Prospect News: Listing deals for HSBCUSAInc

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Prospect News home > Deal database index > Alphabetical deal index for F-H > List of deals for HSBCUSAInc

Recent items, highlighted in orange, are $4.00 each. All others are $1.00 each.

Click on the deal summary to see the full details.

HSBC USA Inc. 0.00% due 4/23/2029

HSBC USA Inc. 10.4%, paid quarterly, if the underlying stock closes at or above its 70% downside threshold on the related quarterly observation date due 4/15/2027

HSBC USA Inc. 11%, paid quarterly, if the underlying stock closes at or above its 60% downside threshold on the related quarterly observation date due 4/17/2025

HSBC USA Inc. 8%, paid quarterly, if each underlying index closes at or above its 65% downside threshold every day that quarter due 4/16/2026

HSBC USA Inc. 0.00% due 4/15/2027

HSBC USA Inc. 0.00% due 4/24/2026

HSBC USA Inc. 0.00% due 4/25/2025

HSBC USA Inc. 10.50% due 4/25/2025

HSBC USA Inc. 9.85% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 4/13/2029

HSBC USA Inc. 0.00% due 4/15/2027

HSBC USA Inc. 11.75%, paid quarterly, if each underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 4/15/2027

HSBC USA Inc. 12%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 4/21/2025

HSBC USA Inc. 7.6%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 10/13/2026

HSBC USA Inc. 11.9%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date, plus any previously unpaid coupons due 4/12/2027

HSBC USA Inc. 0.00% due 4/12/2027

HSBC USA Inc. 0.00% due 4/13/2026

HSBC USA Inc. 0.00% due 4/13/2027

HSBC USA Inc. 16.4%, paid quarterly, if the underlying stock closes at or above its 50% barrier level on the related quarterly observation date due 10/13/2026

HSBC USA Inc. 25.6%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 1/9/2026

HSBC USA Inc. 0.00% due 4/10/2028

HSBC USA Inc. 0.00% due 4/9/2029

HSBC USA Inc. 0.00% due 4/10/2028

HSBC USA Inc. 16.11% per year, payable monthly if the stock closes at or above coupon barrier on determination date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier level: $99.978; 60% of initial level due 4/9/2025

HSBC USA Inc. 24.9%, payable monthly if each stock closes at or above trigger level on determination date for that period due 4/8/2026

HSBC USA Inc. 7.35% due 7/9/2025

HSBC USA Inc. 9.15% due 7/9/2025

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 13.84% due 5/5/2025

HSBC USA Inc. 10.65% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $61.338; 60% of initial level due 4/1/2027

HSBC USA Inc. 10.6%, paid quarterly, if each underlying index closes at or above its 65% downside threshold on the related quarterly observation date due 1/2/2026

HSBC USA Inc. 9.2% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 4/3/2029

HSBC USA Inc. 10.04%, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/29/2027

HSBC USA Inc. 9.25%, paid quarterly, if the underlying stock closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 4/1/2027

HSBC USA Inc. 0.00% due 10/1/2025

HSBC USA Inc. 0.00% due 3/29/2029

HSBC USA Inc. 0.00% due 3/29/2027

HSBC USA Inc. 13.05%, paid monthly, if each underlying stock closes at or above its 70% barrier level on the related monthly observation date due 3/29/2027

HSBC USA Inc. 0.00% due 3/30/2026

HSBC USA Inc. 0.00% due 9/29/2025

HSBC USA Inc. 0.00% due 9/28/2026

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 0.00% due 3/27/2029

HSBC USA Inc. 7.25%, paid quarterly, if each underlying index closes at or above its 70% barrier level on the related quarterly observation date due 3/27/2028

HSBC USA Inc. 15.66%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date, plus any previously unpaid coupons due 3/29/2027

HSBC USA Inc. 10.5%, paid quarterly, if the underlying stock closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/26/2026

HSBC USA Inc. 13.9%, paid quarterly, if the underlying stock closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/26/2026

HSBC USA Inc. 10.7%, paid quarterly, if the underlying stock closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/26/2026

HSBC USA Inc. 10%, paid quarterly, if the underlying stock closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/26/2026

HSBC USA Inc. 8.15%, paid quarterly, if each underlying index closes at or above its 75% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/29/2027

HSBC USA Inc. 0.00% due 3/27/2029

HSBC USA Inc. 9.88%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 3/22/2027

HSBC USA Inc. 10%, paid quarterly, if each underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/22/2027

HSBC USA Inc. 7.97%, paid quarterly, if each underlying index closes at or above its 70% barrier level on the related quarterly observation date due 3/22/2027

HSBC USA Inc. 9.52%, paid quarterly, if the underlying stock closes at or above its 70% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/22/2027

HSBC USA Inc. 11.24%, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/22/2027

HSBC USA Inc. 16.35%, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date, plus any previously unpaid coupons due 3/20/2026

HSBC USA Inc. 9.78%, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 3/22/2027

HSBC USA Inc. 0.00% due 6/20/2025

HSBC USA Inc. 10% per year, payable monthly if the ETF closes at or above coupon barrier on determination date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier level: $458.847; 90% of initial level due 3/24/2025

HSBC USA Inc. 9.35%, paid monthly, if each underlying index closes at or above its 70% coupon barrier on the related monthly observation date due 3/22/2027

HSBC USA Inc. 0.00% due 3/20/2026

HSBC USA Inc. 14.1% annual rate, payable quarterly if stock closes at or above 85% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 4/2/2025

HSBC USA Inc. 0.00% due 3/19/2029

HSBC USA Inc. 9.06% due 6/18/2025

HSBC USA Inc. 16.2% per year, payable monthly if the stock closes at or above coupon barrier on determination date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier level: $24.1145; 85% of initial level due 3/17/2025

HSBC USA Inc. 13.02% per year, payable monthly if the stock closes at or above coupon barrier on determination date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier level: $22.696; 80% of initial level due 3/17/2025

HSBC USA Inc. 8.5%, paid quarterly, if the index closes at or above its 80.70% coupon barrier on the relevant observation date due 3/13/2026

HSBC USA Inc. 10.45%, paid quarterly, if each underlying index closes at or above its 70% interest barrier on the related quarterly observation date due 9/10/2025

HSBC USA Inc. 0.00% due 3/8/2027

HSBC USA Inc. 0.00% due 3/6/2029

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 0.00% due 3/6/2026

HSBC USA Inc. 0.00% due 3/5/2026

HSBC USA Inc. 0.00% due 3/3/2027

HSBC USA Inc. 0.00% due 3/1/2027

HSBC USA Inc. 0.00% due 12/21/2026

HSBC USA Inc. 0.00% due 8/29/2025

HSBC USA Inc. 0.00% due 5/29/2025

HSBC USA Inc. 0.00% due 2/28/2029

HSBC USA Inc. 10% annual rate, paid quarterly, if the underlying stock closes at or above its 70% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 2/26/2026

HSBC USA Inc. 0.00% due 3/2/2025

HSBC USA Inc. 0.00% due 2/26/2026

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 0.00% due 3/24/2025

HSBC USA Inc. 0.00% due 2/23/2029

HSBC USA Inc. 0.00% due 5/22/2025

HSBC USA Inc. 0.00% due 2/18/2026

HSBC USA Inc. 0.00% due 2/22/2028

HSBC USA Inc. 0.00% due 2/22/2029

HSBC USA Inc. 9.1%, payable quarterly if each index closes above 70% barrier on observation date due 2/22/2027

HSBC USA Inc. 0.00% due 3/21/2025

HSBC USA Inc. 0.00% due 2/19/2027

HSBC USA Inc. 7.06%, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date, plus any previously unpaid coupons due 8/20/2026

HSBC USA Inc. 7.16%, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date, plus any previously unpaid coupons due 2/20/2026

HSBC USA Inc. 10.33% due 2/16/2027

HSBC USA Inc. 10.2%, paid quarterly, if each underlier closes at or above its coupon barrier on the related quarterly observation date; Coupon barriers: $51.989 for ETF, 1,374.9218 for Russell, 3,467.219 for S&P, 70% of initial levels due 8/18/2025

HSBC USA Inc. 0.00% due 2/16/2029

HSBC USA Inc. 0.00% due 2/16/2027

HSBC USA Inc. 15%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 3/14/2025

HSBC USA Inc. 9.63%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 2/16/2027

HSBC USA Inc. 12.75%, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 3/14/2025

HSBC USA Inc. 0.00% due 2/17/2026

HSBC USA Inc. 8%, paid quarterly, if each underlying index closes at or above its coupon barrier on every trading day during the relevant observation period; Coupon barriers: 23,983.323 for Nikkei Stock Average, 1,306.4948 for Russell 2000, 3,267.2965 for S&P 500, 65% of initial levels due 8/14/2026

HSBC USA Inc. 0.00% due 2/16/2027

HSBC USA Inc. 0.00% due 2/14/2029

HSBC USA Inc. 0.00% due 2/14/2028

HSBC USA Inc. 9.46%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 3/10/2025

HSBC USA Inc. 7.40% due 8/12/2025

HSBC USA Inc. 0.00% due 2/11/2026

HSBC USA Inc. 9.2% per year, payable monthly if each index closes at or above its coupon barrier on the relevant observation date; Coupon barrier levels: 1,556.1 for MSCI EAFE, 1,367.54 for Russell, 3,467.96 for S&P; 70% of initial levels due 2/9/2029

