# EDGAR Filing Document

**Accession Number:** 0000083246
**File Stem:** 0001104659-25-072008
**Filing Date:** 2025-7
**Character Count:** 48621
**Document Hash:** 77e536e5103a5be371d28cca55dc8efd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-072008.hdr.sgml**: 20250730

**ACCESSION NUMBER**: 0001104659-25-072008

**CONFORMED SUBMISSION TYPE**: FWP

**PUBLIC DOCUMENT COUNT**: 8

**FILED AS OF DATE**: 20250730

**DATE AS OF CHANGE**: 20250730

**SUBJECT COMPANY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HSBC USA INC /MD/
- **CENTRAL INDEX KEY:** 0000083246
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 132764867
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** FWP
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 333-277211
- **FILM NUMBER:** 251165042

**BUSINESS ADDRESS:**
- **STREET 1:** 66 HUDSON BOULEVARD
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10001
- **BUSINESS PHONE:** 212-525-5000

**MAIL ADDRESS:**
- **STREET 1:** 66 HUDSON BOULEVARD
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10001
**FILED BY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HSBC USA INC /MD/
- **CENTRAL INDEX KEY:** 0000083246
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **ORGANIZATION NAME:** 02 Finance
- **EIN:** 132764867
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** FWP

**BUSINESS ADDRESS:**
- **STREET 1:** 66 HUDSON BOULEVARD
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10001
- **BUSINESS PHONE:** 212-525-5000

**MAIL ADDRESS:**
- **STREET 1:** 66 HUDSON BOULEVARD
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10001

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Subject to Completion**<br> **Preliminary Term Sheet** <br> **dated July 30, 2025** | &nbsp;&nbsp;**Filed Pursuant to Rule 433<br> Registration Statement No. 333-277211<br> (To Prospectus dated February 21, 2024,<br> Prospectus Supplement dated February 21, 2024 and** <br> **Product Supplement EQUITY LIRN-1 dated March 28, 2024)** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp; Units<br> $10 principal amount per unit<br> CUSIP No. <br> ![](tm2519575d255_fwpimg003.jpg) | &nbsp;&nbsp;&nbsp;Pricing Date\*<br> Settlement Date\*<br> Maturity Date\* | &nbsp;&nbsp;August , 2025<br> September , 2025<br> August , 2031 |
| &nbsp;&nbsp;&nbsp; Units<br> $10 principal amount per unit<br> CUSIP No. <br> ![](tm2519575d255_fwpimg003.jpg) | &nbsp;&nbsp;&nbsp;\*Subject to change based on the actual date the notes are priced for initial sale to the public (the "pricing date") | &nbsp;&nbsp;&nbsp;\*Subject to change based on the actual date the notes are priced for initial sale to the public (the "pricing date") |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Leveraged Index Return Notes<sup>®</sup> Linked to the Dow Jones Industrial Average<sup>®</sup>**<br>▪ Maturity of approximately six years<br>▪ [101.00% to 121.00%] leveraged upside exposure to increases in the Index<br>▪ Return of principal if the Index does not change or decreases by no more than 15.00%<br>▪ 1-to-1 downside exposure to decreases in the Index beyond a 15.00% decline, with up to 85.00% of the principal amount at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC USA Inc.<br>▪ No interest payments<br>▪ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪ No listing on any securities exchange | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Leveraged Index Return Notes<sup>®</sup> Linked to the Dow Jones Industrial Average<sup>®</sup>**<br>▪ Maturity of approximately six years<br>▪ [101.00% to 121.00%] leveraged upside exposure to increases in the Index<br>▪ Return of principal if the Index does not change or decreases by no more than 15.00%<br>▪ 1-to-1 downside exposure to decreases in the Index beyond a 15.00% decline, with up to 85.00% of the principal amount at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC USA Inc.<br>▪ No interest payments<br>▪ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪ No listing on any securities exchange | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Leveraged Index Return Notes<sup>®</sup> Linked to the Dow Jones Industrial Average<sup>®</sup>**<br>▪ Maturity of approximately six years<br>▪ [101.00% to 121.00%] leveraged upside exposure to increases in the Index<br>▪ Return of principal if the Index does not change or decreases by no more than 15.00%<br>▪ 1-to-1 downside exposure to decreases in the Index beyond a 15.00% decline, with up to 85.00% of the principal amount at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC USA Inc.<br>▪ No interest payments<br>▪ In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪ No listing on any securities exchange |

