# EDGAR Filing Document

**Accession Number:** 0001140465
**File Stem:** 0001104659-23-007846
**Filing Date:** 2023-1
**Character Count:** 126941
**Document Hash:** 801786c3113ed52cc4a775e3b1553bfa
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-23-007846.hdr.sgml**: 20230130

**ACCESSION NUMBER**: 0001104659-23-007846

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 10

**FILED AS OF DATE**: 20230130

**DATE AS OF CHANGE**: 20230130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HSBC BANK PLC
- **CENTRAL INDEX KEY:** 0001140465
- **STANDARD INDUSTRIAL CLASSIFICATION:** COMMERCIAL BANKS, NEC [6029]
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** X0
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-267182
- **FILM NUMBER:** 23566393

**BUSINESS ADDRESS:**
- **STREET 1:** 8 CANADA SQUARE
- **STREET 2:** LEVEL 3
- **CITY:** LONDON
- **STATE:** X0
- **ZIP:** E14 5HQ
- **BUSINESS PHONE:** 00447796704226

**MAIL ADDRESS:**
- **STREET 1:** 8 CANADA SQUARE
- **STREET 2:** LEVEL 3
- **CITY:** LONDON
- **STATE:** X0
- **ZIP:** E14 5HQ

&nbsp;&nbsp;**Filed Pursuant to Rule 424(b)(2)<br> Registration Statement No. 333-267182<br> (To Prospectus dated August 31, 2022,<br> Prospectus Supplement dated August 31, 2022 and**<br> **Product Supplement EQUITY ARN-1 dated December 29, 2022)**<br>

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;2,669,854 Units<br> $10 principal amount per unit<br> CUSIP No. 44328M682 <br> ![](tm232497d4_424b2img001.jpg) | &nbsp;&nbsp;&nbsp;<br> Pricing Date<br> Settlement Date<br> Maturity Date | &nbsp;&nbsp;<br> January 26, 2023<br> February 2, 2023<br> March 28, 2024 |
| &nbsp;&nbsp;&nbsp;2,669,854 Units<br> $10 principal amount per unit<br> CUSIP No. 44328M682 <br> ![](tm232497d4_424b2img001.jpg) |  |  |
| &nbsp;&nbsp;&nbsp; **Accelerated Return Notes<sup>®</sup> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund**<br> ▪ Maturity of approximately 14 months<br>▪ 3-to-1 upside exposure to increases in the Underlying Fund, subject to a capped return of 32.00%<br>▪1-to-1 downside exposure to decreases in the Underlying Fund, with up to 100% of your investment at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC Bank plc<br>▪ No interest payments<br>▪In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪No listing on any securities exchange<br>▪ Any payment on the notes, including any repayment of principal, is not guaranteed by any third party and is subject to the risk of exercise of any UK bail-in power (as described on page TS-3 of this document) by a relevant UK resolution authority. If HSBC Bank plc were to default on its payment obligations or become subject to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority, you might not receive all or part of any amounts owed to you under the notes. See "Consent to UK Bail-in Power" and "Risk Factors" in this document and "Risk Factors" in the accompanying prospectus supplement for more information | &nbsp;&nbsp;&nbsp; **Accelerated Return Notes<sup>®</sup> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund**<br> ▪ Maturity of approximately 14 months<br>▪ 3-to-1 upside exposure to increases in the Underlying Fund, subject to a capped return of 32.00%<br>▪1-to-1 downside exposure to decreases in the Underlying Fund, with up to 100% of your investment at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC Bank plc<br>▪ No interest payments<br>▪In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪No listing on any securities exchange<br>▪ Any payment on the notes, including any repayment of principal, is not guaranteed by any third party and is subject to the risk of exercise of any UK bail-in power (as described on page TS-3 of this document) by a relevant UK resolution authority. If HSBC Bank plc were to default on its payment obligations or become subject to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority, you might not receive all or part of any amounts owed to you under the notes. See "Consent to UK Bail-in Power" and "Risk Factors" in this document and "Risk Factors" in the accompanying prospectus supplement for more information | &nbsp;&nbsp;&nbsp; **Accelerated Return Notes<sup>®</sup> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund**<br> ▪ Maturity of approximately 14 months<br>▪ 3-to-1 upside exposure to increases in the Underlying Fund, subject to a capped return of 32.00%<br>▪1-to-1 downside exposure to decreases in the Underlying Fund, with up to 100% of your investment at risk<br>▪ All payments occur at maturity and are subject to the credit risk of HSBC Bank plc<br>▪ No interest payments<br>▪In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution—Role of MLPF&S and BofAS"<br>▪No listing on any securities exchange<br>▪ Any payment on the notes, including any repayment of principal, is not guaranteed by any third party and is subject to the risk of exercise of any UK bail-in power (as described on page TS-3 of this document) by a relevant UK resolution authority. If HSBC Bank plc were to default on its payment obligations or become subject to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority, you might not receive all or part of any amounts owed to you under the notes. See "Consent to UK Bail-in Power" and "Risk Factors" in this document and "Risk Factors" in the accompanying prospectus supplement for more information |

---

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

**The estimated initial value of the notes on the pricing date is $9.795 per unit, which is less than the public offering price listed below. The market value of the notes at any time will reflect many factors and cannot be predicted with accuracy.** See "Summary" on page TS-2 and "Risk Factors" beginning on page TS-7 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.

**Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between HSBC and any holder or beneficial owner of the notes, by acquiring the notes (or a beneficial interest therein), each holder and each beneficial owner of the notes acknowledges, accepts and agrees to be bound by, and consents to, the exercise of, any UK bail-in power (or any other resolution measure) by any relevant UK resolution authority in relation to the notes. See "Consent to UK Bail-in Power" on page TS-3 of this document.**

**_________________________**

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

**_________________________**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;<u>Per Unit</u> | &nbsp;&nbsp;<u>Total</u> |
| &nbsp;&nbsp;Public offering price<sup>(1)</sup> | &nbsp;&nbsp;$10.000 | &nbsp;&nbsp;$26698540.00 |
| &nbsp;&nbsp;Underwriting discount<sup>(1)</sup> | &nbsp;&nbsp;$0.175 | &nbsp;&nbsp;$467224.45 |
| &nbsp;&nbsp;Proceeds, before expenses, to HSBC | &nbsp;&nbsp;$9.825 | &nbsp;&nbsp;$26231315.55 |

---

(1) See "Supplement to the Plan of Distribution"
 below.

**The notes:**

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Are Not FDIC Insured** | &nbsp;&nbsp;**Are Not Covered by the UK Financial Services Compensation Scheme** | &nbsp;&nbsp;**May Lose Value** |

---

**BofA Securities**

January 26, 2023

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Summary

The Accelerated Return Notes<sup>®</sup> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024 (the "notes") are our senior unsecured debt securities and are not a direct or indirect obligation of any third party. The notes are not deposit liabilities of HSBC and are not covered by the UK Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction. **The notes will rank equally with all of our other senior unsecured debt, except for such debt as may be preferred by operation of law. Any payments due on the notes, including any repayment of principal, are subject to the credit risk of HSBC and to the risk of exercise of any UK bail-in power (as described herein) (or any other resolution measure) by a relevant UK resolution authority.** The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the Energy Select Sector SPDR<sup>®</sup> Fund (the "Underlying Fund"), is greater than the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Underlying Fund, subject to our credit risk. See "Terms of the Notes" below.

The estimated initial value of the notes is less than the price you pay to purchase the notes. The estimated initial value was determined by reference to our internal pricing models and reflects our internal funding rate, which is the borrowing rate we pay to issue market-linked notes, and the market prices for hedging arrangements related to the notes (which may include call options, put options or other derivatives). This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. The difference in the borrowing rate, as well as the underwriting discount and the costs associated with hedging the notes, including the hedging-related charge described below, reduced the economic terms of the notes (including the Capped Value).