HSBC USA Inc. 0.00% due 2/7/2029

HSBC USA Inc. 0.00% due 2/3/2027

HSBC USA Inc. 9.35%, paid monthly, if the underlying stock closes at or above its 69% barrier level on the related monthly observation date due 2/2/2026

HSBC USA Inc. 0.00% due 2/3/2027

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 10.25%, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 2/1/2027

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 2/1/2027

HSBC USA Inc. 0.00% due 1/31/2029

HSBC USA Inc. 0.00% due 2/1/2027

HSBC USA Inc. 16.7%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date, plus any previously unpaid coupons due 2/1/2027

HSBC USA Inc. 0.00% due 2/5/2025

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 11% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $111.384; 70% of initial level due 1/30/2025

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 1/31/2029

HSBC USA Inc. 0.00% due 1/29/2027

HSBC USA Inc. 14.6% annual rate, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 7/29/2025

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 9.4%, paid quarterly, if each underlying index closes at or above its 70% downside threshold on the related quarterly observation date due 1/29/2026

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 9% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 1/26/2029

HSBC USA Inc. 0.00% due 4/25/2025

HSBC USA Inc. 0.00% due 1/26/2026

HSBC USA Inc. 11.36% per year, payable monthly if the stock closes at or above coupon barrier on determination date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier level: $318.936; 80% of initial level due 1/27/2025

HSBC USA Inc. 8.90% due 4/25/2025

HSBC USA Inc. 0.00% due 1/24/2028

HSBC USA Inc. 0.00% due 1/24/2029

HSBC USA Inc. 10.5% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 1/25/2027

HSBC USA Inc. 12% annual rate, paid monthly, if each underlying stock closes at or above its 65% barrier level on the related monthly observation date due 1/25/2027

HSBC USA Inc. 13% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 1/25/2027

HSBC USA Inc. 13% annual rate, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 1/25/2027

HSBC USA Inc. 10.15%, paid quarterly, if the underlying stock closes at or above its 60% downside threshold on the related quarterly observation date due 1/22/2027

HSBC USA Inc. 17.55% annual rate, paid quarterly, if the underlying stock closes at or above its 50% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 1/25/2027

HSBC USA Inc. 9.68% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 1/25/2027

HSBC USA Inc. 12.5%, paid monthly, if the underlying stock closes at or above its 78% barrier level on the related monthly observation date due 2/24/2025

HSBC USA Inc. 0.00% due 5/22/2025

HSBC USA Inc. 0.00% due 1/19/2029

HSBC USA Inc. 9.58%, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 1/19/2027

HSBC USA Inc. 0.00% due 1/22/2026

HSBC USA Inc. 0.00% due 1/19/2027

HSBC USA Inc. 12.65%, paid monthly, if the underlying stock closes at or above its 57% barrier level on the related monthly observation date due 1/20/2026

HSBC USA Inc. 11.7%, paid monthly, if the underlying stock closes at or above its 65% barrier level on the related monthly observation date due 1/20/2026

HSBC USA Inc. 0.00% due 1/17/2029

HSBC USA Inc. 0.00% due 1/24/2025

HSBC USA Inc. 0.00% due 1/28/2027

HSBC USA Inc. 7.25% due 7/17/2025

HSBC USA Inc. 0.00% due 1/11/2027

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 12/27/2028

HSBC USA Inc. 7.15%, paid monthly, if each underlying index closes at or above its 60% barrier level on the related monthly observation date due 6/27/2025

HSBC USA Inc. 8.9%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 6/27/2025

HSBC USA Inc. 0.00% due 12/23/2026

HSBC USA Inc. 0.00% due 12/22/2028

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 8.00% due 1/3/2025

HSBC USA Inc. 0.00% due 12/26/2025

HSBC USA Inc. 0.00% due 12/21/2026

HSBC USA Inc. 0.00% due 12/26/2024

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 6/23/2025

HSBC USA Inc. 0.00% due 3/21/2025

HSBC USA Inc. 0.00% due 9/22/2025

HSBC USA Inc. 13.66%, paid monthly, if the underlying stock closes at or above its 74% barrier level on the related monthly observation date due 1/21/2025

HSBC USA Inc. 10.33%, paid quarterly, if the underlying stock closes at or above its 70% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 12/21/2026

HSBC USA Inc. 0.00% due 12/18/2025

HSBC USA Inc. 0.00% due 12/17/2026

HSBC USA Inc. 8.76%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 3/17/2025

HSBC USA Inc. 0.00% due 12/15/2028

HSBC USA Inc. 0.00% due 7/3/2025

HSBC USA Inc. 11.85%, paid monthly, if the underlying stock closes at or above its 75% barrier level on the related monthly observation date due 1/13/2025

HSBC USA Inc. 11.73%, paid monthly, if the underlying stock closes at or above its 69% barrier level on the related monthly observation date due 1/13/2025

HSBC USA Inc. 8.3% annual rate, paid quarterly, if each underlying index closes at or above its 65% downside threshold on every day during the quarter due 12/11/2025

HSBC USA Inc. 0.00% due 12/11/2025

HSBC USA Inc. 13.20% due 1/13/2025

HSBC USA Inc. 0.00% due 12/9/2026

HSBC USA Inc. 7.90% due 1/7/2025

HSBC USA Inc. 12.07% due 1/7/2025

HSBC USA Inc. 0.00% due 12/6/2028

HSBC USA Inc. 8.2%, paid quarterly, if the stock closes at or above its 80% coupon barrier on the observation date for that quarter, plus any previously unpaid coupons due 12/8/2025

HSBC USA Inc. 11.62%, paid monthly, if the underlying stock closes at or above its 75% barrier level on the related monthly observation date due 1/6/2025

HSBC USA Inc. 0.00% due 6/5/2025

HSBC USA Inc. 8.2%, paid quarterly, if each underlying index closes at or above its 65% downside threshold every day that quarter due 12/4/2025

HSBC USA Inc. 10.15%, paid quarterly, if each underlying index closes at or above its 70% downside threshold every day that quarter due 6/4/2026

HSBC USA Inc. 0.00% due 3/5/2025

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 0.00% due 12/3/2026

HSBC USA Inc. 14.2%, paid monthly, if the underlying stock closes at or above its 72% barrier level on the related monthly observation date due 1/6/2025

HSBC USA Inc. 18.36%, paid monthly, if the underlying stock closes at or above its 63% barrier level on the related monthly observation date

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 17.32%, paid monthly, if the underlying stock closes at or above its 67% barrier level on the related monthly observation date due 12/30/2024

HSBC USA Inc. 0.00% due 11/27/2028

HSBC USA Inc. 0.00% due 11/22/2028

HSBC USA Inc. 9.25%, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 2/24/2025

HSBC USA Inc. 16%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 11/23/2026

HSBC USA Inc. 15.8%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date, plus any previously unpaid coupons due 11/23/2026

HSBC USA Inc. 13.70% due 12/23/2024

HSBC USA Inc. 0.00% due 11/22/2028

HSBC USA Inc. 10%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 11/20/2026

HSBC USA Inc. 10.43%, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 11/20/2026

HSBC USA Inc. 9.30% due 11/20/2025

HSBC USA Inc. 13.16%, paid monthly, if the underlying stock closes at or above its 55% barrier level on the related monthly observation date due 12/17/2024

HSBC USA Inc. 15.5%, paid monthly, if the underlying stock closes at or above its 55% barrier level on the related monthly observation date due 12/17/2024

HSBC USA Inc. 17.35%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 11/17/2026

HSBC USA Inc. 10.75% due 11/17/2025

HSBC USA Inc. 0.00% due 11/17/2025

HSBC USA Inc. 0.00% due 2/12/2025

HSBC USA Inc. 9.45% annual rate, payable quarterly if all four indexes close above coupon barrier on related observation date; Coupon barriers: 25,584.2025 for Dow, 3,133.8675 for Stoxx, 1,285.551 for Russell, 3,287.085 for S&P, 75% of initial levels due 11/10/2028

HSBC USA Inc. 0.00% due 12/9/2024

HSBC USA Inc. 0.00% due 11/6/2025

HSBC USA Inc. 17.5%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date, plus any previously unpaid coupons due 11/9/2026

HSBC USA Inc. 14.65%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $59.10; 60% of initial price due 2/3/2025

HSBC USA Inc. 0.00% due 11/5/2025

HSBC USA Inc. 7.75% due 12/3/2024

HSBC USA Inc. 13.85% due 12/3/2024

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 8.5%, paid monthly, if the underlying index closes at or above its 80% barrier level on the related monthly observation date due 12/3/2024

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 0.00% due 12/3/2024

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 11/2/2026

HSBC USA Inc. 0.00% due 10/31/2028

HSBC USA Inc. 0.00% due 11/5/2024

HSBC USA Inc. 0.00% due 10/31/2025

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 10/29/2026

HSBC USA Inc. 0.00% due 10/25/2028

HSBC USA Inc. 9.75% annual rate, payable semiannually if both indexes close above coupon barriers on related observation dates; Coupon barriers: 1,176.5544 for Russell, 2,956.912 for S&P, 70% of initial levels due 10/26/2026

