# EDGAR Filing Document

**Accession Number:** 0000083246
**File Stem:** 0001104659-25-123842
**Filing Date:** 2025-12
**Character Count:** 88208
**Document Hash:** d03849a2a7b4481ae45a639ac4443351
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-123842.hdr.sgml**: 20251222

**ACCESSION NUMBER**: 0001104659-25-123842

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 29

**FILED AS OF DATE**: 20251222

**DATE AS OF CHANGE**: 20251222

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-277211
- **FILM NUMBER:** 251593587

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

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

![](image_001.jpg)

L i nk e d t o t h e S&P 5 0 0® I n d e x ► C a l l P r e m ium o f 1 . 8125% per qua r t e r (equ i v a le n t t o 7 . 2 5 % pe r ann u m) ► C a l l ab le qua r t e r l y a t t he p r i n c ip a l a mo u n t p l u s t he app l i c ab le C a l l P r e m i u m o n an y O b s e r v a t io n D a t e o n o r a ft e r D e c e mb e r 22 , 2026 i f t he O ff i c ia l C lo s in g Le v e l o f t h e R e f e r en c e A ss e t i s a t o r abo v e i t s C a l l Th r e s ho l d ► If t he N o t e s a r e no t c a l l e d and t h e R e f e r en c e A s s e t de c l i n e s b y le s s t han o r equa l t o 20 . 0 0 % , y ou w i l l r e c e i v e y ou r p r in c ip a l a mo u n t (a z e r o r e t u r n) ► If t he N o t e s a r e no t c a l l e d and t h e R e f e r en c e A s s e t de c l i n e s b y mo r e t han 2 0 . 00 % , t he r e i s f u l l e x po s u r e t o d e c l i n e s i n t h e R e f e r en c e A s s e t , and y ou w i l l l o s e a l l o r a po r t io n o f y ou r p r i n c ip a l a mo u n t . ► D ue D e c e mb e r 26 , 20 2 8 , i f no t c a l le d ► A l l p a y me n t s on t he N o t e s a r e s u b je c t t o t he c r ed i t r i s k o f H SB C U S A I n c . T he A u t o c a l l ab l e B a rr i e r N o t e s wit h S t e p - u p P r e m iu m (e a c h a " N o t e " a nd c o l l e ctiv e ly t h e " N o t e s ") o f f e r ed h e r e un d e r w i l l n o t b e list e d o n an y s e c u r it i e s e xc h an g e o r au t o m a t e d q uo t a ti o n s y st e m . Neit h e r t h e U. S . S e c u r itie s a n d E x c h an ge C o mm iss i on (t h e " SE C ") n o r a n y s t a t e s e c u r ities c o mm iss i o n h a s a p p r o v ed o r d is a pp r o v e d o f t he N o t e s o r p a s s ed up o n t he a cc u r a c y o r t h e a d e q u a cy o f t h is do c u m en t , t he a c c o m p a n yi n g p r o s pe c t u s , p r o s p e ct u s s u pp l e m en t o r E qu i ty I nd e x U nd e r ly i n g S u pp l e m en t . A n y r e p r e s e n t a t i on t o t he c on t r a r y is a c r i m in a l o f f e n s e . W e h a v e a p po i n t e d H SB C S e c u r itie s (U S A) In c . , a n a f f i l i a t e o f o u r s, a s t h e a g en t f o r t h e s a le o f t he N o t e s. H S B C S e c u r it i e s (U S A) I n c. w i l l p u r c h a s e t h e N o t e s f r o m u s f o r d ist r i bu t i on t o o t h e r r e g ist e r e d b r o k e r - d ea l e r s o r wi l l o f f e r t h e N o t e s d i r e ctly t o i n v e s t o r s . I n a dd it i on , H SB C S e c u r it i e s (U S A) I n c. o r a n o t h e r o f i t s a f fil i a t e s o r ag e n ts m a y u s e t h i s p r ic i n g s u p p le m e n t in m a r k e t - m a k i ng t r a n s a c ti o n s i n a n y N o t e s a f t e r t he i r initi a l s a le . U n l e ss w e o r o u r a g en t i n f o rm y o u o t h e r w i s e i n t h e c o n f i r m a ti o n o f s a le , t h i s p r ic i ng s u p p le m e n t is be i n g u s e d i n a m a r k e t - m a kin g t r a n s a cti o n . S e e " S u p p le m e n t a l P la n o f D i s t r i b u ti o n (Co n flicts o f I n t e r e st) " o n p a g e PS - 1 4 o f t h i s d o c u m e n t . I n v e s t m e n t i n t h e N o t es i n v o l v e s c e r t a i n r i s ks . Y o u sh o u l d r e f e r t o "R i sk F a c t o r s " b e g i n n i n g on p a g e PS - 7 o f t h i s d o c u m e n t , p a g e S - 1 o f t h e a c c o m p a n y i n g p r o s p e c t u s s u p p l e m e n t a n d p a g e S - 1 o f t h e a c c o m p a n y i n g E q u i t y I n d ex U n d e r l y i n g S up p l e m e n t . T he E sti m a t ed I n it i a l V a l u e o f t he N o t e s o n t h e T r a de Da t e is $9 6 5 . 50 p e r N o t e , wh i c h i s les s t h an t h e p r i c e t o pub l i c . T he m a r k e t v a l u e o f t he N o t e s a t a n y t i m e wi l l r e fl e c t m an y f a ct o r s an d c a n n o t b e p r e d ic t ed w i t h a cc u r a c y . S e e " E s ti m a t e d In i ti a l V a lu e " o n p a g e PS - 3 a nd " R i s k F a ct o r s " beg i nn i ng on p a ge P S - 7 o f t h is do c u m e n t f o r add i ti o na l in fo r m a ti o n . P r ice t o P u b l i c Un d e r w r i ti n g Dis c ou n t 1 P r o c e ed s t o I s s ue r P e r N o t e $1 , 00 0 $2 0 . 2 5 $2 , 23 0 , 8 90 . 7 5 T o t a l $2 , 27 7 , 0 0 0 . 0 0 $4 6 , 1 0 9 . 2 5 $9 7 9 . 7 5 1 H S B C U S A In c . o r o ne o f o u r a f f i l i a t e s m a y p a y v a r yi n g u n d e r w r iti n g d i sc o un t s o f up t o 2 . 0 25 % pe r $1 , 0 00 P r inc i pa l A m oun t i n c on n e ct i on w i t h t h e d is t r i b u ti o n o f t h e N o t e s t o o t h e r r eg i st e r e d b r o k e r - d e a l e r s. S e e " S upp l e m en t a l P l a n o f D i s t r i b u ti o n (C on f l i cts o f In t e r e s t)" on p a ge PS - 1 4 o f t h is do c u m en t . T he N o t e s : A r e N o t F DIC I n s u r e d A r e N o t B a n k G u a r a n t e e d M a y Lo s e V a l u e F i l e d P u r s u a n t t o R u le 4 2 4 (b) (2) P RICING S U P P L E M E N T Dec e m b e r 18 , 2 02 5 (T o P r o s p e ct u s d a t e d F e b r u a r y 2 1 , 2 0 2 4 , P r o s p e c t u s S u pp l e m en t d a t e d F e b r u a r y 2 1 , 2 02 4 a nd E qu ity I n d e x U n d e r ly i ng S u p p le m e n t d a t e d F e b r u a r y 21 , 2 02 4) HS B C US A I n c . 2 , 2 7 7 , 0 0 0 A u toc a l labl e B arr i er N o t es w i t h Ste p - u p Pr e mi u m

![](image_002.jpg)

P S - 2 H S B C U S A I n c . Au t o c allabl e Bar r ie r N o t e s w i t h S t ep - u p Pr e m i u m T h i s d o c u m en t r e l a t e s t o a s i n g l e o f fe r i ng o f A u t o c a l l ab l e B a r r i e r No t e s w i t h S t e p - u p Pr e m i u m . T h e No t e s w il l h a v e t h e t e r ms de s c r i bed in t h i s d o c u m en t a n d t he a c c o m pan y i n g p r o s p e c t u s , p r o s p e c t u s s u p p l e m en t , a nd E qu i t y I n de x Un d e r l y i ng S up p l e m en t . I f t h e t e r m s o f t h e No te s o f fe r e d he r eb y a r e i n c o n s i s t e n t wi t h t h o s e d e sc r i b e d i n t h e a c c o m pa n y i ng p r o s p e c t u s , p r o s p e c t u s s u p p l e m en t , o r E qu i t y I n d e x Un d e r l y i n g S u p p l e m en t , th e t e r ms d e s c r i b ed i n t h i s do c u m e n t s h a ll c on t r o l . T h i s d o c u m en t r e l a t e s t o a n o ff e r i n g o f No t e s l i n k ed t o t h e Re f e r en c e A ss e t . T he pu r c ha s e r o f a N o t e w i l l a c qu i r e a s e n i o r u n s e c u r e d d e b t s e c u r i t y o f HSB C USA I n c . li n k ed to t he R e f e r e n c e A s s e t a s de s c r i b e d b e l o w. T he f o l l o wi n g k e y te r m s r e l a t e t o th e o f f e r i ng o f t he N o t e s : I s s u e r : H S B C USA I n c . Prin c i pa l A m o u nt : $1 , 0 0 0 p e r N o t e Ref e re nce A sse t : T he S & P 50 0® I nde x (T i c k e r : S PX) Tr a d e D a t e : D e c e m be r 18 , 202 5 Pri c i n g Dat e : D e c e m be r 18 , 202 5 O rig i n a l I s s u e D a t e : D e c e m be r 23 , 20 2 5 F i n a l V a l ua ti o n Dat e : D e c e m be r 20 , 202 8 , s ub j e c t t o ad j u s t m en t a s d e s c r i b ed u nd e r " A dd i t i on a l Te r m s o f t he N o t e s ― V a l u a t i o n Da te s " i n t h e a cc o m p an y i ng E qu i t y In d e x U nde r l y i ng S u pp l e m en t . M a turit y D a t e : D e c e m be r 26 , 20 2 8 . T h e M a t u r i t y D a t e i s s ub j e c t t o a d j u s t m e n t a s d e sc r i bed un d e r " A d d i t i o na l T e r m s o f t h e N o t e s― Co u pon P a y m en t Da te s , C a ll P a y m en t D a t e s a n d M a t u r i t y D a t e " i n t h e a c c o m p an y i ng E q u i t y I n d e x U nde r l y i ng S upp l e m en t . Ca l l F e a t ur e : I f the Of f i c i a l C l o s i ng Le v e l o f t he R e f e r en c e A s s e t i s a t o r a b o v e t he a pp l i c a b l e C a ll T h r e s h o l d o n a n y Ca l l Ob s e r v a t i o n D a t e t h e N o t e s w i l l b e a u t o m a t i c a l l y c a l l ed , a nd y ou w ill r e c e i v e a c a s h pa ym e n t , p e r $1 , 0 0 0 Pr i n c i p a l A m o u n t , e q u a l to t h e P r i n c i p a l A m oun t p l u s the a pp l i c a b l e C a ll P r e m i u m o n the c o rr e s po n d i n g C a l l P a ym e n t D a t e . P ayme n t a t M a turit y : Un l e s s t h e N o t e s a r e c a l l ed , o n the M a t u r i t y D a t e , fo r ea c h $1 , 0 00 P r i n c i p a l A m oun t , we w i l l p a y y ou t h e F i na l S e t t l e m en t V a l u e . F i n a l S e t t l e m e nt V a l u e : Un l e s s t h e N o t e s a r e c a l l ed , f o r e a c h $1 , 000 P r i n c i p a l A m o u n t , y ou w i ll r e c e i v e a c a s h p a y m en t on t he M a t u r i t y D a t e , c a l c u l a t e d a s f o ll o w s : If th e R e f e r e n c e R e turn i s l e ss t h a n 0 . 0 0 % b ut gr ea t e r t h a n or e q u a l to - 20 . 0 0 % : $1 , 0 0 0 (a z e r o r e t u r n) If th e Ref e r e n c e R e tur n i s l e ss t h a n - 20 . 00 % : $1 , 0 0 0 + ($1 , 0 0 0 × R e f e r e n c e Re tu r n) . I f the N o t e s a r e no t c a l l ed , y o u w ill no t r e c e i v e a C a ll Pr e m i u m , a nd i f t h e F i n a l V a l u e i s l e ss t han t he B a rr i e r V a l ue , y o u w i l l l o s e up t o 1 0 0 % o f the P r i n c i p a l A m o u n t . Ref e re nce R e turn : F i na l V a l u e – I n i t i a l V a l u e I n i t i a l V a l u e Ca l l O b s e rv a t i o n Da t es , Ca l l P ay m e nt Da t es , Ca l l Pre m i ums a n d C a l l T h re s h o l d s : C a ll O bs e r v a t i o n D a t e s C a ll P ay m e n t D a t e s C a ll P r e m i u m C a ll Thre s h o l d s D e c e mb er 22 , 202 6 D e c e mb e r 28 , 202 6 7 . 2 5 % 100 . 00 % o f t he I n i t ia l V a lu e Ma r c h 2 3 , 202 7 Ma r c h 2 9 , 202 7 9 . 062 5 % 100 . 00 % o f t he I n i t ia l V a lu e J une 23 , 202 7 J une 28 , 202 7 10 . 87 5 % 100 . 00 % o f t he I n i t ia l V a lu e S ep t e mb e r 2 2 , 202 7 S ep t e mb e r 2 7 , 202 7 12 . 687 5 % 100 . 00 % o f t he I n i t ia l V a lu e D e c e mb er 21 , 202 7 D e c e mb er 27 , 202 7 14 . 5 0 % 100 . 00 % o f t he I n i t ia l V a lu e Ma r c h 2 2 , 202 8 Ma r c h 2 7 , 202 8 16 . 312 5 % 100 . 00 % o f t he I n i t ia l V a lu e J une 21 , 202 8 J une 26 , 202 8 18 . 12 5 % 100 . 00 % o f t he I n i t ia l V a lu e S ep t e mb e r 2 1 , 202 8 S ep t e mb er 2 6 , 202 8 19 . 937 5 % 100 . 00 % o f t he I n i t ia l V a lu e D e c e mb e r 20 , 202 8 (t he Fin a l V a lu a t io n D a t e) D e c e mb e r 26 , 20 2 8 (t he Ma t u r i t y D a t e) 21 . 7 5 % 100 . 00 % o f t he I n i t ia l V a lu e