---

**The notes are being issued by HSBC USA Inc. ("HSBC"). Investing in the notes involves a number of risks. There are important differences between the notes and a conventional debt security, including different investment risks and costs. See "Risk Factors" beginning on page TS-6 of this term sheet and "Risk Factors" beginning on page PS-7 of product supplement EQUITY LIRN-1.** 

**The estimated initial value of the notes on the pricing date is expected to be between $9.35 and $9.85 per unit, which will be less than the public offering price listed below. The market value of the notes at any time will reflect many factors and cannot be predicted with accuracy.** See "Summary" on page TS-2 and "Risk Factors" beginning on page TS-6 of this term sheet for additional information.

Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document, the accompanying product supplement, prospectus or prospectus supplement. Any representation to the contrary is a criminal offense.

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;<u>Per Unit</u> | &nbsp;&nbsp;<u>Total</u> |
| &nbsp;&nbsp;Public offering price<sup>(1)</sup> | &nbsp;&nbsp;$10.00 | &nbsp;&nbsp;$|
| &nbsp;&nbsp;Underwriting discount<sup>(1)</sup> | &nbsp;&nbsp;$0.25 | &nbsp;&nbsp;$|
| &nbsp;&nbsp;Proceeds, before expenses, to HSBC | &nbsp;&nbsp;$9.75 | &nbsp;&nbsp;$|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) For any purchase of 300,000 units
 or more in a single transaction by an individual investor or in combined transactions with
 the investor's household in this offering, the public offering price and the underwriting
 discount will be $9.95 per unit and $0.20 per unit, respectively. See "Supplement to
 the Plan of Distribution" below.

**The notes:**

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Are Not FDIC Insured** | &nbsp;&nbsp;**Are Not Bank Guaranteed** | &nbsp;&nbsp;**May Lose Value** |

---

**BofA Securities**

August , 2025

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

Summary

The Leveraged Index Return Notes<sup>®</sup> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031 (the "notes") are our senior unsecured debt securities and are not a direct or indirect obligation of any third party. The notes are not deposit liabilities or other obligations of a bank and are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction. **The notes will rank equally with all of our other senior unsecured debt. Any payments due on the notes, including any repayment of principal, depend on the credit risk of HSBC and its ability to satisfy its obligations as they come due.** The notes provide you a leveraged return if the Ending Value of the Market Measure, which is the Dow Jones Industrial Average<sup>®</sup> (the "Index"), is greater than the Starting Value. If the Ending Value is equal to or less than the Starting Value but greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk. See "Terms of the Notes" below.

The estimated initial value of the notes will be less than the price you pay to purchase the notes. The estimated initial value is determined by reference to our or our affiliates' internal pricing models and reflects our internal funding rate, which is the borrowing rate we pay to issue market-linked notes, and the market prices for hedging arrangements related to the notes (which may include call options, put options or other derivatives). This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. The difference in the borrowing rate, as well as the underwriting discount and the costs associated with hedging the notes, including the hedging-related charge described below, will reduce the economic terms of the notes (including the Participation Rate). The estimated initial value will be calculated on the pricing date and will be set forth in the pricing supplement to which this term sheet relates.