HSBC USA Inc. 8.3% annual rate, payable semiannually if both indexes close above coupon barriers on related observation dates; Coupon barriers: 1,176.5544 for Russell, 2,956.912 for S&P, 70% of initial levels due 10/26/2026

HSBC USA Inc. 0.00% due 10/30/2026

HSBC USA Inc. 0.00% due 10/23/2028

HSBC USA Inc. 15% annual rate, paid monthly, if the underlying stock closes at or above its 50% barrier level on the related monthly observation date due 10/20/2026

HSBC USA Inc. 0.00% due 10/19/2028

HSBC USA Inc. 14.22%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $99.4125; 75% of initial price due 11/19/2024

HSBC USA Inc. 0.00% due 1/14/2026

HSBC USA Inc. 0.00% due 10/18/2027

HSBC USA Inc. 8.35% annual rate, paid quarterly, if each underlying index closes at or above its 60% downside threshold on the related quarterly observation date due 10/16/2025

HSBC USA Inc. 0.00% due 10/18/2028

HSBC USA Inc. 8%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger: $320.586; 70% of initial price due 11/13/2024

HSBC USA Inc. 0.00% due 10/16/2026

HSBC USA Inc. 0.00% due 11/13/2024

HSBC USA Inc. 0.00% due 10/16/2024

HSBC USA Inc. 10.66%, paid monthly, if the underlying stock closes at or above its 80% barrier level on the related monthly observation date due 4/14/2025

HSBC USA Inc. 13.6%, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 10/9/2026

HSBC USA Inc. 0.00% due 10/10/2025

HSBC USA Inc. 0.00% due 12/3/2025

HSBC USA Inc. 0.00% due 10/4/2028

HSBC USA Inc. 10.3%, paid monthly, if the underlying stock closes at or above its 72% barrier level on the related monthly observation date due 1/6/2025

HSBC USA Inc. 17%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 1/6/2025

HSBC USA Inc. 11.75%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $217.495; 50% of initial price due 10/6/2025

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 9/24/2026

HSBC USA Inc. 0.00% due 9/28/2028

HSBC USA Inc. 0.00% due 9/25/2026

HSBC USA Inc. 0.00% due 9/29/2028

HSBC USA Inc. 0.00% due 9/25/2026

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 9/29/2027

HSBC USA Inc. 0.00% due 9/29/2026

HSBC USA Inc. 19.76%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $64.2932; 67% of initial price due 10/29/2024

HSBC USA Inc. 0.00% due 10/4/2024

HSBC USA Inc. 0.00% due 9/29/2025

HSBC USA Inc. 0.00% due 12/30/2024

HSBC USA Inc. 7%, payable monthly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 25,214.16 for Dow, 10,909.3725 for Nasdaq, 1,321.20675 for Russell; 75% of initial levels due 3/31/2025

HSBC USA Inc. 0.00% due 11/7/2025

HSBC USA Inc. 0.00% due 3/28/2025

HSBC USA Inc. 0.00% due 12/30/2024

HSBC USA Inc. 16%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 9/28/2026

HSBC USA Inc. 0.00% due 9/27/2028

HSBC USA Inc. 11.25%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $90.384; 70% of initial price due 9/28/2026

HSBC USA Inc. 7.25%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $122.353; 70% of initial price due 9/28/2026

HSBC USA Inc. 17.5%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $146.928; 60% of initial price due 9/28/2026

HSBC USA Inc. 0.00% due 11/21/2025

HSBC USA Inc. 11.8596% per year, payable monthly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $388.251; 90% of initial share price due 9/30/2024

HSBC USA Inc. 0.00% due 12/26/2024

HSBC USA Inc. 10.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons; Coupon trigger level: $89.4595; 65% of initial price due 9/24/2025

HSBC USA Inc. 14.92%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $133.25; 50% of initial price due 9/22/2025

HSBC USA Inc. 8.40% due 10/22/2024

HSBC USA Inc. 9.82% due 10/22/2024

HSBC USA Inc. 14.17% due 10/22/2024

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 12.75%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons; Coupon trigger level: $56.46; 50% of initial price due 9/21/2026

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 3/20/2025

HSBC USA Inc. 14.25% annual rate, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date due 9/14/2026

HSBC USA Inc. 11.19% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $400.365; 90% of initial share price due 9/16/2024

HSBC USA Inc. 10.930008% annual rate, payable monthly if ETF closes at or above 90% coupon barrier on the corresponding observation date; if coupon payment is missed, it will be paid on next coupon payment date that ETF closes at or above barrier due 9/11/2024

HSBC USA Inc. 10.8% annual rate, payable quarterly if ETF closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 9/9/2024

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 8.6%, payable monthly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 3,161.039; 70% of initial level due 2/9/2026

HSBC USA Inc. 0.00% due 9/17/2025

HSBC USA Inc. 10.9% annual rate, payable quarterly if ETF closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 9/9/2024

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 0.00% due 12/6/2024

HSBC USA Inc. 0.00% due 8/6/2024

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 14.00% due 9/13/2024

HSBC USA Inc. 13.2% annual rate, paid monthly, if the underlying stock closes at or above its coupon barrier level on the related monthly observation date; Coupon barrier: $31.9902, 74% of initial level due 10/7/2024

HSBC USA Inc. 20.35% annual rate, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 9/1/2026

HSBC USA Inc. 0.00% due 8/31/2028

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 3/2/2026

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 10/25/2024

HSBC USA Inc. 9.53%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,063.417 for S&P, 1,292.3946 for Russell, 10,371.508 for Nasdaq; 70% of initial levels due 11/29/2024

HSBC USA Inc. 0.00% due 1/29/2025

HSBC USA Inc. 0.00% due 8/23/2028

HSBC USA Inc. 0.00% due 9/23/2024

HSBC USA Inc. 10.1%, payable quarterly if each index closes at or above 70% of its initial level on the corresponding quarterly observation date due 8/24/2026

HSBC USA Inc. 9.5%, payable semiannually if each index closes at or above 70% of its initial level on the corresponding semiannual observation date due 8/24/2026

HSBC USA Inc. 9.4%, payable semiannually if each index closes at or above trigger level on determination date for that period due 8/24/2026

HSBC USA Inc. 15% annual rate, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 8/21/2026

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 9/24/2025

HSBC USA Inc. 0.00% due 10/15/2025

HSBC USA Inc. 8.25%, payable monthly if the index closes at or above trigger level on determination date for that period; coupon payment events will automatically include any previously unpaid coupons due 8/21/2025

HSBC USA Inc. 0.00% due 11/21/2024

HSBC USA Inc. 0.00% due 8/21/2025

HSBC USA Inc. 0.00% due 8/18/2028

HSBC USA Inc. 14.75% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $67.028 for Crown Castle, $21.814 for Verizon; 65% of initial levels due 8/19/2024

HSBC USA Inc. 19.3% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $139.776 for Tesla, $82.602 for Amazon, $106.47 for Apple; 60% of initial levels due 8/18/2026

HSBC USA Inc. 0.00% due 8/20/2025

HSBC USA Inc. 9.4% annual rate, paid quarterly, if each underlying index closes at or above its 80% barrier level on the related quarterly observation date due 9/5/2024

HSBC USA Inc. 8.30% due 2/18/2025

HSBC USA Inc. 10.75% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 8/14/2026

HSBC USA Inc. 8.25% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 8/14/2026

HSBC USA Inc. 0.00% due 2/7/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 8/8/2025

HSBC USA Inc. 11.15%, paid quarterly, if each underlier closes at or above its downside threshold on the related quarterly observation date due 8/7/2024

HSBC USA Inc. 10.15% due 11/7/2024

HSBC USA Inc. 0.00% due 9/4/2024

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 12.42% annual rate, paid monthly, if the underlying stock closes at or above its 75% barrier level on the related monthly observation date due 9/3/2024

HSBC USA Inc. 9.4%, payable monthly if each fund closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: $51.354 for Energy Select, $82.884 for SPDR; 60% of initial levels due 11/1/2024

HSBC USA Inc. 17% annual rate, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 8/3/2026

HSBC USA Inc. 12.95%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons; Coupon trigger level: $74.41; 50% of initial price due 8/3/2026

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 0.00% due 8/3/2026

HSBC USA Inc. 0.00% due 7/31/2026

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 0.00% due 7/31/2028

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 9% annual rate, payable quarterly if all three indexes close above coupon barrier levels on related observation date; Coupon barriers: 3,042.305 for Stoxx, 1,386.2485 for Russell, 3,196.725 for S&P, 70% of initial levels due 7/31/2025

HSBC USA Inc. 8.3% annual rate, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date, plus any previously unpaid coupons due 7/31/2025

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 10% annual rate, paid monthly, if the underlying stock closes at or above its 68% barrier level on the related monthly observation date due 7/28/2025

HSBC USA Inc. 10.53% annual rate, paid monthly, if the underlying stock closes at or above its 80% barrier level on the related monthly observation date due 8/28/2024

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 12% annual rate, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 1/27/2026

HSBC USA Inc. 11.8% annual rate, paid quarterly, if each underlying stock closes at or above its 70% barrier level on the related quarterly observation date due 7/28/2026

HSBC USA Inc. 0.00% due 2/14/2025

HSBC USA Inc. 0.00% due 7/25/2028

HSBC USA Inc. 0.00% due 7/26/2028

HSBC USA Inc. 0.00% due 1/27/2025

HSBC USA Inc. 7.65% per year, payable semiannually if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 1,372.1785 for Russell, 3,175.438 for S&P; 70% of initial levels due 7/27/2026