![](image_003.jpg)

P S - 3 Th e C a l l O b s e r v a t io n D a t e s and C a l l P a y me n t D a t e s a r e s ub j e c t t o p o st pone me n t a s d e sc r ib e d unde r " A dd i t io n a l Te r m s o f t he N o t e s — V a lu a t io n D a t e s " an d " A dd i t io n a l Te r m s o f t h e N o t e s — C oupon P a y me n t D a t e s , C a l l P a y me n t D a t e s an d Ma t u r i t y D a t e " in t h e a c c o mp a n y in g E qu i t y I nde x U nde r l y i ng S upp leme n t . I n it ia l V a l ue : 6 , 7 74 . 7 6 , w h i c h i s th e O f f i c i a l Cl os i ng L e v e l o f t h e R e f e r e n c e A s s e t o n th e Pr i c i n g D a t e . F i n a l V a l ue : T h e Off i c i a l C l o s i n g L e v e l o f t h e R e f e r e n c e A s s e t o n t h e F i n a l V a l u a t i o n D a t e . Barri e r V a l ue : 5 , 4 19 . 8 1 , w h i c h i s 80 . 00 % o f t he I n i t i a l V a l ue . C U SIP / IS I N : 40447 DV C 9 / US4 0 4 47 DV C 9 0 F o rm of Not e s : B oo k - E n t r y L is ti n g : T h e N o t e s w i ll n o t b e l i s t e d o n an y s e c u r i t i e s e x c h a nge o r q u o t a t i on s y s t e m . E s ti m a t e d I n it i a l V a l u e : T h e E s t i m a t e d In i t i a l V a l ue o f t he N o t e s i s l e s s th a n t h e p r i c e y ou pa y to pu r c ha s e t h e N o t e s . T h e E s t i m a t e d In i t i a l V a l ue d oe s n o t r ep r e s e n t a m i n i m u m p r i c e a t wh i c h w e o r a n y o f o u r a f f i l i a t e s w ou l d b e wi l li n g t o p u r c h a s e y ou r N o t e s i n t h e s e c o nda r y m a r k e t , i f a n y , a t a n y t i m e . S ee "R i s k F a c t o r s — T h e E s t i m a t e d In i t i a l V a l ue o f th e No te s , w h i c h wa s de t e r m i ned b y u s o n th e T r a d e D a t e , i s l e s s th a n t h e p r i c e t o p u b l i c a n d m a y d i f f e r f r o m t he m a r k e t v a l u e o f t he N o t e s i n the s e c on d a r y m a r k e t , i f a n y . "

![](image_004.jpg)

P S - 4 G E N E R A L Th i s d o c u m en t r e l a t e s t o a n o ff e r i n g o f No t e s l i n k ed t o t h e Re f e r en c e A ss e t . T he pu r c ha s e r o f a N o t e w i l l a c qu i r e a s e n i o r u n s e c u r e d d e b t s e c u r i t y o f HSB C USA I n c . A l t h o u gh t h e o f fe r i ng o f No t e s r e l a t e s t o t he Re fe r e n c e A s s e t , y ou s h o u l d n o t c o n s tr u e t h a t f a c t a s a r e c o mm e nda t i on a s t o t h e m e r i t s o f a c qu i r i ng an i n v e s t m e n t l i n k ed t o t he Re f e r e n c e A s s e t o r an y s e c u r i t y i n c l ud e d i n t h e R e f e r e n c e A ss e t o r a s t o t h e s u i t a b i l i t y o f a n i n v e s t m en t i n t he N o t e s . Y ou s h o u l d r e a d t h i s d o c u m e n t t oge t he r w i t h t h e p r o s p e c t u s d a t e d F eb r ua r y 21 , 2 0 24 , t h e p r o s p e c t u s s u pp l e m e n t da t e d F e b r ua r y 2 1 , 202 4 an d t h e E q u i t y I n d e x U n de r l y i n g S u p p l e m en t da t ed F e b r ua r y 21 , 2 0 24 . I f t he t e r m s o f t h e N o t e s o f f e r e d he r eb y a r e i n c o n s i s t e n t wi t h t h o s e de s c r i b ed i n t h e a c c o m p an y i ng p r o s p e c t u s , p r o s p e c t us s upp l e m e n t o r E qu i t y I n de x U nde r l y i n g S upp l e m en t , t h e t e r ms d e sc r i bed i n t h i s d o c u m e n t s h a ll c o n tr o l . Y ou s h o u l d c a r e f u l l y c o n s i de r, a m ong o t h e r t h i n g s , t h e m a t te r s s e t f o rt h i n "R i sk F a c t o r s " b eg i nn i ng on p a g e PS - 7 o f t h i s do c u m en t , p age S - 1 o f t h e p r o s p e c t u s s upp le m en t a nd p a ge S - 1 o f t h e E q u i t y I n de x U n de r l y i n g S up p l e m en t , a s t he No t e s i n v o l v e r i s ks no t a s s o c i a t e d w i t h c o n v e n t i o na l deb t s e c u r i t i e s . W e u r g e y o u t o c o n s u l t y ou r i n v e s t m en t , l e g a l , t a x , a c c o u n t i n g and o t h e r ad v i s o r s b e f o r e y o u i n v e s t i n t he N o t e s . A s u s ed he r e i n , r e f e r en c e s t o th e " I s s ue r" , "HSBC", "w e ", " u s " a n d " o u r " a r e t o H S BC USA I n c . HSB C ha s f i l e d a r eg i s tr a t i on s t a t e m e n t (i n c l u d i ng a p r o s p e c t u s , p r o s p e c t u s s u p p l e m en t and E q u i t y I n de x U n de r l y i n g S upp l e m e n t) wi th t h e SEC f o r t h e o f fe r i ng t o wh i c h t h i s do c u m en t r e l a t e s . B e f o r e y ou i n v e s t , y o u s h o u l d r e a d t h e p r o s p e c t u s , p r o s p e c t u s s upp l e m e n t a nd E qu i t y I n d e x U n de r l y i n g S up pl e m e n t i n t ha t r eg i s tr a t i on s t a t e m en t and o t h e r d o c u m e n t s H S BC ha s f i l ed w i t h t he SEC f o r m o r e c o m p l e t e i n f o r m a t i on a b ou t HSB C and t h i s o f fe r i n g . Y ou m a y ge t t h e s e do c u m e n t s f o r fr e e b y v i s i t i n g ED G AR on t h e SEC' s we b s i t e a t w w w. s e c . go v . A l t e r n a t i v e l y , HSB C S e c u r i t i e s (USA) I n c . o r an y d e a l e r pa r t i c i p a t i n g i n t h i s o f fe r i ng w ill a r r ange t o s e n d y ou t he p r o s pe c t u s , p r o s pe c t u s s up p l e m en t and E qu i t y I nd e x Un d e r l y i n g S u p p l e m en t i f y ou r equ e s t t h e m b y c a l li n g t o l l - fr e e 1 - 8 6 6 - 81 1 - 80 4 9 . Y ou m a y a l s o o b t a i n :   T h e E q u i t y I n de x U nde r l y i ng S upp l e m e n t a t : h tt p s : //ww w . s e c . g o v / A r c h i v e s / ed g ar / da t a / 832 4 6 / 0 001 1 04659 2 402 5 88 5 / tm 2449 5 9d3 _ 424 b 2 . h t m  T h e p r o s p e c t u s s u p p l e m en t a t : h t t p s :// w ww. s e c . g o v/ A r c hi v e s / e dg a r / d a t a / 8 3 24 6 / 00 0 110 4 6592 4 025 8 7 8 /t m 24 4 959d 1 _42 4 b 2 . h t m  T h e p r o s p e c t u s a t : h t t p s: / /www . s e c . g o v / A r c h i v e s / edg a r / d a t a / 8 324 6 / 0 00110 4 659 2 402 5 86 4 / t m 2 449 5 9d1 3 _424b 3 . h t m

![](image_005.jpg)

P S - 5 P A Y M E N T O N T H E N O T E S Ca l l F e a t ur e I f the Of f i c i a l C l o s i ng Le v e l o f t he R e f e r en c e A s s e t i s a t o r a b o v e t he a pp l i c a b l e C a ll T h r e s h o l d o n a n y C a l l Ob s e r v a t i o n D a t e t h e N o t e s wi l l b e a u t o m a t i c a l l y c a l l ed , a n d y o u w i l l r e c e i v e a c a s h pa y m en t , p e r $1 , 0 0 0 Pr i n c i p a l A m o un t , e qu a l to t he P r i n c i p a l A m o un t p l u s t h e app l i c a b l e C a ll P r e m i u m on th e c o r r e s p on d i ng C a ll P a y m en t D a t e . Ca l l Pre m i u m I f the N o t e s a r e c a l l e d o n a C a ll Ob s e r v a t i o n D a t e , w e w i l l p a y th e a p p l i c ab l e C a l l Pr e m i u m on th e c o r r e s pon d i ng C a ll P a y m en t D a t e , wh ic h w ill be 1 . 8 1 2 5 % p e r q u a rt e r (o r $18 . 1 2 5 f o r e a c h $1 , 0 0 0 Pr i n c i p a l A m oun t) m u l t i p l i ed b y t h e n u m b e r o f qua r t e r s e l a p s ed f r o m t h e Tr a de D a t e t o the ap p li c ab l e C a ll O b s e r v a t i o n D a t e tha t th e No te s a r e c a l l ed . S ee "C a ll O b s e r v a t i o n D a t e s , C a ll P a y m en t D a t e s , C a ll Pr e m i u m s a n d C a l l Th r e s h o l d s " o n P S - 5 f o r t h e ap p li c ab l e C a ll Pr e m i u m s to be p a i d on t h e c o rr e s p o nd i ng C a l l P a ym e n t Da te s . F o r i n f o r m a t i on r e ga r d i ng t h e r e c o r d d a t e s a pp l i c a b l e to t he C a l l Pr e m i u m s p a y a b l e o n th e N o t e s , p l e a s e s ee t h e s e c t i o n e n t i t l ed "De s c r i p t i on o f N o t e s — I n t e r e s t and P r i n c i p a l P a ym e n t s — R e c i p i en t s o f I n t e r e s t P a y m en t s " beg i n n i n g o n p a g e S - 1 7 i n t h e a c c o m p an y i n g p r o s p e c t u s s u p p l e m en t . P ayme n t a t M a turit y Un l e s s t h e No t e s a r e c a l l ed , on t h e M a t u r i t y D a t e a nd f o r e a c h $1 , 0 00 P r i n c i p a l A m oun t , y ou w ill r e c e i v e a c a s h pa y m e n t e q ua l t o t h e F i na l S e t t l e m en t V a l u e d e t e r m i ned a s f o l l o w s : If th e R e f e r e n c e R e turn i s l e ss t h a n 0 . 0 0 % b ut gr ea t e r t h a n or e q u a l to - 20 . 0 0 % : $1 , 0 0 0 (a z e r o r e t u r n) If th e R e f e r e n c e R e turn i s l e ss t h a n - 20 . 00 % : $1 , 0 0 0 + ($1 , 0 0 0 × R e f e r e n c e Re tu r n) . I f the N o t e s a r e no t c a l l ed y o u wi l l n o t r e c e i v e t he C a ll Pr e m i u m , a nd i f t h e F i n a l V a l u e i s l e ss t han t he B a rr i e r V a l u e , wi l l l o s e up t o 1 0 0% o f t h e P r i n c i p a l A m ou n t . Ca lc u la t i o n Ag e n t W e o r o ne o f ou r a f f i li a t e s w il l a c t a s c a l c u l a t i o n a g en t w i t h r e s p e c t t o t h e N o t e s . Ref e re nce S p o n s o r T h e r e f e r e n c e s p o n s o r o f t he SPX i s S&P Dow J o n e s I nd i c e s L L C, a d i v i s i o n o f S& P Gl o b a l .

