# EDGAR Filing Document

**Accession Number:** 0000083246
**File Stem:** 0001104659-25-071115
**Filing Date:** 2025-7
**Character Count:** 46843
**Document Hash:** 0fb735bc9094cd4670910c1eb03f66e8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-071115.hdr.sgml**: 20250728

**ACCESSION NUMBER**: 0001104659-25-071115

**CONFORMED SUBMISSION TYPE**: FWP

**PUBLIC DOCUMENT COUNT**: 8

**FILED AS OF DATE**: 20250728

**DATE AS OF CHANGE**: 20250728

**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:** 251154987

**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 dated <br> July 28, 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;<br> Units<br> $10 principal amount per unit<br> CUSIP No. <br> ![](tm2519575d201_fwp001.jpg) | &nbsp;&nbsp;&nbsp;Pricing Date\*<br> Settlement Date\*<br> Maturity Date\* | &nbsp;&nbsp;&nbsp;August , 2025<br> September , 2025<br> August , 2030 |
| &nbsp;&nbsp;&nbsp;<br> Units<br> $10 principal amount per unit<br> CUSIP No. <br> ![](tm2519575d201_fwp001.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;**Leveraged Index Return Notes<sup>®</sup> Linked to the EURO <br> STOXX 50<sup>®</sup> Index**<br>▪ Maturity of approximately five years<br>▪ [190% to 210%] leveraged upside exposure to increases in the Index<br>▪ 1-to-1 downside exposure to decreases in the Index, with up to 100.00% 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;**Leveraged Index Return Notes<sup>®</sup> Linked to the EURO <br> STOXX 50<sup>®</sup> Index**<br>▪ Maturity of approximately five years<br>▪ [190% to 210%] leveraged upside exposure to increases in the Index<br>▪ 1-to-1 downside exposure to decreases in the Index, with up to 100.00% 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;**Leveraged Index Return Notes<sup>®</sup> Linked to the EURO <br> STOXX 50<sup>®</sup> Index**<br>▪ Maturity of approximately five years<br>▪ [190% to 210%] leveraged upside exposure to increases in the Index<br>▪ 1-to-1 downside exposure to decreases in the Index, with up to 100.00% 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 $9.00 and $9.50 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;(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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

Summary

The Leveraged Index Return Notes<sup>®</sup> Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030 (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 EURO STOXX 50<sup>®</sup> Index (the "Index"), is greater than the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion 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;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Term:** | &nbsp;&nbsp;Approximately five years | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Market Measure:** | &nbsp;&nbsp;The EURO STOXX 50<sup>®</sup> Index (Bloomberg symbol: "SX5E"), a price return index | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Starting Value:** | &nbsp;&nbsp;The closing level of the Index on the pricing date. | &nbsp;&nbsp;![](tm2519575d201_fwp002.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;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Threshold Value:** | &nbsp;&nbsp;100% of the Starting Value | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Participation Rate:** | &nbsp;&nbsp;[190% to 210%]. The actual Participation Rate will be determined on the pricing date. | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Maturity Valuation Period:** | &nbsp;&nbsp;Five scheduled calculation days shortly before the maturity date. | &nbsp;&nbsp;![](tm2519575d201_fwp002.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-11. | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |
| &nbsp;&nbsp;**Calculation Agent:** | &nbsp;&nbsp;BofA Securities, Inc. ("BofAS") and HSBC, acting jointly. | &nbsp;&nbsp;![](tm2519575d201_fwp002.jpg) |

---

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</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 loss of principal if the Index decreases from the Starting Value to the Ending 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. | ▪ 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 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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

Hypothetical Payout Profile

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

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Leveraged Index Return Notes**<sup>®</sup> |  |
| &nbsp;&nbsp;![](tm2519575d201_fwp003.jpg) | &nbsp;&nbsp;This graph reflects the returns on the notes, based on a hypothetical Participation Rate of 200.00% (the midpoint of the Participation Rate range of [190% to 210%]) and the Threshold Value of 100.00% 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. |