HSBC USA Inc. 9.3% per year, payable semiannually if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 1,372.1785 for Russell, 3,175.438 for S&P; 70% of initial levels due 7/27/2026

HSBC USA Inc. 0.00% due 7/27/2026

HSBC USA Inc. 0.00% due 8/26/2024

HSBC USA Inc. 10.3% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $84.50; 65% of initial level due 7/25/2024

HSBC USA Inc. 0.00% due 7/24/2025

HSBC USA Inc. 10.72% annual rate, paid monthly, if the underlying stock closes at or above its 67% barrier level on the related monthly observation date due 7/25/2025

HSBC USA Inc. 10%, payable monthly if the stock closes at or above 78% coupon trigger level on the relevant observation date due 8/26/2024

HSBC USA Inc. 0.00% due 7/21/2028

HSBC USA Inc. 17% annual rate, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 7/21/2026

HSBC USA Inc. 16.25% annual rate, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 8/21/2024

HSBC USA Inc. 0.00% due 7/20/2026

HSBC USA Inc. 10.65%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $32.04; 50% of initial price due 7/20/2026

HSBC USA Inc. 21.8% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $69.552 for Advanced Micro, $38.718 for Micron Technology; 60% of initial prices due 1/21/2025

HSBC USA Inc. 0.00% due 7/31/2026

HSBC USA Inc. 0.00% due 7/27/2029

HSBC USA Inc. 0.00% due 8/13/2025

HSBC USA Inc. 7.65% due 1/17/2025

HSBC USA Inc. 10.1% per year, payable monthly if each index closes at or above coupon barrier level on observation date that period; Coupon barrier levels: 3,577.728 for S&P, 1,546.7008 for Russell, 80% of initial levels due 7/17/2026

HSBC USA Inc. 0.00% due 12/11/2024

HSBC USA Inc. 0.00% due 2/26/2025

HSBC USA Inc. 8%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $141.06; 75% of initial price due 8/14/2024

HSBC USA Inc. 0.00% due 7/14/2025

HSBC USA Inc. 17.06%, paid monthly, if the underlying stock closes at or above its 63% barrier level on the related monthly observation date due 10/15/2024

HSBC USA Inc. 11.85%, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 8/12/2024

HSBC USA Inc. 0.00% due 4/11/2025

HSBC USA Inc. 0.00% due 7/11/2028

HSBC USA Inc. 11.5% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 2,956.163 for Stoxx, 3,088.113 for S&P, 10,562.615 for Nasdaq; 70% of initial levels due 10/10/2024

HSBC USA Inc. 14%, payable monthly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 10/10/2024

HSBC USA Inc. 12%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $62.6725; 55% of initial price due 10/10/2024

HSBC USA Inc. 0.00% due 7/6/2026

HSBC USA Inc. 0.00% due 7/6/2027

HSBC USA Inc. 16%, paid monthly, if the underlying stock closes at or above its 65% barrier level on the related monthly observation date due 8/6/2024

HSBC USA Inc. 14%, paid quarterly, if the underlying stock closes at or above its 70% coupon barrier on the related quarterly observation date due 7/8/2024

HSBC USA Inc. 9.25% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 10/7/2024

HSBC USA Inc. 14%, payable monthly if the stock closes at or above 70% coupon trigger level on the relevant observation date due 8/6/2024

HSBC USA Inc. 7.27%, paid monthly, if each underlying index closes at or above its 60% barrier level on the related monthly observation date due 7/6/2026

HSBC USA Inc. 7.5%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,560.304 for S&P, 1,510.9872 for Russell; 80% of initial levels due 7/6/2028

HSBC USA Inc. 20.17%, paid quarterly, if the underlying stock closes at or above its 50% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 7/6/2026

HSBC USA Inc. 9.2% per year, payable monthly if each index closes at or above coupon barrier level on observation date for that month; Coupon trigger levels: 10,625.447 for Nasdaq and 1,322.1138 for Russell, or 70% of initial levels due 10/7/2024

HSBC USA Inc. 22.2%, paid monthly, if the underlying stock closes at or above its 70% coupon barrier on the related monthly observation date, plus any previously unpaid coupons due 1/6/2025

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 7.65% due 7/8/2024

HSBC USA Inc. 11.55% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $80.4375; 75% of initial level due 7/5/2024

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 8/6/2024

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 0.00% due 11/20/2024

HSBC USA Inc. 10.50% due 7/12/2024

HSBC USA Inc. 0.00% due 7/3/2028

HSBC USA Inc. 14.5%, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 7/6/2026

HSBC USA Inc. 9.78%, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 7/6/2026

HSBC USA Inc. 10.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $79.2165; 55% of initial price due 7/6/2026

HSBC USA Inc. 10.8% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 3,258.5625 for Stoxx, 3,282.645 for S&P, 1,394.03175 for Russell; 75% of initial levels due 7/3/2025

HSBC USA Inc. 0.00% due 10/30/2024

HSBC USA Inc. 0.00% due 6/30/2028

HSBC USA Inc. 14.85% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $71.7535 for Advanced Micro, $122.39 forApple, $217.4705 for Microsoft due 7/24/2026

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 6/25/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 6/30/2026

HSBC USA Inc. 0.00% due 6/28/2028

HSBC USA Inc. 10.35%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 26,981.944 for Dow, 1,457.308 for Russell, 11,913.184 for Nasdaq; 80% of initial levels due 6/29/2026

HSBC USA Inc. 0.00% due 6/29/2026

HSBC USA Inc. 0.00% due 6/28/2028

HSBC USA Inc. 0.00% due 4/23/2025

HSBC USA Inc. 8.40% due 6/26/2025

HSBC USA Inc. 0.00% due 3/19/2025

HSBC USA Inc. 8.20% due 7/22/2024

HSBC USA Inc. 0.00% due 6/22/2026

HSBC USA Inc. 0.00% due 6/22/2028

HSBC USA Inc. 0.00% due 12/21/2023

HSBC USA Inc. 0.00% due 10/11/2024

HSBC USA Inc. 0.00% due 6/16/2026

HSBC USA Inc. 11.5% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $75.942 for Amazon, $173.142 for McDonald's; 60% of initial prices due 6/15/2026

HSBC USA Inc. 12.25%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $38.094; 60% of initial price due 6/16/2025

HSBC USA Inc. 20.25% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: $91.83 for DG, $11.082 for Regions; 60% of initial levels due 6/15/2026

HSBC USA Inc. 6.75% due 6/14/2024

HSBC USA Inc. 8.5%, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date due 6/13/2024

HSBC USA Inc. 0.00% due 3/26/2025

HSBC USA Inc. 10.2% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $149.90; 40% of initial level due 6/12/2025

HSBC USA Inc. 11.66% due 7/12/2024

HSBC USA Inc. 0.00% due 6/9/2025

HSBC USA Inc. 9.8% annual rate, paid monthly, if each underlying index closes at or above its 75% barrier level on the related monthly observation date due 3/5/2024

HSBC USA Inc. 9.35% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 9/5/2024

HSBC USA Inc. 7.65% annual rate, paid monthly, if each underlying index closes at or above its 75% barrier level on the related monthly observation date due 6/5/2028

HSBC USA Inc. 8.2% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 6/5/2026

HSBC USA Inc. 16% annual rate, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 6/5/2026

HSBC USA Inc. 0.00% due 6/5/2025

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 8.8% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 9/5/2024

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 6/5/2025

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 6/5/2025

HSBC USA Inc. 0.00% due 6/5/2026

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 10/23/2024

HSBC USA Inc. 0.00% due 6/2/2028

HSBC USA Inc. 0.00% due 7/26/2024

HSBC USA Inc. 7% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 9/3/2024

HSBC USA Inc. 0.00% due 5/29/2026

HSBC USA Inc. 0.00% due 6/1/2026

HSBC USA Inc. 14.18% due 7/1/2024

HSBC USA Inc. 8.69% due 7/1/2024

HSBC USA Inc. 13.77% due 7/1/2024

HSBC USA Inc. 7.25% due 6/2/2025

HSBC USA Inc. 0.00% due 6/5/2024

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 5/31/2028

HSBC USA Inc. 0.00% due 3/26/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 0.00% due 6/1/2026

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 5/25/2029

HSBC USA Inc. 22% annual rate, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date due 5/30/2025

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/30/2028

HSBC USA Inc. 17% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $77.126 for NIKE, $149.982 for Caterpillar, $104.013 for Walmart; 70% of initial prices due 5/28/2024

HSBC USA Inc. 0.00% due 5/24/2027

HSBC USA Inc. 12.53% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 8/26/2024

HSBC USA Inc. 11.4% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 8/26/2024

HSBC USA Inc. 7.25% annual rate, paid semiannually, if the underlying index closes at or above its 70% barrier level on the related observation date, plus any previously unpaid coupons due 5/26/2026

HSBC USA Inc. 9%, payable semiannually if the index closes at or above 70% coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 5/26/2026

HSBC USA Inc. 7.80% due 11/25/2024

HSBC USA Inc. 0.00% due 5/26/2026

HSBC USA Inc. 10.3% annual rate, paid semiannually, if each underlying asset closes at or above its barrier level on the related observation date due 5/26/2026