![](image_006.jpg)

P S - 6 IN V ES T O R S UI T A B ILI T Y Th e No t e s m a y be sui t ab l e f o r yo u if :  Y ou b e li e v e t h a t t h e O f f i c i a l Cl o s i ng L e v e l o f t h e Re fe r e n c e A s s e t w il l b e a t o r abo v e t he ap p li c ab l e C a l l T h r e s ho l d o n o n e o r m o r e o f t h e Ca l l O b s e r v a t i o n Da t e s .  Y ou s e e k a C a ll Pr e m i u m b a s ed on t h e pe r f o r m a n c e o f t h e Re f e r e n c e A ss e t , t ha t w i ll b e 1 . 812 5 % p e r q u a rt e r i f t h e O f f i c i a l Cl o s i ng L e v e l o f t h e Re fe r e n c e A s s e t i s g r ea t e r t h a n o r e qu a l t o t he C a ll T h r e s ho l d on an y Ca l l O b s e r v a t i o n D a t e .  Y ou a r e w il l i n g t o i n v e s t i n t h e No t e s ba s ed o n t h e f ac t t h a t y ou r m a x i m u m po t en t i a l r e t u r n i s l i m i t ed t o t h e app l i c a b l e Ca l l Pr e m i u m p a y ab l e o n t h e No t e s o n a g i v e n C a l l P a ym e n t Da t e .  Y ou d o no t s e e k an i n v e s t m en t t h a t p r o v i de s an oppo r t un i t y t o pa r t i c i p a t e i n t h e app r e c i a t i o n o f t h e Re fe r e n c e A ss e t.  Y ou a r e wi l li ng t o m a k e a n i n v e s t m en t t h a t i s e x p o s e d t o t h e po t en t i a l do w n s i de pe r f o r m a n c e o f t h e Re fe r e n c e A s s e t o n a 1 - t o - 1 b a s i s i f t h e No te s a r e n o t c a ll e d a nd t h e R e f e r e n c e R e t u r n o f th e i s l e s s t h an - 2 0 . 0 0 % .  Y ou a r e wi l li n g t o l o s e up t o 10 0 % o f t h e Pr i n c i p al A m ou n t .  Y ou a r e w il l i n g t o h o l d t h e No t e s wh i c h w il l b e au t o m a t i c a l l y c a ll e d o n a n y Ca l l O b s e r v a t i on D a t e o n wh ic h t he O f f i c i a l Cl o s i ng Le v e l o f t h e Re fe r en c e A s s e t i s a t o r a b o v e t he Ca l l T h r e s h o l d , o r y ou a r e o t he rw i s e wi l li n g t o h o l d t h e N o t e s t o m a t u r i t y .  Y ou a r e wi l li n g t o f o r g o g u a r an t eed i n t e r e s t p a ym e n t s on t h e No t e s , a n d t h e d i v i d e nd s o r o t h e r d i s t r i b u t i o n s p aid on th e s t o c ks i n c l u d ed i n t h e R e f e r e n c e A s s e t .  Y ou do n o t s e e k an i n v e s t m en t f o r wh i c h t h e r e wi l l be an a c t i v e s e c on d a r y m a r k e t .  Y ou a r e w il l i n g t o a c c ep t t h e r i s k a n d r e t u r n p r o f i l e o f t h e No te s v e r s u s a c o n v e n t i on a l d eb t s e c u r i t y w i t h a c o m pa r a b l e m a t u r i t y i s s u e d b y HSB C o r a no t h e r i s s u e r wi t h a s i m i l a r c r ed i t r a t i ng .  Y ou a r e c o m f o rt a b l e wi t h t h e c r ed i tw o r t h i n e s s o f HSB C , a s I ss u e r o f t h e N o t e s . Th e No t e s m a y n ot be s u i t able f o r yo u if :  Y ou b e li e v e t h a t t h e O f f i c i a l Cl o s i ng L e v e l o f t h e Re fe r e n c e A s s e t w il l b e be l o w t h e app l i c ab l e C a l l T h r e s ho l d on a l l o f t h e Ca l l O b s e r v a t i on Da t e s , a nd t h e F i na l V a l u e w i l l b e b e l o w t h e B a rr i e r V a l ue .  Y ou be l i e v e t h a t t h e Ca l l Pr e m i u m , i f an y , w i ll n o t p r o v i de y ou w i t h y ou r de s i r ed r e t u r n .  Y ou a r e un w i ll i ng t o i n v e s t i n t h e No t e s b a s e d on t he f a c t t h a t y ou r m a x i m u m po t en t i a l r e t u r n i s l i m i t ed t o t h e app l i c a b l e Ca l l Pr e m i u m p a y ab l e o n t h e No t e s o n a g i v e n C a l l P a ym e n t Da t e .  Y ou s e e k a n i n v e s t m en t t ha t p r o v i de s an o ppo r t un i t y t o pa rt i c i p a t e i n t h e a p p r e c i a t i on o f t h e R e f e r e n c e A s s e t .  Y ou a r e u n wi l li ng t o m a k e an i n v e s t m en t t h a t i s e x p o s ed t o t h e po t en t i a l do w n s i de pe r f o r m a n c e o f t h e Re f e r e n c e A s s e t o n a 1 - t o - 1 b a s i s i f t h e No te s a r e n o t c a ll e d a nd t h e R e f e r e n c e R e t u r n i s l e s s t han - 2 0 . 0 0 % .  Y ou s e e k an i n v e s t m en t t h a t p r o v i de s f u ll r e t u r n o f p r i n c i p a l a t m a t u r i t y .  Y ou a r e u n ab l e o r un w il l i ng t o ho l d N o t e s t ha t w i ll be au t o m a t i c a l l y c a ll e d o n a n y Ca l l O b s e r v a t i on D a t e o n wh ic h t he O f f i c i a l Cl o s i ng Le v e l o f t h e Re fe r en c e A s s e t i s a t o r a b o v e t he Ca l l T h r e s h o l d , o r y ou a r e o t he rw i s e unab l e o r un wi l li n g to ho l d t h e No t e s t o m a t u r i t y .  Y ou p r e f e r t o r e c e i v e g u a r an t e e d p e r i o d i c i n t e r e s t pa y m en t s on t he No t e s , o r t h e d i v i d en d s o r o t h e r d i s t r i bu t i o n s p a i d o n t h e s t o c ks i n c l ud e d i n t h e Re f e r e n c e A s s e t .  Y ou s e e k a n i n v e s t m e n t f o r w h i c h t he r e w i ll be an a c t iv e s e c onda r y m a r k e t.  Y ou p r e f e r t h e l o wer r i sk , a nd t h e r e f o r e a cc e p t t h e po t e n t i a l l y l o wer r e t u r n s , o f c o n v e n t i o n a l d eb t s e c u r i t i e s wi t h c o m pa r a b l e m a t u r i t i e s i ss ued b y HSB C o r a n o t h e r i s s ue r w i t h a s i m i l a r c r ed i t r a t i ng .  Y ou a r e no t w i ll i ng o r a r e u n ab l e t o a s s u m e t h e c r ed i t r i s k a s s o c i a t ed w i t h HSBC, a s I s s u e r o f the N o t e s .

![](image_007.jpg)

P S - 7 RI S K F A C T O R S W e u r g e y ou t o r e a d t h e s e c t i on "R i s k F a c t o r s " b e g i nn i ng o n pa g e S - 1 o f t h e a c c o m p an y i ng p r o s p e c t u s s up p l e m en t a n d pa g e S - 1 o f t h e a c c o m p an y i ng E qu i t y I n de x U nde r l y i n g S up p l e m en t . Y ou s hou l d un d e r s t and t he r i s k s o f i n v e s t i ng i n t h e N o t e s and s hou l d r e a c h a n i n v e s t m en t d e c i s i o n o n l y a f t e r c a r e f u l c o n s i de r a t i o n , wi t h y o u r a d v i s o r s , o f t h e s u i t a b i l i t y o f t h e No t e s i n l i gh t o f y o u r p a r t ic u l a r f i n a n c i a l c i r c u m s t a n c e s an d t h e i n f o r m a t i o n s e t f o rt h i n t h i s d o c u m e n t and t h e a cc o m p an y i n g p r o s pe c t u s , p r o s pe c t u s s up p l e m en t a nd E q u i t y I n d e x Un d e r l y i n g S up p l e m en t . I n ad d i t i o n t o t h e r i s ks d i s c u ss e d be l o w, y ou s h ou l d r e v i e w "R i sk F a c t o r s " i n t h e a cc o m p an y i n g p r o s p e c t u s s up p l e m en t and E qu i t y I nd e x Un d e r l y i n g S up p l e m en t i n c l u d i ng t he e x p l ana t i on o f r i s k s r el a t i n g t o t he No t e s d e s c r i b ed i n t h e f o l l o wi n g s e c t i o n s :  " — Ri s k s R e l a t i n g to A ll N o t e I ss u an c e s " i n t he p r o s p e c t u s s upp l e m e n t ; a n d  " — G ene r a l R i s k s R e l a t e d to I n d i c e s " i n t h e E q u i t y I n d e x U nd e r l y i ng S u pp l e m e n t . Y ou w i l l b e s u b j e c t t o s i gn i f i c a n t r i s k s n o t a s s o c i a t ed w i t h c o n v e n t i o n a l f i x e d - r a t e o r f l oa t i n g - r a t e deb t s e c u r i t i e s . Ri sks R e l a ti n g t o t h e Str u c t ur e o r F e a t ur es o f t h e Not e s T h e Not e s d o n o t g u a r a nt e e a n y r e turn of pri n c i pa l a n d y o u m a y l o s e a l l of y o u r P r i n c i pa l Am o u nt. T h e No t e s d o n o t gua r an t e e a n y r e t u r n o f p r i n c i p a l . T h e No t e s d i f fe r fr o m o r d i n a r y d eb t s e c u r i t i e s i n t h a t we w il l no t p a y y o u 1 0 0 % o f t h e Pr i n c i pa l A m oun t o f y ou r N o t e s i f t h e N o t e s a r e n o t c a l l e d a n d t h e F i na l V a l u e i s l e s s t ha n t he B a r r i e r V a l u e . I n th i s c a s e , t h e P a y m en t a t M a t u r i t y y o u wi l l b e e n t i t l ed to r e c e i v e wi l l b e l e s s t h a n t h e P r i n c i pa l A m o un t an d y o u w i ll l o s e 1 % f o r e a c h 1 % tha t t h e R e f e r e n c e Re t u r n i s l e s s t h a n 0 . 00% . Y ou m a y l o s e u p to 100 % o f y ou r i n v e s t m en t a t m a t u r i t y . Yo u m a y n ot re c e i v e t h e C a l l Pr e m i um . T h e No t e s m a y no t b e c a l l ed , and i n s u c h a c a s e y ou w ill no t r e c e i v e t he C a ll Pr e m i u m . I f t h e O f f i c i a l C l o s i ng L e v e l o f t h e R e f e r e n c e A s s e t on t he F i n a l V a l u a t i o n Da t e i s l e s s t h an t h e B a rr i e r L e v e l t h e no t e s w i ll no t b e c a l l ed , we w i l l no t p a y y o u t h e C a l l Pr e m i u m a t m a t u r i t y , y o u wi l l n o t r e c e i v e a p o s i t i v e r e t u r n o n t he N o t e s , and y o u w i l l l o s e s o m e o r a ll o f y ou r p r i n c i p al a m o un t . Yo u r ret u rn o n t h e Not e s i s l i m it e d t o th e Pr i n c i p a l Am o u n t p l u s th e C a l l Pre m i u m , i f a n y , r e g a rdl e ss of a n y a p p r ec i a ti o n i n t h e va l ue of th e R e f e re n c e A s se t . I f the N o t e s a r e c a l l e d , f o r ea c h $1 , 0 00 P r i n c i p a l A m o un t , y o u w ill r e c e i v e $1 , 0 0 0 the p l u s t he a p p l i c a b l e C a ll Pr e m i u m , r e g a r d l e s s o f a n y app r e c i a t i o n i n t h e v a l u e o f t h e Re fe r en c e A s s e t, wh i c h m a y be s i g n i f i c a n t . A c c o r d i n g l y , t h e r e t u r n o n t h e No t e s m a y b e s i g n i f i c an t l y l e s s t h an t he r e t u r n on a d i r e c t i n v e s t m e n t i n t h e s t o c ks i n c l u d ed i n the R e f e r e n c e A s s e t d u r i n g t he te r m o f t h e N o t e s . Hig h e r Ca l l Pre m i u ms or l o w e r Barri e r V a l u e s a re g e n e ra l l y as s o c i a t e d w it h Ref e r e n c e As s e t s w i t h gr ea t e r e x p ec t e d v o l a ti l i t y a n d t h e re f or e c a n i n d i ca t e a gr ea t e r ri s k o f l o ss . " V o l a t il i t y " r e f e r s t o t he f r eq ue n c y an d m ag n i t u d e o f c h an ge s i n t h e v a l u e o f a R e f e r e n c e A s s e t . T h e g r ea t e r t h e e x p e c t ed v o l a t il i t y w i t h r e s p e c t t o a R e f e r e n c e A s s e t o n t h e T r ad e Da te , t h e h i g h e r t h e e x p e c t a t i o n a s o f t h e T r ad e Da te t ha t t h e v a l u e o f a Re fe r e n c e A s s e t c o u l d c l o s e b e l o w t h e C a ll Th r e s h ol d on a Ca l l O b s e r v a t i o n Da te o r t h e B a rr i e r V a l ue o n t h e F i n a l V a l ua t i on D a t e , i nd i c a t i n g a h i ghe r e x p e c t e d r i sk o f n o n - p a y m en t o f C a ll P r e m i u ms o r l o s s on t h e No t e s . T h i s g r ea t e r e x p e c t e d r i s k wi l l gene r a l l y be r e f l e c t ed i n a h i g h e r Ca l l Pr e m i u m t h an t h e y i e l d p a y a b l e on ou r c on v e n t i o na l d eb t s e c u r i t i e s wi t h a s i m il a r m a t u r i t y , o r i n m o r e f a v o r ab l e t e r m s (s u c h a s a l o wer B a rr i e r V a l ue o r a h i ghe r C a l l P r e m i u m) th a n fo r s i m il a r s e c u r i t i e s l i n k e d t o th e p e rf o r m a n c e o f a R e f e r en c e A s s e t w i t h a l o we r e x p e c t e d v o l a t il i t y a s o f t h e Tr a de Da t e . Y o u s hou l d t h e r e f o r e un d e r s t and t h a t a r e l a t i v e l y h i g h e r Ca l l Pr e m i u m m a y i nd i c a t e a n i n c r e a s ed r i s k o f l o ss . F u r t he r, a r e l a t i v e l y l o wer B a rr i e r V a l ue m a y n o t n e c e ss a r i l y i nd i c a t e t ha t t he N o t e s h a v e a g r e a t e r l i k e l i ho o d o f a r ep a y m en t o f p r i n c i p a l a t m a t u r i t y . T h e v o l a t il i t y o f a R e f e r e n c e A ss e t c a n c han g e s i g n i f i c an t l y o v e r t he t e r m o f t h e No t e s . T h e v a l ue o f t h e Re fe r en c e A s s e t f o r y ou r No te s c ou l d f a l l s ha r p l y , wh i c h c o u l d r e s u l t i n a s i gn i f i c an t l o s s o f p r i n c i p a l . Y ou s h ou l d b e w i ll in g t o a cc e p t t h e do w n s i d e m a r k e t r i s k o f t h e R e f e r e n c e A ss e t , i n c l ud i n g t he p o t e n t i a l o f no t r e c e i v i ng a C a ll Pr e m i u m a nd l o s i ng s o m e o r a ll o f y ou r p r i n c i p a l a t m a t u r i t y . T h e a m o u n t p a ya b l e o n t h e Not e s i s n ot l i n k e d t o th e va l u e s o f t h e Re f e re nc e As s e t a t a n y t i me o th e r th a n th e C a l l O b s e rv a ti o n Dat e s , i n c l u d i n g t h e F i n a l V a l ua ti o n Da t e . T h e p a ym e n t s o n t h e No t e s w i ll be b a s e d on t h e O f f i c i a l Cl os i ng L e v e l s o f t h e Re fe r e n c e A s s e t on t h e C a ll O b s e r v a t i on D a t e s , i n c l ud ing t h e F i n a l V a l ua t i o n Da t e , s ub j e c t t o po s t p o n e m en t f o r no n - t r ad i n g d a y s a nd c e r t a i n M a r k e t D i s r up t i o n E v en t s . E v e n i f t he v a l u e o f t he Re fe r e n c e A s s e t i s g r ea t e r t h a n o r eq u a l t o t h e C a ll T h r e s ho l d du r i n g t h e t e r m o f t h e No t e s o t h e r t h an o n a Ca l l O b s e r v a t i on Da te b u t t h e n de c r e a s e s o n a C a ll O b s e r v a t i on Da te t o a v a l ue t h a t i s l e s s t han t h e Ca l l T h r e s h o l d , t h e C a ll Pr e m i u m w i l l n o t b e p a y a b l e f o r t h e r e l e v a n t Ca l l P a y m en t Da t e . S i m i l a r l y , i f t h e No t e s a r e n o t c a l l ed , e v e n i f t he v a l u e o f t h e R e f e r e n c e A s s e t i s g r e a t e r t han o r e q ua l t o t h e B a rr i e r V a l ue d u r i n g t h e t e r m o f t h e No te s o t h e r t h an on t he F i na l V a l ua t i on Da t e bu t t hen d e c r ea s e s o n t h e F i n a l V a l u a t i o n Da t e t o a v a l ue t ha t i s l e ss t h a n t h e B a rr i e r V a l u e , t he P a y m e n t a t M a t u r i t y w ill be l e s s , p o s s i b l y s i g n i f i c an t l y l e ss , t h an i t wo u l d h a v e b een had t he P a y m e n t a t M a t u r i t y be e n l i n k ed t o t h e v a l ue o f t h e Re fe r e n c e A s s e t p r i o r t o s u c h d e c r e a s e . A l t h ou g h t he a c t u a l v a l u e s o f t he Re f e r e n c e A s s e t o n t h e M a t u r i t y Da t e o r a t o t h e r t i m e s du r i n g t h e t e r m o f t h e N o t e s m a y b e h i g h e r t ha n i t s v a l u e s on t h e Ca l l O b s e r v a t i o n D a t e s , wh e t he r a Ca l l