---

| | | |
|:---|:---|:---|
| Terms of the Notes | Terms of the Notes | Redemption Amount Determination |
| &nbsp;&nbsp;**Issuer:** | &nbsp;&nbsp;HSBC USA Inc. ("HSBC") | &nbsp;&nbsp;On the maturity date, you will receive a cash payment per unit determined as follows: |
| &nbsp;&nbsp;**Principal Amount:** | &nbsp;&nbsp;$10.00 per unit | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Term:** | &nbsp;&nbsp;Approximately six years | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Market Measure:** | &nbsp;&nbsp;The Dow Jones Industrial Average<sup>®</sup> (Bloomberg symbol: "INDU"), a price return index | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Starting Value:** | &nbsp;&nbsp;The closing level of the Index on the pricing date. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Ending Value:** | &nbsp;&nbsp;The average of the closing levels of the Index on each calculation day occurring during the Maturity Valuation Period. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-24 of product supplement EQUITY LIRN-1. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Threshold Value:** | &nbsp;&nbsp;85% of the Starting Value, rounded to two decimal places. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Participation Rate:** | &nbsp;&nbsp;[101.00% to 121.00%]. The actual Participation Rate will be determined on the pricing date. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Maturity Valuation Period:** | &nbsp;&nbsp;Five scheduled calculation days shortly before the maturity date. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Fees Charged:** | &nbsp;&nbsp;The public offering price of the notes includes the underwriting discount of $0.25 per unit as listed on the cover page and an additional charge of $0.05 per unit more fully described on page TS-12. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |
| &nbsp;&nbsp;**Calculation Agent:** | &nbsp;&nbsp;BofA Securities, Inc. ("BofAS") and HSBC, acting jointly. | &nbsp;&nbsp;![](tm2519575d255_fwpimg01.jpg) |

---

Leveraged Index Return Notes<sup>®</sup> TS-2

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

The terms and risks of the notes are contained in this term sheet and the documents listed below (together, the "Note Prospectus"). The documents have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated below or obtained from Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") or BofAS by calling 1-800-294-1322:

---

| | |
|:---|:---|
| ▪ | Product supplement EQUITY LIRN-1 dated March 28, 2024: |
|  | [https://www.sec.gov/Archives/edgar/data/83246/000110465924040346/tm249697d81_424b5.htm](https://www.sec.gov/Archives/edgar/data/83246/000110465924040346/tm249697d81_424b5.htm) |
| ▪ | Prospectus supplement dated February 21, 2024: |
|  | [https://www.sec.gov/Archives/edgar/data/83246/000110465924025878/tm244959d1_424b2.htm](https://www.sec.gov/Archives/edgar/data/83246/000110465924025878/tm244959d1_424b2.htm) |
| ▪ | Prospectus dated February 21, 2024: |
|  | [https://www.sec.gov/Archives/edgar/data/83246/000110465924025864/tm244959d13_424b3.htm](https://www.sec.gov/Archives/edgar/data/83246/000110465924025864/tm244959d13_424b3.htm) |

---

*Our Central Index Key, or CIK, on the SEC website is 83246.* Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. You should carefully consider, among other things, the matters set forth under "Risk Factors" in the section indicated on the cover of this term sheet. The notes involve risks not associated with conventional debt securities. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY LIRN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us," "our," or similar references are to HSBC.

Investor Considerations

---

| | |
|:---|:---|
| **You may wish to consider an investment in the notes if:** | **The notes may not be an appropriate investment for you if:** |
| ▪ You anticipate that the Index will increase from the Starting Value to the Ending Value.<br>▪ You are willing to risk a substantial loss of principal if the Index decreases from the Starting Value to an Ending Value that is below the Threshold Value.<br>▪ You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.<br>▪ You are willing to forgo dividends or other benefits of owning the stocks included in the Index.<br>▪ You are willing to accept that a secondary market is not expected to develop for the notes, and understand that the market prices for the notes, if any, may be less than the principal amount and will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and the fees charged, as described on page TS-2.<br> ▪ You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.<br>| ▪ You believe that the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.<br>▪ You seek 100% principal repayment or preservation of capital.<br>▪ You seek interest payments or other current income on your investment.<br>▪ You want to receive dividends or other distributions paid on the stocks included in the Index.<br>▪ You seek an investment for which there will be a liquid secondary market.<br>▪ You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes. |

---

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Leveraged Index Return Notes<sup>®</sup> TS-3

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

Hypothetical Payout Profile

The graph below is based on **hypothetical** numbers and values.