HSBC USA Inc. 11.4%, payable semiannually if each underlier closes at or above 60% trigger level on determination date for that period due 5/26/2026

HSBC USA Inc. 16.15% annual rate, paid quarterly, if the underlying stock closes at or above its 50% barrier level on the related quarterly observation date due 11/19/2024

HSBC USA Inc. 8.00% due 11/22/2024

HSBC USA Inc. 0.00% due 5/18/2028

HSBC USA Inc. 0.00% due 5/18/2026

HSBC USA Inc. 10% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 5/17/2028

HSBC USA Inc. 8% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 5/17/2028

HSBC USA Inc. 13.15%, payable quarterly if the ETF closes at or above the 65% coupon trigger level on the relevant observation date due 2/16/2024

HSBC USA Inc. 12.00% due 5/18/2026

HSBC USA Inc. 0.00% due 5/15/2026

HSBC USA Inc. 0.00% due 11/17/2023

HSBC USA Inc. 19.7%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 5/12/2026

HSBC USA Inc. 12% annual rate, payable quarterly if index closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 5/14/2024

HSBC USA Inc. 11.9% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $358.9881; 87% of initial share price due 5/13/2024

HSBC USA Inc. 0.00% due 6/12/2024

HSBC USA Inc. 29.75% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 5/23/2024

HSBC USA Inc. 0.00% due 11/12/2024

HSBC USA Inc. 21.25% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related monthly observation date due 6/10/2024

HSBC USA Inc. 0.00% due 5/10/2028

HSBC USA Inc. 11.60% due 6/10/2024

HSBC USA Inc. 14.80% due 6/10/2024

HSBC USA Inc. 8.90% due 6/10/2024

HSBC USA Inc. 12.55% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $352.4631; 87% of initial share price due 5/13/2024

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 18.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $62.531; 70% of initial price due 5/4/2026

HSBC USA Inc. 10.15%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 25,573.62 for Dow, 1,326.74025 for Russell, 9,934.4925 for Nasdaq; 75% of initial levels due 5/4/2026

HSBC USA Inc. 9.7%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 8/5/2024

HSBC USA Inc. 10.4%, paid monthly, if each underlying index closes at or above its 75% barrier level on the related monthly observation date due 2/5/2024

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 5/4/2026

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 8.6%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 8/5/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/4/2026

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 5/4/2026

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 8.8% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 5/2/2028

HSBC USA Inc. 10.8% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 5/2/2028

HSBC USA Inc. 0.00% due 5/1/2026

HSBC USA Inc. 9.25% annual rate, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date due 5/1/2025

HSBC USA Inc. 8.8% annual rate, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date due 11/3/2025

HSBC USA Inc. 0.00% due 6/28/2024

HSBC USA Inc. 11.9% annual rate, payable quarterly if ETF closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 5/2/2024

HSBC USA Inc. 0.00% due 4/30/2026

HSBC USA Inc. 0.00% due 4/28/2028

HSBC USA Inc. 7.15%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 7/29/2024

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 4/28/2025

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 10% annual rate, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon trigger levels: 2,850.141 for S&P, 3,064.495 for Stoxx, 1,222.1664 for Russell; 70% of initial levels due 4/30/2025

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 1/28/2025

HSBC USA Inc. 0.00% due 4/28/2026

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 11.85% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $358.9881; 87% of initial share price due 4/30/2024

HSBC USA Inc. 0.00% due 4/26/2027

HSBC USA Inc. 0.00% due 4/27/2026

HSBC USA Inc. 0.00% due 4/26/2027

HSBC USA Inc. 15.75%, payable monthly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 7/26/2024

HSBC USA Inc. 15.87%, payable monthly if the stock closes at or above 72% coupon trigger level on the relevant observation date due 5/28/2024

HSBC USA Inc. 12.2%, paid monthly, if the underlying stock closes at or above its 78% barrier level on the related monthly observation date due 5/28/2024

HSBC USA Inc. 12.00% due 4/27/2026

HSBC USA Inc. 0.00% due 4/27/2026

HSBC USA Inc. 11.5%, payable semiannually if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 2,480.112 for S&P, $49.362 for ETF; 60% of initial levels due 9/23/2024

HSBC USA Inc. 10.1%, payable semiannually if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 2,480.112 for S&P, $49.362 for ETF; 60% of initial levels due 9/23/2024

HSBC USA Inc. 11.5%, payable semiannually if each underlier closes at or above 60% coupon trigger level on determination date for that period due 4/27/2026

HSBC USA Inc. 12.60% due 4/29/2024

HSBC USA Inc. 8.4% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $233.648; 80% of initial level due 4/24/2025

HSBC USA Inc. 12%, paid quarterly, if each underlying index closes at or above its downside threshold on the related quarterly observation date; Downside thresholds: 3,086.013 for Euro Stoxx 50, 9,100.539 for Nasdaq-100, 2,893.464 for S&P 500, 70% of initial levels due 6/26/2024

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 9.75% due 7/24/2024

HSBC USA Inc. 7.75% due 7/24/2024

HSBC USA Inc. 0.00% due 5/2/2024

HSBC USA Inc. 11.4% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $358.8402; 87% of initial share price due 4/22/2024

HSBC USA Inc. 0.00% due 4/20/2028

HSBC USA Inc. 0.00% due 4/18/2028

HSBC USA Inc. 0.00% due 4/30/2026

HSBC USA Inc. 11.45% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $359.7189; 87% of initial share price due 4/22/2024

HSBC USA Inc. 0.00% due 4/21/2025

HSBC USA Inc. 10.00% due 4/26/2024

HSBC USA Inc. 22.25%, payable monthly if the stock closes at or above 68% coupon trigger level on the relevant observation date due 5/17/2024

HSBC USA Inc. 21.03%, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 4/14/2026

HSBC USA Inc. 10.09%, payable monthly if the stock closes at or above 70% coupon trigger level on the relevant observation date due 4/17/2025

HSBC USA Inc. 17.3%, paid monthly, if each underlying stock closes at or above its 70% barrier level on the related monthly observation date, plus any previously unpaid coupons due 4/17/2026

HSBC USA Inc. 11.5% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $355.0035; 87% of initial share price due 4/19/2024

HSBC USA Inc. 12.85% annual rate, payable quarterly if index closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 4/17/2024

HSBC USA Inc. 11.7% annual rate, payable quarterly if ETF closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 4/17/2024

HSBC USA Inc. 8.00% due 10/15/2024

HSBC USA Inc. 11.7% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $356.4564; 87% of initial share price due 4/17/2024

HSBC USA Inc. 0.00% due 4/13/2028

HSBC USA Inc. 9.9% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier: $58.933, or 70% of initial share price due 4/24/2024

HSBC USA Inc. 12% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $354.612; 87% of initial share price due 4/11/2024

HSBC USA Inc. 11.70% per year, payable quarterly if shares close at or above coupon barrier level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon barrier: $355.5429; 87% of initial share price due 4/10/2024

HSBC USA Inc. 12.15%, paid quarterly, if each underlying index closes at or above its 70% downside threshold on the related quarterly observation date due 10/9/2024

HSBC USA Inc. 8.95% due 10/10/2024

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 9.65%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 7/5/2024

HSBC USA Inc. 8.95% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 4/6/2026

HSBC USA Inc. 12.00% due 4/6/2026

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 8.7%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 7/5/2024

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 3/27/2026

HSBC USA Inc. 0.00% due 3/31/2028

HSBC USA Inc. 7.6% annual rate, payable monthly if each index closes at or above 70% coupon trigger level on determination date for that period; previously unpaid coupons will also be paid due 7/1/2024

HSBC USA Inc. 7.2% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 3/31/2026

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 12/31/2024

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 3/29/2027

HSBC USA Inc. 0.00% due 3/29/2028

HSBC USA Inc. 5.58%, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date, plus any previously unpaid coupons due 3/31/2025

HSBC USA Inc. 13%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $109.354; 70% of initial price due 3/27/2025

HSBC USA Inc. 0.00% due 3/29/2028

HSBC USA Inc. 0.00% due 3/30/2026

HSBC USA Inc. 7.9%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon trigger: 2,779.693; 70% of initial level due 3/30/2026

HSBC USA Inc. 9.25%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon trigger: 2,779.693; 70% of initial level due 3/30/2026

HSBC USA Inc. 17.5%, paid monthly, if each underlying stock closes at or above its 70% coupon barrier on the related monthly observation date due 3/30/2026

HSBC USA Inc. 12.55%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 6/27/2024

HSBC USA Inc. 18%, payable monthly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 6/27/2024

HSBC USA Inc. 0.00% due 3/27/2026

HSBC USA Inc. 9.8% annual rate, payable quarterly if the index closes at or above coupon barrier on quarterly observation date; Coupon barrier level: 2,755.88; 70% of initial level due 3/26/2026

HSBC USA Inc. 7.8% annual rate, payable quarterly if the index closes at or above coupon barrier on quarterly observation date; Coupon barrier level: 2,755.88; 70% of initial level due 3/26/2026

HSBC USA Inc. 22.2% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $57.558 for Advanced Micro, $60.366 forAmazon, $52.128 for Blackstone; 60% of initial prices due 3/24/2026