![](image_008.jpg)

P S - 8 Pr e m i u m wi l l be pa y ab l e and t he P a y m e n t a t M a t u r i t y w i ll be ba s e d s o l e l y on t h e O f f i c i a l C l o s i ng L e v e l s o f t h e R e f e r e n c e A s s e t on t he app l i c a b l e C a ll O b s e r v a t i on D a t e s . Ri sks R e l a ti n g t o t h e R e f e r e n c e A s s e t Ch a n g es t h a t a ff e c t a Ref e r e n c e As s e t may a ff e c t t h e v a l ue of a Re f e re nce A s se t a n d th e ma r k e t va l u e of th e Not e s a n d t h e am o u nt y o u w i l l r ece i ve o n t h e Not e s a n d t h e a m o u nt y o u w i l l r ece i ve a t m a turi t y . T h e p o l i c i e s o f t he r e f e r e n c e s pon s o r o f a Re fe r e n c e A s s e t c o n c e r n i ng a dd i t i o n s , d e l e t i o n s and s u b s t i t u t i o n s o f t h e s t o c ks i n c l ud e d i n a Re fe r e n c e A ss e t , a n d t h e m a n ne r i n w h i c h t h e r e f e r e n c e s p o n s o r t a k e s a c c oun t o f c e rt a i n c hang e s a f fe c t i n g th o s e s t o c k s , m a y a f f e c t t h e v a l u e o f a R e f e r e n c e A ss e t . T he po l i c i e s o f t h e r e f e r e n c e s p on s o r w i t h r e s p e c t t o t he c a l c u l a t i on o f a Re fe r e n c e A s s e t c ou l d a l s o a f f e c t t h e v a l u e o f a R e f e r e n c e A s s e t. T h e r e f e r e n c e s p o n s o r m a y d i s c o n t i n ue o r s u s p end c a l c ul a t i o n o r d i s s e m i n a t i o n o f a R e f e r e n c e A ss e t . A n y s u c h a c t i o n s c o u l d a f f e c t t he v a l u e o f a R e f e r en c e A s s e t a nd t he v a l u e o f a n d the r e t u r n o n t he N o t e s . G e n e ra l Ri s k Fac t ors T h e Not e s a re s u b j e c t t o t he c re d it ri s k o f HSB C USA I n c . T h e No t e s a r e s e n i o r un s e c u r ed d e b t ob l i ga t i o n s o f t h e I s s u e r, HSB C , a n d a r e n o t , e i t h e r d i r e c t l y o r i n d i r e c t l y , a n o b li g a t i o n o f a n y t h i r d pa rt y . A s f u r t he r de s c r i b ed i n t he a c c o m p an y i n g p r o s p e c t u s s up p l e m en t an d p r o s p e c t u s , t he No t e s w il l r a n k o n p a r wi th a l l o f t h e o t h e r un s e c u r e d a n d u n s u bo r d i na t e d d eb t o b li g a t i o n s o f HSB C , e x c ep t s u c h o b l i ga t i o n s a s m a y be p r e f e rr e d b y o pe r a t i o n o f l a w . A n y p a y m en t t o be m ade on t h e N o t e s , i n c l ud i ng an y r e t u r n o f p r i n c i p a l a t m a t u r i t y , de p en d s on t he a bi li t y o f HSB C t o s a t i s f y i t s o b l i ga t i o n s a s t h e y c o m e d ue . A s a r e s u l t , t h e a c t u a l an d pe r c e i v e d c r ed i tw o r t h i ne s s o f HSB C m a y a f f e c t t h e m a r k e t v a l u e o f t he N o t e s a n d , i n t h e e v en t HSB C w e r e to d e f a u l t o n i t s o b li g a t i o n s , y o u m a y n o t r e c e i v e the a m o un t s o w e d to y o u u n de r t h e te r ms o f t h e N o t e s . T h e Not e s a re n o t i n s u r e d o r g u a ra n t e e d b y a n y g o v e rn m e nt a l a g e n c y o f t h e Un i t e d S t a t es o r a n y o t h e r j u ri s d ic ti o n . T h e N o t e s a r e no t de p o s i t li ab ili t i e s o r o t he r ob l i ga t i o n s o f a ban k a nd a r e no t i n s u r e d o r g ua r an t ee d b y t h e F e d e r a l De p o s i t I n s u r a n c e Cor p o r a t i on o r an y o t h e r g o v e r n m e n t a l a ge n cy o r p r o g r a m o f t h e U n i t e d S t a t e s o r a n y o t he r j u r i s d i c t i on . A n i n v e s t m en t i n t h e N o t e s i s s ub j e c t t o t h e c r ed i t r i s k o f H S BC, and i n t h e e v en t t ha t HS B C i s u n ab l e t o p a y i t s ob l i ga t i o n s a s t h e y b e c o m e due , y ou m a y n o t r e c e i v e t h e f u ll p a y m en t s d ue o n t h e N o t e s. T h e E s t i ma t e d I n it i a l V a l u e o f th e Not e s , w h ic h w a s d e t e r m i ne d b y u s o n th e Tr a d e D a t e , i s l ess t h a n t h e pri c e to p u b l ic a n d m a y d i ff e r fro m t h e m a r k e t v a l ue of th e Not e s i n t h e s ec o n d a ry ma rk e t , if a n y . T h e E s t i m a t e d I n i t i a l V a l ue o f t he N o t e s w a s c a l c u l a t ed b y u s o n the T r a de D a t e a nd i s l e s s than the p r i c e to p u b l i c . T h e E s t i m a t e d In i t i al V a l ue r e f l e c t s ou r and ou r a f f i li a t e s ' i n t e r n a l f u nd i ng r a t e , wh i c h i s t h e b o r r o wi n g r a t e p a i d t o i s s ue m a r k e t - li n k ed s e c u r i t i e s , a s w e l l a s th e m i d - m a r k e t v a l ue o f t h e e m b e dded d e r i v a t i v e s i n the N o t e s . T h i s i n t e r n a l f u nd i ng r a t e i s t y p i c a l l y l o wer t h a n the r a t e w e w o u l d u s e wh e n we i s s ue c o n v e n t i ona l f i x ed o r f l oa t i ng r a t e d e b t s e c u r i t i e s . A s a r e s u l t o f t h e d i f f e r e n c e b e t we e n o u r i n t e r n a l fu n d i n g r a t e and th e r a t e w e wo u l d u s e wh e n we i s s ue c o n v en t i o na l f i x e d o r f l oa t i ng r a t e d eb t s e c u r i t i e s , t h e E s t i m a t ed I n i t i a l V a l u e o f t h e N o t e s m a y b e l o wer i f i t we r e ba s e d o n t he p r i c e s a t w h i c h o u r f i x e d o r f l o a t i n g r a t e deb t s e c u r i t i e s t r a de i n th e s e c o nda r y m a r k e t . I n ad d i t i o n , i f w e w e r e t o u s e t h e r a t e we u s e fo r ou r c o n v en t i on a l f i x ed o r f l oa t i n g r a t e d eb t i ss u a n c e s , w e wo u l d e x p e c t t he e c o no m i c t e r m s o f t h e No t e s t o b e m o r e f a v o r a ble t o y ou . W e d e t e r m i n ed t h e v al ue o f t h e e m be d de d de r i v a t i v e s i n t h e No t e s b y r e f e r e n c e t o ou r o r o u r a f f i li a t e s ' i n t e r n a l p r i c i n g m o de l s . T h e s e p r i c i ng m o d e l s c o n s i d e r c e r t a i n a s s u m p t i o n s a nd v a r i a b l e s , wh i c h c a n i n c l ud e v o l a t il i t y a nd i n t e r e s t r a t e s . Di f f e r en t p r i c i ng m o de l s and a s s u m p t i o n s c o u l d p r o v id e v a l u a t i on s f o r t h e No t e s t h a t a r e d i f fe r en t fr o m ou r E s t i m a t ed I n i t i a l V a l ue . T he s e p r i c i n g m ode l s r e l y i n pa rt o n c e r t a i n fo r e c a s t s ab o u t fu t u r e e v en t s , wh i c h m a y p r o v e to b e i n c o rr e c t . T h e E s t i m a t e d In i t i a l V a l u e d o e s no t r e p r e s e n t a m i n i m u m p r i c e a t w h i c h w e o r an y o f o u r a f f i l i a t e s w o u l d be w i ll i ng t o p u r c h a s e y ou r N o t e s i n the s e c onda r y m a r k e t (i f a n y e x i s t s) a t an y t i m e . T h e p ri c e o f y o u r Not es i n t h e s ec o n d a ry ma rk e t , if a n y , i mme d i a t e l y a ft e r t h e T ra d e Dat e is e x p e c t e d t o be l ess t h a n th e pr i ce to p u b l i c . T h e p r i c e t o p u b l i c t a k e s i n t o a cc o un t c e rt a i n c o s t s . T he s e c o s t s i n c l ude ou r a f f i l i a t e s ' p r o j e c t e d he d g i ng p r o f i t s (wh i c h m a y o r m a y no t b e r ea l i z ed) f o r a s s u m i n g r i s ks in he r en t i n he d g i n g ou r o b l i ga t i o n s un d e r t h e N o t e s , t he u n de r wr i t i ng d i s c o u n t and t h e c o s t s a s s o c i a t e d w i t h s tr u c t u r i ng a nd h ed g i ng ou r o b li g a t i o n s unde r t h e No t e s . T he s e c o s t s wi l l be u s ed o r r e t a i ne d b y u s o r o ne o f ou r a f f il i a t e s , e xc e p t f o r unde rwr i t i n g d i s c o u n t s p a i d t o una f f ili a t e d d i s tr i bu t o r s . I f y ou wer e t o s e l l y ou r No t e s i n t h e s e c onda r y m a r k e t , i f an y , t h e p r i c e y o u wo u l d r e c e i v e f o r y o u r No t e s m a y b e l e s s t h a n t h e p r i c e y o u pa id f o r t h e m be c a u s e s e c o nda r y m a r k e t p r i c e s wi l l no t t a k e i n t o a c c ou n t t h e s e c o s t s . T he p r i c e o f y o u r No t e s i n t h e s e c o nda r y m a r k e t , i f a n y , a t a n y t i m e a f te r i s s u a n c e wi l l v a r y b a s ed on m a n y f a c t o r s , i n c l ud i ng t h e v a l u e o f t h e R e f e r e n c e A s s e t and c ha n ge s i n m a r k e t c o nd i t i on s , and c a nno t be p r ed i c t e d wi t h a cc u r a c y . T he No t e s a r e no t d e s i g ne d t o be s ho r t - t e r m t r a d i n g i n s tr u m e n t s , an d y o u s ho u l d , the r e f o r e , b e ab l e a n d w i l li n g t o h o l d t h e N o t e s t o m a t u r i t y . A n y s a l e o f t h e N o t e s p r i o r t o m a t u r i t y c ou l d r e s u l t i n a l o s s to y ou .