---

| | | |
|:---|:---|:---|
| Terms of the Notes | Terms of the Notes | Redemption Amount Determination |
| &nbsp;&nbsp;**Issuer:** | &nbsp;&nbsp;HSBC Bank plc ("HSBC") | &nbsp;&nbsp;On the maturity date, you will receive a cash payment per unit determined as follows: |
| &nbsp;&nbsp;**Principal Amount:** | &nbsp;&nbsp;$10.00 per unit | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Term:** | &nbsp;&nbsp;Approximately 14 months | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Market Measure:** | &nbsp;&nbsp;The Energy Select Sector SPDR<sup>®</sup> Fund (Bloomberg symbol: "XLE"). | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Starting Value:** | &nbsp;&nbsp;$93.11 | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Ending Value:** | &nbsp;&nbsp;The average of the products of the Closing Market Price of the Underlying Fund on each calculation day during the Maturity Valuation Period times the Price Multiplier as of that day. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-22 of product supplement EQUITY ARN-1. | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Participation Rate:** | &nbsp;&nbsp;300% | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Capped Value:** | &nbsp;&nbsp;$13.20 per unit, which represents a return of 32.00% over the principal amount. | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Maturity Valuation Period:** | &nbsp;&nbsp;March 19, 2024, March 20, 2024, March 21, 2024, March 22, 2024 and March 25, 2024 | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Price Multiplier:** | &nbsp;&nbsp;1, subject to adjustment for certain corporate events relating to the Underlying Fund, as described beginning on page PS-26 of product supplement EQUITY ARN-1. | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Fees Charged:** | &nbsp;&nbsp;The public offering price of the notes includes the underwriting discount of $0.175 per unit as listed on the cover page and an additional charge of $0.05 per unit more fully described on page TS-12. | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |
| &nbsp;&nbsp;**Calculation Agent:** | &nbsp;&nbsp;BofA Securities, Inc. ("BofAS") and HSBC, acting jointly. | &nbsp;&nbsp; <br> ![](tm232497d4_424b2img002.jpg)  |

---

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| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-2** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

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

▪ Product
 supplement EQUITY ARN-1 dated December 29, 2022:<br> [https://www.sec.gov/Archives/edgar/data/1140465/000110465922130922/tm2233040d8_424b5.htm](https://www.sec.gov/Archives/edgar/data/1140465/000110465922130922/tm2233040d8_424b5.htm)

▪ Prospectus
 supplement dated August 31, 2022:<br> [https://www.sec.gov/Archives/edgar/data/1140465/000110465922096478/tm2223547d4_424b2.htm](https://www.sec.gov/Archives/edgar/data/1140465/000110465922096478/tm2223547d4_424b2.htm)

▪ Prospectus
 dated August 31, 2022:<br> [https://www.sec.gov/Archives/edgar/data/1140465/000110465922096461/tm2223384-4_424b3.htm](https://www.sec.gov/Archives/edgar/data/1140465/000110465922096461/tm2223384-4_424b3.htm)

*Our Central Index Key, or CIK, on the SEC website is 1140465.* Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. You should carefully consider, among other things, the matters set forth under "Risk Factors" in the section indicated on the cover of this term sheet. The notes involve risks not associated with conventional debt securities. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY ARN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us," "our," or similar references are to HSBC.

Consent to UK Bail-in Power

Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between us and any holder or beneficial owner of the notes, by acquiring the notes (or a beneficial interest therein), each holder and each beneficial owner of the notes acknowledges, accepts and agrees to be bound by, and consents to, the exercise of, any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority.

Under the UK Banking Act 2009, as amended (the "Banking Act"), a relevant UK resolution authority may exercise a UK bail-in power in circumstances in which a relevant UK resolution authority is satisfied that the resolution conditions are met. These conditions include that a UK bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (as amended, the "FSMA") threshold conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA).

The UK bail-in power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the notes; (ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the notes into shares or other securities or other obligations of HSBC or another person (and the issue to, or conferral on, the holder or beneficial owner of the notes such shares, securities or obligations); (iii) the cancellation of the notes and/or (iv) the amendment or alteration of the maturity of the notes, or amendment of the amount of interest or any other amounts due on the notes, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary period; which UK bail-in power may be exercised by means of a variation of the terms of the notes solely to give effect to the exercise by a relevant UK resolution authority of such UK bail-in power. Each holder and each beneficial owner of the notes further acknowledges and agrees that the rights of holders and beneficial owners of the notes are subject to, and will be varied, if necessary, to give effect to, the exercise of any UK bail-in power by a relevant UK resolution authority.

For more information, please see "Risk Factors — Issuer-related Risks — You may lose some or all of your investment if any UK bail-in power (or any other resolution measure) is exercised by a relevant UK resolution authority" in this document, and "Description of Debt Securities — Agreement with Respect to the Exercise of UK Bail-in Power" in the accompanying prospectus and "Risk Factors — Risks Relating to All Note Issuances — Under the terms of your notes, you will agree to be bound by the exercise of any UK bail-in power by the relevant UK resolution authority," "— The notes are the subject of the UK bail-in power, which may result in your notes being written down to zero or converted into other securities, including unlisted equity securities," "—Your rights may be limited in respect of the exercise of the UK bail-in power by the relevant UK resolution authority," "— Other powers contemplated by the Banking Act may affect your rights under, and the value of your investment in, the notes" and "— The circumstances under which the relevant UK resolution authority would exercise its UK bail-in power or other resolution tools under the Banking Act or future legislative or regulatory proposals are uncertain, which may affect the value of your notes" in the accompanying prospectus supplement.

The preceding discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.

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| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-3** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Investor Considerations

**You may wish to consider an investment in the notes if:**

▪ You
 are a retail investor outside the EEA and the UK (each as defined below), or an institutional buyer (for restrictions on offers or
 sales to retail investors in the EEA and the UK, see "Supplement to the Plan of Distribution—Selling Restrictions"
 beginning on page TS-13 below.

▪ You
 anticipate that the Underlying Fund will increase moderately from the Starting Value to the Ending Value.

▪ You
 accept that your investment will result in a loss, which could be significant, if the Underlying Fund decreases from the Starting
 Value to the Ending Value.

▪ You
 accept that the return on the notes will be capped.

▪ You
 are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.

▪ You
 are willing to forgo dividends or other benefits of owning shares of the Underlying Fund or the securities held by the Underlying
 Fund.

▪ You
 are willing to accept that a secondary market is not expected to develop for the notes, and understand that the market prices for
 the notes, if any, may be less than the principal amount and will be affected by various factors, including our actual and perceived
 creditworthiness, our internal funding rate and the fees charged, as described on page TS-2.

▪ You
 are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.

▪ You
 are willing and able to consent to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution
 authority.

**The notes may not be an appropriate investment for you if:**

▪ You
 are a retail investor in the EEA or the UK as described under "Supplement to the Plan of Distribution—Selling Restrictions"
 beginning on page TS-13 below.

▪ You
 believe that the Underlying Fund will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently
 over the term of the notes to provide you with your desired return.

▪ You
 seek principal repayment or preservation of capital.

▪ You
 seek an uncapped return on your investment.

▪ You
 seek interest payments or other current income on your investment.

▪ You
 want to receive dividends or other distributions paid on shares of the Underlying Fund or the securities held by the Underlying Fund.

▪ You
 seek an investment for which there will be a liquid secondary market.

▪ You
 are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.

▪ You
 are unwilling or unable to consent to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution
 authority.

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

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-4** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Hypothetical Payout Profile

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| | |
|:---|:---|
| &nbsp;&nbsp;**Accelerated Return Notes** **<sup>®</sup>**<br>![](tm232497d4_424b2img003.jpg)<br>| &nbsp;&nbsp;This graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $13.20 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the Underlying Fund, excluding dividends.<br>This graph has been prepared for purposes of illustration only. |

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Hypothetical Payments at Maturity

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

The following table is based on a Starting Value of 100.00, the Participation Rate of 300% and the Capped Value of $13.20 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.

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| | | | |
|:---|:---|:---|:---|
| **Ending Value** | **Percentage Change from the<br> Starting Value to the Ending Value** | **Redemption Amount<br> per Unit** | **Total Rate of Return on the<br> Notes** |
| 0.00 | -100.00% | $0.00 | -100.00% |
| 50.00 | -50.00% | $5.00 | -50.00% |
| 80.00 | -20.00% | $8.00 | -20.00% |
| 90.00 | -10.00% | $9.00 | -10.00% |
| 94.00 | -6.00% | $9.40 | -6.00% |
| 97.00 | -3.00% | $9.70 | -3.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;100.00<sup>(1)</sup> | 0.00% | $10.00 | 0.00% |
| 103.00 | 3.00% | $10.90 | 9.00% |
| 110.00 | 10.00% | $13.00 | 30.00% |
| 110.67 | 10.67% | &nbsp;&nbsp;&nbsp;&nbsp;$13.20<sup>(2)</sup> | 32.00% |
| 130.00 | 30.00% | $13.20 | 32.00% |
| 150.00 | 50.00% | $13.20 | 32.00% |
| 200.00 | 100.00% | $13.20 | 32.00% |

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(1) The **hypothetical** Starting Value of
 100.00 used in these examples has been chosen for illustrative purposes only. The actual
 Starting Value is $93.11, which was the Closing Market Price of the Underlying Fund on the
 pricing date.

(2) The Redemption Amount per unit cannot exceed
 the Capped Value.