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Leveraged Index Return Notes<sup>®</sup>**<br>![](tm2519575d255_fwpimg02.jpg) | &nbsp;&nbsp;This graph reflects the returns on the notes, based on a hypothetical Participation Rate of 111.00% (the midpoint of the Participation Rate range of [101.00% to 121.00%]) and the Threshold Value of 85% of the Starting Value. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the stocks included in the Index, excluding dividends.<br>This graph has been prepared for purposes of illustration only.<br>|

---

Hypothetical Payments at Maturity

The following table and examples are for purposes of illustration only. They are based on **hypothetical** values and show **hypothetical** returns on the notes. **The actual amount you receive and the resulting total rate of return will depend on the actual Starting Value, Threshold Value, Participation Rate, Ending Value, and term of your investment.**

The following table is based on a Starting Value of 100, a Threshold Value of 85.00 and a Participation Rate of 111.00%. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Ending Value** | &nbsp;&nbsp;**Percentage Change from the <br> Starting Value to the Ending Value** | &nbsp;&nbsp;**Redemption Amount<br> per Unit<sup>(1)</sup>** | &nbsp;&nbsp;**Total Rate of Return on the<br> Notes** |
| &nbsp;&nbsp; 0.00 | &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;$1.500 | &nbsp;&nbsp;-85.00% |
| &nbsp;&nbsp;50.00 | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;$6.500 | &nbsp;&nbsp;-35.00% |
| &nbsp;&nbsp;70.00 | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;$8.500 | &nbsp;&nbsp;-15.00% |
| &nbsp;&nbsp; 85.00<sup>(2)</sup> | &nbsp;&nbsp;-15.00% | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;90.00 | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;95.00 | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;97.00 | &nbsp;&nbsp;-3.00% | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp; 100.00<sup>(3)</sup> | &nbsp;&nbsp;0.00% | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;101.00 | &nbsp;&nbsp;1.00% | &nbsp;&nbsp;$10.111 | &nbsp;&nbsp;1.11% |
| &nbsp;&nbsp;102.00 | &nbsp;&nbsp;2.00% | &nbsp;&nbsp;$10.222 | &nbsp;&nbsp;2.22% |
| &nbsp;&nbsp;105.00 | &nbsp;&nbsp;5.00% | &nbsp;&nbsp;$10.555 | &nbsp;&nbsp;5.55% |
| &nbsp;&nbsp;110.00 | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;$11.110 | &nbsp;&nbsp;11.10% |
| &nbsp;&nbsp;120.00 | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;$12.220 | &nbsp;&nbsp;22.20% |
| &nbsp;&nbsp;150.00 | &nbsp;&nbsp;50.00% | &nbsp;&nbsp;$15.550 | &nbsp;&nbsp;55.50% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) The Redemption Amount per unit is based on the **hypothetical** Participation
 Rate.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) This is the **hypothetical** Threshold Value.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) The **hypothetical** Starting Value of 100.00 used in these examples
 has been chosen for illustrative purposes only, and does not represent a likely actual Starting
 Value for the Index.

For recent actual levels of the Index, see "The Index" section below. The Index is a price return index and as such the Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Leveraged Index Return Notes<sup>®</sup> TS-4

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

**Redemption Amount Calculation Examples**

---

| | |
|:---|:---|
| **Example 1** | **Example 1** |
| The Ending Value is 50.00, or 50.00% of the Starting Value: | The Ending Value is 50.00, or 50.00% of the Starting Value: |
| Starting Value: | 100.00 |
| Threshold Value: | 85.00 |
| Ending Value: | 50.00 |

---

---

| | |
|:---|:---|
| ![](tm2519575d225_fwpimg004.jpg) | Redemption Amount per unit |

