# EDGAR Filing Document

**Accession Number:** 0000083246
**File Stem:** 0001104659-26-070559
**Filing Date:** 2026-6
**Character Count:** 101305
**Document Hash:** 1cb88a427ca8799aa5bf7c156754035b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-26-070559.hdr.sgml**: 20260604

**ACCESSION NUMBER**: 0001104659-26-070559

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 29

**FILED AS OF DATE**: 20260604

**DATE AS OF CHANGE**: 20260604

**FILER**: 

**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:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-277211
- **FILM NUMBER:** 261065635

**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

![](tm2616470d110_img001.jpg)

F i l e d P u r s u a n t t o R u le 4 2 4 (b) (2) Re g is t r a t i on No . 3 3 3 - 2 7 72 1 1 J u n e 2 , 2 0 2 6 P RICIN G S U P P L E M E N T (T o P r o s p e ct u s d a t e d F e b r u a r y 2 1 , 2 0 2 4 , P r o s p e c t u s S u pp l e m en t d a t e d F e b r u a r y 2 1 , 2 02 4 a n d S t o ck - L in k ed Un d e r ly i n g S u p p le m e n t d a t e d F e b r u a r y 21 , 2 02 4) P S - 1 HS B C US A I n c . $7 0 0 , 0 0 0 A u toc a l labl e C o n ti n gent I nc o me B a rri e r N o te s Link e d t o t h e L e a s t P e r f or m i n g o f t h e E q u i t y S e c ur i t i e s o f Workd a y , I n c . a n d T h e H om e D e p ot , I n c . (t h e " R ef e ren c e A s s e t ") ► M o n t h l y C o n t i n g e n t C ou p o n p ay m e n t s a t a r a t e o f a p p r o x i m a t e l y 2 . 2 33 3 % (e q u i v a l en t t o 2 6 . 8 0 % p e r a nn u m) , p a ya b l e i f t h e O ff i c i a l C l o s i n g P r i c e o f e ac h U nd e r l y i ng on t h e a p p l i c a b l e O b s e r v a t i o n D a t e i s g r e a t e r t h a n o r e qu a l t o 6 0 . 0 0 % o f i t s I n i t i a l P r i c e ► C a l l ab l e m o n t h l y a t t h e p r i nc i p a l a m o u n t p l u s t h e a p p li ca b l e C on t i n ge n t C o u p o n o n a ny C a l l O bs e r v a t i o n D a t e o n o r a f t e r D e c e m b e r 2 , 2 0 2 6 i f t he O ff i c i a l C l o s i n g P r i ce o f e a c h U n d e r l y i n g i s a t o r a b ov e i t s C a l l T h r e s h o l d ► If t h e N o t e s a r e n o t c a l l e d a n d t h e L e a s t P e r f o r m i n g U n d e r l y i n g d e c l i n es b y m o r e t h a n 4 0 . 0 0 % , t h e r e i s f u ll e x p o s u r e t o d e c l i n e s i n t h e L e a s t P e r f o r m i n g U nd e r l y i n g , a n d y o u w i l l l o s e a l l o r a p o r t i o n o f y o u r p r i n c i p a l a m o u n t ► D ue D e c e m b e r 6 , 2 02 7 , i f n o t c a ll e d ► A ll p ay m e n t s o n t h e N o t es a r e s ub j e c t t o t h e c r e d i t r i s k o f H SB C U SA I n c . T he A u t o c a l l ab l e C o n ti n g e n t I n c o m e B a rr i e r N o t e s (ea c h a " N o t e " a n d c o l l e ct i v e ly t he " No t e s ") o f f e r e d h e r e u n d e r wi l l no t be li s t e d o n a n y s e c u r iti e s e x c h a n g e o r a u t o m a t e d qu o t a t i on s yst e m . Neit h e r t h e U. S . S e c u r itie s a n d E x c h an ge C o mm iss i on (t h e " SE C ") n o r a n y s t a t e s e c u r ities c o mm iss i o n h a s a p p r o v ed o r d is a pp r o v e d o f t he N o t e s o r p a s s ed up o n t he a cc u r a c y o r t h e a d e q u a cy o f t h is do c u m en t , t he a c c o m p a n yi n g p r o s pe c t u s , p r o s p e ct u s s u pp l e m en t o r S t o c k - L i n k e d Un d e r ly i n g S u pp l e m en t . A n y r e p r e s e n t a ti o n t o t h e c on t r a r y is a c r i m in a l o f f e n s e . W e h a v e a p po i n t e d H SB C S e c u r itie s (U S A) In c . , a n a f f i l i a t e o f o u r s, a s t h e a g en t f o r t h e s a le o f t he N o t e s. H S B C S e c u r it i e s (U S A) I n c. w i l l p u r c h a s e t h e N o t e s f r o m u s f o r d ist r i bu t i on t o o t h e r r e g ist e r e d b r o k e r - d ea l e r s o r wi l l o f f e r t h e N o t e s d i r e ctly t o i n v e s t o r s . I n a dd it i on , H SB C S e c u r it i e s (U S A) I n c. o r a n o t h e r o f i t s a f fil i a t e s o r ag e n ts m a y u s e t h is p r ic i n g s u p p le m e n t in m a r k e t - m a k i ng t r a n s a c ti o n s i n a n y N o t e s a f t e r t he i r initi a l s a le . U n l e ss w e o r o u r a g en t i n f o rm y o u o t h e r w i s e i n t h e c o n f i r m a ti o n o f s a le , t h is p r ic i ng s u p p le m e n t is be i n g u s e d i n a m a r k e t - m a kin g t r a n s a cti o n . S e e " S u p p le m e n t a l P la n o f D i s t r i b u ti o n (Co n flicts o f I n t e r e st) " o n p a g e P S - 1 5 o f t h i s d o c u m e n t . I n v e s t m e n t i n t h e N o t es i n v o l v e s c e r t a i n r i s ks . Y o u sh o u l d r e f e r t o "R i sk F a c t o r s " b e g i n n i n g on p a g e P S - 7 o f t h i s d o c u m e n t , p a g e S - 1 o f t h e a c c o m p a n y i n g p r o s p e c t u s s u p p l e m e n t a n d p a g e S - 1 o f t h e a c c o m p a n y i n g S t o c k - L i n k e d U n d e r l y i n g S u p p l e m e n t . T he E sti m a t ed I n it i a l V a l u e o f t he N o t e s o n t h e T r a de Da t e is $9 8 6 . 51 p e r N o t e , wh i c h i s l e s s t h an t h e p r i c e t o pub l i c . T he m a r k e t v a l u e o f t he N o t e s a t a n y t i m e wi l l r e fl e c t m an y f a ct o r s an d c a n n o t b e p r e d ic t ed w i t h a cc u r a c y . S e e " E s ti m a t e d In i ti a l V a lu e " o n p a g e P S - 3 a nd " R i s k F a ct o r s " beg i nn i ng on p a ge P S - 7 o f t h is do c u m e n t f o r add i ti o na l in fo r m a ti o n . P r ice t o P u b l i c Un d e r w r i ti n g Dis c ou n t (1) P r o c e ed s t o I s s ue r P e r N o t e $1 , 00 0 . 0 0 $8 . 0 0 $9 9 2 . 0 0 T o t a l $7 0 0 , 0 0 0 . 0 0 $5 , 60 0 . 0 0 $6 9 4 , 4 0 0 . 0 0 (1) H S B C U S A In c. o r o ne o f o u r a f fil i a t e s m a y p a y v a r y i ng u n d e r w r it i ng d is c ou n ts o f u p to 0 . 80 % p e r $1 , 0 00 P r inc i pa l A m oun t i n c o n n e ct i on w i t h t h e d is t r i b u t i on o f t he N o t e s t o o t h e r r eg i s t e r e d b r o k e r - d e a l e r s. S ee " S u p p le m e n t a l P l an o f D i s t r i bu t i on (C o n flicts o f I n t e r e st) " o n p a g e P S - 15 o f t h i s d o c u m e n t . T he N o t e s : A r e N o t F DIC I n s u r e d A r e N o t B a n k G u a r a n t e e d M a y Lo s e V a l u e

![](tm2616470d110_img002.jpg)

P S - 2 H S B C U S A I n c . Au t o c allabl e C on t i n gent I n c o m e Barri e r N o t e s T h i s do c u m e n t r e l a t e s t o a s in g l e o f f e r i n g o f A u t o c a l l ab l e C o n t i n g en t I n c o m e B a r r i e r No t e s . T h e No t e s wi l l h a v e t he t e r m s d e sc r i bed i n t h i s d o c u m en t an d t h e a c c o m pan y i n g p r o s p e c t u s , p r o s p e c t u s s up p l e m en t an d St o c k - L i n k ed Un d e r l y i n g S up p l e m en t . I f t h e t e r m s o f t h e No te s o f f e r e d he r eb y a r e i n c o n s i s t e n t wi t h t ho s e de s c r i b e d i n t he a c c o m pa n y i ng p r o s pe c t u s , p r o s p e c t u s s up p l e m en t o r St o c k - L i n k e d Un d e r l y i n g S u p p l e m en t , th e t e r ms d e s c r i b ed i n t h i s do c u m e n t s h a ll c on t r o l . T h i s d o c u m en t r e l a t e s t o an o f fe r i n g o f No t e s l i n k e d t o t he p e rf o r m an c e o f t he R e f e r e n c e A s s e t . T he pu r c h a s e r o f a No t e wi l l a c q u i r e a s en i o r u n s e c u r ed d eb t s e c u r i t y o f HSB C USA I n c . li n k e d t o t h e Re f e r e n c e A s s e t a s de s c r i bed be l o w . T h e f o ll o w i ng k e y t e r m s r e l a t e t o t h e o f f e r i n g o f t h e N o t e s : I s s u e r : HSB C USA I n c . Prin c i pa l A m o u nt : $1 , 0 0 0 p e r N o t e Ref e re nce A sse t : T h e C l a s s A c o m m on s t o ck o f W o r k d a y , I n c . (T i ck e r: WDAY) and t h e c o m m on s t o c k o f T he Ho m e D e p o t , I n c . (T i c k e r: H D) (e a c h , a "C o m p a n y " o r an "U n de r l y i n g " a n d t og e t h e r t he "U n de r l y i n g s ") . Tr a d e D a t e : J un e 2 , 2 02 6 Pri c i n g Dat e : J un e 1 , 2 02 6 O rig i n a l I s s u e D a t e : J un e 5 , 2 02 6 F i n a l V a l ua ti o n Dat e : De c e m be r 1 , 2 0 27 , s u b j e c t t o ad j u s t m en t a s d e s c r i b ed u nd e r "A d d i t i on a l Te r m s o f t he N o t e s ―V a l u a t i o n Da te s " i n t h e a cc o m p an y i ng S t o c k - L i n k ed U nde r l y i ng S u pp l e m en t . M a turit y D a t e : De c e m be r 6 , 2 0 27 . T he M a t u r i t y D a t e i s s u b j e c t t o a d j u s t m en t a s de s c r i b ed u nde r "A d d i t i o n a l Te r ms o f t he No te s ―Co u pon P a y m en t D a t e s , C a ll P a y m en t D a t e s and M a t u r i t y D a t e " i n t h e a c c o m pa n y i ng S t o c k - L i n k e d Un d e r l y i n g S u p p l e m en t . Ca l l F e a t ur e : I f the Of f i c i a l C l o s i ng P r i c e o f ea c h U nde r l y i ng i s a t o r a b o v e i t s C a ll T h r e s ho l d o n a n y C a l l O b s e r v a t i o n D a t e t h e N o t e s w i ll b e a u t o m a t i c a l l y c a l l ed , a n d y o u w i l l r e c e i v e a c a s h p a y m en t , pe r $1 , 0 0 0 Pr i n c i p a l A m oun t , equa l to t he Pr i n c i pa l A m o un t p l u s the ap p li c ab l e C on t i n g en t C oupo n o n t he c o rr e s p o nd i n g C a ll P a y m en t Da te . Ca l l T h re s h o l d : W i t h r e s p e c t t o e a c h U nde r l y in g , 10 0 . 0 0 % o f i t s I n i t i a l V a l u e P ayme n t a t M a turit y : Un l e s s t h e N o t e s a r e a u t o m a t i c a l l y c a l l ed , on t he M a t u r i t y D a t e , f o r ea c h $1 , 0 0 0 Pr i n c i p a l A m ou n t , w e w i ll p a y y ou t he F i n a l S e t t l e m en t V a l u e . F i n a l S e t t l e m e nt V a l ue : Un l e s s t h e N o t e s a r e a u t o m a t i c a l l y c a l l ed , f o r e a c h $1 , 000 P r i n c i pa l A m o un t , y o u w il l r e c e i v e a c a s h p a y m en t on th e M a t u r i t y D a t e , c a l c u l a t e d a s f o l l o w s : If th e R e f e r e n c e R e turn of t h e Lea s t P e rform i n g Und e rl y i n g is g r e a t e r th a n or e q u a l t o - 40 . 0 0 % : $1 , 0 0 0 + f i n a l C on t i ng e n t Co u pon .   If th e R e f e re nc e R e turn of t h e Le a s t P e rform i n g Un d e r l y i n g i s le s s t h a n - 40 . 00 % : $1 , 0 0 0 + ($1 , 0 0 0 × R e f e r e n c e Re tu r n o f th e L e a s t P e r f o r m i n g U nde r l y i ng) . I f the N o t e s a r e no t c a l l ed and t h e F i na l V a l u e o f t h e Le a s t P e rf o r m i ng U n de r l y i ng i s l e s s t h an i t s B a r r i e r V a l ue , y o u w i l l l o s e up t o 1 0 0 % o f t he Pr i n c i pa l A m o un t . E v en w i t h a n y C on t i ng e n t C o up o n s , y ou r r e t u r n o n t h e N o t e s m a y b e neg a t i v e i n t h i s c a s e . L e as t P e rfo r m i n g Und e rl y i n g: T h e U n d e r l y i n g w i t h t he l o we s t R e f e r e n c e R e t u r n . Ref e re nce R e turn : W i t h r e s p e c t t o e a c h U nde r l y in g , t h e qu o t i e n t , e x p r e s s ed a s a p e r c en t age , c a l c u l a t e d a s f ol l o w s : F i na l V a l u e – I n i t i a l V a l u e I n i t i a l V a l u e O b s e rv a ti o n D a t e s a n d Co u p o n P a y me nt Dat e s : O b s e rv a ti o n D a t e s Cou p o n P a y me nt D a t e s J un e 3 0 , 20 2 6 J u l y 6 , 20 2 6 A ugu s t 3 , 202 6 A ugu s t 6 , 202 6 S ep t e m be r 2 , 2 0 2 6 S ep t e m be r 8 , 2 0 2 6 O c t o be r 1 , 2 02 6 O c t o be r 6 , 2 02 6 No v e m be r 3 , 2 0 2 6 No v e m be r 6 , 2 0 2 6 De c e m be r 2 , 2 0 2 6 \* De c e m be r 7 , 2 0 2 6 \* \* De c e m be r 3 1 , 2 02 6 \* J an u a r y 6 , 2 0 2 7 \* \* F e b r ua r y 3 , 2 0 2 7 \* F e b r ua r y 8 , 2 0 2 7 \* \* M a r c h 3 , 20 2 7 \* M a r c h 8 , 20 2 7 \* \* A p r il 1 , 2 0 2 7 \* A p r il 6 , 2 0 2 7 \* \* M a y 3 , 2 02 7 \* M a y 6 , 2 02 7 \* \* J un e 2 , 2 02 7 \* J un e 7 , 2 02 7 \* \* J un e 3 0 , 20 2 7 \* J u l y 6 , 20 2 7 \* \* A ugu s t 3 , 202 7 \* A ugu s t 6 , 202 7 \* \* S ep t e m be r 1 , 2 0 2 7 \* S ep t e m be r 7 , 2 0 2 7 \* \*