![](image_009.jpg)

P S - 9 If w e w e r e to re p u r c h a s e y o ur Not e s i m me d i a t e l y a ft e r t h e O rig i n a l I s s u e Dat e , th e pri c e y o u re c e i v e may b e h i g h e r th a n t h e E s ti m a t e d I n it i a l V a l u e o f t h e Not e s . A s s u m i n g t h a t a ll r e l e v an t f a c t o r s r e m a i n c o n s t a n t a f t e r t h e O r i g i n a l I s s u e Da te , t he p r i c e a t wh ic h HSB C S e c u r i t i e s (USA) I n c . m a y i n i t i a ll y bu y o r s e l l t h e No t e s i n t h e s e c onda r y m a r k e t , i f a n y , a n d t h e v a l u e t h a t m a y i n i t i a l l y b e u s e d f o r c u s t o m e r a c c o u n t s t a t e m e n t s , i f a n y , m a y e x c ee d t h e E s t i m a t e d I n i t i a l V a l u e o n t h e T r ad e Da t e f o r a t e m po r a r y pe r i o d e x p e c t e d t o be a pp r o x i m a t e l y 6 m on t h s a f t e r t he O r i g i n a l I s s u e D a t e . T h i s t e m po r a r y p r i c e d i f fe r e n c e m a y e x i s t be c a u s e , i n o u r d i s c r e t i on , w e m a y e l e c t t o e f f e c t i v e l y r e i m bu r s e t o i n v e s t o r s a po rt i o n o f t h e e s t i m a t ed c o s t o f he d g i n g o u r o b li g a t i on s u n de r t h e No t e s a n d o t he r c o s t s i n c o nne c t i o n wi t h t h e No t e s t h a t w e wi l l n o l onge r e x p e c t t o i n c u r o v e r t h e t e r m o f t h e No t e s . W e w i ll m a k e s u c h d i s c r e t i ona r y e l e c t i on a nd de t e r m i ne t h i s t e m p o r a r y r e i m b u r s e m en t p e r i o d on t h e b a s i s o f a n u m b e r o f f a c t o r s , i n c l u d i ng t he t e no r o f t h e No te s a nd a n y ag r e e m en t w e m a y ha v e wi t h t h e d i s tr i b u t o r s o f t h e No t e s . T h e a m o u n t o f ou r e s t i m a t e d c o s t s w h i c h we e f f e c t i v e l y r e i m b u r s e t o i n v e s t o r s i n t h i s w a y m a y n o t b e a l l o c a t e d r a t ab l y t h r o u gho u t t h e r e i m b u r s e m e n t p e r i o d , a nd w e m a y d i s c on t i nu e s u c h r e i m bu r s e m en t a t a n y t i m e o r r e v i s e t he du r a t i o n o f t h e r e i m b u r s e m en t p e r i o d a f t e r t h e Ori g i na l I s s ue D a t e o f t h e No te s ba s ed o n c ha n g e s i n m a r k e t c o n d i t i o n s a n d o t he r f a c t o r s t h a t c an n o t b e p r e d i c t e d . Yo u w i l l n o t h a v e a n y o w n e r s h i p i n t e re s t i n th e s to c k s i n c l u d e d i n a R e f e re n c e A s s e t . A s a h o l d e r o f t h e No t e s , y ou wi l l n o t h a v e a n y o wn e r s h i p i n t e r e s t i n t h e s t o c k s i n c l ud e d i n a Re f e r e n c e A s s e t , s u c h a s r i gh t s t o v o t e , d i v i de n d p a ym e n t s o r o t h e r d i s tr i b u t i o n s . B e c a u s e t h e r e t u r n on t h e No t e s wi l l no t r e f l e c t an y d i v i de n d s o n t h o s e s t o c ks , t h e No t e s m a y unde r p e rf o r m a n i n v e s t m en t in the s t o c k s i n c l u ded i n a R e f e r en c e A s s e t . T h e Not e s la c k l i q u i d it y . T h e No t e s wi l l n o t be l i s t ed on an y s e c u r i t i e s e xc h an g e o r au t o m a t ed qu o t a t i on s ys t e m . H S BC S e c u r i t i e s (USA) I n c . i s no t r equ i r e d t o o f f e r t o pu r c h a s e t he N o t e s i n t he s e c o n da r y m a r k e t , i f a n y e x i s t s . E v e n i f t he r e i s a s e c onda r y m a r k e t , i t m a y no t p r o v i de e n ough li q u i d i t y t o a ll o w y ou t o t r ade o r s e ll t he No te s e a s i l y . B e c a u s e o t he r d ea l e r s a r e n o t l i k e l y t o m a k e a s e c o nda r y m a r k e t f o r t h e No t e s , t h e p r i c e a t wh ic h y o u m a y b e a b l e t o tr a d e y o u r No t e s i s l i k e l y t o d ep en d o n t h e p r i c e , i f a n y , a t wh i c h HSB C S e c u r i t i e s (USA) I n c . i s w i l li n g t o b u y t h e N o t e s . Pot e nt i a l c o n fl i c t s o f i nt e r e s t m ay ex i s t . A n a f f i li a t e o f HSB C h a s a m i no r i t y eq u i t y i n t e r e s t i n t h e o w ne r o f a n e l e c tr o n i c p l a t fo r m , t h r ough w h i c h we m a y m a k e a v a i l a b l e c e r t a i n s tr u c t u r e d i n v e s t m e n t s o f fe r i n g m a t e r i a l s . HSB C a n d i t s a f fi li a t e s p l a y a v a r i e t y o f r o l e s i n c o n ne c t i o n wi t h t he i s s ua n c e o f t h e No t e s , i n c l ud i ng a c t i n g a s c a l c u l a t i o n agen t a n d h ed g i n g ou r o b li g a t i on s un d e r t he N o t e s . I n pe r f o r m i n g t h e s e d u t i e s , t h e e c on o m i c i n t e r e s t s o f t h e c a l c u l a t i o n a gen t a n d o t h e r a f f i li a t e s o f ou r s a r e p o t en t i a l l y a d v e r s e t o y ou r i n t e r e s t s a s an i n v e s t o r i n th e N o t e s . W e w ill no t ha v e a n y ob l i ga t i on t o c o n s i de r y ou r i n t e r e s t s a s a h o l d e r o f t he N o t e s i n ta k i ng a n y a c t i o n th a t m i gh t a f fe c t t h e v a l ue o f y ou r N o t e s . Un ce rta i n t ax tr ea t me nt . F o r a d i sc u s s i on o f t he U.S. f e de r a l i n c o m e t a x c on s equ e n c e s o f y o u r i n v e s t m e n t i n a No t e , p l e a s e s ee t h e d i s c u ss i on u nd e r " U .S . F e de r a l I n c o m e T a x Co n s i de r a t i o n s " h e r e i n a n d t h e d i s c u s s i o n unde r "U.S. F e de r a l I n c o m e T a x Co n s i d e r a t i o n s " i n t h e a c c o m p a n y i n g p r o s p e c t u s s up p l e m en t.

![](image_010.jpg)