For recent actual prices of the Underlying Fund, see "The Underlying Fund" section below. The Ending Value will not include any income generated by dividends paid on the Underlying Fund or the securities held by the Underlying Fund, which you would otherwise be entitled to receive if you invested in those securities directly. In addition, all payments on the notes are subject to issuer credit risk.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-5** |

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<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

**Redemption Amount Calculation Examples**

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| | |
|:---|:---|
| &nbsp;&nbsp;**Example 1** | &nbsp;&nbsp;**Example 1** |
| &nbsp;&nbsp;The Ending Value is 50.00, or 50.00% of the Starting Value: | &nbsp;&nbsp;The Ending Value is 50.00, or 50.00% of the Starting Value: |
| &nbsp;&nbsp;Starting Value: 100.00 | &nbsp;&nbsp;Starting Value: 100.00 |
| &nbsp;&nbsp;Ending Value: 50.00 | &nbsp;&nbsp;Ending Value: 50.00 |
| &nbsp;&nbsp;![](tm232497d4_424b2img004.jpg) | &nbsp;&nbsp;**= $5.00** Redemption Amount per unit |

---

---

| |
|:---|
| &nbsp;&nbsp;**Example 2** |
| &nbsp;&nbsp;The Ending Value is 103.00, or 103.00% of the Starting Value: |
| &nbsp;&nbsp;Starting Value: 100.00 |
| &nbsp;&nbsp;Ending Value: 103.00 |
| &nbsp;&nbsp;**= $10.90** Redemption Amount per unit |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Example 3** | &nbsp;&nbsp;**Example 3** |
| &nbsp;&nbsp;The Ending Value is 130.00, or 130.00% of the Starting Value: | &nbsp;&nbsp;The Ending Value is 130.00, or 130.00% of the Starting Value: |
| &nbsp;&nbsp;Starting Value: 100.00 | &nbsp;&nbsp;Starting Value: 100.00 |
| &nbsp;&nbsp;Ending Value: 130.00 | &nbsp;&nbsp;Ending Value: 130.00 |
| &nbsp;&nbsp;![](tm232497d4_424b2img006.jpg) | &nbsp;&nbsp;**= $19.00, however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be $13.20 per unit** |

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| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-6** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Risk Factors

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ Depending
 on the performance of the Underlying Fund as measured shortly before the maturity date, you
 may lose up to 100% of the principal amount.

&nbsp;&nbsp;&nbsp;&nbsp;▪ Your
 investment return is limited to the return represented by the Capped Value and may be less
 than a comparable investment directly in the Underlying Fund or the securities held by the
 Underlying Fund.

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 notes are not insured or guaranteed by any governmental agency of the United Kingdom, the
 United States or any other jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;▪ You
 may lose some or all of your investment if any UK bail-in power (or any other resolution
 measure) is exercised by a relevant UK resolution authority. See "Risk Factors—Structure-related
 Risks—You may lose some or all of your investment if any U.K. bail-in power (or any
 other resolution measure) is exercised by a relevant U.K. resolution authority" in
 product supplement EQUITY ARN-1.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ Our
 internal funding rate for the issuance of these notes is lower than the rate we would use
 when we issue conventional fixed or floating rate debt securities. This is one of the factors
 that may result in the market value of the notes being less than their estimated initial
 value. As a result of the difference between our internal funding rate and the rate we would
 use when we issue conventional fixed or floating rate debt securities, the estimated initial
 value of the notes may be lower if it were based on the levels at which our fixed or floating
 rate debt securities trade in the secondary market. In addition, if we were to use the rate
 we use for our conventional fixed or floating rate debt issuances, we would expect the economic
 terms of the notes to be more favorable to you.

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 estimated initial value does not represent a minimum price at which we, MLPF&S, BofAS
 or any of our respective affiliates would be willing to purchase your notes in the secondary
 market (if any exists) at any time. The price of your notes in the secondary market, if any,
 at any time after issuance will vary based on many factors, including the price of the Underlying
 Fund and changes in market conditions, and cannot be predicted with accuracy. The notes are
 not designed to be short-term trading instruments, and you should, therefore, be able and
 willing to hold the notes to maturity. Any sale of the notes prior to maturity could result
 in a loss to you.

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

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-7** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 sponsor and investment advisor of the Underlying Fund may adjust the Underlying Fund in a
 way that could adversely affect the price of the Underlying Fund and consequently, the return
 on the notes, and have no obligation to consider your interests.

&nbsp;&nbsp;&nbsp;&nbsp;▪ As
 a noteholder, you will have no rights to receive shares of the Underlying Fund or the securities
 held by the Underlying Fund, and you will not be entitled to receive securities, dividends
 or other distributions on those securities.

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ There
 are liquidity and management risks associated with the Underlying Fund.

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 performance of the Underlying Fund may not correlate with the performance of its Underlying
 Index as well as the net asset value per share of the Underlying Fund, especially during
 periods of market volatility when the liquidity and the market price of shares of the Underlying
 Fund and/or securities held by the Underlying Fund may be adversely affected, sometimes materially.

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 payments on the notes will not be adjusted for all corporate events that could affect the
 Underlying Fund. See "Description of ARNs—Anti-Dilution and Discontinuance Adjustments
 Relating to Underlying Funds" beginning on page PS-26 of product supplement EQUITY

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ The
 U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a
 holder of the notes. See "Summary Tax Consequences" below and "U.S. Federal
 Income Tax Summary" beginning on page PS-36 of product supplement EQUITY ARN-1.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-8** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Additional Risk Factors

**All of the securities held by the Underlying Fund are concentrated in a few industries.**

The equity securities held by the Underlying Fund are issued by companies that are in the following industries: oil, gas and consumable fuels, and energy equipment and services. Consequently, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, environmental, political or regulatory occurrence affecting such industries than an investment linked to a more broadly diversified group of issuers. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products and services in general..

**The notes are subject to risks associated with the energy sector.**

The Underlying Fund invests in companies that develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products and services in general. The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these companies. The stock prices of oil service companies could be subject to wide fluctuations in response to a variety of factors, including the ability of the OPEC to set and maintain production levels and pricing, the level of production in non-OPEC countries, the demand for oil and gas, which is negatively impacted by economic downturns, the policies of various governments regarding exploration and development of oil and gas reserves, advances in exploration and development technology and the political environment of oil-producing regions. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak demand for the companies' products or services or for energy products and services in general, as well as negative developments in these other areas, would adversely affect the performance of the Underlying Fund. All these factors may adversely affect the value of the notes.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-9** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

The Underlying Fund

All disclosures contained in this term sheet regarding the Underlying Fund and the Underlying Index, including, without limitation, their make-up, method of their calculation, and changes in their components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, SSGA Funds Management, Inc. ("SSGA"). The consequences of any discontinuance of the Underlying Fund or the Underlying Index are discussed in the section entitled "Description of ARNs—Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds—Discontinuance of or Material Change to an Underlying Fund" beginning on page PS-29 of product supplement EQUITY ARN-1. None of us, the calculation agents, or MLPF&S accepts any responsibility for the calculation, maintenance, or publication of the Underlying Fund, the Underlying Index, or any successor fund or index.

**Description of the Energy Select Sector SPDR<sup>®</sup> Fund**

The Underlying Fund is an investment portfolio managed by SSGA. The Underlying Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol "XLE."

The Select Sector SPDR<sup>®</sup> Trust is a registered investment company that consists of nine separate investment portfolios (each, a "Select Sector SPDR<sup>®</sup> Fund"), including the Underlying Fund. Each Select Sector SPDR<sup>®</sup> Fund is an Index Fund that invests in a particular sector or group of industries represented by a specified Select Sector Index (together, the "Select Sector Indices"). The companies included in each Select Sector Index are selected on the basis of the Global Industry Classification Standard from a universe of companies defined by the S&P 500<sup>®</sup> Index (the "SPX"). The Select Sector Indices upon which the Select Sector SPDR<sup>®</sup> Funds are based, together, comprise all of the companies in the SPX.

Information provided to or filed with the SEC by the Select Sector SPDR<sup>®</sup> Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC's website at http://www.sec.gov.

*Investment Objective and Strategy*

The Underlying Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded equity securities of companies in the Energy Select Sector Index ("the "IXE"). The IXE measures the performance of the energy sector of the U.S. equity market. The IXE includes companies in the following sub-sectors: oil, gas and consumable fuels; and energy equipment and services. The returns of the Underlying Fund may be affected by certain management fees and other expenses, which are detailed in its prospectus.

*Investment Strategy - Replication*

The Underlying Fund pursues the indexing strategy of "replication" in attempting to approximate the performance of IXE. The Underlying Fund will generally invest in all of the equity securities included in the IXE. There may, however, be instances where SSGA may choose to overweight another stock in the IXE, purchase securities not included in the IXE that SSGA believes are appropriate to substitute for a security included in the IXE or utilize various combinations of other available investment techniques in seeking to track accurately the IXE. The Underlying Fund will normally invest at least 95% of its total assets in common stocks that comprise the IXE. The Underlying Fund may invest its remaining assets in money market instruments (including repurchase agreements and money market funds), convertible securities, structured notes and in options and futures contracts. Options and futures contracts (and convertible securities and structured notes) may be used by the Underlying Fund in seeking performance that corresponds to the IXE and managing cash flows. SSGA anticipates that, under normal circumstances, it may take approximately five business days for additions and deletions to the SPX to be reflected in the portfolio composition of the Underlying Fund. The Board of Trustees of the Select Sector SPDR<sup>®</sup> Trust may change the Underlying Fund's investment strategy and other policies without shareholder approval.

*Correlation*

The IXE is a theoretical financial calculation, while the Underlying Fund is an actual investment portfolio. The performance of the Underlying Fund and the IXE will vary somewhat due to transaction costs, asset valuations, market impact, corporate actions (such as mergers and spin-offs) and timing variances. A figure of 100% would indicate perfect correlation. Any correlation of less than 100% is called "tracking error." The Underlying Fund, using a replication strategy, can be expected to have a lesser tracking error than a fund using representative sampling strategy. Representative sampling is a strategy in which a fund invests in a representative sample of securities in a tracking index.