![](tm2616470d110_img003.jpg)

P S - 3 O c t o be r 1 , 2 02 7 \* O c t o be r 6 , 2 02 7 \* \* No v e m be r 3 , 2 0 2 7 \* No v e m be r 8 , 2 0 2 7 \* \* De c e m be r 1 , 2 0 2 7 \* De c e m be r 6 , 2 0 2 7 \* \* (t h e F i na l V a l u a t i o n D a t e) (t h e M a t u r i t y D a t e) \*T he s e Ob s e r v a t i on D a t e s a r e a l s o C a l l Ob s e r v a t i on D a t e s \* \* T h e s e C o up o n P a y m e n t Da t e s a r e a l s o C a ll P a y m en t D a t e s E a c h s u b j e c t t o po s t p o n e m e n t a s d e s c r i b ed u nde r " A dd i t i o na l Te r ms o f t h e N o t e s — V a l ua t i o n D a t e s " a n d "A dd i t i on a l Te r ms o f t h e N o t e s — Co u pon P a y m en t D a t e s , C a ll P a ym e n t Da t e s and M a t u r i t y Da te " i n the a c c o m p an y i n g S to c k - L i n k ed U nde r l y i n g S u p p l e m en t . Ca l l O b s e rv a t i o n Dat e s : T h e a p p l i c a b l e O b s e r v a t i on D a t e s on o r a f t e r D e c e m b e r 2 , 2 026 , a s i nd i c a t ed a bo v e . Ca l l P ay m e nt Da t es : T h e a p p l i c a b l e C o up o n P a y m en t Da t e s o n o r a f te r D e c e m b e r 7 , 2 026 , a s i n d i c a t e d ab o v e . Con t i n g e nt C o u p o n : If th e Offi c i a l Clo s i n g Pri c e o f e ac h U n d e rl y i n g i s gr ea t e r th a n or e q u a l t o i t s Co u p o n Tri g g e r o n a n O b s e rv a ti o n D a t e , y ou w ill r e c e i v e t he C o n t i n g en t C o up o n o f $2 2 . 3 3 3 p e r $1 , 0 00 Pr i n c i p a l A m oun t on t he app l i c a b l e C o up o n P a ym e n t D a t e . If th e Offi c i a l Clo s i n g Pri c e o f a n y Un d e rl y i n g is l ess t h a n i t s Co u p o n Tri g g e r o n a n Ob se rv a t i o n D a t e , t h e C on t i n g en t C o up o n a p p l i c ab l e t o s u c h Ob s e r v a t i on D a t e w ill n o t b e p a y a b l e t o y ou o n t he r e l e v a n t Co u pon P a y m en t D a t e . Y ou m a y n o t r e c e i v e an y C on t i ngen t C oup o n p a y m en t s o v e r t h e te r m o f th e N o t e s . Con t i n g e nt C o u p o n Rat e : 2 . 2 3 3 3% p e r m on t h (e q u i v a l e n t t o 2 6 . 8 0 % p e r an n u m). I n it ia l V a l ue : $157 . 23 w i t h r e s p e c t t o W DA Y a nd $310 . 69 w i t h r e s p e c t t o H D, e a c h o f w h i c h w a s i t s Off i c i a l C l o s i n g Pr i c e on th e Pr i c i n g D a t e . F i n a l V a l ue : W i t h r e s p e c t t o e a c h U nde r l y in g , i t s Off i c i a l C l o s i n g Pr i c e o n t he F i na l V a l u a t i o n D a t e . Cou p o n T rig g e r: 60 . 0 0 % o f t h e I n i t i a l V a l u e fo r ea c h U nde r l y i ng , w h i c h i s $9 4 . 3380 w i t h r e s p e c t t o W DAY an d $1 8 6 . 4 1 40 w i t h r e s p e c t t o HD . Barri e r V a l ue : 60 . 0 0 % o f t h e I n i t i a l V a l u e fo r ea c h U nde r l y i ng , w h i c h i s $9 4 . 3380 w i t h r e s p e c t t o W DAY an d $1 8 6 . 4 1 40 w i t h r e s p e c t t o HD . C U SIP / IS I N : 40447 ENV 4 / US 4 0 447 ENV 4 7 F o rm of Not e s : B oo k - E n t r y L is ti n g : T h e N o t e s w i ll n o t b e l i s t e d o n an y s e c u r i t i e s e x c h a nge o r q u o t a t i on s y s t e m . E s ti m a t e d I n it i a l V a l ue : T h e E s t i m a t e d In i t i a l V a l ue o f t he N o t e s i s l e s s th a n t h e p r i c e y ou pa y to pu r c ha s e t h e N o t e s . T h e E s t i m a t e d I n i t i a l V a l ue do e s n o t r ep r e s en t a m i n i m u m p r i c e a t wh i c h w e o r a n y o f ou r a f f i l i a t e s w o u l d b e w il l i ng t o pu r c h a s e y o u r N o t e s i n t h e s e c on d a r y m a r k e t , i f a n y , a t a n y t im e . S e e " R i s k F a c t o r s — T h e E s t i m a t ed I n i t i a l V a l ue o f t h e N o t e s , w h i c h w a s d e t e r m i n ed b y u s o n th e T r a d e D a t e , i s l e s s t han t he p r i c e t o p u b li c a n d m a y d i f fe r fr o m the m a r k e t v a l ue o f t h e N o t e s i n t h e s e c o nda r y m a r k e t , i f a n y . "

![](tm2616470d110_img004.jpg)

P S - 4 G E N E R A L T h i s d o c u m e n t r e l a t e s t o an o f fe r i n g o f No t e s l i n k e d t o t h e Re fe r e n c e A s s e t . T h e p u r c ha s e r o f a N o t e wi l l a c qu i r e a s en i o r u n s e c u r ed deb t s e c u r i t y o f HSB C US A I n c . A l t h oug h t he o f fe r i n g o f N o t e s r e l a t e s t o t h e Re fe r en c e A s s e t , y o u s ho u l d no t c on s tr u e t h a t f a c t a s a r e c o mm e nda t i on a s t o t h e m e r i t s o f a c qu i r i ng a n i n v e s t m en t l i n k e d t o t he Re f e r e n c e A ss e t o r an y Un d e r l y i ng o r a s t o t h e s u i t a b i li t y o f a n i n v e s t m en t i n t he N o t e s . Y ou s h o u l d r e a d t h i s d o c u m e n t t oge t he r w i t h t h e p r o s p e c t u s d a t e d F eb r ua r y 21 , 2 0 24 , t h e p r o s p e c t u s s u pp l e m e n t da t e d F e b r ua r y 2 1 , 2024 , a n d t h e St o c k - L i n k e d Un d e r l y i n g S u pp l e m e n t da t e d F eb r ua r y 21 , 20 2 4 . I f t h e t e r m s o f t h e No t e s o f fe r e d he r e b y a r e i n c o n s i s t e n t wi t h t h o s e d e sc r i b e d i n t he a c c o m p an y i ng p r o s pe c t u s , p r o s p e c t u s s u pp l e m e n t o r St o c k - L i n k ed U n de r l y i ng S u p p l e m en t , t h e t e r m s de s c r i b e d i n t h i s d o c u m e n t s h a ll c on t r o l . Y ou s hou l d c a r e f u l l y c on s i de r , a m o ng o t h e r t h i n g s , t h e m a t t e r s s e t f o rt h i n "R i s k F a c t o r s " beg i nn i ng o n p a ge P S - 7 o f t h i s d o c u m en t , page S - 1 o f t h e p r o s pe c t u s s up p l e m en t a n d pa g e S - 1 o f t h e St o c k - L i n k e d Un d e r l y i ng S upp l e m en t , a s t h e No t e s i n v o l v e r i s k s no t a s s o c i a t e d wi t h c o n v e n t i o n a l deb t s e c u r i t i e s . W e u r g e y o u t o c on s u l t y ou r i n v e s t m e n t , l eg a l , t a x , a c c oun t i n g a n d o t h e r ad v i s o r s be f o r e y ou i n v e s t i n t he N o t e s . A s us ed h e r e i n , r e f e r en c e s t o t h e " I s s ue r", "HSB C ", " w e ", " u s " a n d " ou r" a r e to HSBC U S A I n c . HSB C ha s f i l ed a r e g i s tr a t i on s t a t e m e n t (i n c l u d i n g a p r o s p e c t u s , p r o s p e c t u s s u pp l e m e n t and St o c k - L i n k ed U n de r l y i n g S upp l e m e n t) wi t h t h e SEC f o r t h e o f fe r i ng t o wh i c h t h i s do c u m en t r e l a t e s . B e f o r e y ou i n v e s t , y o u s h o u l d r e a d t h e p r o s p e c t u s , p r o s p e c t u s s upp l e m e n t a nd St o c k - L i n k e d U nde r l y i ng S u p p l e m e n t i n t h a t r e g i s t r a t i on s t a t e m e n t a n d o t h e r d o c u m en t s H SBC h a s f il e d w i t h t h e SEC f o r m o r e c o m p l e t e i n f o r m a t i on a b ou t HSB C a nd t h i s o f fe r i ng . Y o u m a y ge t t h e s e d o c u m en t s f o r fr e e b y v i s i t i n g ED G AR on t h e S E C' s we b s i t e a t w w w. s e c . g o v . A l t e r n a t i v e l y , HSB C S e c u r i t i e s (USA) I n c . o r an y de a l e r pa r t i c i p a t i ng i n t h i s o f fe r i ng wi l l a rr a n g e t o s end y ou t h e p r o s p e c t u s , p r o s p e c t u s s u pp le m en t and S t o c k - L i n k ed U n d e r l y i n g S u p p l e m en t i f y ou r equ e s t t h e m b y c a ll i ng (212) 525 8 0 10 . Y ou m a y a l s o o b t a i n :  T h e S t o c k - L i n k ed U nde r l y i ng S upp l e m e n t a t : h tt p s : //ww w . s e c . g o v / A r c h i v e s / ed g ar / da t a / 832 4 6 / 0 001 1 04659 2 402 5 89 2 / tm 2449 5 9d5 _ 424 b 2 . h t m  T h e p r o s p e c t u s s u p p l e m en t a t : h t t p s :// w ww. s e c . g o v/ A r c hi v e s / e dg a r / d a t a / 8 3 24 6 / 00 0 110 4 6592 4 025 8 7 8 /t m 24 4 959d 1 _42 4 b 2 . h t m  T h e p r o s p e c t u s a t : h t t p s: / /www . s e c . g o v / A r c h i v e s / edg a r / d a t a / 8 324 6 / 0 00110 4 659 2 402 5 86 4 / t m 2 449 5 9d1 3 _424b 3 . h t m

![](tm2616470d110_img005.jpg)

P S - 5 P A Y M E N T O N T H E N O T E S Ca l l F e a t ur e I f t h e O f f i c i a l C l o s i ng P r i c e o f ea c h Un d e r l y i n g i s a t o r a bo v e i t s Ca l l T h r e s h o l d on a n y Ca l l O b s e r v a t i o n Da t e t h e No te s w i l l be au t o m a t i c a l l y c a ll e d , a n d y o u wi l l r e c e i v e a c a s h p a y m e n t , pe r $1 , 0 00 Pr i n c i pa l A m ou n t , e q ua l t o t h e Pr i n c i pa l A m ou n t p l u s t h e app l i c a b l e C o n t i nge n t Co u p o n o n t h e c o rr e s po n d i n g C a l l P a ym e n t Da t e . Con t i n g e nt C o u p o n W e wi l l p a y a m on t h l y Co n t i n g en t Co u pon on a C o up o n P a y m en t D a t e i f t h e O f f i c i a l C l o s i ng Pr i c e o f e a c h Un d e r l y i n g o n t h e app l i c ab l e O b s e r v a t i o n Da t e i s g r e a t e r t h an o r e q ua l t o i t s C o up o n T r i g ge r. O t h e rw i s e , no c o u po n wi l l b e pa i d on s u c h C oup o n P a y m en t Da t e . F o r i n f o r m a t i on r ega r d i n g t h e r e c o r d d a t e s a p p l i c a b l e t o t he C on t i n gen t Co u p on s p a y a b l e o n t h e No t e s , p l e a s e s e e t he s e c t i o n en t i t l e d "De s c r i p t i on o f N o t e s — I n t e r e s t and Pr i n c i pa l P a y m e n t s — R e c i p i en t s o f I n t e r e s t P a y m en t s " b eg i n n i n g on p ag e S - 17 i n t h e a c c o m p an y i n g p r o s p e c t u s s up p l e m en t . T he Co n t i n g en t Co u pon Ra t e i s 2 6 . 8 0% p e r an n u m (o r $22 . 3 3 3 pe r $1 , 000 Pr i n c i pa l A m o u n t pe r m o n t h , i f pa y a b l e) . P ayme n t a t M a turit y Un l e s s t h e N o t e s a r e a u t o m a t i c a l l y c a l l ed , o n t h e M a t u r i t y Da te a n d f o r e a c h $1 , 0 00 Pr i n c i pa l A m oun t , y o u wi l l r e c e i v e a c a s h p a ym en t equa l to t he F i n a l S e t t l e m en t V a l ue de t e r m i ned a s f o l l o w s : If th e R e f e r e n c e R e turn of t h e Lea s t P e rform i n g Und e rl y i n g is g r e a t e r th a n or e q u a l t o - 40 . 0 0 % : $1 , 0 0 0 + f i n a l C on t i ng e n t Co u po n   If th e R e f e re nc e R e turn of t h e Le a s t P e rform i n g Un d e r l y i n g i s le s s t h a n - 40 . 00 % : $1 , 0 0 0 + ($1 , 0 0 0 × R e f e r e n c e Re tu r n o f th e L e a s t P e r f o r m i n g U nde r l y i ng) . I f the N o t e s a r e no t au t o m a t i c a ll y c a ll e d a n d t h e F i na l V a l u e o f t h e Le a s t P e r f o r m i n g U nde r l y i n g i s l e ss t ha n i t s B a rr i e r V a l ue , y ou w i ll n o t r e c e i v e t h e f i n a l C on t i n g en t C oupo n , a n d w i l l l o s e up t o 1 00 % o f t he Pr i n c i pa l A m o un t . E v en w i t h a n y C on t i ng e n t C o up o n s r e c e i v e d p r i o r t o m a t u r i t y , y ou r r e t u r n o n t h e No te s m a y b e ne g a t i v e i n t h i s c a s e . Ca lc u la t i o n Ag e n t W e o r o ne o f ou r a f f i li a t e s w il l a c t a s c a l c u l a t i o n a g en t w i t h r e s p e c t t o t h e N o t e s .