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 22.2% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $58.086 for Advanced Micro, $58.626 for Amazon, $49.524 for Blackstone; 60% of initial prices due 3/23/2026

HSBC USA Inc. 9.9%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,937.48 for S&P, 1,294.41825 for Russell; 75% of initial levels due 6/24/2024

HSBC USA Inc. 19.25%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger: $39.487; 70% of initial price due 3/22/2024

HSBC USA Inc. 15.25%, paid monthly, if the underlying stock closes at or above its 55% barrier level on the related monthly observation date due 4/22/2024

HSBC USA Inc. 0.00% due 3/27/2026

HSBC USA Inc. 0.00% due 3/20/2026

HSBC USA Inc. 0.00% due 3/20/2028

HSBC USA Inc. 11.43%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $110.1528; 72% of initial price due 6/20/2024

HSBC USA Inc. 17%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $133.254; 55% of initial price due 6/20/2024

HSBC USA Inc. 0.00% due 6/20/2025

HSBC USA Inc. 11%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $65.975, 70% of initial price due 4/17/2024

HSBC USA Inc. 14%, paid monthly, if each underlying index closes at or above its 80% barrier level on the related monthly observation date due 3/20/2026

HSBC USA Inc. 9.3%, payable quarterly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 2,699.032; 70% of initial level due 6/16/2025

HSBC USA Inc. 0.00% due 3/16/2026

HSBC USA Inc. 13.6% annual rate, payable quarterly if stock closes at or above 60% coupon barrier on observation date for that quarter; previously unpaid coupons will also be paid due 3/17/2025

HSBC USA Inc. 0.00% due 3/16/2026

HSBC USA Inc. 17.75% annual rate, payable quarterly if stock closes at or above trigger level on the corresponding observation date; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 3/27/2024

HSBC USA Inc. 0.00% due 3/15/2028

HSBC USA Inc. 0.00% due 3/16/2026

HSBC USA Inc. 0.00% due 3/13/2025

HSBC USA Inc. 7.82%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,395.206 for S&P, 1,127.6868 for Russell, 19,679.04 for Dow; 60% of initial levels due 3/13/2026

HSBC USA Inc. 0.00% due 4/15/2024

HSBC USA Inc. 10%, payable monthly if each index closes at or above trigger level on determination date for that period due 3/13/2026

HSBC USA Inc. 9.85% due 6/13/2024

HSBC USA Inc. 7.85% due 6/13/2024

HSBC USA Inc. 6.7%, payable monthly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 8,506.519; 70% of initial level due 4/10/2024

HSBC USA Inc. 9.01%, paid monthly, if the underlying stock closes at or above its 72% barrier level on the related monthly observation date due 3/10/2025

HSBC USA Inc. 10.00% due 4/10/2024

HSBC USA Inc. 13.54%, paid quarterly, if the underlying stock closes at or above its 60% coupon barrier on the related quarterly observation date due 9/9/2024

HSBC USA Inc. 8.70% due 4/8/2024

HSBC USA Inc. 10.92% due 4/8/2024

HSBC USA Inc. 8.57% due 4/8/2024

HSBC USA Inc. 0.00% due 3/8/2027

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 3/5/2026

HSBC USA Inc. 8.3% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 3/3/2026

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 4/3/2024

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 3/5/2025

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 4/3/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 4/3/2024

HSBC USA Inc. 0.00% due 3/5/2025

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 3/1/2028

HSBC USA Inc. 7.55%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 3/2/2026

HSBC USA Inc. 7.5%, paid quarterly, if the underlying index closes at or above its 75% barrier level on the related quarterly observation date due 3/1/2028

HSBC USA Inc. 8.65%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 9/2/2025

HSBC USA Inc. 11%, payable quarterly if the stock closes at or above 60% coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 3/2/2026

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 2/27/2026

HSBC USA Inc. 9%, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 8/28/2024

HSBC USA Inc. 11.4%, paid monthly, if each underlying stock closes at or above its 60% coupon barrier on the related monthly observation date, plus any previously unpaid coupons due 2/28/2025

HSBC USA Inc. 7% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 3/2/2026

HSBC USA Inc. 6.5% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 3/2/2026

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 3/5/2024

HSBC USA Inc. 0.00% due 8/28/2025

HSBC USA Inc. 0.00% due 8/27/2024

HSBC USA Inc. 0.00% due 2/28/2028

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 0.00% due 3/2/2026

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 3/2/2026

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 16.50% due 2/27/2025

HSBC USA Inc. 0.00% due 2/26/2026

HSBC USA Inc. 0.00% due 2/28/2028

HSBC USA Inc. 0.00% due 3/1/2028

HSBC USA Inc. 0.00% due 12/20/2024

HSBC USA Inc. 0.00% due 3/26/2025

HSBC USA Inc. 11%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date due 2/24/2025

HSBC USA Inc. 10%, paid monthly, if the underlying stock closes at or above its 64% barrier level on the related monthly observation date due 8/26/2024

HSBC USA Inc. 9.5%, payable monthly if the stock closes at or above 75% coupon trigger level on the relevant observation date due 8/26/2024

HSBC USA Inc. 12.6%, paid monthly, if the underlying stock closes at or above its 50% barrier level on the related monthly observation date due 3/25/2024

HSBC USA Inc. 8.86%, paid quarterly, if the underlying index closes at or above its 75% coupon barrier on the related quarterly observation date due 2/24/2028

HSBC USA Inc. 0.00% due 3/25/2024

HSBC USA Inc. 0.00% due 2/23/2028

HSBC USA Inc. 10.82%, payable monthly if the stock closes at or above 63% coupon trigger level on the relevant observation date due 2/24/2025

HSBC USA Inc. 7%, payable quarterly if each index closes at or above coupon barrier levels on determination date for that period; Coupon barrier levels: 23,678.683 for Dow, 1,362.4492 for Russell, 8,650.726 for Nasdaq; 70% of initial levels due 12/15/2025

HSBC USA Inc. 10.07%, payable monthly if the stock closes at or above 75% coupon trigger level on the relevant observation date due 3/25/2024

HSBC USA Inc. 8%, payable quarterly if the index closes at or above coupon barrier level on determination date for that period; Coupon barrier level: 3,059.3175; 75% of initial level due 2/23/2028

HSBC USA Inc. 0.00% due 2/20/2026

HSBC USA Inc. 0.00% due 2/23/2026

HSBC USA Inc. 0.00% due 2/24/2025

HSBC USA Inc. 9.15%, payable semiannually if index closes at or above coupon trigger on related observation date; Coupon trigger: 2,855.363; 70% of initial level due 2/23/2026

HSBC USA Inc. 7.7% per year, payable each six months if the index closes at or above barrier level on observation date for that period due 2/23/2026

HSBC USA Inc. 0.00% due 2/23/2028

HSBC USA Inc. 11.2% per year, paid quarterly if each index closes at or above its coupon barrier on every trading day during the observation period; Coupon barriers: 1,460.93 for EAFE, 2,992.44 for Stoxx; 70% of initial levels due 2/20/2026

HSBC USA Inc. 7.55%, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 2/23/2026

HSBC USA Inc. 0.00% due 2/20/2026

HSBC USA Inc. 0.00% due 3/22/2024

HSBC USA Inc. 9.72%, payable quarterly if each index closes at or above 70% of its initial level on the corresponding quarterly observation date due 2/23/2026

HSBC USA Inc. 0.00% due 3/7/2024

HSBC USA Inc. 0.00% due 7/11/2024

HSBC USA Inc. 8% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 3,318.08; 80% of initial level due 2/18/2028

HSBC USA Inc. 0.00% due 3/5/2024

HSBC USA Inc. 14% annual rate, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 2/23/2026

HSBC USA Inc. 16.8%, payable monthly if the stock closes at or above 64% coupon trigger level on the relevant observation date due 3/18/2024

HSBC USA Inc. 11.15% due 2/17/2026

HSBC USA Inc. 0.00% due 3/18/2024

HSBC USA Inc. 8.9% annual rate, paid monthly, if the underlying index closes at or above its 70% barrier level on the related monthly observation date due 2/17/2026

HSBC USA Inc. 0.00% due 2/27/2025

HSBC USA Inc. 10.95% annual rate, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 2/23/2026

HSBC USA Inc. 6.8%, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date due 8/15/2024

HSBC USA Inc. 13.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons due 2/13/2025

HSBC USA Inc. 10.40% due 5/15/2024

HSBC USA Inc. 0.00% due 8/15/2025

HSBC USA Inc. 7.05% per year paid quarterly if each index closes at or above its 70% barrier level on any related observation date due 2/17/2026

HSBC USA Inc. 8.55% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 3,067.845; 75% of initial level due 2/13/2025

HSBC USA Inc. 0.00% due 2/17/2026

HSBC USA Inc. 24.8% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $20.65, 50% of initial level due 2/16/2024

HSBC USA Inc. 0.00% due 3/14/2024

HSBC USA Inc. 9.29% annual rate, paid quarterly if the stock closes at or above its 60% coupon barrier on the relevant observation date due 2/13/2025

HSBC USA Inc. 7% per year, payable monthly if each ETF closes at or above coupon trigger on observation date for that period; Coupon triggers: $213.059 for QQQ, $287.455 for SPDR; 70% of initial levels due 5/13/2024