---

---

| | |
|:---|:---|
| **Example 2** | **Example 2** |
| The Ending Value is 95.00, or 95.00% of the Starting Value: | The Ending Value is 95.00, or 95.00% of the Starting Value: |
| Starting Value: | 100.00 |
| Threshold Value: | 85.00 |
| Ending Value: | 95.00 |
| Redemption Amount (per unit) **= $10.000**, the principal amount, since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value. | Redemption Amount (per unit) **= $10.000**, the principal amount, since the Ending Value is less than the Starting Value but equal to or greater than the Threshold Value. |

---

**Example 3**

The Ending Value is 110.00, or 110.00% of the Starting Value:

Starting Value: 100.00

Ending Value: 110.00

---

| | |
|:---|:---|
| <br> ![](tm2519575d225_fwpimg005.jpg)<br>| **= $11.110** Redemption Amount per unit |

---

Leveraged Index Return Notes<sup>®</sup> TS-5

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

Risk Factors

*We urge you to read the section "Risk Factors" in the product supplement and in the accompanying prospectus supplement. Investing in the notes is not equivalent to investing directly in the stocks included in the Index. You should understand the risks of investing in the notes and should reach an investment decision only after careful consideration, with your advisers, with respect to the notes in light of your particular financial and other circumstances and the information set forth in this term sheet and the accompanying product supplement, prospectus supplement and prospectus.*

 

*In addition to the risks in the product supplement identified below, you should review "Risk Factors" in the accompanying prospectus supplement, including the explanation of risks relating to the notes described in the section "— Risks Relating to All Note Issuances."*

 

**<u>Structure-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Depending
 on the performance of the Index as measured shortly before the maturity date, you may lose
 up to 85% of the principal amount.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Your
 investment return may be less than a comparable investment directly in the stocks included
 in the Index.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Your
 return on the notes may be less than the yield you could earn by owning a conventional fixed
 or floating rate debt security of comparable maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Payments
 on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness
 are expected to affect the value of the notes. If we become insolvent or are unable to pay
 our obligations, you may lose your entire investment.

**<u>Valuation- and Market-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 estimated initial value of the notes will be less than the public offering price and may
 differ from the market value of the notes in the secondary market, if any. We will determine
 the estimated initial value by reference to our or our affiliates' internal pricing
 models. These pricing models consider certain assumptions and variables, which can include
 volatility and interest rates. These pricing models rely in part on certain forecasts about
 future events, which may prove to be incorrect. Different pricing models and assumptions
 could provide valuations for the notes that are different from our estimated initial value.
 The estimated initial value will reflect our internal funding rate we use to issue market-linked
 notes, as well as the mid-market value of the hedging arrangements related to the notes (which
 may include call options, put options or other derivatives).

&nbsp;&nbsp;&nbsp;&nbsp;▪ Our
 internal funding rate for the issuance of these notes is lower than the rate we would use
 when we issue conventional fixed or floating rate debt securities. This is one of the factors
 that may result in the market value of the notes being less than their estimated initial
 value. As a result of the difference between our internal funding rate and the rate we would
 use when we issue conventional fixed or floating rate debt securities, the estimated initial
 value of the notes may be lower 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
 terms of the notes to be more favorable to you.

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 price of your notes in the secondary market, if any, immediately after the pricing date is
 expected to be less than the public offering price. The public offering price takes into
 account certain costs, principally the underwriting discount, the hedging costs described
 on page TS-12 and the costs associated with issuing the notes. The costs associated with
 issuing the notes will be used or retained by us or one of our affiliates. If you were to
 sell your notes in the secondary market, if any, the price you would receive for your notes
 may be less than the price you paid for them.

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 estimated initial value does not represent a minimum price at which we, MLPF&S, BofAS
 or any of our respective 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 market, if any,
 at any time after issuance will vary based on many factors, including the level of the Index
 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ A
 trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS
 is obligated to make a market for, or to repurchase, the notes. There is no assurance that
 any party will be willing to purchase your notes at any price in any secondary market.