![](tm2616470d110_img006.jpg)

P S - 6 IN V ES T O R S UI T A B ILI T Y T h e No t e s m a y be s u i t a b l e f or y o u i f : T h e No t e s m a y n ot b e s u i t a b l e f o r y o u i f :  Y ou be l i e v e t h a t t h e O f f i c i a l Cl o s i ng Pr i c e o f e a c h Un d e r l y i n g wi l l be a t o r a bo v e i t s C o upo n Tr i g ge r o n m o s t o r a l l o f t he O b s e r v a t i on D a t e s , a nd t h e F i n a l V a l u e o f t h e Lea s t P e r f o r m i n g Un d e r l y i n g wi l l b e a t o r ab o v e i t s B a r r i e r V a l ue .  Y ou s e e k a m on t h l y Co n t i n g en t C o up o n , ba s ed o n t h e pe rf o r m a n c e o f t h e Un d e r l y i n g s , t h a t wi l l be pa i d a t t h e Co n t i n g en t Co u pon Ra t e o f 26 . 8 0% p e r an n u m i f t h e O f f i c i a l C l o s i n g Pr i c e o f e a c h Un d e r l y i n g i s g r ea t e r t ha n o r equa l t o i t s C o up o n Tr i gge r o n t h e app l i c ab l e O b s e r v a t i o n Da te .  Y ou a r e w i ll i ng t o i n v e s t i n t he No t e s b a s ed on t h e f a c t t h a t y ou r m a x i m u m po t e n t i a l r e t u r n i s l i m i t ed t o an y Co n t i n g en t C o up o n s pa y ab l e on th e N o t e s .  Y ou d o n o t s e e k a n i n v e s t m en t t h a t p r o v i de s an oppo r t un i t y t o pa r t i c i pa t e in t h e app r e c i a t i o n o f t h e Un d e r l y i n g s .  Y ou a r e wi l li n g t o m a k e a n i n v e s t m e n t t h a t i s e x po s ed t o t h e po t en t i a l d o wn s i de p e rf o r m an c e o f t he L e a s t P e rf o r m i n g Un d e r l y i n g o n a 1 - t o - 1 ba s i s i f t h e N o t e s a r e no t c a l l e d a nd t h e Re fe r e n c e Re tu r n o f t h e Le a s t P e rf o r m i ng U n de r l y i ng i s l e s s t han - 4 0 . 0 0 % .  Y ou a r e w il l i ng t o l o s e u p t o 1 0 0% o f t h e P r i n c i p a l A m oun t .  Y ou a r e wi l li n g t o h o l d t he No t e s , wh i c h w i l l b e au t o m a t i c a l l y c a l l ed o n a n y Ca l l O b s e r v a t i on Da t e o n wh ic h t h e O f f i c i a l Cl o s i n g Pr i c e o f ea c h Un d e r l y i n g i s a t o r abo v e i t s C a ll T h r e s ho l d , o r y ou a r e o t h e rw i s e wi l l i n g t o ho l d t h e N o t e s t o m a t u r i t y .    Y ou a r e w il l i ng t o f o r g o g u a r an t e e d i n t e r e s t p a y m en t s o n t h e N o t e s , a n d t h e d i v i de n d s o r o t he r d i s tr i b u t i on s p a i d o n t h e U n d e r l y i n g s .  Y ou d o n o t s e e k a n i n v e s t m e n t f o r wh i c h t h e r e wi l l be a n a c t i v e s e c on d a r y m a r k e t .  Y ou a r e w i ll i ng t o a c c e p t t h e r i sk and r e t u r n p r o f il e o f t h e No te s v e r s u s a c o n v en t i o na l d e b t s e c u r i t y wi t h a c o m pa r a b l e m a t u r i t y i s s u e d b y HSB C o r a n o t h e r i s s ue r wi t h a s i m i l a r c r ed i t r a t i ng .  Y ou a r e c o m f o rt a b l e w i t h t h e c r ed i tw o rt h i n e ss o f HSB C , a s I ss u e r o f t h e N o t e s .  Y ou be l i e v e t h a t t h e O f f i c i a l Cl os i ng Pr i c e o f a t l e a s t o n e Un d e r l y i n g wi l l be be l o w i t s C oupo n Tr i gge r o n m o s t o r a ll o f t h e O b s e r v a t i on Da t e s , i n c l u d i ng t h e F i n a l V a l ua t i o n Da te , a nd t he F i n a l V a l u e o f t h e L ea s t P e rf o r m i n g Un d e r l y i n g w il l b e be l o w i t s B a rr i e r V a l ue .  Y ou be l i e v e t h a t t h e C o n t i ng en t Co u p on , i f a n y , wi l l no t p r o v i de y ou w i t h y ou r de s i r e d r e t u r n .  Y ou a r e un wi l li n g t o i n v e s t i n t h e N o t e s b a s e d o n t h e f a c t t h a t y ou r m a x i m u m po t e n t i a l r e t u r n i s l i m i t ed t o an y Co n t i n g en t C o up o n s pa y ab l e on th e N o t e s .  Y ou s ee k an i n v e s t m e n t t h a t p r o v i d e s a n o p po rt u n i t y t o pa rt i c i p a t e i n t h e a p p r e c i a t i on o f t h e U nde r l y i ng s .  Y ou a r e u n wi l li n g t o m a k e a n i n v e s t m e n t t ha t i s e x p o s e d t o t h e po t en t i a l do wn s i d e pe rf o r m a n c e o f t h e L e a s t P e rf o r m i n g Un d e r l y i n g o n a 1 - t o - 1 ba s i s i f t h e N o t e s a r e no t c a l l e d a nd t h e Re fe r e n c e Re tu r n o f t h e Le a s t P e rf o r m i ng U n de r l y i ng i s l e s s t han - 4 0 . 0 0 % .  Y ou s e e k an i n v e s t m e n t t ha t p r o v i d e s f u ll r e t u r n o f p r i n c i p a l a t m a t u r i t y .  Y ou a r e u nab l e o r u n wi l l i n g t o ho l d No t e s t h a t wi l l be au t o m a t i c a l l y c a l l ed o n a n y Ca l l O b s e r v a t i on Da t e o n wh ic h t h e O f f i c i a l Cl o s i n g Pr i c e o f ea c h Un d e r l y i n g i s a t o r abo v e i t s Ca l l T h r e s h o l d , o r y ou a r e o t h e r w i s e un a b l e o r un wi l l i ng t o h o l d t h e N o t e s to m a t u r i t y .  Y ou p r e f e r t o r e c e i v e g ua r a n t e ed i n t e r e s t p a y m en t s on t h e No te s , o r t h e d i v i d en d s o r o t he r d i s tr i bu t i on s pa i d o n t h e Un d e r l y i n g s .  Y ou s e e k a n i n v e s t m e n t f o r wh ic h t h e r e w i l l b e a n a c t i v e s e c onda r y m a r k e t.  Y ou p r e f e r t he l o wer r i s k , and t h e r e f o r e a c c ep t t h e po t e n t i a l l y l o we r r e t u r n s , o f c o n v en t i on a l d eb t s e c u r i t i e s wi t h c o m pa r ab l e m a t u r i t i e s i s s ued b y HSB C o r ano t he r i s s ue r w i t h a s i m i l a r c r ed i t r a t i ng .  Y ou a r e n o t w i ll i ng o r a r e un a b l e t o a s s u m e t he c r e d i t r i sk a s s o c i a t e d w i t h HSBC, a s I s s u e r o f t he N o t e s .

![](tm2616470d110_img007.jpg)

P S - 7 RI S K F A C T O R S W e u r g e y ou t o r e ad t he s e c t i on "R i sk F a c t o r s " be g i n n i ng o n pa g e S - 1 o f t he a c c o m pa n y i ng p r o s p e c t u s s u p p l e m en t a n d on pa g e S - 1 o f t h e a cc o m p a n y i ng S t o c k - L i n k ed Un d e r l y i ng S u pp l e m e n t . Y ou s h ou l d u n de r s t a nd t h e r i sk s o f i n v e s t i ng i n t h e No t e s a nd s ho u l d r e a c h a n i n v e s t m en t d e c i s i o n o n l y a f t e r c a r e f u l c o n s i de r a t i o n , wi t h y o u r a d v i s o r s , o f t h e s u i t a b i l i t y o f t h e No t e s i n l i gh t o f y o u r p a r t ic u l a r f i n a n c i a l c i r c u m s t a n c e s a n d t h e i n f o r m a t i o n s e t f o rt h i n t h i s d o c u m e n t a nd t h e a c c o m p a n y i ng , p r o s p e c t u s , p r o s p e c t u s s up p l e m en t a n d S t o c k - L i n k ed U n de r l y i n g S u p p l e m en t . I n a d d i t i on t o the r i s ks d i sc u s s ed b e l o w, y ou s h o u l d r e v i e w " Ri s k F a c t o r s " i n t he a c c o m p a n y i n g p r o s p e c t u s s upp l e m en t a nd S t o c k - L i n k ed Un d e r l y i n g S u p p l e m en t i n c l u di ng th e e x p l a na t i on o f r i s k s r e la t i ng t o t h e N o t e s d e s c r i b e d i n t he f o ll o w i ng s e c t i o n s :  " — Ri s k s R e l a t i n g to A ll N o t e I ss u an c e s " i n t he p r o s p e c t u s s upp l e m e n t ; a n d  " — G ene r a l R i s k s R e l a t e d to R e f e r e n c e S t o c ks " i n t he S t o c k - L i n k ed U n de r l y i n g S u p p l e m en t . Y ou w i l l b e s u b j e c t t o s i gn i f i c a n t r i s k s n o t a s s o c i a t ed w i t h c o n v e n t i o n a l f i x e d - r a t e o r f l oa t i n g - r a t e deb t s e c u r i t i e s . Ri sks R e l a ti n g t o t h e Str u c t ur e o r F e a t ur es o f t h e Not e s Yo u r ret u rn o n th e Not e s i s l i m it e d to t h e Pri n c i pa l A m o u nt p l u s t h e Co n ti n g e nt Cou p o n s , if a n y , re g a rdl e s s o f a n y a p p re c i a t i o n i n t h e v a l u e o f a n y Un d e r l y i n g . F o r e a c h $1 , 0 00 P r i n c i p a l A m oun t , y o u wi l l r e c e i v e $1 , 0 00 a t m a t u r i t y p l u s t h e f i na l Co n t i ngen t Co u p on i f t h e F i na l V a l ue o f t h e Le a s t P e rf o r m i ng U n de r l y i n g i s e qu a l t o o r g r e a t e r t h a n i t s Co u p on Tr i gge r, r ega r d l e ss o f a n y app r e c i a t i o n i n t h e v a l ue o f an y U n d e r l y i n g , wh ic h m a y b e s i g n i f i c an t . A c c o r d i n g l y , t he r e t u r n o n t h e N o t e s m a y b e s i gn i f i c an t ly l e s s t han t h e r e t u r n o n a d i r e c t i n v e s t m e n t i n t h e Un d e r l y i n g s d u r i n g t h e te r m o f the N o t e s . T h e Not e s m a y be ca l l e d pr i or t o t h e M a turit y D a t e . I f t h e No t e s a r e c a l l ed ea r l y , t h e h o l d i ng pe r i od o v e r wh i c h y o u m a y r e c e i v e c oup o n pa ym e n t s c o u l d be a s li t t l e a s a pp r o x i m a t e l y 6 m on t h s . T h e r e i s n o g u a r an t e e t h a t y o u wo u l d be a b l e t o r e i n v e s t t h e p r o c e ed s fr o m a n i n v e s t m e n t i n t h e No t e s a t a c o m pa r a b l e r e t u r n f o r a s i m il a r l e v e l o f r i s k i n t h e e v e n t t h e N o t e s a r e c a ll e d p r i o r to t h e M a t u r i t y D a t e . If th e Not e s a re n ot c a l le d , y o u r ret u rn wil l b e ba s e d o n t h e R e f e re n ce R e tur n o f t h e L e as t P e rfo r m i n g U n d e rl y i n g . I f t h e No t e s a r e no t c a ll e d , y o u r r e t u r n w ill b e b a s ed on t h e Re fe r e n c e Re t u r n o f t he L ea s t P e rf o r m i ng U n de r l y i n g wi t h o u t r e g a r d t o t h e pe rf o r m a n c e o f an y o t h e r U n de r l y i ng . A s a r e s u l t , y ou c ou l d l o s e a l l o r s o m e o f y ou r i n i t i a l i n v e s t m en t i f t h e F i n a l V a l ue o f t h e L e a s t P e rf o r m i n g Un d e r l y i n g i s l e s s t h a n i t s B a r r i e r V a l u e , e v e n i f t h e r e i s a n i n c r e a s e i n t he v a l ue o f a n y o t h e r U n de r l y i n g . T h i s c o u l d b e t h e c a s e e v en i f a n y o t h e r U n de r l y i ng i n c r e a s ed b y a n a m ou n t g r ea t e r t han t h e de c r ea s e i n th e Lea s t P e rf o r m i ng U n d e r l y i n g . Hig h e r Con t i n g e nt Co u p o n Rat e s or l o w e r Barri e r V a l u es a re g e n e r a l ly a s s o c i a t e d w it h Und e rl y i n g s w it h gr e a t e r ex p e c t e d v o la ti l i t y a n d th e ref o r e c a n i n d i c a t e a g r e a t e r ri s k o f l o s s . " V o l a t il i t y " r e f e r s t o t h e fr e qu en c y a nd m a g n i t u de o f c h an ge s i n t h e v a l u e o f a n Un d e r l y i n g . T h e g r e a t e r t h e e x pe c t ed v o l a t i l i t y wi t h r e s p e c t t o a n Un d e r l y i n g o n t h e Tr a d e Da te , t h e h i g he r t h e e x p e c t a t i o n a s o f t h e Tr a d e D at e t h a t t h e v a l u e o f t ha t Un d e r l y i n g c ou l d c l o s e be l o w i t s Co u po n Tr i gge r o n an O b s e r v a t i o n Da t e o r i t s B a rr i e r V a l u e o n t h e F i na l V a l ua t i on D a t e , i n d i c a t i n g a h i ghe r e x p e c t e d r i s k o f non - p a y m en t o f Co n t i n g en t C oupo n s o r l o ss on t he No t e s . T h i s g r e a t e r e x p e c t e d r i sk w i l l gene r a l l y b e r e f l e c t ed i n a h i ghe r Co n t i n ge n t Co u pon Ra t e t h a n t h e y i e l d p a y a b l e on ou r c on v en t i on a l d eb t s e c u r i t i e s wi t h a s i m i l a r m a t u r i t y , o r i n m o r e f a v o r a b l e t e r ms (s u c h a s a l o wer B a r r i e r V a l ue , a l o wer C oupo n Tr i g ge r o r a h i g h e r Co n t i ng e n t Co u pon R a t e) t han f o r s i m il a r s e c u r i t i e s l i n k ed t o t h e p e r f o r m a n c e o f an Un d e r l y i ng wi t h a l o wer e x pe c t ed v o l a t ili t y a s o f t h e T r a d e Da te . Y ou s ho u l d t h e r e f o r e unde r s t a n d t h a t a r e l a t i v e l y h i ghe r Co n t i ng e n t Co u po n Ra t e m a y i n d i c a t e a n i n c r e a s e d r i s k o f l o s s . F u r t he r , a r e l a t i v e l y l o wer B a rr i e r V a lu e m a y no t n e c e s s a r i l y i n d i c a t e t h a t t h e N o t e s ha v e a g r ea t e r l i k e li h ood o f a r epa y m e n t o f p r i n c i pa l a t m a t u r i t y . T h e v o l a t i li t y o f an Un d e r l y i ng c an c han g e s i gn i f i c a n t l y o v e r t h e t e r m o f t h e N o t e s . T h e v a l u e o f a n U n de r l y i n g f o r y ou r No t e s c o u l d f a l l s h a r p l y , wh i c h c o u l d r e s u l t i n a s i g n i f i c an t l o s s o f p r i n c i p a l . Y o u s ho u l d b e wi l li n g t o a c c e p t t h e do w n s i de m a r k e t r i s k o f t he L e a s t P e r f o r m i n g Un d e r l y i n g an d t h e p o t e n t i a l t o l o s e s o m e o r a l l o f y ou r p r i n c i pa l a t m a t u r i t y no t r e c e i v e a n y C on t i ngen t C oup o n s . T h e Not e s d o n o t g u a r a nt e e a n y r e turn of pri n c i pa l a n d y o u m a y l o s e a l l of y o u r P r i n c i pa l Am o u nt . T h e No t e s d o n o t gua r an t e e a n y r e t u r n o f p r i n c i p a l . T h e N o t e s d i f fe r fr o m o r d i n a r y d eb t s e c u r i t i e s i n t h a t we w il l no t p a y y o u 1 0 0 % o f t h e Pr i n c i pa l A m o un t o f y ou r N o t e s i f t h e N o t e s a r e no t c a ll e d a nd t h e F i na l V a l u e o f t h e Le a s t P e rf o r m i n g Un d e r l y i n g i s l e s s t h a n i t s B a rr i e r V a l ue . I n t h i s c a s e , t h e P a y m e n t a t M a t u r i t y y ou w i ll be e n t i t l ed t o r e c e i v e wi l l be l e s s t h a n t h e Pr i n c i p a l A m o un t a n d y ou w ill l o s e 1% f o r ea c h 1% tha t t h e Re fe r e n c e R e t u r n o f t h e L ea s t P e rf o r m i ng U nde r l y i n g i s l e s s t h a n 0 . 00% . Y ou m a y l o s e u p t o 1 0 0% o f y ou r i n v e s t m e n t a t m a t u r i t y . E v en w i t h a n y C o n t i ng e n t Co u po n s r e c e i v e d p r i o r to m a t u r i t y , y ou r r e t u r n o n th e N o t e s m a y b e n e g a t i v e i n t h i s c a s e .