HSBC USA Inc. 10% annual rate, paid quarterly if the stock closes at or above its 54.25% coupon barrier on the relevant observation date due 2/14/2024

HSBC USA Inc. 10% annual rate, paid quarterly if the stock closes at or above its 55.6% coupon barrier on the relevant observation date due 2/14/2024

HSBC USA Inc. 0.00% due 2/10/2026

HSBC USA Inc. 14.07%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $133.038; 60% of initial price due 8/12/2024

HSBC USA Inc. 9%, payable monthly if each fund closes at or above coupon barrier level on determination date for that period; Coupon barriers levels: $216.916 for Invesco, $290.633 for SPDR, 70% of initial levels due 5/10/2024

HSBC USA Inc. 8%, payable monthly if each index closes at or above coupon barrier level on determination date for that month; Coupon barrier levels: 9,291.6371 for Nasdaq, 1,440.00457 for Russell, 3,039.72 for S&P; 73% of initial levels due 8/11/2025

HSBC USA Inc. 0.00% due 3/8/2024

HSBC USA Inc. 0.00% due 12/3/2025

HSBC USA Inc. 0.00% due 5/9/2024

HSBC USA Inc. 11.75%, payable monthly if the stock closes at or above 65% coupon trigger level on the relevant observation date due 3/6/2024

HSBC USA Inc. 7%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $94.5295; 65% of initial price due 3/6/2024

HSBC USA Inc. 0.00% due 2/6/2025

HSBC USA Inc. 11.6% annual rate, paid quarterly if the stock closes at or above its 55% coupon barrier on the relevant observation date due 2/7/2024

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 10.60% due 2/5/2024

HSBC USA Inc. 7.25% due 8/2/2024

HSBC USA Inc. 9.9% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 2/3/2028

HSBC USA Inc. 7.9% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 2/3/2028

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 2/1/2027

HSBC USA Inc. 19.85% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $152.7375 for Nvidia, $78.2625 for Crowdstrike, $56.55 for AMD; 75% of initial prices due 3/1/2023

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 9.6% per year, payable monthly if each index closes at or above coupon barrier level on observation date that period; Coupon barrier levels: 10,243.758 for Nasdaq, 1,617.6044 for Russell; 85% of initial levels due 10/31/2025

HSBC USA Inc. 0.00% due 1/29/2026

HSBC USA Inc. 0.00% due 1/30/2026

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 2/6/2024

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 2/9/2024

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 3% plus (a) 3% if each basket stock closes at or above its initial price on the valuation date for that year or (b) 0% otherwise; payable annually due 2/2/2026

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 10.6% annual rate, payable quarterly if ETF closes at or above trigger level on observation date for that quarter; coupon payment events will automatically include any previously unpaid coupons due 1/30/2024

HSBC USA Inc. 16.1%, payable monthly if the stock closes at or above 57% coupon trigger level on the relevant observation date due 1/27/2025

HSBC USA Inc. 9.78% due 2/27/2024

HSBC USA Inc. 0.00% due 1/25/2028

HSBC USA Inc. 0.00% due 1/25/2027

HSBC USA Inc. 13% per year, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $100.6451; 73% of initial price due 2/26/2024

HSBC USA Inc. 15.2%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 1/26/2026

HSBC USA Inc. 26%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 1/26/2026

HSBC USA Inc. 10.75% due 4/25/2024

HSBC USA Inc. 12.25%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 1/26/2026

HSBC USA Inc. 13.75%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 1/26/2026

HSBC USA Inc. 8.25% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 2,780.827; 70% of initial level due 1/24/2025

HSBC USA Inc. 11.1% annual rate, paid quarterly if the stock closes at or above its 55% coupon barrier on the relevant observation date due 1/25/2024

HSBC USA Inc. 7.25%, payable quarterly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 2,750.202; 70% of initial level due 1/23/2026

HSBC USA Inc. 41.25% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 2/5/2024

HSBC USA Inc. 0.00% due 2/20/2024

HSBC USA Inc. 20.75% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupons; Coupon triggers: $84.168 for Chevron, $126.343 for Conoco, $85.239 for Marathon; 70% of initial levels due 1/24/2025

HSBC USA Inc. 10.25% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 1/21/2028

HSBC USA Inc. 8.25% annual rate, paid quarterly if each index closes at or above its 70% coupon barrier on the relevant observation date due 1/21/2028

HSBC USA Inc. 12.25%, payable quarterly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 1/20/2026

HSBC USA Inc. 12.4%, payable monthly if the stock closes at or above 58% coupon trigger level on the relevant observation date due 1/21/2025

HSBC USA Inc. 8.1%, payable monthly if each index closes at or above 70% coupon barrier on determination date for that period due 7/19/2024

HSBC USA Inc. 0.00% due 1/16/2025

HSBC USA Inc. 0.00% due 12/18/2024

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 2/20/2024

HSBC USA Inc. 0.00% due 1/20/2026

HSBC USA Inc. 0.00% due 1/17/2025

HSBC USA Inc. 0.00% due 2/16/2024

HSBC USA Inc. 0.00% due 2/20/2024

HSBC USA Inc. 0.00% due 1/11/2028

HSBC USA Inc. 0.00% due 2/12/2024

HSBC USA Inc. 8.1%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,294.484 for S&P, 1,050.4404 for Russell, 19,881.822 for Dow; 60% of initial levels due 1/6/2026

HSBC USA Inc. 0.00% due 1/6/2026

HSBC USA Inc. 0.00% due 1/3/2025

HSBC USA Inc. 21.4%, payable monthly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 12/30/2024

HSBC USA Inc. 0.00% due 12/29/2027

HSBC USA Inc. 0.00% due 2/23/2024

HSBC USA Inc. 9.2%, payable monthly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 2,866.7925 for S&P, 1,315.5645 for Russell, 24,770.6175 for Dow; 75% of initial levels due 12/29/2025

HSBC USA Inc. 0.00% due 12/26/2025

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 7.2%, payable monthly if the index closes at or above coupon trigger on related observation date; Coupon trigger: 2,675.673; 70% of initial level due 6/28/2024

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 12/27/2027

HSBC USA Inc. 0.00% due 12/28/2026

HSBC USA Inc. 0.00% due 6/27/2024

HSBC USA Inc. 17% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $22.668 for Verizon, $210.096 for GS, $16.098 for Intel, $106.608 for J&J; 60% of initial levels due 12/29/2025

HSBC USA Inc. 12.6%, payable semiannually if each underlier closes at or above 70% coupon trigger level on determination date for that period due 12/29/2025

HSBC USA Inc. 14.2%, payable semiannually if each underlier closes at or above 70% coupon trigger level on determination date for that period due 12/29/2025

HSBC USA Inc. 13.2% per year, payable quarterly if each stock closes at or above coupon barrier on every trading day during the observation period; Coupon barrier levels: $292.59 for Lockheed Martin, $323.274 for Northrop Grumman, $59.856 for Raytheon; 60% of initial levels due 12/26/2025

HSBC USA Inc. 13.25% per year, payable monthly if each index closes at or above 80% coupon trigger on observation date for that period, plus any previously unpaid coupon due 1/23/2024

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 6/24/2024

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 6/24/2024

HSBC USA Inc. 3% plus (a) 4.5% if each basket stock closes at or above its initial price on the valuation date for that year or (b) 0% otherwise; payable annually due 12/23/2025

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 3/25/2024

HSBC USA Inc. 0.00% due 1/23/2024

HSBC USA Inc. 0.00% due 3/25/2024

HSBC USA Inc. 9.6% per year, payable monthly if each index closes at or above coupon barrier level on observation date that period; Coupon barrier levels: 9,421.9015 for Nasdaq, 1,477.79385 for Russell; 85% of initial levels due 9/22/2025

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 12/28/2023

HSBC USA Inc. 0.00% due 6/23/2025

HSBC USA Inc. 0.00% due 12/22/2026

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 6/24/2024

HSBC USA Inc. 3% plus (a) 3.5% if each basket stock closes at or above its initial price on the valuation date for that year or (b) 0% otherwise; payable annually due 12/22/2025

HSBC USA Inc. 0.00% due 11/20/2024

HSBC USA Inc. 0.00% due 3/22/2024

HSBC USA Inc. 0.00% due 1/22/2024

HSBC USA Inc. 0.00% due 3/22/2024

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 12/16/2024

HSBC USA Inc. 0.00% due 7/3/2025

HSBC USA Inc. 12.65% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 8,432.79 for Nasdaq, 2,889.27 for S&P, 1,322.565 for Russell; 75% of initial levels due 6/20/2025

HSBC USA Inc. 11% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 7,308.418 for Nasdaq, 2,504.034 for S&P, 1,146.223 for Russell; 65% of initial levels due 12/19/2024

HSBC USA Inc. 8.35% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 2,504.034; 65% of initial level due 12/19/2024

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 0.00% due 12/21/2027

HSBC USA Inc. 10.3%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $20.568; 60% of initial price due 12/22/2025

HSBC USA Inc. 0.00% due 12/19/2024

HSBC USA Inc. 10.3% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 7,941.654 for Nasdaq, 2,727.025 for S&P, 1,242.2242 for Russell; 70% of initial levels due 12/18/2025

HSBC USA Inc. 0.00% due 12/19/2024

HSBC USA Inc. 18.6% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $42.99 for AMD, $108.432 for Nvidia; 60% of initial levels due 12/16/2025