**<u>Conflict-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;▪ Our
 business, hedging and trading activities, and those of MLPF&S, BofAS and our respective
 affiliates (including trades in shares of companies included in the Index), and any hedging
 and trading activities we, MLPF&S, BofAS or our respective affiliates engage in for our
 clients' accounts, may affect the market value and return of the notes and may create
 conflicts of interest with you.

&nbsp;&nbsp;&nbsp;&nbsp;▪ There
 may be potential conflicts of interest involving the calculation agents, one of which is
 us and one of which is BofAS. We have the right to appoint and remove the calculation agents.

Leveraged Index Return Notes<sup>®</sup> TS-6

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

**<u>Market Measure-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 Index sponsor may adjust the Index in a way that affects its level, and has no obligation
 to consider your interests.

&nbsp;&nbsp;&nbsp;&nbsp;▪ As
 a noteholder, you will have no rights of a holder of the securities represented by the Index,
 and you will not be entitled to receive securities, dividends or other distributions by issuers
 of those securities.

&nbsp;&nbsp;&nbsp;&nbsp;▪ While
 we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of
 companies included in the Index, we, MLPF&S, BofAS and our respective affiliates do not
 control any company included in the Index, and have not verified any disclosure made by any
 other company.

**<u>Tax-related Risks</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a
 holder of the notes. See "Summary Tax Consequences" below and "U.S. Federal
 Income Tax Summary" beginning on page PS-37 of product supplement EQUITY LIRN-1.

Leveraged Index Return Notes<sup>®</sup> TS-7

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

The Index

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components, have been derived from publicly available sources, which we have not independently verified. The information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC ("SPDJI" or the "Index sponsor"). The Index sponsor, which licenses the copyright and all other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor discontinuing publication of the Index are discussed in the section entitled "Description of the Notes—Discontinuance of an Index" beginning on page PS-26 of product supplement EQUITY LIRN-1. None of us, the calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of the Index or any successor index.

***General***

The Index is a price-weighted index of 30 blue-chip companies, which covers all industries except transportation and utilities.

According to S&P Dow Jones Indices LLC ("S&P"), the composition of the Index is determined by the Averages Committee, which is composed of two representatives of The Wall Street Journal (the "WSJ") and three representatives of S&P. There are no pre-determined criteria for selection of a component stock, except that the Index is designed to measure the performance of some of the largest U.S. companies and provide suitable sector representation with the exception of the transportation industry group and utilities sector which are covered by other Dow Jones indices. While stock selection is not governed by quantitative rules, a stock typically is added to the index only if the company has an excellent reputation, demonstrates sustained growth and is of interest to a large number of investors. Maintaining adequate sector representation within the index is also a consideration in the selection process. The inclusion of any particular company in the Index does not constitute a prediction as to the company's future results of operations or stock market performance. For the sake of continuity, changes to the composition of the Index are made on an as-needed basis, and typically occur following corporate actions or market developments. Constituent changes are typically announced one to five days before they are scheduled to be implemented.

***Computation of the Index***

The Index is a price-weighted index rather than a market capitalization-weighted index. In essence, the Index consists of one share of each of the 30 stocks included in the Index. Thus, the weightings of the components of the Index are affected only by changes in their prices, while the weightings of stocks in other indices are affected by price changes and changes in shares outstanding.

The Index is calculated by adding up the prices of the 30 constituent stocks and dividing the total by a divisor. The divisor is adjusted to ensure the continuity of the Index. The divisor is now an arbitrary number that reflects adjustments over time resulting from spin-offs, rights offerings, stock splits, stock dividends and other corporate actions, as well as additions to and deletions from the Index. Accordingly, the divisor is no longer equal to the number of components in the Index. The current divisor of Index is published daily in the WSJ and other publications.

While S&P currently employs the above methodology to calculate the Index, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect the performance of the Index.