![](tm2616470d110_img008.jpg)

P S - 8 T h e a m o u n t p a ya b l e o n th e Not e s i s n o t l i n ke d to t h e v a l ues of t h e Un d e rl y i n g s a t a n y ti m e o t h e r t h a n t h e O b s e rv a ti o n D a t es , i nc l u d i n g t h e F i n a l V a l u a ti o n D a t e . T h e p a y m e n t s on t h e No t e s w i ll b e b a s e d on t he O f f i c i a l Cl os i ng P r i c e s o f t h e Un d e r l y i ng s on t h e O b s e r v a t i on D a t e s , i n c l ud i n g t h e F i n al V a l ua t i on D a t e , s ub j e c t t o p o s t pon e m en t f o r n o n - tr a d i ng da ys a nd c e rt a i n M a r k e t D i s r u p t i o n E v en t s . E v en i f t he v a l u e o f ea c h U nde r l y i ng i s g r e a t e r t han o r eq u a l t o i t s Co u pon T r i g g e r du r i ng t he t e r m o f t h e No t e s o t h e r t h an on an O b s e r v a t i on Da t e bu t t h en de c r e a s e s o n an O b s e r v a t i o n Da t e t o a v a l u e t ha t i s l e s s t h a n i t s C o upo n T r i gge r , t h e Co n t i n g en t Co u p on wi l l no t b e p a y a b l e f o r t he r e l e v a n t m on t h l y pe r i o d . S i m il a r l y , i f t h e No t e s a r e no t c a l l ed , e v e n i f t he v a l ue o f t h e Le a s t P e r f o r m i ng U nde r l y i n g i s g r ea t e r t h a n o r e q ua l t o i t s B a r r i e r V a l ue d u r i n g t h e t e r m o f t h e No te s o t h e r t h an on t he F i na l V a l ua t i on Da t e bu t t hen d e c r ea s e s o n t h e F i n a l V a l u a t i o n Da t e t o a v a l ue t ha t i s l e ss t han i t s B a rr i e r V a l u e , t he P a y m en t a t M a t u r i t y w ill b e l e s s , p o ss i b l y s i gn i f i c a n t l y l e s s , t h an i t wo u l d h a v e b een h a d t h e P a y m e n t a t M a t u r i t y been li n k ed t o t h e v a l u e o f t he L e a s t P e rf o r m i n g Un d e r l y i n g p r i o r t o s u c h d e c r e a s e . A l t h o ugh t he a c t u al v a l u e s o f t h e Un d e r l y i n g s on t he M a t u r i t y Da te o r a t o t h e r t i m e s d u r i ng t h e t e r m o f t h e No t e s m a y be h i ghe r t h an t he i r r e s p e c t iv e v a l u e s o n t he O b s e r v a t i o n Da t e s , w he t h e r e a c h C o n t i nge n t Co u pon w il l b e p a y a b l e a nd t he P a y m en t a t M a t u r i t y w i ll b e b a s e d s o l e l y on t he O f f i c i a l Cl os i ng Pr i c e s o f t h e U n de r l y i ng s on t h e a p p l i c a b l e O b s e r v a t i on D a t e s . Be c a u s e t h e Not e s a re l i n k e d to th e p e rform a n ce of t h e L e a s t P e rform i n g Und e r l y i n g , y o u a re e x p o s e d to g re a t e r ri sks o f re c e i v i n g n o Co n t i n g e nt C o u p o n s a n d s u s t a i n i n g a s i g n if ica nt l o s s o n y o u r i n ves t m e nt th a n i f t h e Not e s wer e l i n ke d to j u s t o n e Und e rl y i n g . T h e r i s k t h a t y o u wi l l n o t r e c ei v e an y Co n t i n g en t C oup o n s , o r t h a t y o u wi l l s u f fe r a s i gn i f i c an t l o s s o n y ou r i n v e s t m e n t , i s g r ea t e r i f y o u i n v e s t i n t h e No t e s a s o pp o s e d t o s u b s t a n t i a l l y s i m il a r s e c u r i t i e s t h a t a r e li n k e d t o t h e pe r f o r m a n c e o f j u s t o ne U n de r l y i n g . W i t h m u l t i p l e Un d e r l y i n g s , i t i s m o r e l i k e l y t h a t o ne o f t h e Un d e r l y i n g s wi l l c l o s e b e l o w i t s r e s pe c t i v e Co u pon T r i g g e r o n a n y O b s e r v a t i on Da te (i n c l ud i ng t h e F i n a l V a l ua t i on Da te) and be l o w i t s r e s pe c t i v e B a rr i e r V a l ue o n t h e F i n a l V a l ua t i on Da t e , t h a n i f t he No t e s w e r e li n k ed t o on l y o n e Un d e r l y i ng . T h e r e f o r e , i t i s m o r e l i k e l y t h a t y o u wi l l n o t r e c e i v e an y Co n t i n g en t Co u po n s , an d t ha t y o u w il l s u f fe r a s i g n i f i c a n t l o s s on y ou r i n v e s t m e n t . I n ad d i t i o n , b e c a u s e e a c h Un d e r l y i ng m u s t c l o s e ab o v e i t s Ca l l T h r e s h o l d o n a Ca l l O b s e r v a t i o n Da te i n o r d e r f o r th e N o t e s to be c a l l ed , t h e No te s a r e l e s s l i k e l y t o b e c a l l ed th a n i f the N o t e s w e r e li n k e d to j u s t on e U nde r l y i ng . Yo u m a y n ot re c e i v e a n y C o nt i n g e nt C o u p o n s . W e wi l l n o t ne c e s s a r i l y m a k e pe r i o d i c c ou p on p a y m en t s on t h e No t e s . I f t h e O f f i c i a l Cl o s i ng Pr i c e o f a n y Un d e r l y i n g o n an O b s e r v a t i on Da te i s l e s s t h a n i t s C o up o n Tr i gge r , w e w i ll no t p a y y o u t h e Co n t i n g en t Co u p o n a p p l i c a b l e t o t h a t O b s e r v a t i o n Da t e . I f on e a c h o f t h e O b s e r v a t i o n D a t e s , t he O f f i c i a l C l o s i n g Pr i c e o f a n y U n d e r l y i n g i s l e s s t ha n i t s C o up on Tr i g ge r , w e wi l l n o t pa y y o u a n y C o n t i nge n t Co u po n s du r i ng t he t e r m o f , and y ou w i ll n o t r e c e i v e a p o s i t i v e r e t u r n on , t h e No t e s . G ene r a l l y , t h i s n o n - p a y m en t o f t h e Co n t i n g en t Co u pon c o i n c i d e s w i t h a p e r i o d o f g r ea t e r r i s k o f p r i n c i pa l l o s s o n t h e N o t e s . Si nce t h e Not e s a r e l i n k e d t o th e pe rform a n ce o f m or e t h a n o n e Und e r l y i n g , y o u w i l l b e fu l l y e x p o s e d t o th e ri sk o f fl u c t u a t i o ns i n t h e v a l u e o f e a c h Un d e rl y i n g . S in c e t h e N o t e s a r e l i n k e d t o t h e pe r f o r m a n c e o f m o r e t h a n o n e U n de r l y i n g , t h e No t e s wi l l b e l i n k e d t o t h e i n d i v i du al pe r f o r m a n c e o f ea c h U n de r l y i n g . B e c au s e t h e No te s a r e no t l i n k ed t o a ba s k e t , i n w h i c h t h e r i sk i s m i t i g a t e d and d i v e r s i f i ed a m ong a ll o f t h e c o m pon e n t s o f a b a s k e t , y ou wi l l b e e x p o s ed to t h e r i s k o f f l u c t u a t i o n s i n t h e v a l ue o f e a c h U nde r l y i ng . F o r e x a m p l e , i n t he c a s e o f no t e s li n k ed t o a ba s k e t , t h e r e t u r n wo u l d dep e nd o n t h e a g g r e g a t e p e rf o r m a n c e o f t h e b a s k e t c o m p o nen t s r e f l e c t e d a s t h e ba s k e t r e t u r n . T h u s , t h e dep r e c i a t i o n o f a n y ba s k e t c o m po n en t c o u l d b e m i t i g a t e d b y t he a pp r e c i a t i o n o f ano t h e r b a s k e t c o m pon e n t . How e v e r, i n t h e c a s e o f t he s e No t e s , t h e i n d i v i d u a l p e rf o r m a n c e o f e a c h o f t h e Un d e r l y i n g s wo u l d n o t b e c o m b i ned t o c a l c u l a t e y o u r r e t u r n a n d t h e dep r e c i a t i o n o f e i t he r Un d e r l y i ng wo u l d no t b e m i t i g a t e d b y t he a pp r e c i a t i o n o f t h e o t he r U nde r l y i n g . I n s t ead , y ou r r e t u r n w o u l d d e pe n d on th e L e a s t P e rf o r m i n g U nd e r l y i n g . G e n e ra l Ri s k Fac t ors T h e Not e s a re s u b j e c t t o t he c re d it ri s k o f HSB C USA I n c . T h e No t e s a r e s e n i o r u n s e c u r ed d eb t ob l i ga t i o n s o f t he I s s u e r, a n d a r e n o t , e i t he r d i r e c t ly o r i nd i r e c t l y , a n o b li g a t i o n o f a n y t h i r d p a rt y . A s f u rt h e r de s c r i b ed i n t he a cc o m p a n y i ng p r o s p e c t u s s up p l e m en t a nd p r o s p e c t u s , t h e No te s wi l l r an k o n pa r wi t h a ll o f t h e o t h e r un s e c u r e d a n d u n s u b o r d i na t ed de b t o b li g a t i o n s o f HSB C , e x c ep t s u c h o b li g a t i o n s a s m a y be p r e f e rr e d b y ope r a t i on o f l a w. A n y pa y m en t t o b e m a de on t h e No te s , i n c l ud i ng a n y r e t u r n o f p r i n c i pa l a t m a t u r i t y , de p en d s o n t h e ab i li t y o f HSB C t o s a t i s f y i t s o b li g a t i on s a s t h e y c o m e d u e . A s a r e s u l t , t h e a c t u a l a n d pe r c e i v e d c r e d i tw o rt h i n e ss o f HSB C m a y a f f e c t t he m a r k e t v a l ue o f t h e No te s an d , i n t h e e v e n t HSB C w e r e t o d e f au l t o n i t s o b li g a t i o n s , y o u m a y n o t r e c e i v e t h e a m o un t s o we d to y ou u n de r t he te r m s o f t he N o t e s . T h e Not e s a re n o t i n s u r e d o r g u a ra n t e e d b y a n y g o v e rn m e nt a l a g e n c y o f t h e Un i t e d S t a t es o r a n y o t h e r j u ri s d ic ti o n . T h e N o t e s a r e no t de p o s i t li ab ili t i e s o r o t he r ob l i ga t i o n s o f a ban k a nd a r e no t i n s u r e d o r g ua r an t ee d b y t h e F e d e r a l De p o s i t I n s u r a n c e Cor p o r a t i on o r an y o t h e r g o v e r n m e n t a l a ge n cy o r p r o g r a m o f t h e U n i t e d S t a t e s o r a n y o t he r j u r i s d i c t i on . A n i n v e s t m en t i n t h e N o t e s i s s ub j e c t t o t h e c r ed i t r i s k o f H S BC, and i n t h e e v en t t ha t HS B C i s u n ab l e t o p a y i t s ob l i ga t i o n s a s t h e y b e c o m e due , y ou m a y n o t r e c e i v e t h e f u ll p a y m en t s d ue o n t h e N o t e s.

![](tm2616470d110_img009.jpg)

