Free Writing Prospectus - Form FWP

·  [1.01 to 1.21]-to-1 upside exposure to increases in the Market Measure, subject to the Capped Value

·  A positive return equal to the absolute value of the percentage decline in the level of the Market Measure only if the Market Measure does not decline by more than 15.00% (e.g., if the negative return of the Market Measure is -5.00%, you will receive a positive return of +5.00%)

·  1-to-1 downside exposure to decreases in the Market Measure beyond a 15.00% decline, with up to 85.00% of your principal at risk

https://www.sec.gov/Archives/edgar/data/83246/000110465924112246/tm2425322d381_fwp.htm

You should read the relevant Preliminary Offering Documents before you invest. Click on the Preliminary Offering Documents hyperlink above or call your Financial Advisor for a hard copy.

Risk Factors

Please see the Preliminary Offering Documents for a description of certain risks related to this investment, including, but not limited to, the following:

·        Depending on the performance of the Market Measure as measured shortly before the maturity date, you may lose up to 85.00% of the principal amount.

·        Any positive return on the notes is limited. The notes provide for a positive return if the level of the Market Measure increases or does not decrease by more than 15.00%. However, any positive return on the notes based on the appreciation of the Market Measure will be limited to the return represented by the Capped Value. In addition, the absolute value return feature applies only if the Ending Value is less than the Starting Value but greater than or equal to the Threshold Value. Because the Threshold Value will be 85.00% of the Starting Value, any positive return due to the depreciation of the Market Measure will be limited to 15.00%. Any decline in the Ending Value from the Starting Value by more than 15.00% will result in a loss, rather than a positive return, on the notes.

·        Your investment return may be less than a comparable investment directly in the stocks included in the Market Measure.

·        Payments on the notes, including any repayment of principal, are subject to the credit risk of HSBC. If HSBC becomes insolvent or is unable to pay its obligations, you may lose your entire investment.

·        The estimated initial value of the notes on the pricing date will be less than their public offering price.

·        If you attempt to sell the notes prior to maturity, their market value may be lower than both the public offering price and the estimated initial value of the notes on the pricing date.

·        As a noteholder, you will have no rights of a holder of the securities represented by the Market Measure, and you will not be entitled to receive securities, dividends or other distributions by the issuers of those securities.

Final terms will be set on the pricing date within the given range for the specified Market-Linked Investment. Please see the Preliminary Offering Documents for complete product disclosure, including related risks and tax disclosure.