P S - 1 0 IL L U S T RA T I VE E X A M P L E S T he f o l l o w i n g t a b l e an d e xa m p l e s a r e p r o v i d ed f o r i l l u s t r a t i v e p u r p o s e s on l y a n d a r e h y p o t h e t i ca l . T h e y d o n o t p u r po r t t o b e r e p r e s e n t a t i v e o f ev e r y p o s s i b l e s c en a r i o c on c e r n i n g i nc r e a s e s o r d e c r e a s e s i n t h e v a l ue o f t h e R e f e r e n c e A s s e t r e l a t i v e t o t h e I n i t i a l V a l u e . W e c a n n o t p r ed i c t t h e O f f i c i a l C l o s i n g L e v e l o f t h e R e f e r e n ce A ss e t o n an y C a l l O b s e r v a t i on D a t e , i n c l u d i n g t he F i n a l V a l u a t i on D a t e . T h e as su m p t i o ns w e h a v e m a d e i n c o n ne c t i o n w i t h t h e il l u s t r a t i o n s s e t f o r t h b e l o w m a y n o t r e f l e c t a c t ua l ev en t s . Y o u sh ou l d n o t t a ke t h i s il l u s t r a t i o n o r t h e s e e x a m p l e s a s a n i n d i c a t i on o r a s s u r a n c e o f t h e e x p e c t e d pe r f o r m a n ce o f t h e R e f e r e n c e A ss e t o r t h e r e t u r n o n t h e N o t e s . T h e t ab l e an d e xa m p l e s be l o w il l u s t r a t e ho w t h e C a l l P r e m i u m an d t he P a y m e n t a t M a t u r i t y w o u l d b e ca l c u l a t ed w i t h r e s p e c t t o a $1 , 0 0 0 i nv es t m e n t i n t he N o t e s , g i v e n a r a n g e o f h y p o t h e t i c a l p e r f o r m a n ce s o f t h e R e f e r e nc e A s s e t . T he h yp o t h e t i c a l r e t u r n s o n t he N o t es be l o w a r e nu m b e r s , e x p r e ss ed a s p e r c e n t a ge s , t h a t r e su l t f r o m c o m p a r i n g t h e P a y m e n t a t M a t u r i t y p e r $1 , 00 0 P r i n c i pa l A m o u n t t o $1 , 0 0 0 . T h e n u m b e r s a p pe a r i n g i n t h e f o l l o w i n g t a b l e a n d e xa m p l e s m a y h a v e b ee n r o un d e d f o r ea s e o f an a l y s i s . T h e f o l l o w i n g t a b l e a n d e x a m p l e s a ss u m e t h e f o ll o w i n g :  P r i n c i p a l A m o u n t : $1 , 0 0 0  H y p o t he t i c a l I n i t i a l V a l u e : 1 , 0 0 0 . 0 0 \*  C a ll T h r e s h o l d : O n a C a ll O b s e r v a t i on D a t e , t h e r e l e va n t p e r c e n t a g e o f t h e I n i t i a l V a l u e ap p l i c a b l e o n s u c h C a l l O b s e r v a t i on D a t e a s d es c r i b ed o n p a ge PS - 5 u n de r " C a l l O bse r v a t i o n D a t e s , C a l l P ay m e n t D a t e s , C a l l P r e mi u m s a n d C a l l T h r es ho l d s . "  B a rr i e r V a l u e : 8 0 0 . 0 0 (8 0 . 0 0 % o f t h e I n i t i a l V a l u e)  C a ll P r e m i u m : 1 . 8 1 2 5 % p e r qu a r t e r (o r $1 8 . 1 2 5 f o r e a ch $1 , 00 0 P r i n c i p a l A m o u n t) m u l t i p l i e d b y t he n u m b e r o f qu a r t e r s e l a p s e d f r o m t h e T r a de D a t e t o t h e a p p l i c a b l e C a ll O b s e r v a t i on D a t e t h a t t h e N o t es a r e ca l l e d . S e e " C a l l O b s e r va t i o n D a t es , C a ll P ay m e n t D a t e s , C a ll P r e m i u m s an d C a l l T h r es ho l d s " o n PS - 3 . \* Th e h y p o t he t i c a l I n i t ia l V a lu e o f 1 , 000 . 0 0 u s e d i n t h e e x a mple s b e lo w ha s bee n c h o s e n f o r i l l u st r a t i v e pu r po s e s on l y an d doe s no t r e p r e s en t t h e a c t ua l I n i t ia l V a lu e . Th e a c t ua l I n i t ial V a l u e o f t he R e f e r e n c e A s s e t i s s e t f o r t h on page P S - 2 o f t h i s do c u me n t . Su m ma ry o f t h e E xam p l e s N o tes A r e C a ll e d o n a C a l l Ob s e r v a t i on D a t e N o tes A r e N o t C a l l e d on a ny C a l l Ob s e r v a t i on D a t e E xa m p l e 1 E xa m p l e 2 E xa m p l e 3 E xa m p l e 4 I n i t ia l V a lu e 1 , 000 . 0 0 1 , 000 . 0 0 1 , 000 . 0 0 1 , 000 . 0 0 C a l l Th r e s ho l d 1 , 000 . 0 0 1 , 000 . 0 0 1 , 000 . 0 0 1 , 000 . 0 0 B a rr ie r V a lu e 800 . 0 0 800 . 0 0 800 . 0 0 800 . 0 0 C a ll O bs e r v a t i o n D a t e s O f f i c i a l C l os i n g Le v e l / P e r c e n t a ge Ch a nge 1 s t C a l l O b s e r v a t io n D a t e 1 , 200 . 0 0 / 20 . 0 0 % C a l l P r e m ium : $72 . 5 0 860 . 0 0 / - 14 . 00 % C a l l P r e m ium : $0 . 0 0 810 . 0 0 / - 19 . 0 0 % C a l l P r e m ium : $0 . 0 0 820 . 0 0 / - 18 . 00% C a l l P r e m ium : $0 . 0 0 2 nd C a l l O b s e r v a t io n D a t e t o 8 t h C a l l O b s e r v a t io n D a t e N / A O f f i c ia l C lo s in g Le v e l i s be lo w t he C a l l Th r e s ho l d C a l l P r e m ium : $0 . 0 0 O f f i c ia l C lo s in g Le v e l i s be lo w t he C a l l Th r e s ho l d C a l l P r e m ium : $0 . 0 0 O f f i c ia l C lo s in g Le v e l i s be lo w t he C a l l Th r e s ho l d C a l l P r e m ium : $0 . 0 0 Fin a l V a lu a t io n D a t e N / A 1 , 200 . 0 0 / 20 . 0 0 % C a l l P r e m ium : $217 . 5 0 830 . 0 0 / - 17 . 00 % 560 . 0 0 / - 44 . 00% P a y me n t i f N o t e s a r e C a l l e d p r io r t o t h e Fin a l V a lu a t io n D a t e $1 , 0 72 . 50 N / A N / A N / A P a y me n t a t Ma t u r i t y N / A $1 , 217 . 50 $1 , 000 . 0 0 $1 , 000 + ($1 , 000 x - 44 . 00 %) = $56 0 . 0 0 R e t u r n o f t he N o t e s 7 . 25 % 21 . 75 % 0 . 00 % - 44 . 00%

![](image_011.jpg)

P S - 1 1 E xa m p l e 1 — T h e O f f i c i a l C l o s i ng L ev e l o f t h e R e f e r e n c e A s s e t on t h e f i r s t C a l l O b s e r v a t i o n D a t e i s g r e a t e r t h a n o r e qu a l t o t h e a pp li c a b l e C a ll T h r es ho l d . I n i t i a l V a l u e O ff i c i a l C l o s i ng L e v e l 1 , 0 0 0 . 0 0 1 , 2 0 0 . 0 0 (1 2 0 . 00 % o f I n i t i a l V a l u e) P ay m e n t U pon a C a l l : $1 , 0 7 2 . 50 B e c a u s e t he O ff i c i a l C l o s i n g L e v e l o f t h e R e f e r e n c e A s s e t on t he f i r s t C a l l O bs e r v a t i o n D a t e i s a t o r a b o v e t he a p p li ca b l e C a l l T h r e s h o l d , t h e N o t e s w i ll b e c a l l e d a n d y o u w i ll r e ce i v e $1 , 0 7 2 . 5 0 p e r N o t e , r e f l e c t i n g t h e P r i n c i pa l A m o u n t p l us t h e a p p l i c a b l e C a l l P r e mi u m , r e su l t i n g i n a 7 . 25 % r e t u r n o n t h e N o t e s . N o e x t r a p a y m e n t w il l b e m a de o n a c c o u n t o f t h e R e f e r en c e A s se t c l os i n g a b o v e t h e I n i t i a l V a l u e . E xa m p l e 2 — T h e O f f i c i a l C l o s i ng L ev e l o f t h e R e f e r e n c e A s s e t on t h e F i n a l V a l u a t i on D a t e i s g r e a t e r t h a n o r e qu a l t o t h e a pp li c a b l e C a l l T h r e s ho l d . I n i t i a l V a l u e F i n a l V a l u e 1 , 0 0 0 . 0 0 1 , 2 0 0 . 0 0 (1 2 0 . 00 % o f I n i t i a l V a l u e) . P ay m e n t U pon a C a l l : $1 , 2 1 7 . 5 0 B e c a u s e t he O ff i c i a l C l o s i n g L e v e l o f t h e R e f e r e n c e A s s e t on t he F i n a l V a l u a t i o n D a t e i s a t o r ab o v e t h e a p p l i c a b l e C a l l T h r e sh o l d , t h e N o t e s w i ll b e c a l l e d an d yo u w i l l r e ce i v e $1 , 2 17 . 5 0 p e r N o t e , r e f l e c t i n g t h e P r i n c i p a l A m o u n t p l u s t h e a p p l i c ab l e C a l l P r e m i u m , r e su l t i n g i n a 2 1 . 7 5 % r e t u r n o n t h e N o t e s . N o e x t r a p ay m e n t w ill be m a d e o n a c c ou n t o f t h e R e f e r en ce A s s e t c l o s i n g a b o v e t h e I n i t i a l V a l u e . E xa m p l e 3 — T h e N o t e s a r e no t c a l l e d a nd t h e F i n a l V a l u e i s g r e a t e r t h a n o r e qu a l t o t h e B a r r i e r V a l u e . I n i t i a l V a l u e F i n a l V a l u e 1 , 0 0 0 . 0 0 8 3 0 . 0 0 (8 3 . 0 0 % o f I n i t i a l V a l u e) R e f e r en ce R e t u r n : - 1 7 . 00 % P ay m e n t a t M a t u r i t y : $1 , 0 0 0 . 0 0 B e c a u s e t h e Fin a l V a lu e i s l e s s t h e t han t he C a l l Th r e s ho l d bu t g r e a t e r t han o r equa l t o t h e B a rr ie r V a l u e , y o u w i l l r e c e i v e $1 , 000 . 00 pe r N o t e , r e f le c t in g t he P r i n c ip a l A mo u n t , r e s u l t in g i n a 0 . 00 % r e t u r n on t he N o t e s , e v en t hough t he v a lu e o f t h e R e f e r en c e A ss e t h a s d e c l i ned .

![](image_012.jpg)

P S - 1 2 E xa m p l e 4 — T h e N o t e s a r e no t c a l l e d , a nd t h e F i n a l V a l u e i s l e ss t h a n t h e B a r r i e r V a l u e . I n i t i a l V a l u e F i n a l V a l u e 1 , 0 0 0 . 0 0 5 6 0 . 0 0 (5 6 . 0 0 % o f I n i t i a l V a l u e) R e f e r en ce R e t u r n : - 4 4 . 00 % P ay m e n t a t M a t u r i t y : $5 6 0 . 0 0 B e c a u s e t he F i n a l V a l u e i s l es s t h an t h e B a r r i e r V a l u e , y o u w il l r e c e i v e $5 6 0 . 0 0 p e r $1 , 0 0 0 P r i nc i p a l A m o u n t , c a l cu l a t e d a s f o ll o w s : F i na l S e t t l e m e n t V a l u e = $1 , 0 00 + ($1 , 0 0 0 x - 4 4 . 00 %) = $5 6 0 . 0 0 Y ou w i ll n o t r e c e i v e a C a ll P r e m i u m, r e s u l t i n g i n a - 4 4 . 0 0 % r e t u r n on t h e N o t e s . If t h e N o t e s a r e n o t c a l l e d a n d t h e F i n a l V a l ue i s l es s t h a n t h e B a r r i e r V a l u e , y o u w il l b e e x p ose d t o a n y d e c r e a s e i n t h e v a l u e o f t he R e f e r e nc e A s s et o n a 1 : 1 b as i s a n d c o u l d l o s e u p t o 10 0 % o f y o u r p r i nc i p a l a t m a t u r i t y .

![](image_013.jpg)

P S - 1 3 D E S CRI P T I O N O F T H E R E F E R E N C E A S S E T De s c ript i o n o f t h e SPX T h e S&P 5 0 0® I n d e x ("SPX") i s a m a r k e t c ap i t a l i z a t i o n - w e i gh t e d i nd e x i n t e n de d t o p r o v i d e a p e rf o r m an c e b en c h m a r k f o r t h e l a r g e - c ap U.S. eq u i t y m a r k e t s . T h e S PX i n c l u de s a r e p r e s en t a t i v e s a m p l e o f 50 0 c o m p a n i e s i n l e ad i ng i n du s t r i e s o f t he U.S . e c o no m y . F o r m or e i n for m a ti o n a b o ut t h e SPX , se e " T h e S&P 5 0 0® I n d ex " b e g i n n i n g o n p a g e S - 54 o f th e acc o m p a n y i n g Eq u it y I n d e x Und e rl y i n g S u p p l e me nt . Hi s tori c a l P e rform a n c e o f th e SPX T h e f o l l o wi n g g r ap h s e t s f o r t h t he h i s t o r i c a l pe r f o r m an c e o f t h e SP X ba s e d o n t h e d a i l y h i s t o r i c a l c l o s i n g v a l u e s f r o m De c e m be r 1 8 , 2 01 5 t h r ou g h De c e m b e r 18 , 2 02 5 . W e o b t a i n e d the c l o s i n g v a l u e s b e l o w fr o m t h e B lo o m be r g Pr o f e s s i o na l® s e r v i c e . W e h a v e n o t un d e rt a k e n an y i nd e pe n den t r e v i e w o f , o r m a d e a n y d ue d il i ge n c e i nq ui r y wi t h r e s p e c t t o , t h e i n f o r m a t i o n ob t a i n e d fr o m t he B lo o m be r g Pr o f e s s i o na l® s e r v i c e . Th e h i s t o r i c a l v a lu e s o f t he S P X s hou ld no t be t a k en a s a n in d i c a t i o n o f f u t u r e pe r f o r ma n c e , and no a s s u r an c e c an be g i v en a s t o t he O f f i c ia l C lo s in g Le v e l o f t h e S P X on a n y C a l l O b s e r v a t i o n D a t e , in c lu d in g t h e Fin a l V a lu a t i on D a t e .