P S - 9 T h e E s ti m a t e d I n it i a l V a l ue of th e Not e s , w h ic h w as d e t e rm i n e d b y u s o n th e Tr a d e Dat e , i s l e ss t h a n th e pri c e to p u b l i c a nd may d if f e r fro m t h e m a r ke t v a l ue o f t h e Not e s i n t h e s ec o n d a ry m a rk e t, i f a n y . T h e E s t i m a t e d I n i t i a l V a l ue o f t he N o t e s w a s c a l c u l a t ed b y u s o n the T r a de D a t e a nd i s l e s s than the p r i c e to p u b l i c . T h e E s t i m a t e d In i t i al V a l ue r e f l e c t s o u r and ou r a f f i li a t e s ' i n t e r n a l f u nd i ng r a t e , wh i c h i s t h e b o r r o wi n g r a t e p a i d t o i s s ue m a r k e t - li n k ed s e c u r i t i e s , a s w e l l a s th e m i d - m a r k e t v a l ue o f t h e e m b e dded d e r i v a t i v e s i n t h e N o t e s . T h i s i n t e r na l f u nd i ng r a t e is t y p i c a l l y l o wer t h an t h e r a t e we wo u l d u s e wh e n we i s s ue c o n v e n t i ona l f i x ed o r f l oa t i ng r a t e d e b t s e c u r i t i e s . A s a r e s u l t o f t h e d i f f e r e n c e b e t we e n o u r i n t e r n a l fu n d i n g r a t e and the r a t e w e wo u l d u s e wh e n we i ss u e c o n v en t i on a l f i x ed o r f l o a t i n g r a t e deb t s e c u r i t i e s , t h e E s t i m a t e d I n i t i a l V a l ue o f t h e No t e s m a y be l o wer i f i t wer e ba s ed on t he p r i c e s a t w h i c h ou r f i x ed o r f l oa t i ng r a t e deb t s e c u r i t i e s tr a de i n t he s e c on d a r y m a r k e t . I n a dd i t i on , i f w e wer e t o u s e t h e r a t e w e u s e f o r o u r c o n v e n t i o n a l f i x ed o r f l oa t i n g r a t e d e b t i ss u a n c e s , we w o u l d e x p e c t t h e e c on o m i c t e r m s o f t h e N o t e s t o be m o r e f a v o r ab l e t o y o u . W e de t e r m in ed t h e v a l ue o f t h e e m be d de d de r i v a t i v e s i n t h e No t e s b y r e f e r e n c e t o ou r o r o u r a f f i li a t e s ' i n t e r n a l p r i c i n g m od e l s . T h e s e p r i c i n g m o de l s c o n s i d e r c e rt a i n a s s u m p t i o n s an d v a r i a b l e s , w h i c h c a n i n c l ud e v o l a t il i t y a n d i n t e r e s t r a t e s . Di f f e r en t p r i c i n g m o de l s an d a s s u m p t i o n s c o u l d p r o v i d e v a l ua t i o n s f o r t h e No t e s t h a t a r e d i f f e r en t f r o m ou r E s t i m a t e d I n i t i a l V a l ue . T h e s e p r i c i n g m od e l s r e l y i n pa r t on c e r t a i n f o r e c a s t s a bou t f u t u r e e v en t s , w h i c h m a y p r o v e t o b e i n c o rr e c t . T he E s t i m a t e d I n i t i a l V a l u e d o e s n o t r ep r e s en t a m i n i m u m p r i c e a t wh ic h w e o r a n y o f ou r a f f i li a t e s w ou l d b e w i ll i n g t o pu r c h a s e y ou r No t e s i n t h e s e c o nda r y m a r k e t (i f a n y e x i s t s) a t a n y t i m e . T h e pri c e of y o u r Not e s i n t h e s e c o n d a r y ma r k e t, if a n y , i m me d i a t e l y a ft e r th e Tr a d e Dat e i s ex p ec t e d to b e l e s s th a n th e pr i ce to p u b l i c . T h e p r i c e t o p ub l i c t a k e s i n t o a c c oun t c e rt a i n c o s t s . T h e s e c o s t s i n c l u de ou r a f f i l i a t e s ' p r o j e c t ed he d g i n g p r o f i t s (wh i c h m a y o r m a y no t be r e a l i z ed) f o r a s s u m i ng r i sk s i n he r e n t i n h e dg i n g o u r o b l i ga t i o n s und e r t h e No t e s , t he unde rwr i t i n g d i s c oun t an d t h e c o s t s a s s o c i a t e d wi t h s t r u c t u r i n g a n d h e dg i ng o u r ob l i ga t i o n s u nde r t h e N o t e s . T h e s e c o s t s w i ll b e u s ed o r r e t a i n ed b y u s o r on e o f o u r a f f i l i a t e s , e xc ep t f o r unde rw r i t i n g d i s c o u n t s p a i d t o una f f il i a t e d d i s t r i bu t o r s . I f y ou wer e t o s e ll y ou r No t e s i n t h e s e c o n da r y m a r k e t , i f a n y , t h e p r i c e y ou wo u l d r e c e i v e f o r y ou r No t e s m a y b e l e s s t h an t he p r i c e y o u p a i d f o r t h e m b e c a u s e s e c o nda r y m a r k e t p r i c e s w il l no t t a k e i n t o a cc o u n t t h e s e c o s t s . T he p r i c e o f y o u r No te s i n t he s e c o n da r y m a r k e t , i f an y , a t a n y t i m e a f t e r i ss u an c e wi l l v a r y b a s e d o n m a n y f a c t o r s , i n c l ud i ng t h e v a l u e s o f t h e Un d e r l y i n g s and c ha n ge s i n m a r k e t c o nd i t i o n s , a n d c a n no t b e p r ed i c t e d wi t h a c c u r a c y . T h e No te s a r e no t de s i gn e d t o be s ho r t - t e r m t r a d i n g i n s tr u m en t s , an d y o u s ho u l d , t h e r e f o r e , b e a b l e a nd w il li ng t o ho l d t he N o t e s t o m a t u r i t y . A n y s a l e o f t h e N o t e s p r i o r t o m a t u r i t y c o ul d r e s u l t i n a l o ss t o y ou . If w e w e r e to re p u r c h a s e y o ur Not e s i m me d i a t e l y a ft e r t h e O rig i n a l I s s u e Dat e , th e pri c e y o u re c e i v e may b e h i g h e r th a n t h e E s ti m a t e d I n it i a l V a l u e o f t h e Not e s . A s s u m i n g t h a t a ll r e l e v a n t f ac t o r s r e m a i n c o n s t a n t a f te r t h e O r i g i na l I ss u e Da te , t h e p r i c e a t wh ic h HSB C S e c u r i t i e s (USA) I n c . m a y i n i t i a l l y bu y o r s e ll t h e No t e s in t h e s e c o n da r y m a r k e t , i f a n y , and t he v a l u e t h a t m a y i n i t i a ll y be u s e d f o r c u s t o m e r a c c ou n t s t a t e m en t s , i f an y , m a y e x c e e d t h e E s t i m a t e d I n i t i a l V a l ue o n t h e Tr a de D a t e f o r a t e m po r a r y pe r i od e x p e c t e d t o be app r o x i m a t e l y 3 m on t h s a f t e r t he O r i g i n a l I s s ue Da te . T h i s t e m po r a r y p r i c e d i f f e r e n c e m a y e x i s t b e c a u s e , i n ou r d i sc r e t i on , we m a y e l e c t t o e f f e c t i v e l y r e i m b u r s e t o i n v e s t o r s a po r t i o n o f t he e s t i m a t e d c o s t o f h ed g i n g ou r o b li ga t i o n s u n d e r t h e No t e s a nd o t h e r c o s t s i n c on n e c t i o n wi t h t he N o t e s t ha t we wi l l n o l o n ge r e x p e c t t o i n c u r o v e r t he t e r m o f t h e N o t e s . W e wi l l m a k e s u c h d i sc r e t i o na r y e l e c t i o n a n d de t e r m i ne t h i s t e m po r a r y r e i m b u r s e m e n t pe r i od on t h e ba s i s o f a n u m be r o f f a c t o r s , i n c l u d i n g t h e t eno r o f t h e No t e s and an y ag r e e m e n t we m a y ha v e w i t h t h e d i s t r i bu t o r s o f t h e No t e s . T h e a m o u n t o f ou r e s t i m a t e d c o s t s wh ic h we e f f e c t i v e l y r e i m bu r s e t o i n v e s t o r s i n t h i s w a y m a y n o t b e a l l o c a t e d r a t a b l y t h r ou g hou t t h e r e i m bu r s e m en t pe r i od , and w e m a y d i s c on t i n u e s u c h r e i m bu r s e m en t a t a n y t i m e o r r e v i s e t h e du r a t i on o f t h e r e i m b u r s e m e n t pe r i od a f te r t h e O r i g i n a l I s s u e Da te o f t h e N o t e s b a s ed on c h a ng e s i n m a r k e t c on d i t i o n s a nd o t he r f a c t o r s t h a t c a n no t be p r ed i c t e d . Yo u w i l l n o t h a v e a n y o w n e r s h i p i n t e re s t i n a n y Un d e rl yi n g . A s a ho l de r o f t he N o t e s , y ou wi l l no t ha v e a n y o wn e r s h i p in t e r e s t i n a n y U n de r l y i n g , s u c h a s r i gh t s t o v o t e , d i v i d en d p a y m e n t s o r o t he r d i s t r i bu t i o n s . B e c au s e t h e r e t u r n on t h e No t e s wi l l no t r e f l e c t a n y d i v i d en d s on t h e Un d e r l y i n g s , t h e No te s m a y u nde r pe r f o r m a n i n v e s t m en t i n t he U n de r l y i n g s . T h e Not e s la c k l i q u i d it y . T h e No t e s wi l l n o t be l i s t ed o n an y s e c u r i t i e s e xc h an g e o r au t o m a t e d quo t a t i o n s y s t e m . HSB C S e c u r i t i e s (USA) I n c . i s no t r eq u i r ed t o o f fe r t o pu r c h a s e t he No t e s i n t h e s e c on d a r y m a r k e t , i f a n y e x i s t s . E v en i f t h e r e i s a s e c o n da r y m a r k e t , i t m a y no t p r o v i de e no ugh li q u i d i t y t o a ll o w y o u t o t r a d e o r s e l l t he No t e s e a s i l y . B e c a u s e o t h e r d ea l e r s a r e n o t li k e l y t o m a k e a s e c on d a r y m a r k e t f o r t h e N o t e s , t h e p r i c e a t wh i c h y ou m a y b e ab l e t o tr a d e y o u r No t e s i s l i k e l y t o dep e nd on t he p r i c e , i f a n y , a t wh i c h HSB C S e c u r i t i e s (USA) I n c . i s wi l li n g t o b u y t h e N o t e s . Pot e nt i a l c o n fl i c t s o f i nt e r e s t m ay ex i s t . A n a f f i li a t e o f HSB C h a s a m i no r i t y eq u i t y i n t e r e s t i n t h e o w ne r o f a n e l e c tr o n i c p l a t fo r m , t h r ough w h i c h we m a y m a k e a v a i l a b l e c e r t a i n s tr u c t u r e d i n v e s t m e n t s o f fe r i n g m a t e r i a l s . HSB C a n d i t s a f fi li a t e s p l a y a v a r i e t y o f r o l e s i n c o n ne c t i o n wi t h t he i s s ua n c e o f t h e No t e s , i n c l ud i ng a c t i ng a s c a l c u l a t i o n age n t a nd h ed g i n g ou r ob l i g a t i o n s u n de r t h e N o t e s . I n pe r f o r m i n g t h e s e du t i e s , t h e e c o no m i c i n t e r e s t s o f t h e c a l c u l a t i o n a g en t a nd o t h e r a f f i li a t e s o f o u r s a r e p o t e n t i a ll y a d v e r s e t o y o u r i n t e r e s t s a s a n i n v e s t o r i n t he No t e s . W e wi l l no t h a v e an y ob l i ga t i on t o c on s i de r y o u r i n t e r e s t s a s a ho l d e r o f the N o t e s i n t a k i n g a n y a c t i on t ha t m i gh t a f f e c t the v a l ue o f y ou r N o t e s .

![](tm2616470d110_img010.jpg)

P S - 1 0 Un ce rta i n t ax tr ea t me nt . F o r a d i sc u s s i on o f t h e U.S. f e de r a l i n c o m e t a x c o n s e q u e n c e s o f y o u r i n v e s t m e n t i n a No te , p l e a s e s ee t he d i s c u s s i on un d e r " U .S . F e de r a l I n c o m e T ax Co n s i de r a t i o n s " he r e i n an d t he d i sc u s s i o n un d e r "U.S . F ede r a l I n c o m e T a x Co n s i de r a t i o n s " i n t h e a cc o m p an y i ng p r o s p e c t u s s u p p l e m en t .

![](tm2616470d110_img011.jpg)

P S - 1 1 IL L U S T RA T I VE E X A M P L E S T h e f o ll o w i ng t a b l e a nd e x a m p l e s a r e p r o v i de d f o r il l u s t r a t i v e pu r po s e s on l y a nd a r e h y po t h e t i c a l . T h e y d o n o t pu r po r t t o b e r ep r e s en t a t i v e o f e v e r y p o s s i b l e sc e na r i o c o n c e r n i n g i n c r e a s e s o r d e c r e a s e s i n t h e v a l u e o f an y Un d e r l y i n g r e l a t i v e t o i t s I n i t i a l V a l u e . W e c a nno t p r ed i c t t h e O f f i c i a l Cl o s i ng P r i c e o f an U n d e r l y i n g on an y O b s e r v a t i on D a t e , i n c l ud i n g t h e F i n a l V a lu a t i on D a t e . T h e a s s u m p t i o n s w e h a v e m a de i n c o nn e c t i on w i t h t he il l u s t r a t i on s s e t f o r t h b e l o w m a y no t r e f l e c t a c t u a l e v e n t s . Y o u s h o u l d n o t t a k e t h i s ill u s tr a t i on o r t h e s e e x a m p l e s a s a n i n d i c a t i o n o r a s s u r a n c e o f t h e e x pe c t e d pe rf o r m a n c e o f t h e U n de r l y i n g s o r t h e r e t u r n on t h e N o t e s . T h e t a b l e an d e x a m p l e s b e l o w ill u s tr a t e ho w t h e C on t i nge n t Co u p o n a n d t h e P a ym e n t a t M a t u r i t y w ou l d be c a l c u l a t e d wi t h r e s p e c t t o a $1 , 0 0 0 i n v e s t m en t i n t h e No t e s , g i v e n a r an g e o f h y p o t h e t i c a l p e rf o r m a n c e s o f an y Un d e r l y i n g . T h e h y po t he t i c a l r e t u r n s o n t h e No t e s be l o w a r e n u m be r s , e x p r e s s e d a s p e r c en t a ge s , t h a t r e s u l t fr o m c o m pa r i ng t h e P a y m e n t a t M a t u r i t y pe r $1 , 0 00 Pr i n c i pa l A m oun t t o $1 , 0 0 0 . T he n u m be r s a p pea r i ng i n t h e f o ll o w i ng t a b l e a nd e x a m p l e s m a y h a v e b e en r ou nded f o r ea s e o f a n a l y s i s . T h e f o l l o w i n g t ab l e and e x a m p l e s a s s u m e th e fo ll o wi n g :  P r i n c i p a l A m o u n t : $1 , 0 0 0  H y p o t he t i c a l I n i t i a l V a l u e o f eac h U nd e r l y i n g : $1 0 0 . 0 0  H y p o t he t i c a l C a l l T h r e s h o l d o f e a c h U n d e r l y i n g : $1 0 0 . 0 0 , 1 0 0 . 0 0 % o f i t s H yp o t h e t i c a l I n i t i a l V a l u e  H y p o t he t i c a l B a r r i e r V a l u e o f ea c h U n d e r l y i n g : $6 0 . 0 0 (6 0 . 0 0 % o f i t s H y p o t h e t i ca l I n i t i a l V a l u e)  H y p o t he t i c a l C o u p o n T r i gg e r o f e a c h U n d e r l y i n g : $6 0 . 0 0 (6 0 . 0 0 % o f i t s H y p o t h e t i ca l I n i t i a l V a l u e)  C on t i n ge n t C o u po n R a t e : 2 6 . 8 0 % p e r a n nu m , p a y a b l e m o n t h l y (2 . 2 3 33 % f o r e a c h m o n t h i n w h i c h i t i s p ay ab l e) . T h e h y p o t h e t i c a l I n i t i a l V a l u e o f $100 . 00 u s e d i n t h e e x a m p l e s b e l o w h a s b e en c h o s e n f o r il l u s t r a t i v e p u r p o s e s o nl y a n d d o e s no t r ep r e s en t t h e a c t u a l I n i t i a l V a l u e o f a n y Un d e r l y i n g . T he a c t u a l I n i t i a l V a l ue o f e a c h Un d e r l y i n g i s s e t f o rt h o n p a ge P S - 3 o f t h i s do c u m e n t . S u mma r y o f t h e E x am p l e s N o te s A r e C a l l e d on a C a ll O b s e r va t i on D at e N o te s A r e N o t C a ll e d o n A n y C a l l O b s e r va t i on D at e Exa m p l e 1 Exa m p l e 2 Exa m p l e 3 I n i t ia l Va l u e o f e a c h U nde r l y ing $10 0 . 0 0 $10 0 . 0 0 $10 0 . 0 0 C al l T hr e s h ol d o f e a c h U nde r l y in g $10 0 . 0 0 $10 0 . 0 0 $10 0 . 0 0 Barrie r V alu e o f ea c h U nde r l y ing $60 . 0 0 $60 . 0 0 $60 . 0 0 C o u po n T rig g e r o f e a c h U nde r l y in g $60 . 0 0 $60 . 0 0 $60 . 0 0 O b s e r va t i on D at e s O f f i c i a l C l os i n g P r i ce / P e r c e n t a ge Ch a ng e o f t h e Le a s t P e r f or m i n g U nderl y i n g 1 s t O b s e r v a t io n D a t e t o 5 t h Ob s e r v a t io n D a t e $63 . 00 / - 3 7 . 0 0 % C o n t i n ge n t C o upo n s : 5 x $2 2 . 33 3 = $11 1 . 66 5 $64 . 20 / - 3 5 . 8 0 % C o n t i n ge n t C o upo n s : 5 x $2 2 . 33 3 = $11 1 . 66 5 $60 . 00 / - 4 0 . 0 0 % C o n t i n ge n t C o upo n s : 5 x $2 2 . 33 3 = $11 1 . 66 5 6 t h Ob s e r v a t io n D a t e (1 s t C al l Ob s e r v a t io n D a t e) $12 0 . 0 0 / 2 0 . 0 0 % C o n t i n ge n t C o upo n s : 1 x $2 2 . 33 3 = $22 . 33 3 $63 . 50 / - 3 6 . 5 0 % C o n t i n ge n t C o upo n s : 1 x $2 2 . 33 3 = $22 . 33 3 $56 . 00 / - 4 4 . 0 0 % C o n t i n ge n t C o upo n s : $0 7 t h Ob s e r v a t io n D a t e t o t h e 1 7 t h Ob s e r v a t io n D a t e (i n c ludi n g 2 nd C al l Ob s e r v a t io n D a t e t o 1 2 t h C al l Ob s e r v a t io n D a t e) N / A O f f i c ia l C l o s in g Pr i c e i s a t o r a b o v e t h e C ou p on T r igge r b u t be lo w t h e C al l T hr e s h ol d C o n t i n ge n t C o upo n s : 11 x $2 2 . 3 3 3 = $24 5 . 6 6 3 O f f i c ia l C l o s in g Pr i c e i s bel o w t h e C ou p on T r igge r C o n t i n ge n t C o upo n s : $0 F in a l V alu a t i o n D a t e N / A $62 . 10 / - 3 7 . 9 0 % C o n t i n ge n t C o upo n : 1 x $2 2 . 33 3 = $22 . 33 3 $49 . 00 / - 5 1 . 0 0 % C o n t i n ge n t C o upo n : $0 T o t a l C o n t ing e n t C o u po n s Prio r t o M a t ur i t y or C al l $11 1 . 66 5 $37 9 . 66 1 $11 1 . 66 5 Pa y m e n t i f N o t e s ar e C al l e d $1 , 0 00 + $2 2 . 3 3 3 = $1 , 02 2 . 3 3 3 N / A N / A Pa y m e n t a t M a t uri t y N / A $1 , 0 00 + $2 2 . 3 3 3 = $1 , 02 2 . 3 3 3 $1 , 0 00 + ($1 , 0 0 0 x - 5 1 . 0 0 %) = $49 0 . 0 0 T o t a l p a y m e n t s on t h e N o t e s $1 , 1 33 . 99 8 $1 , 4 01 . 99 4 $60 1 . 66 5 R e t ur n o f t h e N o t e s 13 . 3 998 % 40 . 1 994 % - 39 . 833 5 %