**Description of the Energy Select Sector Index**

The IXE is a modified market capitalization-based index intended to track the movements of companies that are components of the SPX and are involved in the development or production of energy products. Energy companies in the IXE develop and produce crude oil and natural gas and provide drilling and other energy related services. The IXE, which serves as the benchmark for the Underlying Fund, was established with a base value of 250.00 on June 30, 1998.

The stocks included in the IXE are selected by S&P Dow Jones Indices LLC ("S&P"), as index compilation agent, (the "Index Compilation Agent") from the universe of companies represented by the SPX. The composition and weighting of the stocks included in the IXE will likely differ from the composition and weighting of stocks included in any similar sector index of the SPX that is published and disseminated by S&P.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-10** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

*Construction and Maintenance*

The IXE is developed and maintained in accordance with the following criteria:

&nbsp;&nbsp;&nbsp;&nbsp;• Each
 of the component stocks in the IXE (the "Component Stocks") is a constituent
 company of the SPX

&nbsp;&nbsp;&nbsp;&nbsp;• Each
 stock in the SPX is allocated to one and only one of the Select Sector Indices.

&nbsp;&nbsp;&nbsp;&nbsp;• The
 Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index.
 The Index Compilation Agent, after consultation with S&P, assigns a particular company's
 stock to the IXE on the basis of such company's sales and earnings composition and
 the sensitivity of the company's stock price and business results to the common factors
 that affect other companies in the IXE. S&P has sole control over the removal of stocks
 from the SPX and the selection of replacement stocks to be added to the SPX. However, S&P
 plays only a consulting role in the assignment of the SPX constituent stocks to the IXE,
 that assignment being the sole responsibility of the Index Compilation Agent.

&nbsp;&nbsp;&nbsp;&nbsp;• The
 IXE is calculated by the Index Calculation Agent using a modified "market capitalization"
 methodology. This design ensures that each of the Component Stocks within the IXE is represented
 in a proportion consistent with its percentage with respect to the total market capitalization
 of the IXE. Under certain conditions, however, the number of shares of a Component Stock
 within the IXE may be adjusted to conform to Internal Revenue Code requirements.

&nbsp;&nbsp;&nbsp;&nbsp;• The
 IXE is calculated using the same methodology utilized by S&P in calculating the SPX,
 using a base-weighted aggregate methodology. The daily calculation of the IXE is computed
 by dividing the total market value of the companies in the IXE by a number called the index
 divisor.

&nbsp;&nbsp;&nbsp;&nbsp;• The
 IXE is weighted based on the market capitalization of each of the Component Stocks, subject
 to the following asset diversification requirements: (i) the market capitalization-based
 weighted value of any single Component Stock measured on the last day of a calendar quarter
 may not exceed 24.99% of the total value of the IXE; and (ii) with respect to 50% of
 the total value of the IXE, the market capitalization-based weighted value of the Component
 Stocks must be diversified so that no single Component Stock measured on the last day of
 a calendar quarter represents more than 4.99% of the total value of the IXE.

&nbsp;&nbsp;&nbsp;&nbsp;• Rebalancing
 the IXE to meet the asset diversification requirements will be the responsibility of the
 Index Calculation Agent. If shortly prior to the last business day of any calendar quarter
 (a "Quarterly Qualification Date"), a Component Stock (or two or more Component
 Stocks) approaches the maximum allowable value limits set forth above (the "Asset Diversification
 Limits"), the percentage that such Component Stock (or Component Stocks) represents
 in the IXE will be reduced and the market capitalization based weighted value of such Component
 Stock (or Component Stocks) will be redistributed across the Component Stocks that do not
 closely approach the Asset Diversification Limits in accordance with the following methodology:
 First, each Component Stock that exceeds 24% of the total value of the IXE will be reduced
 to 23% of the total value of the IXE and the aggregate amount by which all Component Stocks
 exceed 24% will be redistributed equally across the remaining Component Stocks that represent
 less than 23% of the total value of the IXE. If as a result of this redistribution, another
 Component Stock then exceeds 24%, the redistribution will be repeated as necessary. Second,
 with respect to the 50% of the value of the IXE accounted for by the lowest weighted Component
 Stocks, each Component Stock that exceeds 4.8% of the total value of the IXE will be reduced
 to 4.6% and the aggregate amount by which all Component Stocks exceed 4.8% will be distributed
 equally across all remaining Component Stocks that represent less than 4.6% of the total
 value of the Financial Select Sector Index. If as a result of this redistribution another
 Component Stock that did not previously exceed 4.8% of the IXE value then exceeds 4.8%, the
 redistribution will be repeated as necessary until at least 50% of the value of the Underlying
 Index is accounted for by Component Stocks representing no more than 4.8% of the total value
 of the IXE. If necessary, this reallocation process may take place more than once prior to
 a Quarterly Qualification Date.

The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its business that it should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the Index Compilation Agent notifies the Index Calculation Agent that a Component Stock's Select Sector Index assignment should be changed, the Index Calculation Agent will disseminate notice of the change following its standard procedure for announcing index changes and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently. Component Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P for additions and deletions from the SPX insofar as practicable.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-11** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

***The following graph shows the daily historical performance of the Underlying Fund on its primary exchange in the period from January 1, 2013 through January 26, 2023. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the Closing Market Price of the Underlying Fund was $93.11. The graph below may have been adjusted to reflect certain corporate actions, such as stock splits and reverse stock splits.***

***Historical Performance of the Underlying Fund***

![](tm232497d4_424b2img007.jpg)

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

Before investing in the notes, you should consult publicly available sources for the prices and trading pattern of the Underlying Fund.

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-12** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

Supplement to the Plan of Distribution

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

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

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

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

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

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

**Selling Restrictions**

*Prohibition of sales to UK retail investors.* The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in the United Kingdom ("UK"). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of UK domestic law by virtue of the European Union (Withdrawal) Act 2018 (as amended, the "EUWA"); (ii) a customer within the meaning of the United Kingdom Financial Services and Markets Act 2000 (as amended, the "FSMA") and any rules or regulations made under the FSMA to implement Directive 2016/97 (EU), where that customer would not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of UK domestic law by virtue of the EUWA; or (iii) not a qualified investor as defined in Article 2 of Regulation (EU) 2017/1129 as it forms part of UK domestic law by virtue of the EUWA. Consequently, no key information document required by Regulation (EU) No. 1286/2014 as it forms part of UK domestic law by virtue of the EUWA (the "UK PRIIPs Regulation") for offering or selling the notes or otherwise making them available to retail investors in the UK has been prepared and therefore offering or selling the notes or otherwise making them available to any retail investor in the UK may be unlawful under the UK PRIIPs Regulation.

*Prohibition of sales to EEA retail investors.* The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to any retail investor in the European Economic Area ("EEA"). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, "MiFID II"); (ii) a customer within the meaning of Directive 2016/97 (EU) (as amended), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU) 2017/1129, as amended. Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the "EU PRIIPs Regulation") for offering or selling the notes or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling such notes or otherwise making them available to any retail investor in the EEA may be unlawful under the EU PRIIPs Regulation.

The preceding discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.

**Role of MLPF&S and BofAS**

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

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-13** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

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

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

For further information, see "Risk Factors" beginning on page PS-6 of product supplement EQUITY ARN-1.

Summary Tax Consequences

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ Under
 this characterization and tax treatment of the notes, subject to the discussion of the constructive
 ownership rules of Section 1260 of the Code beginning on page PS-37 of product
 supplement EQUITY ARN-1, a U.S. holder (as defined in the prospectus supplement) generally
 will recognize capital gain or loss upon maturity or upon a sale or exchange of the notes
 prior to maturity. This capital gain or loss generally will be long-term capital gain or
 loss if you held the notes for more than one year.

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

&nbsp;&nbsp;&nbsp;&nbsp;▪ A
 "dividend equivalent" payment is treated as a dividend from sources within the
 United States and such payments generally would be subject to a 30% U.S. withholding tax
 if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including
 deemed payments) with respect to equity-linked instruments ("ELIs") that are
 "specified ELIs" may be treated as dividend equivalents if such specified ELIs
 reference an interest in an "underlying security," which is generally any interest
 in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with
 respect to such interest could give rise to a U.S. source dividend. However, Internal
 Revenue Service guidance provides that withholding on dividend equivalent payments will not
 apply to specified ELIs that are not delta-one instruments and that are issued before January 1,
 2025. Based on our determination that the notes are not "delta-one" instruments,
 non-U.S. holders should not be subject to withholding on dividend equivalent payments, if
 any, under the notes. However, it is possible that the notes could be treated as deemed reissued
 for U.S. federal income tax purposes upon the occurrence of certain events affecting a Market
 Measure or the notes, and following such occurrence the notes could be treated as subject
 to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered,
 into other transactions in respect of a Market Measure or the notes should consult their
 tax advisors as to the application of the dividend equivalent withholding tax in the context
 of the notes and their other transactions. If any payments are treated as dividend equivalents
 subject to withholding, we (or the applicable paying agent) would be entitled to withhold
 taxes without being required to pay any additional amounts with respect to amounts so withheld.