Leveraged Index Return Notes<sup>®</sup> TS-8

 ****

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

 ****

***The following graph shows the daily historical performance of the Index in the period from January 1, 2015 through July 23, 2025. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On July 23, 2025, the closing level of the Index was 45,010.29.***

**Historical Performance of the Index**

![](tm2519575d225_fwpimg006.jpg)

***This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.***

 ****

Before investing in the notes, you should consult publicly available sources for the levels of the Index.

**License Agreement**

HSBC or one of its affiliates has entered into a nonexclusive license agreement providing for the license to HSBC or to one of its affiliates, in exchange for a fee, of the right to use indices owned and published by S&P in connection with some products, including the notes.

S&P<sup>®</sup> is a registered trademark of Standard & Poor's Financial Services LLC ("Standard & Poor's") and Dow Jones<sup>®</sup>, DJIA<sup>®</sup>, The Dow<sup>®</sup> and INDU are trademarks of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P and its affiliates and sublicensed for certain purposes by HSBC. The Index is a product of S&P and/or its affiliates, and has been licensed for use by HSBC.

The notes are not sponsored, endorsed, sold or promoted by S&P, Dow Jones, Standard & Poor's or any of their respective affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices' only relationship to HSBC with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard to HSBC or the notes. S&P Dow Jones Indices has no obligation to take the needs of HSBC or the owners of the notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. S&P is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by HSBC, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the Index and the notes.

Leveraged Index Return Notes<sup>®</sup> TS-9

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY HSBC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING, BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND HSBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

Supplement to the Plan of Distribution

We may deliver the notes against payment therefor in New York, New York on a date that is greater than one business day following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in one business day, unless the parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement of the notes occurs more than one business day from the pricing date, purchasers who wish to trade the notes more than one business day prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S and/or one of its affiliates acting as a principal in effecting the transaction for your account.

MLPF&S will purchase the notes from BofAS for resale, and will receive a selling concession in connection with the sale of the notes in an amount up to the full amount of underwriting discount set forth on the cover of this term sheet.

MLPF&S and BofAS may repurchase and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated prices, and these will include MLPF&S's and BofAS's trading commissions and mark-ups or mark-downs. MLPF&S and BofAS may act as principal or agent in these market-making transactions; however, neither is obligated to engage in any such transactions. At their discretion, for a short, undetermined initial period after the issuance of the notes, MLPF&S and BofAS may offer to buy the notes in the secondary market at a price that may exceed the estimated initial value of the notes. Any price offered by MLPF&S or BofAS for the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index, the remaining term of the notes, and the issuer's creditworthiness. However, neither we nor any of our affiliates are obligated to purchase your notes at any price, or at any time, and we cannot assure you that we, MLPF&S, BofAS or any of our respective affiliates will purchase your notes at a price that equals or exceeds the estimated initial value of the notes.

The value of the notes shown on your account statement provided by MLPF&S will be based on BofAS's estimate of the value of the notes if BofAS or one of its affiliates were to make a market in the notes, which it is not obligated to do. This estimate will be based upon the price that BofAS may pay for the notes in light of then-prevailing market conditions, and other considerations, as mentioned above, and will include transaction costs. At certain times, this price may be higher than or lower than the estimated initial value of the notes.

The distribution of the Note Prospectus in connection with these offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized to, rely on the Note Prospectus for information regarding HSBC or for any purpose other than that described in the immediately preceding sentence.

An investor's household, as referenced on the cover of this term sheet, will generally include accounts held by any of the following, as determined by MLPF&S in its discretion and acting in good faith based upon information then available to MLPF&S:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the investor's
 spouse (including a domestic partner), siblings, parents, grandparents, spouse's parents,
 children and grandchildren, but excluding accounts held by aunts, uncles, cousins, nieces,
 nephews or any other family relationship not directly above or below the individual investor;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a family investment
 vehicle, including foundations, limited partnerships and personal holding companies, but
 only if the beneficial owners of the vehicle consist solely of the investor or members of
 the investor's household as described above; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a trust where the
 grantors and/or beneficiaries of the trust consist solely of the investor or members of the
 investor's household as described above; provided that, purchases of the notes by a
 trust generally cannot be aggregated together with any purchases made by a trustee's
 personal account.