![](image_014.jpg)

P S - 1 4 E V E N T S O F D E F A U L T A ND AC C E L E R A T I O N I f t h e No t e s h a v e b e c o m e i m m ed i a t e l y d u e and pa y ab l e f o ll o wi n g an E v e n t o f De f a u l t (a s de f i n ed i n t he a cc o m p an y i ng p r o s p e c t u s) wi t h r e s p e c t t o t h e No t e s , t h e c a l c u l a t i on a gen t w i ll d e t e r m i n e t he a c c e l e r a t ed p a y m en t d ue and p a y a b l e i n t h e s a m e g e n e r a l m an n e r a s de s c r i b e d i n t h i s d o c u m en t e x c ep t t h a t i n s u c h a c a s e , t h e s c he d u l e d t r ad i ng da y i m m ed ia t e l y p r e c e d i n g t h e da t e o f a c c e l e r a t i o n wi l l b e u s ed a s the F i n a l V a l u a t i o n D a t e fo r p u r po s e s o f d e t e r m i n i n g the R e f e r e n c e R e t u r n o f t h e R e f e r e n c e A s s e t , a nd the a c c e l e r a t ed M a t u r i t y Da te wi l l b e t h r e e b u s i ne s s d a y s a f te r t h e a c c e l e r a t ed F i n a l V a l ua t i on D a t e . I f a M a r k e t Di s r u p t i o n E v en t e x i s t s wi th r e s p e c t t o t h e Re fe r e n c e A s s e t on t ha t sc he du l e d tr a d i ng da y , t h e n t h e a cc e l e r a t ed F i na l V a l u a t i o n D a t e wi l l be p o s t p o n e d f o r up t o f iv e s c he d u l e d tr a d i n g d a ys (i n t h e s a m e m a n ne r u s ed f o r po s t p o n i ng t he o r i g i n a l l y s c h e du l e d F i n a l V a l ua t i on Da te) . T h e a c c e l e r a t e d M a t u r i t y D a t e wi l l a l s o b e po s t p o n ed b y a n e q ua l n u m be r o f b u s i n e s s d a ys f o l l o wi n g t h e p o s t p one d a c c e l e r a t e d F i n a l V a l ua t i on D a t e . I f t h e No t e s h a v e b e c o m e i m m ed i a t e l y d u e a n d p a y a b l e fo l lo wi n g a n E v en t o f De f a u l t , y o u w ill n o t b e e n t i t l ed t o a n y a dd i t i on a l p a y m en t s wi t h r e s p e c t t o t he N o t e s . Fo r m o r e i n f o r m a t i o n , s ee "D e sc r i p t i o n o f D eb t S e c u r i t i e s — S e n i o r D e b t S e c u r i t i e s — E v e n t s o f De f a u l t" i n t h e a c c o m p an y i n g p r o s p e c t u s . S U P P L E M E N T A L P L A N O F DI S T RI B U T I O N (C O N F L IC T S O F IN T E R E S T) W e h a v e ap p o i n t ed HSB C S e c u r i t i e s (USA) I n c . , an a f f i li a t e o f HSB C , a s t h e a gen t f o r t h e s a l e o f t h e No t e s . P u r s u a n t t o t h e t e r m s o f a d i s t r i bu t i on a g r e e m en t , HSB C S e c u r i t i e s (USA) I n c . wi l l p u r c h a s e t h e No t e s fr o m HSB C a t t h e p r i c e t o pub l i c l e s s t h e un d e r wr i t i ng d i s c ou n t s e t f o rt h o n t h e c o v e r pag e o f t h i s p r i c i ng s u p p l e m e n t , f o r di s tr i b u t i o n t o o t h e r r e g i s t e r e d b r o k e r - d ea l e r s o r w il l o f f e r t he No te s d i r e c t l y t o i n v e s t o r s . HSB C S e c u r i t i e s (USA) I n c . ha s o f fe r e d t h e No t e s a t t h e p r i c e t o pu b li c s e t f o r t h o n t h e c o v e r pa g e o f t h i s d o c u m e n t. HSB C USA I n c . o r o n e o f ou r a f f i l i a t e s m a y p a y v a r y i n g u n de rwr i t i n g d i s c ou n t s o f u p t o 2 . 0 2 5 % p e r $1 , 0 0 0 P r i n c i p a l A m o u n t i n c on n e c t i o n wi t h t h e d i s t r i bu t i on o f t h e N o t e s t o o t h e r r eg i s t e r e d b r o k e r - dea l e r s . A n a f f i l i a t e o f HSB C ha s p a i d o r m a y p a y i n t h e f u t u r e a n a m o u n t t o b r o k e r - d ea l e r s i n c on n e c t i o n wi t h t he c o s t s o f t he c o n t i n u i ng i m p l e m en t a t i on o f s y s t e m s t o s up p o rt t h e No t e s . W e o r on e o f ou r a f f i li a t e s m a y p a y a f e e t o o ne o r m o r e b r o k e r d ea le r s f o r p r o v i d i ng c e rt a i n s e r v i c e s w i t h r e s p e c t t o th i s o f f e r i n g , wh i c h m a y r e du c e t h e e c on o m i c te r m s o f t he no t e s to y o u . I n a d d i t i on , HSB C S e c u r i t i e s (USA) I n c . o r a no t h e r o f i t s a f f il i a t e s o r a gen t s m a y u s e t h i s p r i c i n g s u pp l e m e n t i n m a r k e t - m a k i n g tr a n s a c t i on s a f te r t h e i n i t i a l s a l e o f t h e No te s , bu t i s u nde r no o b li g a t i o n t o m a k e a m a r k e t i n t he No t e s a n d m a y d i sc o n t i nue a n y m a r k e t - m a k i ng a c t i v i t i e s a t a n y t i m e w i t h o u t n o t i c e. S ee "S u p p l e m en t a l P l an o f D i s tr i bu t i on (C o n f l i c t s o f In t e r e s t) " o n p a ge S - 8 7 i n th e p r o s p e c t u s s up p l e m en t . D e li v e r y o f t h e No t e s w i l l b e m ad e a g a i n s t p a ym e n t f o r t h e No t e s o n t he O r i g i n a l I s s u e Da te s e t f o rt h o n t h e i n s i d e c o v e r pa g e o f t h i s do c u m e n t , wh i c h i s m o r e t h an one b u s i n e s s da y f o l l o wi n g t h e Tr a de Da te . Un d e r Ru l e 1 5 c 6 - 1 unde r t h e S e c u r i t i e s E x c h an ge A c t o f 1 9 34 , tr a d e s i n t h e s e c o n da r y m a r k e t g e ne r a l l y a r e r eq u i r ed t o s e t t l e i n one bu s i n e s s d a y , u n l e s s t h e pa r t i e s t o t ha t tr a d e e x p r e s s l y ag r e e o t h e rw i s e . A c c o r d i n g l y , p u r c ha s e r s wh o w i s h t o tr a de t h e No te s m o r e t h an o n e bu s i n e ss d a y p r i o r t o t h e O r i g i n a l I s s ue Da te w i ll be r e q u i r e d t o s p e c i f y a n a l t e r n a t e s e t t l e m en t c y c l e a t t h e t i m e o f a n y s u c h tr a de t o p r e v e n t a f a i l ed s e t t l e m e n t , a n d s h ou l d c on s u l t t he i r o wn a d v i s o r s . U. S . F E D E RA L INC O M E T A X C O N S I D E RA T I O N S T h e r e i s n o d i r e c t l e ga l au t ho r i t y a s t o t he p r op e r t a x t r ea t m e n t o f t h e No t e s , an d t h e r e f o r e s i g n i f i c an t a s p e c t s o f t h e t a x t r ea t m en t o f t he No te s a r e un c e rt a i n a s t o bo t h t h e t i m i n g a n d c ha r a c t e r o f a n y i n c l u s i o n i n i n c o m e i n r e s p e c t o f t he N o t e s . Un d e r o ne a pp r o a c h , a No te s ho u l d b e tr e a t e d a s a p r e - p ai d e x e c u t o r y c o n tr a c t w i t h r e s p e c t t o t h e Re f e r e n c e A s s e t . W e i n t e n d t o t r ea t t h e No t e s c o n s i s t en t wi t h t h i s app r o a c h . P u r s u an t t o t he t e r ms o f t he No t e s , y ou a g r ee t o t r ea t t h e No te s u n d e r t h i s app r oa c h f o r a l l U.S. f e d e r a l i n c o m e t a x p u r p o s e s . S ub j e c t t o t he li m i t a t i o n s d e sc r i be d t h e r e i n , a n d b a s e d o n c e rt a i n f a c t u a l r ep r e s en t a t i o n s r e c e i v e d fr o m u s , i n t h e o p i n io n o f ou r s p e c i a l U.S. t a x c ou n s e l , M a y e r B r o wn LL P , i t i s r ea s on a b l e t o t r e a t a N o t e a s a p r e - pa i d e x e c u t o r y c on t r a c t w i t h r e s p e c t t o t h e Re fe r e n c e A s s e t . P u r s u a n t t o t h i s app r o a c h , w e do no t i n t e nd t o r e p o rt a n y i n c o m e o r g a i n wi t h r e s p e c t t o t h e No te s p r i o r t o t h e i r m a t u r i t y o r an ea r l i e r s a l e , c a ll o r e x c ha n ge a n d we i n t e n d t o tr e a t a n y g a i n o r l o ss u po n m a t u r i t y o r an e a r l i e r s a l e , c a l l o r e xc h an g e a s l o n g - t e r m c ap i t a l ga i n o r l o ss , p r o v i de d y o u h a v e h e l d t he N o t e f o r m o r e t ha n on e y ea r a t s u c h t i m e f o r U.S . f e d e r a l i n c o m e t a x pu r p o s e s . I f t he N o t e s a r e h e l d b y t h e s a m e U n i t ed S t a t e s h o l de r u n t il m a t u r i t y , t h a t ho l de r ' s h o l d in g p e r i od w i ll g ene r a l l y i n c l ude t he m a t u r i t y d a t e . W e w i l l n o t a t te m p t t o a s c e rt a i n w he t h e r a n y o f t he en t i t i e s w ho s e s t o c k i s i n c l ud e d i n t h e R e f e r e n c e A s s e t w o u l d b e tr e a t ed a s a p a s s i v e f o r e i g n i n v e s t m e n t c o m pa n y ("PF I C") o r Un i t e d S t a t e s r e a l p r ope r t y ho l d i n g c o r po r a t i o n ("US R PH C "), bo t h a s d e f i n ed f o r U.S. f e d e r al i n c o m e ta x pu r po s e s . I f o ne o r m o r e o f t he e n t i t i e s wh o s e s t o ck is i n c l u d ed i n t h e Re f e r e n c e A s s e t we r e s o tr e a t e d , c e rt a i n a d v e r s e U. S . f e de r a l i n c o m e t a x c o n s e que n c e s m i g h t ap p l y . Y ou s hou l d r e f e r t o i n f o r m a t i on f i l ed wi t h t he SEC and o t he r au t ho r i t i e s b y t h e en t i t i e s wh o s e s t o c k i s i n c l ude d i n t h e Re fe r e n c e A s s e t a nd c o n s u l t y ou r t a x a d v i s o r r e ga r d i ng t h e po s s i b l e c o n s eq u e n c e s t o y o u i f o n e o r m o r e o f t h e en t i t i e s w h o s e s t o ck i s i n c l u ded i n t he R e f e r e n c e A ss e t i s o r b e c o m e s a P F IC o r a U SR P H C. Un d e r c u r r en t l a w, wh i l e t h e m a t te r i s no t en t i r e l y c l ea r, i nd i v i dua l n o n - U.S. h o l d e r s , and e n t i t i e s wh o s e p r o pe r t y i s po t e n t i a ll y i n c l u d i b l e in t h o s e i nd i v i d ua l s ' g r o s s e s t a t e s f o r U.S . fe d e r a l e s t a t e t a x p u r po s e s (f o r e x a m p l e , a tr u s t f u nde d b y s u c h a n i nd i v i dua l a n d w i t h r e s p e c t t o

![](image_015.jpg)

