relating to the Notes described in the following sections:

4Risks Relating to All Note Issuances in the prospectus supplement; and

4General Risks Related to Indices in the Equity Index Underlying Supplement.

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

Your investment in the Notes may resultin a loss.

You will be exposed on a leveraged basisto the decline in the Final Level from the Initial Level beyond the Buffer Level of -25%. If any of the Underlyings declines bymore than the Buffer Level, you will lose 1% of your investment for every 1% decline in the Least Performing Underlying beyondthe Buffer Level. Accordingly, if the Reference Return of the Least Performing Underlying is less than -25%, your Payment at Maturitywill be less than the Principal Amount of your Notes. You will lose some or a significant portion (up to 75%) of your investmentat maturity if the Reference Return of the Least Performing Underlying is less than the Buffer Level.

Your return on the Notes is limitedto the Principal Amount plus any accrued coupon regardless of any appreciation in the level of the Underlyings.

Unless any Underlying is below the BufferLevel, for each $1,000 Principal Amount of Notes, you will receive $1,000 at maturity plus any unpaid coupon payments, regardlessof any appreciation in the level of any Underlying, which may be significant. Under no circumstances, regardless of the extentto which the level of any Underlying appreciates, will your return exceed the total amount of the coupon payments. Accordingly,the return on the Notes may be significantly less than the return on a direct investment in one or both of the Underlyings duringthe term of the Notes.

The Notes are subject to the creditrisk of HSBC USA Inc.

The Notes are senior unsecured debt obligationsof the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in theaccompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinateddebt obligations of HSBC, except such obligations as may be preferred by operation of law. All payments on the Notes depend onthe ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBCmay affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive the amountsowed to you under the terms of the Notes.

Since the Notes are linked to theLeast Performing Underlying, you will be fully exposed to the risk of fluctuations in the levels of each Underlying.

Sincethe Notes are linked to the Least Performing Underlying, the Notes will be linked to the individual performance of each Underlying.Because the Notes are not linked to a weighted basket, in which the risk is mitigated and diversified among all of the componentsof a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying.For example, in the case of Notes linked to a weighted basket, the return would depend on the weighted aggregate performance ofthe basket components reflected as the basket return. Thus, the depreciation of any basket component could be mitigated by theappreciation of another basket component, as scaled by the weightings of such basket components. However, in the case of theseNotes, the individual performance of each of the Underlyings would not be combined to calculate your return and the depreciationof any Underlying would not be mitigated by the appreciation of the other Underlying. Instead, your return would depend on theLeast Performing Underlying.

Changes that affect the ReferenceAsset may affect the market value of the Notes and the amount you will receive at maturity.

The policies of the reference sponsorsconcerning additions, deletions and substitutions of the constituents included in each Underlying and the manner in which the referencesponsors take account of certain changes affecting those constituents included in that Underlying may affect the level of thatUnderlying. The policies of the reference sponsors with respect to the calculation of the relevant Underlying could also affectthe level of that Underlying. The reference sponsors may discontinue or suspend calculation or dissemination of the relevant Underlying.Any such actions could affect the value of the Notes and their return.

FWP-7

The Notes are not insured or guaranteedby any governmental agency of the United States or any other jurisdiction.

The Notes are not deposit liabilities orother obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmentalagency or 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 event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturityof the Notes.

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

The Estimated Initial Value of the Noteswill be calculated by us on the Pricing Date and will be less than the price to public. The Estimated Initial Value will reflectour internal funding rate, which is the borrowing rate we pay to issue market-linked securities, as well as the mid-market valueof the embedded derivatives in the Notes. This internal funding rate is typically lower than the rate we would use when we issueconventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the ratewe would use when we issue conventional fixed or floating rate debt securities, the Estimated Initial Value of the Notes may belower if it were based on the levels at which our fixed or floating rate debt securities trade in the secondary market. In addition,if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic termsof the Notes to be more favorable to you. We will determine the value of the embedded derivatives in the Notes by reference toour or our affiliates internal pricing models. These pricing models consider certain assumptions and variables, which caninclude volatility and interest rates. Different pricing models and assumptions could provide valuations for the Notes that aredifferent from our Estimated Initial Value. These pricing models rely in part on certain forecasts about future events, which mayprove to be incorrect. The Estimated Initial Value does not represent a minimum price at which we or any of our affiliates wouldbe willing to purchase your Notes in the secondary market (if any exists) at any time.