**You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. You should review carefully the discussion under the section entitled "U.S. Federal Income Tax Summary" beginning on page PS-36 of product supplement EQUITY ARN-1.**

Validity of the Notes

In the opinion of Mayer Brown LLP, as counsel to the issuer, when this term sheet has been attached to, and duly notated on, the master note that represents the notes pursuant to the senior indenture referred to in the prospectus supplement dated August 31, 2022, and issued and paid for as contemplated herein, the notes offered by this term sheet will be valid, binding and enforceable obligations of the issuer, entitled to the benefits of the senior indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York and the federal laws of the United States of America. Insofar as this opinion involves matters governed by English law, Mayer Brown LLP has relied, with the issuer's permission, on the opinion of Mayer Brown International LLP, dated as of August 31, 2022, filed as an exhibit to the registration statement by the issuer on August 31, 2022, and this opinion is subject to the same

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-14** |

---

<u>Accelerated Return Notes<sup>®</sup><br> Linked to the Energy Select Sector SPDR<sup>®</sup> Fund, due March 28, 2024</u>  

assumptions, qualifications and limitations as set forth in such opinion of Mayer Brown International LLP. This opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the senior indenture and the genuineness of signatures and to such counsel's reliance on the issuer and other sources as to certain factual matters, all as stated in the legal opinion dated August 31, 2022, which has been filed as Exhibit 5.3 to the issuer's registration statement on Form F-3 dated August 31, 2022.

Where You Can Find More Information

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

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

---

| | |
|:---|:---|
| **Accelerated Return Notes<sup>®</sup>**  | **TS-15** |

---

## Ex-Filing

**EX-FILING FEES**

**Calculation of Filing Fee Table**

F-3<br> (Form Type)

**HSBC Bank plc**<br> (Exact Name of Registrant as Specified in its Charter)

(Translation of Registrant's Name into English)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Security Type** | **Security Class<br> Title** | **Fee Calculation<br> or Carry Forward Rule** | **Amount<br> Registered** | **Proposed Maximum<br> Offering Price Per Unit** | **Maximum<br> Aggregate<br> Offering Price** | **Fee Rate** | **Amount of Registration Fee** |
| Fees to Be Paid | Debt | Debt Securities | Rule 457(r) |  |  | $26698540 | $110.20 per $1,000,000 | $2942.18 |

---

### Attached PDF Documents

**Attachment 1:** `tm232497d4_424b2.pdf`

Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-267182
(To Prospectus dated August 31, 2022,
Prospectus Supplement dated August 31, 2022 and
Product Supplement EQUITY ARN-1 dated December 29,
2022)

2,669,854 Units
$10 principal amount per unit
OUSIP No. 44328M682

Pricing Date
Settlement Date
Maturity Date

January 26, 2023
February 2, 2023
March 28, 2024

## Accelerated Return Notes® Linked to the Energy Select Sector SPDR® Fund

- Maturity of approximately 14 months
- 3-to-1 upside exposure to increases in the Underlying Fund, subject to a capped return of 32.00%
- 1-to-1 downside exposure to decreases in the Underlying Fund, with up to 100% of your investment at risk
- All payments occur at maturity and are subject to the credit risk of HSBC Bank plc
- No interest payments
- In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.05 per unit. See "Supplement to the Plan of Distribution-Role of MLPF&S and BofAS"
- No listing on any securities exchange
- Any payment on the notes, including any repayment of principal, is not guaranteed by any third party and is subject to the risk of exercise of any UK bail-in power (as described on page TS-3 of this document) by a relevant UK resolution authority. If HSBC Bank plc were to default on its payment obligations or become subject to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority, you might not receive all or part of any amounts owed to you under the notes. See "Consent to UK Bail-in Power" and "Risk Factors" in this document and "Risk Factors" in the accompanying prospectus supplement for more information.

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

The estimated initial value of the notes on the pricing date is $9.795 per unit, which is less than the public offering price listed below. The market value of the notes at any time will reflect many factors and cannot be predicted with accuracy. See "Summary" on page TS-2 and "Risk Factors" beginning on page TS-7 of this term sheet for additional information. The actual value of your notes at any time will reflect many factors and cannot be predicted with accuracy.

Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between HSBC and any holder or beneficial owner of the notes, by acquiring the notes (or a beneficial interest therein), each holder and each beneficial owner of the notes acknowledges, accepts and agrees to be bound by, and consents to, the exercise of, any UK bail-in power (or any other resolution measure) by any relevant UK resolution authority in relation to the notes. See "Consent to UK Bail-in Power" on page TS-3 of this document.

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

|  | Per Unit | Total |
| --- | --- | --- |
| Public offering price (1) | $10.000 | $26,698,540.00 |
| Underwriting discount (1) | $0.175 | $467,224.45 |
| Proceeds, before expenses, to HSBC | $9.825 | $26,231,315.55 |

(1) See "Supplement to the Plan of Distribution" below.

The notes:

| Are Not FDIC Insured | Are Not Covered by the UK Financial Services Compensation Scheme | May Lose Value |
| --- | --- | --- |

BofA Securities

January 26, 2023

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Summary

The Accelerated Return Notes® Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024 (the “notes”) are our senior unsecured debt securities and are not a direct or indirect obligation of any third party. The notes are not deposit liabilities of HSBC and are not covered by the UK Financial Services Compensation Scheme or insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency or deposit insurance agency of the United States, the United Kingdom or any other jurisdiction. **The notes will rank equally with all of our other senior unsecured debt, except for such debt as may be preferred by operation of law. Any payments due on the notes, including any repayment of principal, are subject to the credit risk of HSBC and to the risk of exercise of any UK bail-in power (as described herein) (or any other resolution measure) by a relevant UK resolution authority.** The notes provide you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the Energy Select Sector SPDR® Fund (the “Underlying Fund”), is greater than the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the principal amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Underlying Fund, subject to our credit risk. See “Terms of the Notes” below.

The estimated initial value of the notes is less than the price you pay to purchase the notes. The estimated initial value was determined by reference to our internal pricing models and reflects our internal funding rate, which is the borrowing rate we pay to issue market-linked notes, and the market prices for hedging arrangements related to the notes (which may include call options, put options or other derivatives). This internal funding rate is typically lower than the rate we would use when we issue conventional fixed or floating rate debt securities. The difference in the borrowing rate, as well as the underwriting discount and the costs associated with hedging the notes, including the hedging-related charge described below, reduced the economic terms of the notes (including the Capped Value).

## Terms of the Notes

| Issuer: | HSBC Bank plc (“HSBC”) |
| --- | --- |
| Principal Amount: | $10.00 per unit |
| Term: | Approximately 14 months |
| Market Measure: | The Energy Select Sector SPDR® Fund (Bloomberg symbol: “XLE”). |
| Starting Value: | $93.11 |
| Ending Value: | The average of the products of the Closing Market Price of the Underlying Fund on each calculation day during the Maturity Valuation Period times the Price Multiplier as of that day. The scheduled calculation days are subject to postponement in the event of Market Disruption Events, as described beginning on page PS-22 of product supplement EQUITY ARN-1. |
| Participation Rate: | 300% |
| Capped Value: | $13.20 per unit, which represents a return of 32.00% over the principal amount. |
| Maturity Valuation Period: | March 19, 2024, March 20, 2024, March 21, 2024, March 22, 2024 and March 25, 2024 |
| Price Multiplier: | 1, subject to adjustment for certain corporate events relating to the Underlying Fund, as described beginning on page PS-26 of product supplement EQUITY ARN-1. |
| Fees Charged: | The public offering price of the notes includes the underwriting discount of $0.175 per unit as listed on the cover page and an additional charge of $0.05 per unit more fully described on page TS-12. |
| Calculation Agent: | BofA Securities, Inc. (“BofAS”) and HSBC, acting jointly. |

## Redemption Amount Determination

On the maturity date, you will receive a cash payment per unit determined as follows:

![img-0.jpeg](img-0.jpeg)

Accelerated Return Notes®

TS-2

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

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

- Product supplement EQUITY ARN-1 dated December 29, 2022:
  https://www.sec.gov/Archives/edgar/data/1140465/000110465922130922/tm2233040d8_424b5.htm
- Prospectus supplement dated August 31, 2022:
  https://www.sec.gov/Archives/edgar/data/1140465/000110465922096478/tm2223547d4_424b2.htm
- Prospectus dated August 31, 2022:
  https://www.sec.gov/Archives/edgar/data/1140465/000110465922096461/tm2223384-4_424b3.htm

Our Central Index Key, or CIK, on the SEC website is 1140465. Before you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the section indicated on the cover of this term sheet. The notes involve risks not associated with conventional debt securities. Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY ARN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to HSBC.