---

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 100.00 and a Participation Rate of 200.00%. 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 <br> the Starting Value to the Ending Value** | &nbsp;&nbsp;**Redemption Amount<br> per Unit<sup>(1)</sup>** | &nbsp;&nbsp;**Total Rate of Return on the Notes** |
| &nbsp;&nbsp;0.00 | &nbsp;&nbsp;-100.00% | &nbsp;&nbsp;$0.00 | &nbsp;&nbsp;-100.00% |
| &nbsp;&nbsp;50.00 | &nbsp;&nbsp;-50.00% | &nbsp;&nbsp;$5.00 | &nbsp;&nbsp;-50.00% |
| &nbsp;&nbsp;70.00 | &nbsp;&nbsp;-30.00% | &nbsp;&nbsp;$7.00 | &nbsp;&nbsp;-30.00% |
| &nbsp;&nbsp;85.00 | &nbsp;&nbsp;-15.00% | &nbsp;&nbsp;$8.50 | &nbsp;&nbsp;-15.00% |
| &nbsp;&nbsp;90.00 | &nbsp;&nbsp;-10.00% | &nbsp;&nbsp;$9.00 | &nbsp;&nbsp;-10.00% |
| &nbsp;&nbsp;95.00 | &nbsp;&nbsp;-5.00% | &nbsp;&nbsp;$9.50 | &nbsp;&nbsp;-5.00% |
| &nbsp;&nbsp;97.00 | &nbsp;&nbsp;-3.00% | &nbsp;&nbsp;$9.70 | &nbsp;&nbsp;-3.00% |
| &nbsp;&nbsp; 100.00<sup>(2)(3)</sup> | &nbsp;&nbsp;0.00% | &nbsp;&nbsp;$10.00 | &nbsp;&nbsp;0.00% |
| &nbsp;&nbsp;101.00 | &nbsp;&nbsp;1.00% | &nbsp;&nbsp;$10.20 | &nbsp;&nbsp;2.00% |
| &nbsp;&nbsp;102.00 | &nbsp;&nbsp;2.00% | &nbsp;&nbsp;$10.40 | &nbsp;&nbsp;4.00% |
| &nbsp;&nbsp;105.00 | &nbsp;&nbsp;5.00% | &nbsp;&nbsp;$11.00 | &nbsp;&nbsp;10.00% |
| &nbsp;&nbsp;110.00 | &nbsp;&nbsp;10.00% | &nbsp;&nbsp;$12.00 | &nbsp;&nbsp;20.00% |
| &nbsp;&nbsp;120.00 | &nbsp;&nbsp;20.00% | &nbsp;&nbsp;$14.00 | &nbsp;&nbsp;40.00% |
| &nbsp;&nbsp;150.00 | &nbsp;&nbsp;50.00% | &nbsp;&nbsp;$20.00 | &nbsp;&nbsp;100.00% |

---

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

2) This is the **hypothetical** Threshold Value.

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

**Redemption Amount Calculation Examples:**

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Example 1** | &nbsp;&nbsp;**Example 1** |
| &nbsp;&nbsp;The Ending Value is 50.00, or 50.00% of the Starting Value: | &nbsp;&nbsp;The Ending Value is 50.00, or 50.00% of the Starting Value: |
| &nbsp;&nbsp;Starting Value: 100.00 | &nbsp;&nbsp;Starting Value: 100.00 |
| &nbsp;&nbsp;Threshold Value: 100.00 | &nbsp;&nbsp;Threshold Value: 100.00 |
| &nbsp;&nbsp;Ending Value: 50.00 | &nbsp;&nbsp;Ending Value: 50.00 |
| &nbsp;&nbsp;&nbsp;![](tm2519575d201_fwp004.jpg)<br>| &nbsp;&nbsp;**= $5.00** Redemption Amount per unit |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Example 2** | &nbsp;&nbsp;**Example 2** |
| &nbsp;&nbsp;The Ending Value is 110.00, or 110.00% of the Starting Value: | &nbsp;&nbsp;The Ending Value is 110.00, or 110.00% of the Starting Value: |
| &nbsp;&nbsp;Starting Value: 100.00 | &nbsp;&nbsp;Starting Value: 100.00 |
| &nbsp;&nbsp;&nbsp;Ending Value: 110.00 | &nbsp;&nbsp;&nbsp;Ending Value: 110.00 |
| &nbsp;&nbsp;![](tm2519575d201_fwp005.jpg) | &nbsp;&nbsp;= $12.00 Redemption Amount per unit |

---

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</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;▪ Depending
 on the performance of the Index as measured shortly before the maturity date, you may lose
 up to 100% of the principal amount.

&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;▪ 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;▪ 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-11 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;▪ 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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</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.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Your
 return on the notes may be affected by factors affecting the international securities markets,
 specifically changes within the Eurozone. The Eurozone is and has been undergoing severe
 financial stress and the political, legal, and regulatory ramifications are impossible to
 predict. Changes within the Eurozone could adversely affect the performance of the Index
 and, consequently, the value of the notes. In addition, you will not obtain the benefit of
 any increase in the value of the euro against the U.S. dollar, which you would have received
 if you had owned the securities in the Index during the term of your notes, although the
 level of the Index may be adversely affected by general exchange rate movements in the market.

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

&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

Additional Terms of the Notes

The provisions of this section supersede and replace the definition of "Market Measure Business Day" set forth in the accompanying product supplement EQUITY LIRN-1.