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

The price to public takes into accountcertain costs. These costs, which will be used or retained by us or one of our affiliates, include the underwriting discount, ouraffiliates projected hedging profits (which may or may not be realized) for assuming risks inherent in hedging our obligationsunder the Notes and the costs associated with structuring and hedging our obligations under the Notes. If you were to sell yourNotes in the secondary market, if any, the price you would receive for your Notes may be less than the price you paid for thembecause secondary market prices will not take into account these costs. The price of your Notes in the secondary market, if any,at any time after issuance will vary based on many factors, including the levels of the Underlyings and changes in market conditions,and cannot be predicted with accuracy. The Notes are not designed to be short-term trading instruments, and you should, therefore,be able and willing to hold the Notes to maturity. Any sale of the Notes prior to maturity could result in a loss to you.

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

Assuming that all relevant factors remainconstant after the Original Issue Date, the price at which HSBC Securities (USA) Inc. may initially buy or sell the Notes in thesecondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer accountstatements at all, may exceed the Estimated Initial Value on the Pricing Date for a temporary period expected to be approximately3 months after the Original Issue Date. This temporary price difference may exist because, in our discretion, we may elect to effectivelyreimburse to investors a portion of the estimated cost of hedging our obligations under the Notes and other costs in connectionwith the Notes that we will no longer expect to incur over the term of the Notes. We will make such discretionary election anddetermine this temporary reimbursement period on the basis of a number of factors, including the tenor of the Notes and any agreementwe may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors inthis way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any timeor revise the duration of the reimbursement period after the Original Issue Date of the Notes based on changes in market conditionsand other factors that cannot be predicted.

The Notes lack liquidity.

The Notes will not be listed on any securitiesexchange. HSBC Securities (USA) Inc. is not required to offer to purchase the Notes in the secondary market, if any exists. Evenif there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because otherdealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likelyto depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the Notes.

Potential conflicts of interest mayexist.

HSBC and its affiliates play a varietyof roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations underthe Notes. In performing these duties, the economic interests of the calculation agent and other affiliates

FWP-8

of ours are potentiallyadverse to your interests as an investor in the Notes. We will not have any obligation to consider your interests as a holder ofthe Notes in taking any action that might affect the value of your Notes.

The amount payable on the Notes is not linked to the levelof any Underlying at any time other than on the Final Valuation Date.

The FinalLevel of each Underlying will be based on its Official Closing Level on the Final Valuation Date, subject to postponement for non-tradingdays and certain market disruption events. Even if the level of one or both Underlyings appreciates prior to the Final ValuationDate but then decreases on the Final Valuation Date to a level that is less than its Initial Level, the Payment at Maturity willbe less, and may be significantly less, than it would have been had the Payment at Maturity been linked to the level of the Underlyingsprior to such decrease. Although the actual level of one or both Underlyings on the stated Maturity Date or at other times duringthe term of the Notes may be higher than its Final Level, the Payment at Maturity will be based solely on the Official ClosingLevel of each Underlyings on the Final Valuation Date.

Uncertain tax treatment.

For a discussion of the U.S. federal incometax consequences of your investment in a Note, please see the discussion under U.S. Federal Income Tax Considerationsherein and the discussion under U.S. Federal Income Tax Considerations in the accompanying prospectus supplement.

Small-capitalization risk.

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

FWP-9

ILLUSTRATIVE EXAMPLES

The following table and examples are providedfor illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerningincreases or decreases in the level of any Underlying relative to its Initial Level. We cannot predict the Final Level of any Underlying.The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. You should nottake this illustration or these examples as an indication or assurance of the expected performance of the Underlyings or the returnon your Notes. The return on the Notes may be less than the return that you would have received from a conventional debtsecurity with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and followingexamples have been rounded for ease of analysis.