![](tm2616470d110_img012.jpg)

P S - 1 2 E xa m p l e 1 — T h e O f f i c i a l C l o s i ng P r i c e o f e a c h U nd e r l y i ng on t h e f i r s t C a l l O b s e r v a t i on D a t e i s g r e a t e r t h a n o r e qu a l t o i t s C a ll T h r e s ho l d a nd t h e N o t e s a r e c a l l e d . U nd e r l y i n g I n i t i a l V a l u e O ff i c i a l C l o s i ng P r i ce W D A Y $1 0 0 . 0 0 $1 2 5 . 0 0 (1 2 5 . 0 0 % o f I n i t i a l V a l u e) H D $1 0 0 . 0 0 $1 2 0 . 0 0 (1 2 0 . 0 0 % o f I n i t i a l V a l u e) P ay m e n t U pon a C a l l : $1 , 0 2 2 . 3 3 3 B e c a u s e t h e O f f i c i a l C l os i n g P r i c e o f e ac h U nd e r l y i n g o n t h e f i r s t C a ll O b s e r v a t i o n D a t e i s a t o r a b o ve i t s C a l l T h r e s h o l d , t he N o t e s w i l l b e c a l l ed a n d y o u w il l r e c e i v e $1 , 0 2 2 . 33 3 p e r N o t e , r e f l e c t i n g t he P r i nc i p a l A m o un t p l us t he C o n t i n ge n t C o u p o n . W h e n ad d e d t o t h e a gg r e g a t e C o n t i n ge n t C o u p o n p a y m e n t s o f $11 1 . 6 6 5 r e c e i v e d p r i o r t o t h e f i r s t C a ll O b s e r v a t i o n D a t e , w e w i ll h a v e p a i d yo u a t o t a l o f $1 , 1 3 3 . 9 9 8 p e r N o t e , r e s u l t i n g i n a 13 . 3 9 9 8 % r e t u r n o n t h e N o t es . N o e x t r a p a y m e n t w il l b e m a d e o n ac c o u n t o f e ac h U nd e r l y i n g c l o s i n g ab o v e i t s r e s p e c t i v e I n i t i a l V a l u e . E xa m p l e 2 — T h e N o t e s a r e no t c a l l e d , t h e F i n a l V a l u e o f t h e L e a s t P e rf o r m i ng U nd e r l y i n g i s g r e a t e r t h a n o r e qu a l t o i t s B a r r i e r V a l u e , a nd e ac h U nd e r l y i ng c l o se d a t o r a bo v e i t s C oupon T r i gg e r (bu t b e l o w i t s C a l l T h r e s ho l d) on a ll O b s e r v a t i on D a t e s p r i o r t o m a t u r i t y . U nd e r l y i n g I n i t i a l V a l u e F i n a l V a l u e W D A Y $1 0 0 . 0 0 $1 1 5 . 0 0 (1 1 5 . 0 0 % o f I n i t i a l V a l u e) H D $1 0 0 . 0 0 $6 2 . 1 0 (6 2 . 1 0 % o f I n i t i a l V a l u e) HD i s t h e L e a s t P e r f o r m i n g U nd e r l y i n g . R e f e r en ce R e t u r n o f t h e L ea s t P e r f o r m i n g U n d e r l y i n g : - 3 7 . 90 % P ay m e n t a t M a t u r i t y : $1 , 0 2 2 . 3 3 3 B e c a u s e t h e F i n a l V a l u e o f t h e L e a s t P e r f o r m i n g U n d e r l y i n g i s g r e a t e r t h a n o r e q u a l t o i t s C o up o n T r i gg e r , y o u w i ll r ec e i ve $1 , 0 2 2 . 3 3 3 p e r N o t e , r e f l e c t i n g t h e P r i n c i p a l A m o u n t p l u s t h e f i n a l C o n t i n ge n t C o u po n , c a l c u l a t e d a s f o l l o w s : F i na l S e t t l e m e n t V a l u e = $1 , 0 00 + $2 2 . 3 3 3 = $1 , 0 2 2 . 3 3 3 W h e n ad d e d t o t h e a gg r e g a t e C on t i n ge n t C o u p o n p a y m e n t s o f $37 9 . 6 6 1 r e c e i v e d i n r es p e c t o f a ll p r e v i o u s O bs e r va t i o n D a t e s , w e w ill h av e pa i d y ou a t o t a l o f $1 , 4 0 1 . 99 4 p e r N o t e , r es u l t i n g i n a 4 0 . 1 9 9 4 % r e t u r n o n t h e N o t e s .

![](tm2616470d110_img013.jpg)

P S - 1 3 E xa m p l e 3 — T h e N o t e s a r e n o t c a l l e d , t h e F i n a l V a l u e o f t h e L e a s t P e rf o r mi n g U nd e r l y i ng i s l e ss t h a n i t s B a r r i e r V a l u e , a nd e ac h U nd e r l y i ng c l o se d a t o r a bo v e i t s C oupon T r i gg e r on a l l O b se r v a t i on D a t e s p r i o r t o t h e f i r s t C a l l O b s e r v a t i on D a t e a nd b e l o w i t s C oup o n T r i gg e r on a ll o t h e r O b se r v a t i on D a t es p r i o r t o m a t u r i t y . U nd e r l y i n g I n i t i a l V a l u e F i n a l V a l u e W D A Y $1 0 0 . 0 0 $1 0 5 . 0 0 (1 0 5 . 0 0 % o f I n i t i a l V a l u e) H D $1 0 0 . 0 0 $4 9 . 0 0 (4 9 . 0 0 % o f I n i t i a l V a l u e) HD i s t h e L e a s t P e r f o r m i n g U nd e r l y i n g . R e f e r en ce R e t u r n o f t h e L ea s t P e r f o r m i n g U n d e r l y i n g : - 5 1 . 00 % P ay m e n t a t M a t u r i t y : $4 9 0 . 0 0 B e c a u s e t h e F i n a l V a l u e o f t he L e a s t P e r f o r m i n g U n d e r l y i n g i s l e ss t ha n i t s B a rr i e r V a l u e , y o u w il l r e c e i v e $4 9 0 . 0 0 p e r N o t e , c a l c u l a t e d as f o l l o w s : F i na l S e t t l e m e n t V a l u e = $1 , 0 00 + ($1 , 0 0 0 x - 5 1 . 00 %) = $4 9 0 . 0 0 W h e n a d d e d t o t h e a gg r e g a t e C o n t i n g e n t C o u po n p ay m e n t s o f $1 1 1 . 66 5 r e c e i v e d p r i o r t o t h e f i r s t C a l l O b s e r v a t i o n D a t e , w e w i l l p a y y ou a t o t a l o f $60 1 . 6 6 5 p e r N o t e , r e su l t i n g i n a - 3 9 . 83 35 % r e t u r n o n t h e N o t e s . If t he N o t es a r e n o t c a l l ed a n d t h e F i n a l V a l u e o f t he L ea s t P e r f o r m i n g U n d e r l y i n g i s l e ss t ha n i t s B a rr i e r V a l u e , y o u w i l l b e e x p os ed t o a ny d e c r e as e i n t h e va l u e o f t h e L ea s t P e r f o r m i n g U n d e r l y i n g o n a 1 : 1 b a s i s an d c o u l d l o s e u p t o 1 00 % o f y o u r p r i n c i p a l a t m a t u r i t y .

![](tm2616470d110_img014.jpg)

P S - 1 4 D E S CRI P T I O N O F T H E R E F E R E N C E A S S E T De s c ript i o n o f W D A Y W o r k d a y , I n c . p r o v i d e s e n t e r p r i s e c l ou d - b a s ed a p p l i c a t i o n s . T h e C o m pa n y o f fe r s h u m a n c a p i t a l , s pe n d , a nd f i na n c i a l m an a ge m en t , a s we l l a s pa y r o ll , i n i t i a t i v e s and h i g h e r edu c a t i o n s o l u t i o n s . T h e Co m pa n y s e r v e s t he f i na n c e , hea l t h c a r e , m a n u f a c t u r i ng , ed u c a t i on , an d t e c hn ol og y i nd u s tr i e s w o r l d w i de . T h e s h a r e s o f t h e C l a s s A c o m m on s t o c k o f t h e C o m pa n y t r a de a n d a r e li s t ed o n t he NASD A Q u nde r t h e s y m bo l " WDAY. " I n f o r m a t i on f i l ed b y t h e C o m pa n y wi t h t h e SEC un d e r t h e S e c u r i t i e s E x c h a ng e A c t o f 1934 (" E x c h a nge A c t ") c an b e l o c a t e d on t h e SEC w e b s i t e (h t tp s : / /ww w . s e c . g o v) . Hi s tori c a l P e rform a n c e o f W D A Y T h e f o ll o w i ng g r aph s e t s f o rt h t h e h i s t o r i c a l pe rf o r m a n c e o f WDAY ba s ed on t h e d a il y h i s t o r i c a l c l o s i n g v a l u e s f r o m S ep t e m be r 2 0 , 2 017 t h r o u g h J un e 2 , 2 026 . W e o b t a i ne d t h e c l o s i n g v a l u e s b e l o w fr o m t h e B loo m be r g P r o f e ss i on a l® s e r v i c e . W e ha v e no t u n de rt a k e n an y i nde p end e n t r e v i e w o f , o r m ad e an y d u e d il i ge n c e i n qu i r y wi t h r e s p e c t t o , t he i n f o r m a t i o n ob t a i ned fr o m the B l o o m be r g Pr o f e s s i o na l® s e r v i c e . T h e h i s t o r i c a l v a l u e s o f WD A Y s h o u l d n o t b e t a k e n a s a n i nd i c a t i o n o f f u t u r e pe r f o r m an c e , a n d n o a s s u r a n c e c a n b e g i v e n a s t o t h e O f f i c i a l C l o s i ng Pr i c e o f WDA Y o n a n y O b s e r v a t i o n D a t e , i n c l ud i n g th e F i n a l V a l ua t i o n D a t e . De s c ript i o n o f H D T h e Ho m e De p o t , I n c . i s a ho m e i m p r o v e m e n t r e t a i l e r. T h e Co m pa n y o f fe r s wi d e r a ng e o f b u i l d i n g m a t e r i a l s , h o m e i m p r o v e m en t , l a w n , and ga r d en p r o d u c t s , a s we l l a s p r o v i de s DYI i d e a s , i n s t a ll a t i on , r ep a i r, an d o t h e r s e r v i c e s . T he Co m pa n y s e r v e s c u s t o m e r s w o r l d wi d e . T h e s ha r e s o f c o m m o n s t o c k o f t h e Co m p an y t r ade and a r e l i s t ed on t h e New Y o r k St o c k E x c ha n ge u nde r t h e s y m bo l " H D . " I n f o r m a t i on f i l ed b y t h e C o m pa n y wi t h t h e SEC un d e r t h e S e c u r i t i e s E x c h a ng e A c t o f 1934 (" E x c h a nge A c t ") c an b e l o c a t e d on t h e SEC w e b s i t e (h t tp s : / /ww w . s e c . g o v) . Hi s tori c a l P e rform a n c e o f H D T h e f o ll o w i ng g r a p h s e t s f o r t h t h e h i s t o r i c a l pe r f o r m an c e o f H D ba s e d o n t he da i l y h i s t o r i c a l c l o s i n g v a l u e s fr o m J un e 2 , 201 6 t h r ou g h J u ne 2 , 20 2 6 . W e o b t a i n ed t h e c l o s i ng v a l ue s b e l o w fr o m t h e B lo o m b e r g Pr o f e ss i on a l® s e r v i c e . W e h a v e no t unde r t a k e n an y i nd e pen d en t r e v i e w o f , o r m ade a n y du e d il i ge n c e i n q u i r y wi t h r e s p e c t t o , t h e i n f o r m a t i o n ob t a i n ed fr o m t h e B l o o m be r g P r o f e ss i on a l® s e r v i c e . T h e h i s t o r i c a l v a l u e s o f H D s hou l d n o t b e t a k e n a s a n i n d i c a t i on o f f u t u r e pe r f o r m a n c e , and n o a s s u r a n c e c a n b e g i v en a s t o t he O f f i c i a l C l o s i ng Pr i c e o f H D o n a n y O b s e r v a t i on D a t e , i n c l ud i ng th e F i n a l V a l u a t i o n D a t e . E V E N T S O F D E F A U L T A ND AC C E L E R A T I O N I f t h e No t e s h a v e b e c o m e i m m ed i a t e l y d u e and pa y ab l e f o ll o wi n g an E v e n t o f De f a u l t (a s de f i n ed i n t he a cc o m p an y i ng p r o s p e c t u s) wi t h r e s p e c t t o t h e No t e s , t h e c a l c u l a t i on a gen t w i ll d e t e r m i n e t he a c c e l e r a t ed p a y m en t d ue and p a y a b l e i n t h e s a m e g e n e r a l m an n e r a s de s c r i b e d i n t h i s d o c u m en t e x c ep t t h a t i n s u c h a c a s e , t h e s c he d u l e d t r ad i ng da y i m m ed ia t e l y p r e c e d i n g t h e da t e o f a c c e l e r a t i o n wi l l b e u s ed a s the F i n a l V a l u a t i o n D a t e fo r p u r po s e s o f d e t e r m i n i n g the R e f e r e n c e R e t u r n o f a n y U nde r l y i ng , a nd the a c c e l e r a t ed M a t u r i t y D a t e wi l l b e t h r e e b u s i n e s s d a y s a f t e r t h e a c c e l e r a t e d F i na l V a l u a t i o n Da te . I f a M a r k e t D i s r up t i o n E v en t e x i s t s w i t h r e s pe c t t o a n y Un d e r l y i ng on t h a t s c h e du l ed t r ad i ng d a y , t h e n t h e a c c e l e r a t e d F i na l V a l ua t i on D a t e f o r t h a t Un d e r l y i ng wi l l b e p o s t p o ne d f o r u p t o f iv e s c h e du l ed tr a d i n g d a ys (i n t h e s a m e m a n ne r u s ed f o r po s t p o n i ng t he o r i g i n a l l y s c h e du l e d F i n a l V a l ua t i on Da te) . T h e a c c e l e r a t e d M a t u r i t y D a t e wi l l