Purchases in retirement accounts will not be considered part of the same household as an individual investor's personal or other non-retirement account, except for individual retirement accounts ("IRAs"), simplified employee pension plans ("SEPs"), savings incentive

Leveraged Index Return Notes<sup>®</sup> TS-10

<u>Leveraged Index Return Notes<sup>®</sup><br> Linked to the Dow Jones Industrial Average<sup>®</sup>, due August , 2031</u>  

match plan for employees ("SIMPLEs"), and single-participant or owners only accounts (i.e., retirement accounts held by self-employed individuals, business owners or partners with no employees other than their spouses).

Please contact your Merrill financial advisor if you have any questions about the application of these provisions to your specific circumstances or think you are eligible.

**Role of MLPF&S and BofAS**

BofAS will participate as selling agent in the distribution of the notes. Under our distribution agreement with BofAS, BofAS will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated underwriting discount.

At maturity, we are required to pay the Redemption Amount to holders of the notes, which will be calculated based on the performance of the Index and the $10 per unit principal amount. In order to meet these payment obligations, at the time we issue the notes, we may choose to enter into certain hedging arrangements (which may include call options, put options or other derivatives) with BofAS or one of its affiliates. The terms of these hedging arrangements are determined by BofAS seeking bids from market participants, which could include one of our affiliates and MLPF&S, BofAS and their affiliates. These hedging arrangements take into account a number of factors, including the issuer's creditworthiness, interest rate movements, the volatility of the Index, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes depend in part on the terms of the hedging arrangements.

BofAS has advised us that the hedging arrangements will include a hedging-related charge of approximately $0.05 per unit, reflecting an estimated profit to be credited to BofAS from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and losses from these hedging arrangements may be realized by BofAS or any third party hedge providers.

For further information, see "Risk Factors" beginning on page PS-7 of product supplement EQUITY LIRN-1.

Summary Tax Consequences

You should consider the U.S. federal income tax consequences of an investment in the notes, including the following:

&nbsp;&nbsp;&nbsp;&nbsp;▪ There is no statutory,
 judicial, or administrative authority directly addressing the characterization of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;▪ You agree with us
 (in the absence of an administrative determination, or judicial ruling to the contrary) to
 characterize and treat the notes for all tax purposes as pre-paid executory contracts with
 respect to the Index.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Under this characterization
 and tax treatment of the notes, a U.S. holder (as defined in the prospectus supplement) generally
 will recognize capital gain or loss upon maturity or upon a sale or exchange of the notes
 prior to maturity. This capital gain or loss generally will be long-term capital gain or
 loss if you held the notes for more than one year.

&nbsp;&nbsp;&nbsp;&nbsp;▪ No assurance can
 be given that the IRS or any court will agree with this characterization and tax treatment.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Under current
 IRS guidance, withholding on "dividend equivalent" payments (as discussed in
 the product supplement), if any, should not apply to the notes unless the notes are "delta-one"
 instruments. Based on our determination that the notes are not delta-one instruments, non-U.S.
 holders (as defined in the prospectus supplement) should not generally be subject to withholding
 on dividend equivalent payments, if any, under the notes.

**You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. You should review carefully the discussion under the section entitled "U.S. Federal Income Tax Summary" beginning on page PS-37 of product supplement EQUITY LIRN-1.**

Where You Can Find More Information

We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request by calling MLPF&S or BofAS toll-free at 1-800-294-1322.

"Leveraged Index Return Notes<sup>®</sup>" and "LIRNs<sup>®</sup>" are registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.

Leveraged Index Return Notes<sup>®</sup> TS-11

### Attached PDF Documents

**Attachment 1:** `tm2519575-225_fwp.pdf`

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