The table below illustratesthe hypothetical total return at maturity on a $1,000 investment in the Notes for a hypothetical range of performance for the LeastPerforming Underlying from -100% to +100%. The following results are based solely on the assumptions outlined below. The HypotheticalTotal Return on the Notes as used below is the number, expressed as a percentage, that results from comparing the sum ofthe Final Settlement Value and the three annual coupon payments over the term of the Notes to $1,000. The potential returns describedhere assume that your Notes are held to maturity. You should consider carefully whether the Notes are suitable to your investmentgoals. The following table and examples assume the following:

4 Principal Amount: $1,000

4 Buffer Level: -25%

4 Hypothetical Coupon Rate*: 3.00% of the $1,000 Principal Amount of Notes

*The CouponRate will be between 3.00 and 3.25% per annum, to be determined on the Pricing Date.

LeastPerforming
UnderlyingsReference
FinalReturn Hypothetical
FinalSettlement
Value CouponPayments
OvertheTermof
theNotes TotalPaymenton
theNotes Hypothetical
TotalReturnonthe
Notes

100.00% $1,000.00 $90.00 $1,090.00 9.00%

80.00% $1,000.00 $90.00 $1,090.00 9.00%

60.00% $1,000.00 $90.00 $1,090.00 9.00%

40.00% $1,000.00 $90.00 $1,090.00 9.00%

30.00% $1,000.00 $90.00 $1,090.00 9.00%

20.00% $1,000.00 $90.00 $1,090.00 9.00%

15.00% $1,000.00 $90.00 $1,090.00 9.00%

10.00% $1,000.00 $90.00 $1,090.00 9.00%

5.00% $1,000.00 $90.00 $1,090.00 9.00%

2.00% $1,000.00 $90.00 $1,090.00 9.00%

1.00% $1,000.00 $90.00 $1,090.00 9.00%

0.00% $1,000.00 $90.00 $1,090.00 9.00%

-1.00% $1,000.00 $90.00 $1,090.00 9.00%

-2.00% $1,000.00 $90.00 $1,090.00 9.00%

-5.00% $1,000.00 $90.00 $1,090.00 9.00%

-10.00% $1,000.00 $90.00 $1,090.00 9.00%

-15.00% $1,000.00 $90.00 $1,090.00 9.00%

-20.00% $1,000.00 $90.00 $1,090.00 9.00%

-25.00% $1,000.00 $90.00 $1,090.00 9.00%

-30.00% $950.00 $90.00 $1,040.00 4.00%

-40.00% $850.00 $90.00 $940.00 -6.00%

-60.00% $650.00 $90.00 $740.00 -26.00%

-80.00% $550.00 $90.00 $640.00 -36.00%

-100.00% $250.00 $90.00 $340.00 -66.00%

FWP-10

Hypothetical Examples of the Final SettlementValue

The three examples below set forth a samplingof hypothetical Final Settlement Values based on the following assumptions:

4 Principal Amount: $1,000

4 Buffer Level: -25%

The following examples indicate how theFinal Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the Notes. In addition to the FinalSettlement Value, you will be entitled to receive annual coupon payments of [$30.00 - $32.50] (to be determined on the PricingDate) on each Coupon Payment Date.

Example 1: The level of the Least PerformingUnderlying increases from the Initial Level to the Final Level by 10.00%.

Reference Return: 10.00%

Final Settlement Value: $1,000.00

Although the Reference Return of the LeastPerforming Underlying is positive, you will not participate in increases in either Underlying. Since the Reference Return of theLeast Performing Underlying is greater than Buffer Level, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amountof Notes.

Example 1 shows that you will receive thereturn of your principal investment if the Reference Return of the Least Performing Underlying is greater than the Buffer Level,but you will not participate in increases in any Underlying above the Initial Level.