![](tm2616470d110_img015.jpg)

P S - 1 5 a l s o be p o s t p on e d b y an e q ua l n u m b e r o f b u s i n e ss d a y s . F o r the a v o i d an c e o f d oub t , i f n o M a r k e t Di s r up t i on E v en t e x i s t s w i t h r e s pe c t t o an U n de r l y i n g o n th e s c h e du l e d tr a d i n g d a y p r e c e d i n g t h e d a t e o f a c c e l e r a t i o n , t h e de t e r m i na t i o n o f s u c h U nde r l y i ng ' s R e f e r e n c e R e t u r n wi l l b e m a de o n s u c h da t e , i r r e s p e c t i v e o f t h e e x i s t e n c e o f a M a r k e t D i s r u p t i o n E v en t wi t h r e s p e c t t o an y o t he r Un d e r l y i ng o c c u rr i n g o n s u c h d a t e . I f t h e N o t e s h a v e b e c o m e i m m ed i a t e l y d u e a n d p a y a b l e fo l lo wi n g a n E v en t o f De f a u l t , y o u w ill n o t b e e n t i t l ed t o a n y a dd i t i on a l p a y m en t s wi t h r e s p e c t t o t he N o t e s . F o r m o r e i n f o r m a t i on , s e e "De s c r i p t i o n o f De b t S e c u r i t i e s — S en i o r De b t S e c u r i t i e s — E v e n t s o f De f a u l t " in t h e a cc o m p an y i ng p r o s p e c t u s . S U P P L E M E N T A L P L A N O F DI S T RI B U T I O N (C O N F L IC T S O F IN T E R E S T) W e h a v e ap p o i n t ed HSB C S e c u r i t i e s (USA) I n c . , an a f f i li a t e o f HSB C , a s t h e a gen t f o r t h e s a l e o f t h e No t e s . P u r s u a n t t o t h e t e r m s o f a d i s t r i bu t i on ag r e e m e n t , HSB C S e c u r i t i e s (USA) I n c . wi l l p u r c h a s e t h e No t e s fr o m HSB C a t t h e p r i c e t o pu b li c l e ss t h e und e rwr i t i n g d i s c ou n t s e t f o rt h o n t h e c o v e r pa g e o f t h i s p r i c i n g s up p l e m en t f o r d i s t r i bu t i o n t o o t h e r r e g i s t e r e d b r o k e r - d ea l e r s o r w i l l o f fe r t h e No t e s d i r e c t l y t o i n v e s t o r s . HSB C S e c u r i t i e s (USA) I n c . h a s o f f e r ed t he N o t e s a t t h e p r i c e t o p u b l i c s e t f o rt h o n t h e c o v e r p a ge o f t h i s do c u m e n t . HSB C USA I n c . o r o ne o f ou r a f f il i a t e s m a y p a y v a r y i n g u nde rw r i t i n g d i s c o u n t s o f u p t o 0 . 8 0 % p e r $1 , 0 00 P r i n c i p a l A m o u n t in c on n e c t i on w i t h t he d i s t r i bu t i o n o f t h e N o t e s t o o t he r r e g i s t e r ed b r o k e r - d ea l e r s . A n a f f i l i a t e o f HSB C ha s p a i d o r m a y p a y i n t h e f u t u r e a n a m o u n t t o b r o k e r - d ea l e r s i n c on n e c t i o n wi t h t he c o s t s o f t he c o n t i n u i ng i m p l e m en t a t i on o f s y s t e m s t o s up p o rt t h e No t e s . W e o r o n e o f ou r a f f i li a t e s m a y p a y a f e e t o o ne o r m o r e b r o k e r d ea le r s f o r p r o v i d i ng c e rt a i n s e r v i c e s w i t h r e s p e c t t o th i s o f f e r i n g , wh i c h m a y r e du c e t h e e c on o m i c te r m s o f t he no t e s to y o u . I n ad d i t i o n , HSB C S e c u r i t i e s (USA) I n c . o r ano t he r o f i t s a f f i l i a t e s o r age n t s m a y u s e t h i s p r i c i n g s upp l e m en t in m a r k e t - m a k i n g tr a n s a c t i o n s a f te r t h e i n i t i a l s al e o f t h e No t e s , bu t i s u n de r n o ob li g a t i o n t o m a k e a m a r k e t i n t h e No t e s and m a y d i s c on t i n u e an y m a r k e t - m a k i ng a c t i v i t i e s a t a n y t i m e w i t h o u t no t i c e . De l i v e r y o f t h e No t e s w i l l b e m ad e a g a i n s t p a ym e n t f o r t h e No t e s o n t he O r i g i n a l I s s u e Da te s e t f o rt h o n t h e i n s i d e c o v e r pa g e o f t h i s do c u m e n t , w h i c h i s m o r e t h a n o n e b u s i ne s s da y f o ll o w i n g t h e Tr a d e Da t e . U n de r R u l e 15 c 6 - 1 u nde r t h e S e c u r i t i e s E xc h ang e A c t o f 1934 , t r ad e s i n t h e s e c on d a r y m a r k e t gene r a l l y a r e r eq u i r ed t o s e t t l e i n one bu s i n e ss da y , un l e ss t h e pa rt i e s t o t h a t tr a de e x p r e s s l y ag r ee o t h e rw i s e . A c c o r d i n g l y , pu r c h a s e r s wh o w i s h t o tr a d e t h e No t e s m o r e t h an o n e b u s i ne s s d a y p r i o r t o t h e O r i g i n a l I s s u e Da te w i l l be r equ i r e d t o s p e c i f y a n a l t e r na t e s e t t l e m e n t c y c l e a t t he t i m e o f a n y s u c h tr a d e t o p r e v e n t a f a il e d s e t t l e m en t , a n d s ho u l d c o n s u l t t h e i r o wn a d v i s o r s . S ee "S u p p l e m en t a l P l an o f D i s tr i bu t i on (C o n f l i c t s o f In t e r e s t) " o n p a ge S - 8 7 i n th e p r o s p e c t u s s up p l e m en t . U. S . F E D E RA L INC O M E T A X C O N S I D E RA T I O N S T h e r e i s n o d i r e c t l e ga l au t ho r i t y a s t o t he p r ope r t a x t r ea t m e n t o f t h e No t e s , an d t h e r e f o r e s i g n i f i c an t a s p e c t s o f t h e t a x t r ea t m en t o f t he No te s a r e un c e rt a i n a s t o bo t h t h e t i m i n g a n d c ha r a c t e r o f a n y i n c l u s i o n i n i n c o m e i n r e s p e c t o f t he N o t e s . Un d e r o ne a pp r o a c h , a No te s ho u l d b e tr e a t e d a s a c o n t i n gen t i n c o m e - bea r i ng p r e - p a i d e x e c u t o r y c on tr a c t wi t h r e s p e c t t o t h e U n de r l y i n g s . W e i n t end t o tr e a t t h e No te s c on s i s t en t wi t h t h i s ap p r oa c h . P u r s u an t t o t he t e r ms o f t h e No t e s , y ou ag r ee t o tr e a t t h e No t e s u n de r t h i s a p p r o a c h f o r a ll U. S . f e de r a l i n c o m e t a x p u r p o s e s . S ub j e c t t o t h e l i m i t a t i o n s d e sc r i bed t h e r e i n , and b a s ed on c e r t a i n f a c t u a l r ep r e s e n t a t i o n s r e c e i v ed fr o m u s , i n t h e op i n i o n o f ou r s p e c i a l U . S. t a x c o u n s e l , M a y e r Br o w n L L P, i t i s r e a s o n ab l e t o t r ea t a N o t e a s a c o n t i n gen t i n c o m e - b ea r i n g p r e - p a i d e x e c u t o r y c on t r a c t wi t h r e s p e c t t o t h e Un d e r l y i n g s . B e c a u s e t h e r e a r e n o s t a t u t o r y p r o v i s i o n s , r eg u l a t i on s , p u b l i s h e d r u li n g s o r j u d i c i a l de c i s i on s add r e s s i n g th e c h a r a c t e r i z a t i o n fo r U.S . f e d e r a l i n c o m e t a x p u r po s e s o f s e c u r i t i e s w i t h t e r m s t h a t a r e s ub s t a n t i a ll y the s a m e a s t h o s e o f t h e No t e s , o t h e r c ha r a c t e r i z a t i o n s a n d tr e a t m e n t s a r e po s s i b l e a n d t h e t i m i ng an d c ha r a c t e r o f i n c o m e i n r e s p e c t o f t h e No te s m i g h t d i f fe r fr o m t h e tr e a t m e n t d e s c r i b e d he r e i n . F o r e x a m p l e , t he N o t e s c ou l d b e t r e a t e d a s deb t i n s tr u m e n t s t h a t a r e " c on t i ng e n t pa y m en t d eb t i n s t r u m en t s " f o r U.S. f e de r a l i n c o m e t a x pu r po s e s s ub j e c t t o t he tr e a t m e n t de s c r i b ed u n de r t h e he a d i n g "U.S. F e d e r a l I n c o m e T a x C o n s i de r a t i o n s — T a x T r ea t m en t o f U.S . Ho l d e r s — U.S. F e de r a l I n c o m e T a x Tr e a t m e n t o f t h e No t e s a s I n deb t e dn e s s f o r U.S. F e de r a l I n c o m e T a x P u r p o s e s — Co n t i n g en t N o t e s " i n t he a cc o m p a n y i ng p r o s pe c t u s s up p l e m en t . W e wi l l n o t a t t e m p t t o a s c e rt a i n wh e t h e r a n y Un d e r l y i n g w o u l d be t r ea t e d a s a p a s s i v e f o r e i g n i n v e s t m e n t c o m pa n y (" P F I C") o r U n i t e d St a t e s r e a l p r o p e rt y h o l d i n g c o r po r a t i o n ("US R PH C "), b o t h a s de f i ne d f o r U.S . f e de r a l i n c o m e t a x pu r p o s e s . I f a n y U n d e r l y i n g wer e s o tr e a t e d , c e rt a i n a d v e r s e U.S. f ede r a l i n c o m e t a x c o n s eq u en c e s m i gh t ap p l y . Y ou s h o u l d r e f e r t o i n f o r m a t i on f il e d wi t h t he SE C and o t h e r au t h o r i t i e s b y a n y Un d e r l y i ng and c o n s u l t y o u r t a x ad v i s o r r ega r d i ng t he po s s i b l e c o n s e q uen c e s t o y ou i f a n y U n de r l y in g i s o r b e c o m e s a P F IC o r a USRP H C . U.S. Ho l de r s . P l e a s e s ee t h e d i s c u s s i on u n de r t h e he a d i n g "U.S. F e de r a l I n c o m e T a x C o n s i d e r a t i o n s — T a x Tr e a t m e n t o f U.S. Ho l de r s — Cer ta i n No t e s Tr e a t ed a s a P u t O p t i on and a D e po s i t o r an E x e c u t o r y Co n tr a c t — Cer t a i n No t e s Tr e a t ed a s E x e c u t o r y Co n tr a c t s " in t h e a c c o m pa n y i n g p r o s p e c t u s s up p l e m en t f o r f u rt h e r d i s c u ss i on o f U.S. f e d e r a l i n c o m e t a x c o n s i de r a t i on s a pp l i c a b l e t o U .S . h o l de r s (a s de f i n ed i n t h e a cc o m p a n y i ng p r o s p e c t u s s u p p l e m en t). P u r s uan t t o t h e a p p r o a c h d i s c u ss ed a b o v e , we i n t e n d t o tr e a t an y ga i n o r l o ss upon m a t u r i t y o r a n ea r li e r s al e , e xc h an g e , o r c a ll a s c a p i t a l ga i n o r l o s s i n an a m o un t e q ua l t o t h e d i f fe r en c e b e tw e e n t h e a m o u n t y o u r e c e i v e a t s u c h t i m e (o t h e r t h a n wi t h r e s p e c t t o a C on t i nge n t Co u pon) a n d y ou r t a x ba s i s i n t h e No t e . A n y s u c h ga i n o r l o s s w il l b e l on g -

![](tm2616470d110_img016.jpg)