**Market Measure Business Day**

A "Market Measure Business Day" means a day on which:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) the Eurex (or any successor) is open for trading; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) the Index or any successor thereto is calculated and published.

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

The Index

We have derived all information contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available sources. That information reflects the policies of and is subject to change by STOXX Limited ("STOXX"). STOXX is under no obligation to continue to publish, and may discontinue or suspend the publication of the Index at any time. The consequences of STOXX 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***

***Index Composition and Maintenance***

The Index is composed of 50 stocks from 8 Eurozone countries (Belgium, Finland, France, Germany, Ireland, Italy, the Netherlands and Spain) and represents the largest STOXX Supersector leaders in the Eurozone in terms of free-float market capitalization. The SX5E aims to include the 50 Supersector leaders from the EURO STOXX Index by selecting stocks from each of the 20 EURO STOXX Supersectors indices. The 20 STOXX Supersectors are: automobiles and parts; banks; basic resources; chemicals; construction and materials; consumer products and services; energy; financial services; food, beverage and tobacco; health care; industrial goods and services; insurance; media; personal care, drug and grocery stores; real estate; retail; technology; telecommunications; travel and leisure; and utilities.

The Index is weighted by free float market capitalization. Each component's weight is capped at 10% of the Index's total free float market capitalization. Free float weights are reviewed quarterly and the Index's composition is reviewed annually in September. The review cut-off date is the last trading day of August.

Within each of the 20 EURO STOXX Supersector indices, the component stocks are ranked by free float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free float market capitalization of the corresponding EURO STOXX Total Market Index Supersector Index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current component stocks are then added to the selection list. The stocks on the selection list are ranked by free float market capitalization. The largest 40 stocks on the selection list are selected for inclusion in the Index, and the remaining ten stocks are selected from the largest remaining stocks ranked between 41 and 60. If the component number is still below 50, then the largest remaining stocks on the selection list are added until the Index contains 50 stocks. In exceptional cases, STOXX may make additions and deletions to the selection list.

***Index Calculation***

The Index is calculated with the "Laspeyres formula," which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating the index value can be expressed as follows:

Index = <u>free float market capitalization of the Index</u> <br> divisor of the Index

The "free float market capitalization of the Index" is equal to the sum of the product of the price, number of shares, free float factor and weighting cap factor for each component stock as of the time the Index is being calculated.

The Index is also subject to a divisor, which is adjusted to maintain the continuity of Index values despite changes due to corporate actions.

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

***The following graph shows the daily historical performance of the Index in the period from January 1, 2015 through July 21, 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 21, 2025, the closing level of the Index was 5,342.98.***

**Historical Performance of the Index**

![](tm2519575d201_fwp006.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 it, in exchange for a fee, of the right to use certain indices owned and published by STOXX in connection with some products, including the notes.

STOXX and its licensors (the "Licensors") have no relationship to HSBC, other than the licensing of the Index and the related trademarks for use in connection with the notes.

STOXX and its Licensors do <u>not</u>:

&nbsp;&nbsp;&nbsp;&nbsp;▪ Sponsor,
 endorse, sell or promote the notes.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Recommend
 that any person invest in the notes or any other securities.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Have
 any responsibility or liability for or make any decisions about the timing, amount or pricing
 of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Have
 any responsibility or liability for the administration, management or marketing of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Consider
 the needs of the notes or the holders of the notes in determining, composing or calculating
 the Index or have any obligation to do so.

STOXX and its Licensors will not have any liability in connection with the notes. Specifically,

&nbsp;&nbsp;&nbsp;&nbsp;▪ STOXX
 and its Licensors do not make any warranty, express or implied and disclaim any and all warranty
 about:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o The results to be obtained by the notes, the holder of the notes or
 any other person in connection with the use of the Index and the data included in the Index;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o The accuracy or completeness of the Index and its data;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o The merchantability and the fitness for a particular purpose or use
 of the Index and its data;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o STOXX and its Licensors will have no liability for any errors, omissions
 or interruptions in the Index or its data;

&nbsp;&nbsp;&nbsp;&nbsp;▪ Under
 no circumstances will STOXX or its Licensors be liable for any lost profits or indirect,
 punitive, special or consequential damages or losses, even if STOXX or its Licensors knows
 that they might occur.

The licensing agreement between HSBC and STOXX is solely for their benefit and not for the benefit of the holders of the notes or any other third parties.

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

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;· 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;· 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;· 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 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

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

Leveraged Index Return Notes<sup>®</sup> <br> <u>Linked to the EURO STOXX 50<sup>®</sup> Index, due August , 2030</u>

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:** `tm2519575-201_fwp.pdf`

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