Example 2: The level of the Least PerformingUnderlying decreases from the Initial Level to the Final Level by -10.00%.

Reference Return: -10.00%

Final Settlement Value: $1,000.00

Because the Reference Return of the LeastPerforming Underlying is less than zero but greater than the Buffer Level, the Final Settlement Value would be $1,000.00 per $1,000Principal Amount of Notes.

Example 2 shows that you will receive thereturn of your principal investment if the Reference Return of the Least Performing Underlying is negative but greater than theBuffer Level.

Example 3: The level of the Least PerformingUnderlying decreases from the Initial Level to the Final Level by -40%.

Reference Return: -40.00%

Final Settlement Value: $850.00

Here, the Reference Returnof the Least Performing Underlying is -40.00%. Because the Reference Return of the Least Performing Underlying is less than theBuffer Level of -25%, the Final Settlement Value would be $850.00 per $1,000 Principal Amount of Notes calculated as follows

$1,000 + [$1,000 (Reference Return + 25%)]

= $1,000 + [$1,000 (-40.00% + 25%)]

= $850.00

Example 3 shows that youwill lose 1.00% of the Principal Amount of your Notes for each percentage point that the Reference Return of the Least PerformingUnderlying is below -25%. YOU WILL LOSE UP TO 75% OF THE PRINCIPAL AMOUNT OF YOUR NOTES.

FWP-11

INFORMATION RELATING TO THE REFERENCE ASSET

THE S&P 500 Index (SPX)

Description of the SPX

The SPX is a capitalization-weighted index of 500 U.S. stocks. It is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

The top 5 industry groups by market capitalization as of September 30, 2016 were: Information Technology, Health Care, Financials, Consumer Discretionary, and Consumer Staples.

For more information about the SPX, see S&P 500 Index on page S-44 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the SPX

The following graph sets forth the historical performance of the SPX based on the daily historical closing levels from January 1, 2008 through October 26, 2016. The closing level for the SPX on October 26, 2016 was 2,139.43. We obtained the closing levels below from the Bloomberg Professional service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from the Bloomberg Professional service.

The historical levels of the SPX should not be taken as an indicationof future performance, and no assurance can be given as to the Official Closing Level of the SPX on the Final Valuation Date.

FWP-12

The Russell 2000 Index (RTY)

Description of the RTY

The RTY is designed to track the performance of the small capitalization segment of the United States equity market. All 2,000 stocks are traded on the New York Stock Exchange or NASDAQ, and the RTY consists of the smallest 2,000 companies included in the Russell 3000 Index. The Russell 3000 Index is composed of the 3,000 largest United States companies as determined by market capitalization and represents approximately 98% of the United States equity market.

The top 5 industry groups by market capitalization as of September 30, 2016 were: Financial Services, Technology, Health Care, Consumer Discretionary and Producer Durables.

For more information about the RTY, see The Russell 2000 Index beginning on page S-6 of the accompanying Equity Index Underlying Supplement.

Historical Performance of the RTY

The following graph sets forth the historical performance of the RTY based on the monthly historical closing levels from January 1, 2008 through October 26, 2016. The closing level for the RTY on October 26, 2016 was 1,204.749. We obtained the closing levels below from Bloomberg Professional service. We have not undertaken any independent review of, or made any due diligence inquiry with respect to, the information obtained from Bloomberg Professional service.

The historical levelsof the RTY should not be taken as an indication of future performance, and no assurance can be given as to the Official ClosingLevel of the RTY on the Final Valuation Date.