## Consent to UK Bail-in Power

Notwithstanding and to the exclusion of any other term of the notes or any other agreements, arrangements or understandings between us and any holder or beneficial owner of the notes, by acquiring the notes (or a beneficial interest therein), each holder and each beneficial owner of the notes acknowledges, accepts and agrees to be bound by, and consents to, the exercise of, any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority.

Under the UK Banking Act 2009, as amended (the “Banking Act”), a relevant UK resolution authority may exercise a UK bail-in power in circumstances in which a relevant UK resolution authority is satisfied that the resolution conditions are met. These conditions include that a UK bank or investment firm is failing or is likely to fail to satisfy the Financial Services and Markets Act 2000 (as amended, the “FSMA”) threshold conditions for authorization to carry on certain regulated activities (within the meaning of section 55B FSMA).

The UK bail-in power includes any write-down, conversion, transfer, modification and/or suspension power, which allows for (i) the reduction or cancellation of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the notes; (ii) the conversion of all, or a portion, of the principal amount of, interest on, or any other amounts payable on, the notes into shares or other securities or other obligations of HSBC or another person (and the issue to, or conferral on, the holder or beneficial owner of the notes such shares, securities or obligations); (iii) the cancellation of the notes and/or (iv) the amendment or alteration of the maturity of the notes, or amendment of the amount of interest or any other amounts due on the notes, or the dates on which interest or any other amounts become payable, including by suspending payment for a temporary period; which UK bail-in power may be exercised by means of a variation of the terms of the notes solely to give effect to the exercise by a relevant UK resolution authority of such UK bail-in power. Each holder and each beneficial owner of the notes further acknowledges and agrees that the rights of holders and beneficial owners of the notes are subject to, and will be varied, if necessary, to give effect to, the exercise of any UK bail-in power by a relevant UK resolution authority.

For more information, please see “Risk Factors - Issuer-related Risks - You may lose some or all of your investment if any UK bail-in power (or any other resolution measure) is exercised by a relevant UK resolution authority” in this document, and “Description of Debt Securities - Agreement with Respect to the Exercise of UK Bail-in Power” in the accompanying prospectus and “Risk Factors - Risks Relating to All Note Issuances - Under the terms of your notes, you will agree to be bound by the exercise of any UK bail-in power by the relevant UK resolution authority.” “- The notes are the subject of the UK bail-in power, which may result in your notes being written down to zero or converted into other securities, including unlisted equity securities.” “-Your rights may be limited in respect of the exercise of the UK bail-in power by the relevant UK resolution authority.” “- Other powers contemplated by the Banking Act may affect your rights under, and the value of your investment in, the notes” and “- The circumstances under which the relevant UK resolution authority would exercise its UK bail-in power or other resolution tools under the Banking Act or future legislative or regulatory proposals are uncertain, which may affect the value of your notes” in the accompanying prospectus supplement.

The preceding discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.

Accelerated Return Notes®

TS-3

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

# Investor Considerations

You may wish to consider an investment in the notes if:

- You are a retail investor outside the EEA and the UK (each as defined below), or an institutional buyer (for restrictions on offers or sales to retail investors in the EEA and the UK, see “Supplement to the Plan of Distribution-Selling Restrictions” beginning on page TS-13 below.
- You anticipate that the Underlying Fund will increase moderately from the Starting Value to the Ending Value.
- You accept that your investment will result in a loss, which could be significant, if the Underlying Fund decreases from the Starting Value to the Ending Value.
- You accept that the return on the notes will be capped.
- You are willing to forgo the interest payments that are paid on traditional interest bearing debt securities.
- You are willing to forgo dividends or other benefits of owning shares of the Underlying Fund or the securities held by the Underlying Fund.
- You are willing to accept that a secondary market is not expected to develop for the notes, and understand that the market prices for the notes, if any, may be less than the principal amount and will be affected by various factors, including our actual and perceived creditworthiness, our internal funding rate and the fees charged, as described on page TS-2.
- You are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
- You are willing and able to consent to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority.

The notes may not be an appropriate investment for you if:

- You are a retail investor in the EEA or the UK as described under “Supplement to the Plan of Distribution-Selling Restrictions” beginning on page TS-13 below.
- You believe that the Underlying Fund will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over the term of the notes to provide you with your desired return.
- You seek principal repayment or preservation of capital.
- You seek an uncapped return on your investment.
- You seek interest payments or other current income on your investment.
- You want to receive dividends or other distributions paid on shares of the Underlying Fund or the securities held by the Underlying Fund.
- You seek an investment for which there will be a liquid secondary market.
- You are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
- You are unwilling or unable to consent to the exercise of any UK bail-in power (or any other resolution measure) by a relevant UK resolution authority.

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

Accelerated Return Notes®

TS-4

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Hypothetical Payout Profile

![img-1.jpeg](img-1.jpeg)

This graph reflects the returns on the notes, based on the Participation Rate of 300% and the Capped Value of $13.20 per unit. The green line reflects the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the Underlying Fund, excluding dividends.

This graph has been prepared for purposes of illustration only.

## Hypothetical Payments at Maturity

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

The following table is based on a Starting Value of 100.00, the Participation Rate of 300% and the Capped Value of $13.20 per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.

| Ending Value | Percentage Change from the Starting Value to the Ending Value | Redemption Amount per Unit | Total Rate of Return on the Notes |
| --- | --- | --- | --- |
| 0.00 | -100.00% | $0.00 | -100.00% |
| 50.00 | -50.00% | $5.00 | -50.00% |
| 80.00 | -20.00% | $8.00 | -20.00% |
| 90.00 | -10.00% | $9.00 | -10.00% |
| 94.00 | -6.00% | $9.40 | -6.00% |
| 97.00 | -3.00% | $9.70 | -3.00% |
| 100.00 (1) | 0.00% | $10.00 | 0.00% |
| 103.00 | 3.00% | $10.90 | 9.00% |
| 110.00 | 10.00% | $13.00 | 30.00% |
| 110.67 | 10.67% | $13.20 (2) | 32.00% |
| 130.00 | 30.00% | $13.20 | 32.00% |
| 150.00 | 50.00% | $13.20 | 32.00% |
| 200.00 | 100.00% | $13.20 | 32.00% |

(1) The **hypothetical** Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only. The actual Starting Value is $93.11, which was the Closing Market Price of the Underlying Fund on the pricing date.

(2) The Redemption Amount per unit cannot exceed the Capped Value.

For recent actual prices of the Underlying Fund, see 'The Underlying Fund' section below. The Ending Value will not include any income generated by dividends paid on the Underlying Fund or the securities held by the Underlying Fund, which you would otherwise be entitled to receive if you invested in those securities directly. In addition, all payments on the notes are subject to issuer credit risk.

Accelerated Return Notes®

TS-5

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Redemption Amount Calculation Examples

### Example 1

The Ending Value is 50.00, or 50.00% of the Starting Value:

Starting Value: 100.00

Ending Value: 50.00

$$\$10 \times \left( \frac{50}{100} \right) = \$5.00 \text{ Redemption Amount per unit}$$

### Example 2

The Ending Value is 103.00, or 103.00% of the Starting Value:

Starting Value: 100.00

Ending Value: 103.00

$$\$10 + \left[ \$10 \times 300\% \times \left( \frac{103-100}{100} \right) \right] = \$10.90 \text{ Redemption Amount per unit}$$

### Example 3

The Ending Value is 130.00, or 130.00% of the Starting Value:

Starting Value: 100.00

Ending Value: 130.00

$$\$10 + \left[ \$10 \times 300\% \times \left( \frac{130-100}{100} \right) \right] = \$19.00, \text{ however, because the Redemption Amount for the notes cannot exceed the Capped Value, the Redemption Amount will be } \$13.20 \text{ per unit}$$

Accelerated Return Notes®

TS-6

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Risk Factors

We urge you to read the section “Risk Factors” in the product supplement and in the accompanying prospectus supplement. Investing in the notes is not equivalent to investing directly in shares of the Underlying Fund or the securities held by the Underlying Fund. You should understand the risks of investing in the notes and should reach an investment decision only after careful consideration, with your advisers, with respect to the notes in light of your particular financial and other circumstances and the information set forth in this term sheet and the accompanying product supplement, prospectus supplement and prospectus.

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

### Structure-related Risks

- Depending on the performance of the Underlying Fund as measured shortly before the maturity date, you may lose up to 100% of the principal amount.
- Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly in the Underlying Fund or the securities held by the Underlying Fund.
- Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of comparable maturity.

### Issuer-related Risks

- Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.
- The notes are not insured or guaranteed by any governmental agency of the United Kingdom, the United States or any other jurisdiction.
- You may lose some or all of your investment if any UK bail-in power (or any other resolution measure) is exercised by a relevant UK resolution authority. See “Risk Factors-Structure-related Risks-You may lose some or all of your investment if any U.K. bail-in power (or any other resolution measure) is exercised by a relevant U.K. resolution authority” in product supplement EQUITY ARN-1.