P S - 1 6 t e r m c a p i t a l ga i n o r l o ss i f y o u ha v e h e l d t he No t e f o r m o r e t h an o ne y ea r a t s u c h t i m e f o r U.S. f e d e r a l i n c o m e t a x pu r p o s e s . Y ou r t a x ba s i s i n a No t e g e ne r a ll y wi l l equa l y ou r c o s t o f t h e No t e . I n ad d i t i o n , t he t a x tr e a t m e n t o f t h e Co n t i n gen t Co u p on s i s un c l e a r . A l t ho u gh t h e t a x tr e a t m en t o f t h e C o n t i ngen t Co u po n s i s u n c l e a r , w e i n t en d t o tr e a t a n y C o n t i n ge n t Co u p on , i n c l ud i n g o n t h e M a t u r i t y D a t e , a s o r d i n a r y i n c o m e i n c l u d i b l e i n i n c o m e b y y ou a t t h e t i m e i t a c c r u e s o r i s r e c e i v e d i n a c c o r da n c e w i t h y ou r no r m a l m e t h od o f a c c o u n t i ng fo r U.S. f e de r a l i n c o m e t a x p u r po s e s. No n - U.S. Ho l de r s . P l e a s e s e e t h e d i sc u s s i o n un d e r t h e he ad i n g "U.S. F ede r a l I n c o m e T a x Co n s i de r a t i o n s — T a x Tr e a t m e n t o f No n - U.S. Ho l de r s " i n t h e a cc o m p a n y i n g p r o s p e c t u s s u p p l e m en t f o r f u rt h e r d i s c u s s i o n o f U.S. f e de r a l i n c o m e t a x c on s i de r a t i on s a p p l i c a b l e t o non - U.S. h o l d e r s (a s d e f i ned i n t h e a c c o m pa n y i n g p r o s p e c t u s s up p l e m en t) . B e c a u s e t h e U.S. f e de r a l i n c o m e t a x tr e a t m en t (i n c l u d i n g t h e ap p li c ab i li t y o f w i t h h o l d i n g) o f t h e Co n t i n g en t Co u p o n s i s u n c e r t a i n , t h e en t i r e a m oun t o f t h e Co n t i n g en t Co u p on s w il l b e s ub j e c t t o U.S. f e d e r a l i n c o m e t a x wi t h ho l d i n g a t a 30 % r a t e (o r a t a l o w e r r a t e u nde r a n a p p l i c ab l e i n c o m e t a x tr e a t y) . W e wi l l no t p a y a n y add i t i o n a l a m o u n t s i n r e s p e c t o f s u c h w i t h h o l d i ng . Un d e r c u r r en t l a w, wh i l e t h e m a t te r i s n o t en t i r e l y c l ea r, i n d i v i d ua l no n - U.S. h o l d e r s , a nd en t i t i e s w h o s e p r ope r t y i s po t en t i a l l y i n c l u d i b le i n t h o s e i n d i v i du a l s ' g r o s s e s t a t e s f o r U.S . f e de r a l e s t a t e t a x pu r p o s e s (f o r e x a m p l e , a tr u s t f u nde d b y s u c h a n i nd i v i du a l a n d wi t h r e s p e c t t o w h i c h t he i n d i v i du al h a s r e t a i n ed c e r t a i n i n t e r e s t s o r po we r s) , s h ou l d n o t e t h a t , ab s e n t an app l i c ab l e tr e a t y b e n e f i t , t h e No t e s a r e l i k e l y t o be tr e a t ed a s U. S . s i t u s p r o pe r t y , s ub j e c t t o U. S . f e d e r a l e s t a t e t a x . T he s e i n d i v i d ua l s and en t i t i e s s h o u l d c o n s u l t t h e i r o w n t a x a d v i s o r s r e ga r d i ng t he U. S . f e de r a l e s t a t e t a x c o n s e q ue n c e s o f i n v e s t i ng i n t h e N o t e s . A " d i v i d en d e q u i v a l e n t" pa y m e n t i s tr e a t ed a s a d i v i d en d fr o m s ou r c e s wi t h i n t h e U n i t e d S t a t e s a nd s u c h p a ym e n t s g e n e r a l l y w o u l d be s ub j e c t t o a 30 % U.S. w i t h h o l d i n g t a x i f p a i d t o a no n - U.S . ho l de r . U n de r U.S . Tr e a s u r y De p a rt m en t r eg u l a t i o n s , pa y m en t s (i n c l u d i ng dee m ed p a y m en t s) wi t h r e s pe c t t o e qu i t y - l i n k ed i n s t r u m e n t s ("E L I s ") t h a t a r e " s p e c i f i ed E L I s " m a y b e tr e a t ed a s d i v i d e n d equ i v a l en t s i f s u c h s p e c i f i e d E L I s r e f e r e n c e an i n t e r e s t i n a n " u nde r l y i n g s e c u r i t y , " wh i c h i s g ene r a l l y a n y i n t e r e s t i n a n e n t i t y t a x ab l e a s a c o r p o r a t i o n f o r U.S. f e de r a l i n c o m e t a x p u r po s e s i f a pa y m e n t wi t h r e s p e c t t o s u c h i n t e r e s t c o u l d g i v e r i s e t o a U. S . s o u r c e d i v i dend . H o we v e r , I n t e r n a l Re v enue S e r v i c e gu i dan c e p r o v i d e s t h a t wi t h ho l d i ng on d i v i de n d eq u i v a l e n t p a y m en t s wi l l no t a pp l y t o s p e c i f i ed E L I s t ha t a r e no t d e l t a - o ne i n s t r u m e n t s a nd tha t a r e i s s u e d be f o r e J an u a r y 1 , 20 2 7 . B a s ed o n t h e I s s ue r ' s de t e r m i na t i on t h a t t h e No t e s a r e no t " de l t a - one " i n s t r u m e n t s , n o n - U.S. h o l de r s s ho u l d n o t b e s ub j e c t t o wi t h ho l d i n g on d i v i d e nd eq u i v a l en t p a y m en t s , i f a n y , un de r t h e No t e s . How e v e r, i t i s p o s s i b l e t ha t t h e No te s c o u l d b e t r ea t e d a s d e e m e d r e i s s ued f o r U.S. f ede r a l i n c o m e t a x pu r po s e s u p o n t h e o c c u rr e n c e o f c e rt a i n e v en t s a f f e c t i ng an U n de r l y i ng o r t h e N o t e s , a n d f o ll o wi n g s u c h o c c u r r en c e t h e N o t e s c ou l d be t r ea t ed a s s u b j e c t t o w i t h ho l d i n g on d i v i den d e q u i v a l e n t p a y m e n t s . N o n - U.S. ho l de r s t h a t e n t e r, o r h a v e e n t e r e d , i n t o o t h e r t r an s a c t i o n s i n r e s p e c t o f a n U nde r l y i n g o r t h e No te s s ho u l d c on s u l t t he i r t a x ad v i s o r s a s t o t h e app l i c a t i on o f t h e d i v i de n d eq u i v a l en t w i t hho l d i ng t a x i n t h e c o n t e x t o f t h e No t e s an d t h e i r o t h e r tr a n s a c t i o n s . I f a n y p a ym e n t s a r e tr e a t e d a s d i v id end equ i v a l en t s s u b j e c t t o wi t hho l d i n g , w e (o r t he ap p l i c ab l e p a y i n g a gen t) wo u l d b e e n t i t l ed t o w i t h ho l d t a x e s w i t h ou t be i n g r e q u i r e d to pa y an y ad d i t i o na l a m oun t s w i t h r e s pe c t t o a m o un t s s o w i t h h e l d . F o r a d i sc u s s i on o f t h e U.S. f e de r a l i n c o m e t a x c o n s e q u e n c e s o f y o u r i n v e s t m e n t i n a No te , p l e a s e s ee t he d i s c u s s i on un d e r " U .S . F e de r a l I n c o m e T a x C o n s i de r a t i o n s " i n t h e a c c o m p a n y i ng p r o s p e c t u s s up p l e m en t . PR O SPE C T I VE PU R C H AS E RS O F N O TES SH O ULD C O NS U L T THEIR TAX ADVIS O RS AS TO THE FEDERAL , STA T E, L O CAL , AN D OTHE R T AX C O NSE Q U EN C ES T O T HE M OF T HE P U R C H ASE, O WNERS H IP A N D DISP O SI T IO N OF N O TES . V A L IDI T Y O F T H E N O T E S I n t h e o p i n i on o f M a y e r Br o w n LL P, a s c ou n s e l t o t h e I s s ue r , wh e n t h i s p r i c i n g s u pp l e m en t ha s b e en a t t a c hed t o , and d u l y n o t a t e d on , t h e m a s t e r no t e t h a t r ep r e s e n t s t h e N o t e s pu r s u a n t t o t h e S e n i o r I n d e n t u r e r e f e rr e d t o i n t h e p r o s p e c t u s s u p p l e m e n t d a t e d F e b r ua r y 2 1 , 2024 , a nd i s s u ed and p a i d f o r a s c on t e m p l a t e d h e r e i n , t h e No t e s o f fe r e d b y t h i s p r i c i ng s u p p l e m en t w i ll be v a l i d , b i n d i ng a n d en f o r c ea b l e ob l i ga t i o n s o f t h e I s s ue r, en t i t l e d t o t h e be n e f i t s o f t h e S en i o r I n den t u r e , s u b j e c t t o a pp l i c ab l e b a n k r u p t c y , i n s o l v en c y and s i m il a r l a w s a f f e c t i ng c r e d i t o r s ' r i gh t s g e ne r a l l y , c o n c e p t s o f r ea s o na b l en e ss and e qu i t ab le p r i n c i p l e s o f gene r a l a p p l i c ab i l i t y (i n c l u d i n g , wi t hou t l i m i t a t i on , c o n c e p t s o f goo d f a i t h , f a i r d e a l i ng an d t h e l a c k o f ba d f a i t h) . T h i s o p i n i o n i s g i v en a s o f t h e da t e he r e o f a nd i s l i m i t e d t o t h e l a w s o f t h e St a t e o f N e w Y o r k , t h e M a r y l and G e ne r a l Cor p o r a t i on L a w (i n c l u d i n g t h e s t a t u t o r y p r o v i s i o n s , a ll ap p l i c ab l e p r o v i s i o n s o f t h e M a r y l a n d C o n s t i t u t i o n a nd t he r epo r t e d j u d i c i a l d e c i s i on s i n t e r p r e t i n g t h e f o r e g o i ng) an d t h e f ede r a l l a w s o f t h e U n i t e d St a t e s o f A m e r i c a . T h i s op i n i o n i s s u bj e c t t o c u s t o m a r y a ss u m p t i o n s a bou t t h e tr u s t e e ' s a u t h o r i z a t i on , e x e c u t i o n a n d d e l i v e r y o f t h e S e n i o r I n den t u r e and t he gen u i n e n e ss o f s i g n a t u r e s a nd t o s u c h c o u n s e l ' s r e l i a n c e on t h e I s s ue r and o t h e r s o u r c e s a s t o c e rt a i n f a c t ua l m a t te r s , a l l a s s t a t e d i n t h e l ega l op i n i o n d a t e d F e b r u a r y 21 , 2 024 , wh i c h h a s be e n f i l ed a s E x h i b i t 5 . 3 t o t h e I s s u e r ' s r eg i s tr a t i o n s t a t e m e n t o n Fo r m S - 3 d a t e d F e b r ua r y 2 1 , 2 0 24 .

![](tm2616470d110_img017.jpg)

T AB L E O F C O N T E N T S P r i c i n g S up p l e m e n t G e ne r a l PS - 4 P a y me n t o n t he N o t e s PS - 5 I n v e st o r S u i t ab i l i t y PS - 6 R i s k F a ct o r s PS - 7 I l l u s t r a t i v e E x a mpl e s PS - 1 1 D e sc r ip t io n o f t h e R e f e r en c e A ss e t PS - 1 4 E v e n t s o f D e f au l t and A c c e le r a t io n PS - 1 4 S upp leme n t a l P la n o f D i s t r ib u t io n (C on f l i c t s o f I n t e r e st) PS - 1 5 U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s PS - 1 5 V a l i d i ty o f t he N o t e s PS - 1 6 S t o c k - L i n k e d U n d e r l y i ng S u pp l e m e n t R i s k F a ct o r s S - 1 A dd i t io n a l Te r m s o f t he N o t e s S - 7 I n f o r ma t io n R ega r d in g t h e R e f e r en c e S t o c k s an d t he R e f e r en c e S t o c k I s s ue r s S - 13 P r o s p e c t u s S up p l e m e n t R i s k F a ct o r s S - 1 P r i c in g S upp l e me n t S - 12 D e sc r ip t io n o f N o t e s S - 14 U s e o f P r o c eed s and H edg in g S - 58 C e r t a in E R I S A and R e l a t ed C on s i de r a t io n s S - 59 U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s S - 61 S upp leme n t a l P la n o f D i s t r ib u t io n (C on f l i c t s o f I n t e r e st) S - 87 P r o s p e c t u s A bou t t h i s P r o s pe c t u s 1 R i s k F a ct o r s 2 Whe r e Y ou C an F in d Mo r e I n f o r m a t io n 3 S pe c ia l N o t e R ega r d in g Fo r w a r d - Loo k in g S t a t e me n t s 4 H SB C U S A I n c . 6 U s e o f P r o c eed s 7 D e sc r ip t io n o f D eb t S e c u r i t i e s 8 D e sc r ip t io n o f P r e f e rr ed S t o c k 19 D e sc r ip t io n o f Wa rr an t s 24 D e sc r ip t io n o f P u r c ha s e C on t r a c t s 29 D e sc r ip t io n o f U n i t s 32 B oo k - E n t r y P r o c edu r e s 35 L i m i t a t io n s on I s s uan c e s in B ea r e r Fo r m 39 U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s R e l a t in g t o D eb t S e c u r i t i e s 40 C e r t a in E u r opean U n io n T a x C o n s id er a t io n s R e l a t in g t o D eb t S e c u r i t ie s 48 P la n o f D i st r ib u t io n (C on f l i c t s o f I n t e r e st) 49 N o t i c e t o C anad ia n I n v e s t o r s 52 N o t i c e t o E E A I n v e s t o r s 53 N o t i c e t o U . K . I n v e st o r s 54 U . K . Fin a n c ial P r o m o t io n 54 C e r t a in E R I S A and R e l a t ed M a tt e r s 55 Lega l O p ini on s 57 E x pe r t s 58 You should only rely on the information c ontained in this document, the accomp a n ying Stoc k - Linked Underlyi n g Suppleme n t, prosp e ctus supplement a nd prospect u s. W e have no t authorized anyo n e to provide y o u with in f ormation or to make a ny represen t ation t o you that i s not containe d in thi s docume n t, the ac companying S toc k - Linke d Underly i ng S upplement , prospectus supple m ent and prospect u s. If anyone provides you with differe n t or inconsiste n t informati o n, you should not rely on it . This docume n t, the accomp a ny i ng S t oc k - Linke d Underlyin g Suppl e m ent, prospec t us su p p l ement and prospec t us are not an offer t o sell these Notes, and these d ocuments a r e not sol i citing an offer to buy t hese Notes, in an y jurisdictio n where t h e offe r o r sale i s no t permit t ed. Y ou sh o ul d not , und e r an y circums t ances , a ssume t h at the information in this document, the accompanying Stoc k - L i nked Underlying S upplemen t , prospectus s u p plement a n d prospect u s is correct on any d ate after t h eir respe c ti v e d ates. HS B C US A I nc . $700,00 0 A u t o c a l l a bl e C o n t i n g e n t I n c o m e B a r ri e r N o tes L i n ke d t o t h e L east Pe r f o r m i n g o f t h e E qu i t y Se c u r i t i es o f W or k d a y , I n c . a n d T h e H o m e D e p o t , In c . J une 2 , 2 0 2 6 P ri c ing S uppl e m e n t

## Ex-Filing

?xml version='1.0' encoding='ASCII'? EX-FILING FEES

---

| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calculation of Filing Fee Tables**  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **S-3**  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **HSBC USA INC /MD/**  |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Type**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Class Title**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Fee Calculation or Carry Forward Rule**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Maximum Aggregate Offering Price**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Fee Rate**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Amount of Registration Fee**  |
| **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** |
| Fees to be Paid | 1 | Debt | Debt Securities | 457(r) | $700000.00 | 0.0001381 | $96.67 |
| Fees Previously Paid |  |  |  |  |  |  |  |
| **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** |
| Carry Forward Securities |  |  |  |  |  |  |  |
|  |  |  | Total Offering Amounts: | Total Offering Amounts: | $700000.00  |  | $96.67  |
|  |  |  | Total Fees Previously Paid:  | Total Fees Previously Paid:  |  |  | $0.00  |
|  |  |  | Total Fee Offsets:  | Total Fee Offsets:  |  |  | $0.00  |
|  |  |  | Net Fee Due:  | Net Fee Due:  |  |  | $96.67  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Offering Note** <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>1</sup> Registrant has elected to pay the filing fees on a deferred basis pursuant to Rules 456(b) and 457(r) under the Securities Act of 1933. <br>

---

| |
|:---|
| |
| **Rules 457(b) and 0-11(a)(2)** |
| Fee Offset Claims |
| Fee Offset Sources |
| **Rule 457(p)** |
| Fee Offset Claims |
| Fee Offset Sources |

---

The maximum aggregate offering price of the securities to which the prospectus relates is $700,000.00. The prospectus is a final prospectus for the related offering.

### Attached PDF Documents

**Attachment 1:** `tm2616470d110_424b2.pdf`

_No text found in this document._