FWP-13

EVENTS OF DEFAULT AND ACCELERATION

If the Notes have become immediatelydue and payable following an Event of Default (as defined in the accompanying prospectus), the calculation agent will determine(i) the accelerated Payment at Maturity due and payable in the same general manner as described in Payment at Maturityin this free writing prospectus and (ii) any accrued but unpaid interest payable based upon the Annual Coupon Rate calculated onthe basis of a 360-day year consisting of twelve 30-day months. In that case, the scheduled trading day preceding the date of accelerationwill be used as the Final Valuation Date for purposes of determining the accelerated Reference Return for each Underlying. If amarket disruption event exists with respect to an Underlying on that scheduled trading day, then the accelerated Final ValuationDate will be postponed for up to five scheduled trading days (in the same general manner used for postponing the originally scheduledFinal Valuation Date). The accelerated Maturity Date will also be postponed by an equal number of business days. For the avoidanceof doubt, if no market disruption event exists with respect to an Underlying on the scheduled trading day preceding the date ofacceleration, the determination of such Underlyings Reference Return will be made on such date, irrespective of the existenceof a market disruption event with respect to the other Underlying occurring on such date.

If the Notes have become immediatelydue and payable following an Event of Default, you will not be entitled to any additional payments with respect to the Notes. Formore information, see Description of Debt Securities Senior Debt Securities Events of Default inthe accompanying prospectus.

SUPPLEMENTAL PLAN OF DISTRIBUTION (CONFLICTSOF INTEREST)

We have appointed HSBC Securities (USA)Inc., an affiliate of HSBC, as the agent for the sale of the Notes. Pursuant to the terms of a distribution agreement, HSBC Securities(USA) Inc. will purchase the Notes from HSBC at the price to public less the underwriting discount set forth on the cover pageof the pricing supplement to which this free writing prospectus relates, for distribution to other registered broker-dealers orwill offer the Notes directly to investors. HSBC Securities (USA) Inc. proposes to offer the Notes at the price to public set forthon the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may payvarying underwriting discounts of up to 1.50% per $1,000 Principal Amount of Notes in connection with the distribution of the Notesto other registered broker-dealers.

An affiliate of HSBC has paid or may payin the future an amount to broker dealers in connection with the costs of the continuing implementation of systems to support theNotes.

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

See SupplementalPlan of Distribution (Conflicts of Interest) on page S-59 in the prospectus supplement.

U.S. FEDERAL INCOME TAX CONSIDERATIONS

There is no direct legal authority as tothe proper tax treatment of the Notes, and therefore significant aspects of the tax treatment of the Notes are uncertain as toboth the timing and character of any inclusion in income in respect of the Notes. Under one approach, each Note should be treatedas a put option written by you (the Put Option) that permits us to cash settle the Put Option, anda deposit with us of cash in an amount equal to the Principal Amount of the Note (the Deposit) to secure your potentialobligation under the Put Option, as described in the accompanying prospectus supplement under the heading U.S. Federal IncomeTax Considerations Tax Treatment of U.S. Holders Certain Notes Treated as a Put Option and a Deposit or an ExecutoryContract Certain Notes Treated as a Put Option and a Deposit. We intend to treat the Notes consistent withthis approach, and we intend to treat the Deposits as non-contingent debt instruments for U.S. federal income tax purposes. Pursuantto the terms of the Notes, you agree to treat each Note as consisting of the Deposit and the Put Option for all U.S. federal incometax purposes. Subject to the limitations described therein, and based on certain factual representations received from us,in the opinion of our special U.S. tax counsel, Morrison & Foerster LLP, it is reasonable to treat a Note as consisting ofthe Deposit and the Put Option for all U.S. federal income tax purposes. Because there are no statutory provisions, regulations,published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities withterms that are substantially the same as those of the Notes, other characterizations and treatments are possible and the timingand character of income in respect of the Notes might differ from the treatment described above. We do not plan to request a rulingfrom the Internal Revenue Service (the IRS) regarding the tax treatment of the Notes, and the IRS or a court maynot agree with the tax treatment described in this free writing prospectus.

FWP-14

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

U.S. Holders. Please see the discussionunder the heading U.S. Federal Income Tax Considerations Tax Treatment of U.S. Holders Certain Notes Treatedas a Put Option and a Deposit or an Executory Contract Certain Notes Treated as a Put Option and a Deposit in theaccompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to U.S. holders(as defined in the accompanying prospectus supplement). For purposes of dividing the Annual Coupon Rate of 3.00% - 3.25% on theNotes among interest on the Deposit and Put Premium, []% constitutes interest on the Deposit and []% constitutesPut Premium.