P S - 1 5 wh ic h t he i nd i v i d ua l h a s r e t a in ed c e r t a i n i n t e r e s t s o r p o wer s) , s ho u l d n o t e t ha t , a b s e n t an a pp l i c a b l e t r e a t y ben e f i t , t he N o t e s a r e l i k e l y t o be tr e a t e d a s U.S . s i t u s p r o p e rt y , s ub j e c t t o U.S. f e d e r a l e s t a t e t a x . T he s e i nd i v i d ua l s a nd en t i t i e s s h ou l d c on s u l t t h e i r o wn t a x ad v i s o r s r ega r d i ng t he U.S . f e de r a l e s t a t e t a x c o n s equ e n c e s o f i n v e s t i ng i n the N o t e s . A " d i v i d en d e q u i v a l e n t" pa y m e n t i s tr e a t ed a s a d i v i d en d fr o m s ou r c e s wi t h i n t h e U n i t e d S t a t e s a nd s u c h p a ym e n t s g e n e r a l l y w o u l d be s ub j e c t t o a 30 % U.S. w i t h h o l d i n g t a x i f p a i d t o a no n - U.S . ho l de r . U n de r U.S . Tr e a s u r y De p a rt m en t r eg u l a t i o n s , pa y m en t s (i n c l u d i ng dee m ed p a y m en t s) wi t h r e s pe c t t o e qu i t y - l i n k ed i n s t r u m e n t s ("E L I s ") t h a t a r e " s p e c i f i ed E L I s " m a y be tr e a t ed a s d i v i d e n d equ i v a l en t s i f s u c h s p e c i f i e d E L I s r e f e r e n c e an i n t e r e s t i n a n " u nde r l y i n g s e c u r i t y , " wh i c h i s g ene r a l l y a n y i n t e r e s t i n a n e n t i t y t a x ab l e a s a c o r p o r a t i o n f o r U.S. f ede r a l i n c o m e t a x p u r po s e s i f a p a ym e n t w i t h r e s p e c t t o s u c h i n t e r e s t c o u l d g i v e r i s e t o a U.S. s o u r c e d i v i d end . H o we v e r , I n t e r n a l Re v en u e S e r v i c e g u i da n c e p r o v i d e s t h a t wi t hh o l d i ng o n d i v i den d e q u i v a l e n t pa y m e n t s wi l l no t a p p l y t o s p e c i f i e d E L I s t h a t a r e n o t de l t a - one i n s tr u m en t s a n d t h a t a r e i s s ued b e f o r e J an u a r y 1 , 20 2 7 . B a s e d on t h e I s s ue r ' s de t e r m i n a t i o n t h a t t h e No t e s a r e no t " de l t a - o n e " i n s t r u m e n t s , no n - U.S. h o l de r s s ho u l d n o t b e s u b j e c t t o w i t h h o l d i ng o n d i v i d e nd e qu i v a l en t pa y m en t s , i f a n y , u n de r t h e N o t e s . How e v e r, i t i s po s s i b l e t h a t t h e No t e s c o u l d be tr e a t ed a s de e m e d r e i s s u e d f o r U.S. f e de r a l i n c o m e t a x p u r po s e s up o n t he o c c u rr e n c e o f c e r t a i n e v en t s a f fe c t i n g t h e R e f e r e n c e A s s e t o r t h e No t e s , a n d f o l l o wi n g s u c h o cc u r r e n c e t h e No t e s c o u l d b e tr e a t e d a s s u b j e c t t o wi t hh o l d i ng o n d i v i d en d equ i v a l en t p a y m en t s . No n - U. S . ho l de r s t h a t en t e r , o r h a v e e n t e r ed , i n t o o t he r tr a n s a c t i o n s i n r e s p e c t o f t he Re fe r en c e A s s e t o r t h e No te s s ho u l d c o n s u l t t h e i r t a x a d v i s o r s a s t o t h e a p p l i c a t i o n o f t h e d i v i d en d e q u i v a l e n t wi t hh o l d i n g t a x i n t he c o n t e x t o f th e N o t e s and t he i r o t h e r tr a n s a c t i o n s . I f a n y p a ym e n t s a r e t r ea t e d a s d i v i d e nd eq u i v a l en t s s u b j e c t t o wi t hh o l d i n g , we (o r t h e ap p l i c a b l e pa y i n g agen t) wo u l d b e en t i t l ed t o w i t hho l d t a x e s w i t h o u t b e i ng r equ i r ed t o p a y a n y a dd i t i on a l a m ou n t s w i t h r e s p e c t to a m ou n t s s o w i t h h e l d . F o r a d i sc u s s i on o f t h e U.S. f e de r a l i n c o m e t a x c o n s eq u en c e s o f y o u r i n v e s t m e n t i n a No te , p l e a s e s ee t h e d i s c u s s i on u n d e r " U .S F e de r al I n c o m e T a x C o n s i de r a t i o n s " i n the a c c o m p an y i n g p r o s p e c t us s u p p l e m en t . PR O SPE C T I VE PU R C H ASE R S O F N O TES SH O ULD C O N S UL T THEIR TAX ADVIS O RS AS TO THE FEDERAL , STA T E, L O CAL , AN D O THER TAX C O NSE Q U E N C ES T O T HE M OF T HE PU R C H ASE, O WNERS H IP AN D D I SP O SI T IO N OF N O TE S V A L IDI T Y O F T H E N O T E S I n t h e o p i n i o n o f M a y e r B r o wn LL P, a s c ou n s e l t o t he I s s ue r, wh e n t h i s p r i c i n g s u pp l e m e n t ha s bee n a t t a c h ed t o , a nd d u l y no t a t ed o n , t he m a s t e r no t e t ha t r ep r e s e n t s t h e No te s pu r s u a n t t o t h e S e n i o r I n den t u r e r e f e rr e d t o i n t h e p r o s p e c t u s s u p p l e m en t d a t e d F e b r ua r y 2 1 , 2024 , and i ss u ed a nd p a i d f o r a s c on t e m p l a t e d h e r e i n , t h e N o t e s o f fe r ed b y t h i s p r i c i ng s up pl e m e n t wi l l be v a l i d , b i nd i ng a nd en f o r c e ab l e ob l i ga t i on s o f t h e I s s ue r , e n t i t l ed t o t h e b e ne f i t s o f t he S en i o r I n d en t u r e , s u b j e c t t o a p p l i c ab l e ba n k r u p t c y , i n s o l v en c y a nd s i m il a r l a w s a f fe c t i ng c r e d i t o r s ' r i g h t s g e n e r a l l y , c o n c ep t s o f r e a s on a b l ene s s and equ i t a b l e p r i n c i p l e s o f ge n e r a l a pp l i c a b i l i t y (i n c l ud i n g , wi t h o u t li m i t a t i on , c o n c e p t s o f g ood f a i t h , f a i r de a li n g a n d t h e l a c k o f b ad f a i t h). T h i s o p i n i on i s g i v e n a s o f t h e da t e he r eo f a nd i s li m i t e d t o t h e l a w s o f t h e S t a t e o f New Y o r k , t h e M a r y l a n d G ene r a l Cor p o r a t i on La w (i n c l ud i ng t h e s t a t u t o r y p r o v i s i o n s , a ll a p p l i c a b l e p r o v i s i o n s o f t h e M a r y l a n d C on s t i t u t i on and t he r epo rt e d j u d i c i a l de c i s i o n s i n t e r p r e t i n g the f o r e g o i n g) a nd t h e fede r a l l a w s o f t h e U n i t e d S ta t e s o f A m e r i c a . T h i s o p i n i on i s s u b j e c t t o c u s t o m a r y a ss u m p t i o n s abo u t t h e t r u s t e e ' s a u t h o r i z a t i o n , e x e c u t i o n a n d d e l i v e r y o f t he S en i o r I n d e n t u r e a nd t h e genu i ne n e s s o f s i g n a t u r e s an d t o s u c h c o u n s e l ' s r e li a n c e o n t he I ss u e r a nd o t h e r s ou r c e s a s t o c e r t a i n f a c t u a l m a t t e r s , a l l a s s t a t e d i n t h e l eg a l o p i n i o n da t ed F eb r u a r y 21 , 2 024 , wh i c h h a s b ee n f i l e d a s E x h i b i t 5 . 3 t o t he I s s ue r ' s r e g i s tr a t i on s t a t e m en t on F o r m S - 3 d a t e d F e b r ua r y 2 1 , 2 0 24 . .

![](image_016.jpg)

You shou l d onl y rel y o n the i n formatio n c ontained i n thi s docu m ent, t h e ac c ompa n ying Equi t y Index Underlying S u pplement, pr o spectus sup p lement and pro s pectu s . We ha v e not auth o rize d anyone to prov i de you with i nformation or t o make any repr e sentation t o you that i s n o t containe d in this docum e nt, the a c companyi n g Equity Index U nderlying Suppleme n t, prospectu s supplement and prosp e ctu s . If anyone p r ovides you with different or inconsis t ent informatio n , you should not rely on i t . Th i s doc u ment, the accompa n ying Equity In d e x Underlyin g Supplement, pros p ectus supple m ent and prospectus are not an offer to sell these Notes, an d these docum e nts are n ot soliciti n g an offe r to buy thes e Notes, i n any juri s diction w h e r e the offe r or sal e is no t permit t e d . Y ou sh o uld n o t, u nder an y circumst a nces, assum e that the i nformati o n in this docum e nt, the a c companyi n g Equity Index U nderlying Suppleme n t, prospectu s supplement a n d prospect u s is correct o n a ny date a f ter th e ir respecti v e dates . HS B C US A I nc . $2 , 27 7 , 000 A u t o c a l l a bl e B a r r i e r N o te s w i t h St e p - u p P r e m i u m L i n k e d t o t h e S & P 50 0® I nd e x De c e mb e r 9 , 2 0 2 5 P ri c ing S uppl e m e n t T AB L E O F C O N T E N T S P r i c i n g S up p l e m e n t G e ne r a l PS - 4 E r r or ! B oo k m a r k not de f i n e d . P a y me n t a t Ma t u r i t y PS - 5 E r r or ! B oo k m a r k not de f i n e d . I n v e st o r S u i t ab i l i t y PS - 6 E r r or ! B oo k m a r k not de f i n e d . R i s k F a ct o r s PS - 7 E r r or ! B oo k m a r k not de f i n e d . I l l u s t r a t i v e E x a mpl e s PS - 1 0 E r r or ! B oo k m a r k not d e f i n e d . D e sc r ip t io n o f t h e R e f e r en c e A ss e t PS - 1 3 E r r or ! B oo k m a r k not d e f i n e d . E v e n t s o f D e f au l t and A c c e le r a t io n PS - 1 4 E r r or ! B oo k m a r k not d e f i n e d . S upp leme n t a l P la n o f D i s t r ib u t io n (C on f l i c t s o f I n t e r e st) PS - 14 E r r or ! B ook m a r k not de f i ne d . U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s PS - 14 E r r or ! B oo k m a r k not de f i ned . V a l i d i ty o f t he N o t e s PS - 1 5 E r r or ! B oo k m a r k not d e f i n e d . E qu i t y In d e x Un d e r l y in g S upp l e m e n t D i s c laime r ii R i s k F a ct o r s S - 1 Th e D A X® I nd e x S - 8 Th e D o w J on e s I ndu s t r ial A v e r ag e® S - 10 Th e E UR O S TO XX 50® I nde x S - 12 Th e E UR O S TO XX® B a n k s I nd e x S - 14 Th e F T SE® 100 I nd e x S - 16 Th e H ang S eng® I nde x S - 17 Th e H ang S eng C h in a E n t e r p r i s e s I nde x S - 19 Th e K O S P I 20 0 I nde x S - 21 Th e M S C I I nd i c e s S - 23 Th e N A S D A Q 100 I nd e x® S - 30 Th e N i k k e i S t o c k A v e r ag e S - 33 Th e N Y SE® F A N G + I nde x S - 35 Th e P H L X H ou s in g S e ct o r I nde x S - 40 Th e R u s s e l l 2000® I nde x S - 44 Th e S & P 100® I nd e x S - 47 Th e S & P 500® I nd e x S - 54 Th e S & P 500® Lo w V o la t i l i t y I nde x S - 61 Th e S & P B R I C 40 I nde x S - 64 Th e S & P M i d C ap 400® I nde x S - 67 Th e S & P / A S X 200 I nd e x S - 74 Th e S & P 500® E S G I nde x S - 77 Th e T O P I X® I nd e x S - 82 Th e S w i s s Ma r k e t I nd e x S - 84 A dd i t io n a l Te r m s o f t he N o t e s S - 86 P r o s p e c t u s S upp l e m e n t R i s k F a ct o r s S - 1 P r i c in g S upp l e me n t S - 12 D e sc r ip t io n o f N o t e s S - 14 U s e o f P r o c eed s and H edg in g S - 58 C e r t a in E R I S A and R e l a t ed C on s i de r a t io n s S - 59 U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s S - 61 S upp leme n t a l P la n o f D i s t r ib u t io n (C on f l i c t s o f I n t e r e st) S - 87 P r o s p e c t u s A bou t t h i s P r o s pe c t u s 1 R i s k F a ct o r s 2 Whe r e Y ou C an F in d Mo r e I n f o r m a t io n 3 S pe c ia l N o t e R ega r d in g Fo r w a r d - Loo k in g S t a t e me n t s 4 H SB C U S A I n c . 6 U s e o f P r o c eed s 7 D e sc r ip t io n o f D eb t S e c u r i t i e s 8 D e sc r ip t io n o f P r e f e rr ed S t o c k 19 D e sc r ip t io n o f Wa rr an t s 24 D e sc r ip t io n o f P u r c ha s e C on t r a c t s 29 D e sc r ip t io n o f U n i t s 32 B oo k - E n t r y P r o c edu r e s 35 L i m i t a t io n s on I s s uan c e s in B ea r e r Fo r m 39 U . S . Fe d e r a l I n c o me T a x C o n s id e r a t io n s R e l a t in g t o D eb t S e c u r i t i e s 40 C e r t a in E u r opean U n io n T a x C o n s id er a t io n s R e l a t in g t o D eb t S e c u r i t ie s 48 P la n o f D i st r ib u t io n (C on f l i c t s o f I n t e r e st) 49 N o t i c e t o C anad ia n I n v e s t o r s 52 N o t i c e t o E E A I n v e s t o r s 53 N o t i c e t o U . K . I n v e st o r s 54 U . K . Fin a n c ial P r o m o t io n 54 C e r t a in E R I S A and R e l a t ed M a tt e r s 55

## Ex-Filing

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

---

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

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Type**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Class Title**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Fee Calculation or Carry Forward Rule**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Maximum Aggregate Offering Price**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Fee Rate**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Amount of Registration Fee**  |
| **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** | **Newly Registered Securities** |
| Fees to be Paid | 1 | Debt | Debt Securities | 457(r) | $2277000.00 | 0.0001381 | $314.45 |
| Fees Previously Paid |  |  |  |  |  |  |  |
| **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** | **Carry Forward Securities** |
| Carry Forward Securities |  |  |  |  |  |  |  |
|  |  |  | Total Offering Amounts: | Total Offering Amounts: | $2277000.00  |  | $314.45  |
|  |  |  | Total Fees Previously Paid:  | Total Fees Previously Paid:  |  |  | $0.00  |
|  |  |  | Total Fee Offsets:  | Total Fee Offsets:  |  |  | $0.00  |
|  |  |  | Net Fee Due:  | Net Fee Due:  |  |  | $314.45  |

---

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

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

---

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

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Type**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Security Class Title**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Amount of Securities Previously Registered**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Maximum Aggregate Offering Price of Securities Previously Registered**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Form Type**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **File Number**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Initial Effective Date**  |
| N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |

---

The maximum aggregate offering price of the securities to which the prospectus relates is $2,277,000.00. The prospectus is a final prospectus for the related offering.

### Attached PDF Documents

**Attachment 1:** `tm2532455d219_424b2.pdf`

_No text found in this document._