### Valuation- and Market-related Risks

- The estimated initial value of the notes is less than the public offering price and may differ from the market value of the notes in the secondary market, if any. We determined the estimated initial value by reference to our internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. Different pricing models and assumptions could provide valuations for the notes that are different from our estimated initial value. The estimated initial value reflects our internal funding rate we use to issue market-linked notes, as well as the mid-market value of the hedging arrangements related to the notes (which may include call options, put options or other derivatives).
- Our internal funding rate for the issuance of these notes is lower than the rate we would use when we issue conventional fixed or floating rate debt securities. This is one of the factors that may result in the market value of the notes being less than their estimated initial value. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the estimated initial value of the notes may be lower if it were based on the levels at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the notes to be more favorable to you.
- The price of your notes in the secondary market, if any, immediately after the pricing date is expected to be less than the public offering price. The public offering price takes into account certain costs, principally the underwriting discount, the hedging costs described on page TS-12 and the costs associated with issuing the notes. The costs associated with issuing the notes will be used or retained by us or one of our affiliates. If you were to sell your notes in the secondary market, if any, the price you would receive for your notes may be less than the price you paid for them.
- The estimated initial value does not represent a minimum price at which we, MLPF&S, BofAS or any of our respective affiliates would be willing to purchase your notes in the secondary market (if any exists) at any time. The price of your notes in the secondary market, if any, at any time after issuance will vary based on many factors, including the price of the Underlying Fund and changes in market conditions, and cannot be predicted with accuracy. The notes are not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the notes to maturity. Any sale of the notes prior to maturity could result in a loss to you.
- A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.

Accelerated Return Notes®

TS-7

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Conflict-related Risks

- Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in shares of the Underlying Fund or the securities held by the Underlying Fund), and any hedging and trading activities we, MLPF&S, BofAS or our respective affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you.
- There may be potential conflicts of interest involving the calculation agents, one of which is us and one of which is BofAS. We have the right to appoint and remove the calculation agents.

## Market Measure-related Risks

- The sponsor of the Underlying Index may adjust the Underlying Index in a way that affects its level, and has no obligation to consider your interests.
- The sponsor and investment advisor of the Underlying Fund may adjust the Underlying Fund in a way that could adversely affect the price of the Underlying Fund and consequently, the return on the notes, and have no obligation to consider your interests.
- As a noteholder, you will have no rights to receive shares of the Underlying Fund or the securities held by the Underlying Fund, and you will not be entitled to receive securities, dividends or other distributions on those securities.
- While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the Underlying Fund, we, MLPF&S, BofAS and our respective affiliates do not control any company included in the Underlying Fund, and have not verified any disclosure made by any other company.
- There are liquidity and management risks associated with the Underlying Fund.
- The performance of the Underlying Fund may not correlate with the performance of its Underlying Index as well as the net asset value per share of the Underlying Fund, especially during periods of market volatility when the liquidity and the market price of shares of the Underlying Fund and/or securities held by the Underlying Fund may be adversely affected, sometimes materially.
- The payments on the notes will not be adjusted for all corporate events that could affect the Underlying Fund. See "Description of ARNs-Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds" beginning on page PS-26 of product supplement EQUITY ARN-1.

## Tax-related Risks

- The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See "Summary Tax Consequences" below and "U.S. Federal Income Tax Summary" beginning on page PS-36 of product supplement EQUITY ARN-1.

Accelerated Return Notes®

TS-8

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024---

# Additional Risk Factors

### **All of the securities held by the Underlying Fund are concentrated in a few industries.**

The equity securities held by the Underlying Fund are issued by companies that are in the following industries: oil, gas and consumable fuels, and energy equipment and services. Consequently, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, environmental, political or regulatory occurrence affecting such industries than an investment linked to a more broadly diversified group of issuers. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products and services in general..

### **The notes are subject to risks associated with the energy sector.**

The Underlying Fund invests in companies that develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products and services in general. The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these companies. The stock prices of oil service companies could be subject to wide fluctuations in response to a variety of factors, including the ability of the OPEC to set and maintain production levels and pricing, the level of production in non-OPEC countries, the demand for oil and gas, which is negatively impacted by economic downturns, the policies of various governments regarding exploration and development of oil and gas reserves, advances in exploration and development technology and the political environment of oil-producing regions. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak demand for the companies' products or services or for energy products and services in general, as well as negative developments in these other areas, would adversely affect the performance of the Underlying Fund. All these factors may adversely affect the value of the notes.

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Accelerated Return Notes®

TS-9

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

# The Underlying Fund

All disclosures contained in this term sheet regarding the Underlying Fund and the Underlying Index, including, without limitation, their make-up, method of their calculation, and changes in their components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, SSGA Funds Management, Inc. ("SSGA"). The consequences of any discontinuance of the Underlying Fund or the Underlying Index are discussed in the section entitled "Description of ARNs-Anti-Dilution and Discontinuance Adjustments Relating to Underlying Funds-Discontinuance of or Material Change to an Underlying Fund" beginning on page PS-29 of product supplement EQUITY ARN-1. None of us, the calculation agents, or MLPF&S accepts any responsibility for the calculation, maintenance, or publication of the Underlying Fund, the Underlying Index, or any successor fund or index.

### Description of the Energy Select Sector SPDR® Fund

The Underlying Fund is an investment portfolio managed by SSGA. The Underlying Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol "XLE."

The Select Sector SPDR® Trust is a registered investment company that consists of nine separate investment portfolios (each, a "Select Sector SPDR® Fund"), including the Underlying Fund. Each Select Sector SPDR® Fund is an Index Fund that invests in a particular sector or group of industries represented by a specified Select Sector Index (together, the "Select Sector Indices"). The companies included in each Select Sector Index are selected on the basis of the Global Industry Classification Standard from a universe of companies defined by the S&P 500® Index (the "SPX"). The Select Sector Indices upon which the Select Sector SPDR® Funds are based, together, comprise all of the companies in the SPX.

Information provided to or filed with the SEC by the Select Sector SPDR® Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC's website at http://www.sec.gov.

### Investment Objective and Strategy

The Underlying Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded equity securities of companies in the Energy Select Sector Index ("the "IXE"). The IXE measures the performance of the energy sector of the U.S. equity market. The IXE includes companies in the following sub-sectors: oil, gas and consumable fuels; and energy equipment and services. The returns of the Underlying Fund may be affected by certain management fees and other expenses, which are detailed in its prospectus.

### Investment Strategy - Replication

The Underlying Fund pursues the indexing strategy of "replication" in attempting to approximate the performance of IXE. The Underlying Fund will generally invest in all of the equity securities included in the IXE. There may, however, be instances where SSGA may choose to overweight another stock in the IXE, purchase securities not included in the IXE that SSGA believes are appropriate to substitute for a security included in the IXE or utilize various combinations of other available investment techniques in seeking to track accurately the IXE. The Underlying Fund will normally invest at least 95% of its total assets in common stocks that comprise the IXE. The Underlying Fund may invest its remaining assets in money market instruments (including repurchase agreements and money market funds), convertible securities, structured notes and in options and futures contracts. Options and futures contracts (and convertible securities and structured notes) may be used by the Underlying Fund in seeking performance that corresponds to the IXE and managing cash flows. SSGA anticipates that, under normal circumstances, it may take approximately five business days for additions and deletions to the SPX to be reflected in the portfolio composition of the Underlying Fund. The Board of Trustees of the Select Sector SPDR® Trust may change the Underlying Fund's investment strategy and other policies without shareholder approval.

### Correlation

The IXE is a theoretical financial calculation, while the Underlying Fund is an actual investment portfolio. The performance of the Underlying Fund and the IXE will vary somewhat due to transaction costs, asset valuations, market impact, corporate actions (such as mergers and spin-offs) and timing variances. A figure of 100% would indicate perfect correlation. Any correlation of less than 100% is called "tracking error." The Underlying Fund, using a replication strategy, can be expected to have a lesser tracking error than a fund using representative sampling strategy. Representative sampling is a strategy in which a fund invests in a representative sample of securities in a tracking index.

### Description of the Energy Select Sector Index

The IXE is a modified market capitalization-based index intended to track the movements of companies that are components of the SPX and are involved in the development or production of energy products. Energy companies in the IXE develop and produce crude oil and natural gas and provide drilling and other energy related services. The IXE, which serves as the benchmark for the Underlying Fund, was established with a base value of 250.00 on June 30, 1998.

The stocks included in the IXE are selected by S&P Dow Jones Indices LLC ("S&P"), as index compilation agent, (the "Index Compilation Agent") from the universe of companies represented by the SPX. The composition and weighting of the stocks included in the IXE will likely differ from the composition and weighting of stocks included in any similar sector index of the SPX that is published and disseminated by S&P.