Non-U.S. Holders. Please see thediscussion under the heading U.S. Federal Income Tax Considerations Tax Treatment of Non-U.S. Holders inthe accompanying prospectus supplement for further discussion of U.S. federal income tax considerations applicable to non-U.S.holders (as defined in the accompanying prospectus supplement). Because the U.S. federal income tax treatment (including the applicabilityof withholding) of coupon payments on the Notes is uncertain, the entire amount of the coupon payment will be subject to U.S. federalincome tax withholding at a 30% rate (or at a lower rate under an applicable income tax treaty). We will not pay any additionalamounts in respect of such withholding. Additionally, recently finalized Treasury Regulations provide that withholding on dividendequivalent payments (as discussed in the accompanying prospectus supplement), if any, will not apply to Notes issued beforeJanuary 1, 2017.

Foreign Account Tax Compliance Act.The IRS has announced that withholding under the Foreign Account Tax Compliance Act (as discussed in the accompanying prospectussupplement) on payments of gross proceeds from a sale, exchange or redemption or other disposition of the Notes will only applyto dispositions after December 31, 2018.

PROSPECTIVE PURCHASERS OF NOTES SHOULDCONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND DISPOSITIONOF NOTES.

FWP-15

TABLE OF CONTENTS

You should only rely on the information contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus. If anyone provides you with different or inconsistent information, you should not rely on it. This free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus are not an offer to sell these Notes, and these documents are not soliciting an offer to buy these Notes, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances, assume that the information in this free writing prospectus, the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus is correct on any date after their respective dates.

HSBC USA Inc.

$ Buffered Fixed Rate Notes

Linked to the S&P 500 Index and
the Russell 2000 Index

November 2, 2016

FREE WRITING PROSPECTUS

Free Writing Prospectus

General FWP-4

Payment at Maturity FWP-5

Investor Suitability FWP-6

Risk Factors FWP-7

Illustrative Examples FWP-10

The Reference Asset FWP-12

Events of Default and Acceleration FWP-14

Supplemental Plan of Distribution (Conflicts of Interest) FWP-14

U.S. Federal Income Tax Considerations FWP-14

Equity Index Underlying Supplement

Disclaimer S-1

Risk Factors S-2

The DAX Index S-7

The Dow Jones Industrial AverageSM S-9

The EURO STOXX 50 Index S-11

The FTSE 100 Index S-13

The Hang Seng Index S-14

The Hang Seng China Enterprises Index S-16

The KOSPI 200 Index S-19

The MSCI Indices S-22

The NASDAQ 100 Index S-26

The Nikkei 225 Index S-30

The PHLX Housing SectorSM Index S-32

The Russell 2000 Index S-36

The S&P 100 Index S-40

The S&P 500 Index S-44

The S&P 500 Low Volatility Index S-47

The S&P BRIC 40 Index S-50

The S&P MidCap 400 Index S-52

The TOPIX Index S-55

Additional Terms of the Notes S-57

Prospectus Supplement

Risk Factors S-1

Pricing Supplement S-8

Description of Notes S-10

Use of Proceeds and Hedging S-33

Certain ERISA Considerations S-34

U.S. Federal Income Tax Considerations S-37

Supplemental Plan of Distribution (Conflicts of Interest) S-59

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 25

Description of Purchase Contracts 29

Description of Units 32

Book-Entry Procedures 35

Limitations on Issuances in Bearer Form 40

U.S. Federal Income Tax Considerations Relating to Debt Securities 40

Plan of Distribution (Conflicts of Interest) 49

Notice to Canadian Investors 52

Notice to EEA Investors 53

Notice to UK Investors 54

UK Financial Promotion 54

Certain ERISA Matters 55

Legal Opinions 57

Experts 58

FWP2v451969_fwp.pdfFREE WRITING PROSECTUS

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