Accelerated Return Notes®

TS-10

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Construction and Maintenance

The IXE is developed and maintained in accordance with the following criteria:

- Each of the component stocks in the IXE (the "Component Stocks") is a constituent company of the SPX
- Each stock in the SPX is allocated to one and only one of the Select Sector Indices.
- The Index Compilation Agent assigns each constituent stock of the SPX to a Select Sector Index. The Index Compilation Agent, after consultation with S&P, assigns a particular company's stock to the IXE on the basis of such company's sales and earnings composition and the sensitivity of the company's stock price and business results to the common factors that affect other companies in the IXE. S&P has sole control over the removal of stocks from the SPX and the selection of replacement stocks to be added to the SPX. However, S&P plays only a consulting role in the assignment of the SPX constituent stocks to the IXE, that assignment being the sole responsibility of the Index Compilation Agent.
- The IXE is calculated by the Index Calculation Agent using a modified "market capitalization" methodology. This design ensures that each of the Component Stocks within the IXE is represented in a proportion consistent with its percentage with respect to the total market capitalization of the IXE. Under certain conditions, however, the number of shares of a Component Stock within the IXE may be adjusted to conform to Internal Revenue Code requirements.
- The IXE is calculated using the same methodology utilized by S&P in calculating the SPX, using a base-weighted aggregate methodology. The daily calculation of the IXE is computed by dividing the total market value of the companies in the IXE by a number called the index divisor.
- The IXE is weighted based on the market capitalization of each of the Component Stocks, subject to the following asset diversification requirements: (i) the market capitalization-based weighted value of any single Component Stock measured on the last day of a calendar quarter may not exceed 24.99% of the total value of the IXE; and (ii) with respect to 50% of the total value of the IXE, the market capitalization-based weighted value of the Component Stocks must be diversified so that no single Component Stock measured on the last day of a calendar quarter represents more than 4.99% of the total value of the IXE.
- Rebalancing the IXE to meet the asset diversification requirements will be the responsibility of the Index Calculation Agent. If shortly prior to the last business day of any calendar quarter (a "Quarterly Qualification Date"), a Component Stock (or two or more Component Stocks) approaches the maximum allowable value limits set forth above (the "Asset Diversification Limits"), the percentage that such Component Stock (or Component Stocks) represents in the IXE will be reduced and the market capitalization based weighted value of such Component Stock (or Component Stocks) will be redistributed across the Component Stocks that do not closely approach the Asset Diversification Limits in accordance with the following methodology: First, each Component Stock that exceeds 24% of the total value of the IXE will be reduced to 23% of the total value of the IXE and the aggregate amount by which all Component Stocks exceed 24% will be redistributed equally across the remaining Component Stocks that represent less than 23% of the total value of the IXE. If as a result of this redistribution, another Component Stock then exceeds 24%, the redistribution will be repeated as necessary. Second, with respect to the 50% of the value of the IXE accounted for by the lowest weighted Component Stocks, each Component Stock that exceeds 4.8% of the total value of the IXE will be reduced to 4.6% and the aggregate amount by which all Component Stocks exceed 4.8% will be distributed equally across all remaining Component Stocks that represent less than 4.6% of the total value of the Financial Select Sector Index. If as a result of this redistribution another Component Stock that did not previously exceed 4.8% of the IXE value then exceeds 4.8%, the redistribution will be repeated as necessary until at least 50% of the value of the Underlying Index is accounted for by Component Stocks representing no more than 4.8% of the total value of the IXE. If necessary, this reallocation process may take place more than once prior to a Quarterly Qualification Date.

The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its business that it should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event that the Index Compilation Agent notifies the Index Calculation Agent that a Component Stock's Select Sector Index assignment should be changed, the Index Calculation Agent will disseminate notice of the change following its standard procedure for announcing index changes and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change sectors frequently. Component Stocks removed from and added to the SPX will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P for additions and deletions from the SPX insofar as practicable.

Accelerated Return Notes®

TS-11

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

*The following graph shows the daily historical performance of the Underlying Fund on its primary exchange in the period from January 1, 2013 through January 26, 2023. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date, the Closing Market Price of the Underlying Fund was $93.11. The graph below may have been adjusted to reflect certain corporate actions, such as stock splits and reverse stock splits.*

![img-0.jpeg](img-0.jpeg)

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

Before investing in the notes, you should consult publicly available sources for the prices and trading pattern of the Underlying Fund.

Accelerated Return Notes®

TS-12

Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

## Supplement to the Plan of Distribution

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

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

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

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

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

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

### Selling Restrictions

*Prohibition of sales to UK retail investors.* The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to, any retail investor in the United Kingdom ('UK'). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of UK domestic law by virtue of the European Union (Withdrawal) Act 2018 (as amended, the 'EUWA'); (ii) a customer within the meaning of the United Kingdom Financial Services and Markets Act 2000 (as amended, the 'FSMA') and any rules or regulations made under the FSMA to implement Directive 2016/97 (EU), where that customer would not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No 600/2014 as it forms part of UK domestic law by virtue of the EUWA; or (iii) not a qualified investor as defined in Article 2 of Regulation (EU) 2017/1129 as it forms part of UK domestic law by virtue of the EUWA. Consequently, no key information document required by Regulation (EU) No. 1286/2014 as it forms part of UK domestic law by virtue of the EUWA (the 'UK PRIIPs Regulation') for offering or selling the notes or otherwise making them available to retail investors in the UK has been prepared and therefore offering or selling the notes or otherwise making them available to any retail investor in the UK may be unlawful under the UK PRIIPs Regulation.

*Prohibition of sales to EEA retail investors.* The notes are not intended to be offered, sold or otherwise made available to, and should not be offered, sold or otherwise made available to any retail investor in the European Economic Area ('EEA'). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, 'MiFID II'); (ii) a customer within the meaning of Directive 2016/97 (EU) (as amended), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Regulation (EU) 2017/1129, as amended. Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the 'EU PRIIPs Regulation') for offering or selling the notes or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling such notes or otherwise making them available to any retail investor in the EEA may be unlawful under the EU PRIIPs Regulation.

The preceding discussion supersedes the discussion in the accompanying prospectus supplement to the extent it is inconsistent therewith.

### Role of MLPF&S and BofAS

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

Accelerated Return Notes®

TS-13

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

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

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

For further information, see "Risk Factors" beginning on page PS-6 of product supplement EQUITY ARN-1.

## Summary Tax Consequences

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

- There is no statutory, judicial, or administrative authority directly addressing the characterization of the notes.
- You agree with us (in the absence of an administrative determination, or judicial ruling to the contrary) to characterize and treat the notes for all tax purposes as pre-paid executory contracts with respect to the Underlying Fund.
- Under this characterization and tax treatment of the notes, subject to the discussion of the constructive ownership rules of Section 1260 of the Code beginning on page PS-37 of product supplement EQUITY ARN-1, a U.S. holder (as defined in the prospectus supplement) generally will recognize capital gain or loss upon maturity or upon a sale or exchange of the notes prior to maturity. This capital gain or loss generally will be long-term capital gain or loss if you held the notes for more than one year.
- No assurance can be given that the IRS or any court will agree with this characterization and tax treatment.
- A "dividend equivalent" payment is treated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a non-U.S. holder. Under U.S. Treasury Department regulations, payments (including deemed payments) with respect to equity-linked instruments ("ELIs") that are "specified ELIs" may be treated as dividend equivalents if such specified ELIs reference an interest in an "underlying security," which is generally any interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, Internal Revenue Service guidance provides that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. Based on our determination that the notes are not "delta-one" instruments, non-U.S. holders should not be subject to withholding on dividend equivalent payments, if any, under the notes. However, it is possible that the notes could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting a Market Measure or the notes, and following such occurrence the notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders that enter, or have entered, into other transactions in respect of a Market Measure or the notes should consult their tax advisors as to the application of the dividend equivalent withholding tax in the context of the notes and their other transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.

You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. You should review carefully the discussion under the section entitled "U.S. Federal Income Tax Summary" beginning on page PS-36 of product supplement EQUITY ARN-1.

## Validity of the Notes

In the opinion of Mayer Brown LLP, as counsel to the issuer, when this term sheet has been attached to, and duly notated on, the master note that represents the notes pursuant to the senior indenture referred to in the prospectus supplement dated August 31, 2022, and issued and paid for as contemplated herein, the notes offered by this term sheet will be valid, binding and enforceable obligations of the issuer, entitled to the benefits of the senior indenture, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith). This opinion is given as of the date hereof and is limited to the laws of the State of New York and the federal laws of the United States of America. Insofar as this opinion involves matters governed by English law, Mayer Brown LLP has relied, with the issuer's permission, on the opinion of Mayer Brown International LLP, dated as of August 31, 2022, filed as an exhibit to the registration statement by the issuer on August 31, 2022, and this opinion is subject to the same

Accelerated Return Notes®

TS-14

# Accelerated Return Notes®

Linked to the Energy Select Sector SPDR® Fund, due March 28, 2024

assumptions, qualifications and limitations as set forth in such opinion of Mayer Brown International LLP. This opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the senior indenture and the genuineness of signatures and to such counsel's reliance on the issuer and other sources as to certain factual matters, all as stated in the legal opinion dated August 31, 2022, which has been filed as Exhibit 5.3 to the issuer's registration statement on Form F-3 dated August 31, 2022.

## Where You Can Find More Information

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

'Accelerated Return Notes®' and 'ARNs®' are registered service marks of Bank of America Corporation, the parent company of MLPF&S and BofAS.

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Accelerated Return Notes®

TS-15