HSBC USA Inc. 10.05% per year, payable quarterly if each underlier closes at or above coupon barrier on the relevant observation date; Coupon barriers: $47.453 for ETF, 8,283.947 for Nasdaq, 1,282.6534 for Russell; 70% of initial levels due 12/18/2023

HSBC USA Inc. 14.7%, payable monthly if the stock closes at or above 75% coupon trigger level on the relevant observation date due 1/16/2024

HSBC USA Inc. 0.00% due 12/15/2025

HSBC USA Inc. 16.8%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $55.2358; 62% of initial price due 1/16/2024

HSBC USA Inc. 14.25%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $55.2358; 62% of initial price due 1/16/2024

HSBC USA Inc. 7.75%, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 25,107.345 for Dow, 1,347.49575 for Russell, 8,672.4975 for Nasdaq; 75% of initial levels due 12/15/2025

HSBC USA Inc. 13.85%, payable monthly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 1/16/2024

HSBC USA Inc. 11.45%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $60.697; 65% of initial price due 1/16/2024

HSBC USA Inc. 11.85% due 3/14/2024

HSBC USA Inc. 10.45% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 8,094.331 for Nasdaq, 2,754.066 for S&P, 1,257.6627 for Russell; 70% of initial levels due 12/12/2024

HSBC USA Inc. 9.1% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 2,754.066; 70% of initial level due 12/12/2024

HSBC USA Inc. 0.00% due 12/14/2027

HSBC USA Inc. 0.00% due 2/23/2024

HSBC USA Inc. 11.45%, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 2,774.457 for S&P and 8,146.25 for Nasdaq; 70% of initial levels due 3/8/2024

HSBC USA Inc. 9.4%, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 2,774.457 for S&P and 8,146.25 for Nasdaq; 70% of initial levels due 3/13/2024

HSBC USA Inc. 11.2%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $21.2912; 56% of initial price due 12/9/2024

HSBC USA Inc. 12.5%, payable monthly if each index closes at or above trigger level on determination date for that period due 12/9/2024

HSBC USA Inc. 0.00% due 12/8/2025

HSBC USA Inc. 12.9% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 8,250.76 for Nasdaq, 2,792.188 for S&P, 1,288.1554 for Russell; 70% of initial levels due 12/10/2024

HSBC USA Inc. 10.6% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 7,796.269 for Nasdaq, 2,646.605 for S&P, 1,230.34535 for Russell; 65% of initial levels due 12/5/2024

HSBC USA Inc. 10% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 7,196.556 for Nasdaq, 2,443.02 for S&P, 1,135.7034 for Russell; 60% of initial levels due 12/5/2024

HSBC USA Inc. 9.65% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 2,850.19; 70% of initial level due 12/5/2024

HSBC USA Inc. 0.00% due 12/6/2024

HSBC USA Inc. 0.00% due 12/5/2025

HSBC USA Inc. 0.00% due 12/7/2026

HSBC USA Inc. 0.00% due 12/6/2027

HSBC USA Inc. 21.08%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $27.258; 70% of initial price due 12/5/2025

HSBC USA Inc. 14.25% per year, payable monthly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupon; Coupon triggers: 9,624.048 for Nasdaq, 1,509.2616 for Russell, 80% of initial levels due 1/5/2024

HSBC USA Inc. 13.2% per year, payable monthly if each index closes at or above coupon barrier level on observation date that period; Coupon barrier levels: 10,225.551 for Nasdaq, 1,603.59045 for Russell; 85% of initial levels due 9/5/2025

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 12/11/2023

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 12/4/2024

HSBC USA Inc. 0.00% due 12/18/2023

HSBC USA Inc. 0.00% due 12/5/2025

HSBC USA Inc. 0.00% due 12/5/2024

HSBC USA Inc. 0.00% due 6/5/2024

HSBC USA Inc. Variable, payable annually; if each basket stock closes at or above its initial level on the corresponding review date, the coupon will be 6%; if any stock closes below its initial level, the coupon will be 3% due 12/5/2025

HSBC USA Inc. 0.00% due 3/5/2024

HSBC USA Inc. 10.11% due 1/2/2024

HSBC USA Inc. 11.29% due 1/2/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 8.5%, payable monthly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 2,415.672; 60% of initial level due 12/2/2024

HSBC USA Inc. 10.8% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 3,019.59; 75% of initial level due 11/29/2024

HSBC USA Inc. 0.00% due 12/18/2024

HSBC USA Inc. 9.40% due 2/28/2024

HSBC USA Inc. 7.50% due 2/28/2024

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 11/28/2025

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 11/29/2027

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 11/27/2028

HSBC USA Inc. 15.02% due 12/28/2023

HSBC USA Inc. 0.00% due 11/18/2024

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 11/24/2028

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 11/26/2027

HSBC USA Inc. 0.00% due 11/28/2025

HSBC USA Inc. 0.00% due 11/27/2028

HSBC USA Inc. 0.00% due 12/1/2023

HSBC USA Inc. 0.00% due 11/26/2027

HSBC USA Inc. 0.00% due 11/25/2025

HSBC USA Inc. 0.00% due 11/26/2027

HSBC USA Inc. 9.7%, payable monthly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 1,563.26985 for Russell, 9,820.4325 for Nasdaq; 85% of initial levels due 8/25/2025

HSBC USA Inc. 0.00% due 11/25/2024

HSBC USA Inc. 0.00% due 11/28/2023

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 0.00% due 11/25/2024

HSBC USA Inc. 0.00% due 11/25/2025

HSBC USA Inc. 0.00% due 11/25/2024

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. Variable, payable annually; if each basket stock closes at or above its initial level on the corresponding review date, the coupon will be 7%; if any stock closes below its initial level, the coupon will be 3% due 11/25/2025

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 0.00% due 11/23/2027

HSBC USA Inc. 0.00% due 11/23/2026

HSBC USA Inc. 0.00% due 12/26/2023

HSBC USA Inc. 14.1%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 11/24/2025

HSBC USA Inc. 15.9%, payable semiannually if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 8,173.914 for Nasdaq, $24.759 for ETF; 70% of initial levels due 11/24/2025

HSBC USA Inc. 23.2% annualized, payable quarterly if the underlying stock closes at or above downside threshold on the relevant observation date due 11/21/2025

HSBC USA Inc. 9.8% per year, payable quarterly if the index closes at or above coupon barrier on the relevant observation date; Coupon barrier: 2,775.738; 70% of initial level due 11/21/2024

HSBC USA Inc. 8.5% annual rate, paid quarterly if the index closes at or above its 70% coupon barrier on the relevant observation date due 11/23/2027

HSBC USA Inc. 10.7% annual rate, paid quarterly if the index closes at or above its 70% coupon barrier on the relevant observation date due 11/23/2027

HSBC USA Inc. 0.00% due 12/5/2023

HSBC USA Inc. 0.00% due 11/22/2027

HSBC USA Inc. 0.00% due 11/21/2024

HSBC USA Inc. 9.60% due 2/22/2024

HSBC USA Inc. 10.25%, payable monthly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 25,194.69 for Dow, 8,903.3625 for Nasdaq, 1,416.903 for Russell; 75% of initial levels due 11/18/2025

HSBC USA Inc. 12.26%, payable quarterly if the stock closes at or above 50% coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 11/17/2025

HSBC USA Inc. 12.26%, payable quarterly if the stock closes at or above the coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $15.175; 50% of initial price due 11/17/2025

HSBC USA Inc. 0.00% due 5/17/2024

HSBC USA Inc. 10.05% annualized, payable quarterly if the underlying stock closes at or above downside threshold on the relevant observation date due 11/14/2025

HSBC USA Inc. 0.00% due 11/16/2023

HSBC USA Inc. 11.9%, payable monthly if each index closes at or above trigger level on determination date for that period due 11/14/2025

HSBC USA Inc. 0.00% due 3/14/2024

HSBC USA Inc. 41.4% annual rate, payable quarterly if stock closes at or above 60% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 11/27/2023

HSBC USA Inc. 41.5% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $27.408; 80% of initial level due 11/27/2023

HSBC USA Inc. 23.5%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $124.482; 60% of initial price due 5/9/2024

HSBC USA Inc. 11.88%, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 7,599.921 for Nasdaq, 1,259.9062 for Russell, 22,682.254 for Dow; 70% of initial levels due 11/10/2025

HSBC USA Inc. 11.25% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 6,514.218 for Nasdaq, 2,262.33 for S&P, 1,079.9196 for Russell; 60% of initial levels due 11/7/2024

HSBC USA Inc. 0.00% due 4/9/2024

HSBC USA Inc. 0.00% due 5/8/2024

HSBC USA Inc. 0.00% due 11/8/2023

HSBC USA Inc. 0.00% due 11/10/2025

HSBC USA Inc. 0.00% due 3/25/2024

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 12/13/2024

HSBC USA Inc. 0.00% due 11/3/2025

HSBC USA Inc. 0.00% due 11/3/2027

HSBC USA Inc. 11%, paid monthly, if the underlying stock closes at or above its 60% barrier level on the related monthly observation date due 12/4/2023

HSBC USA Inc. 14.15% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier level on observation date for that month; Coupon triggers: 9,124.456 for Nasdaq and 1,477.4904 for Russell, or 80% of initial levels due 12/4/2023

HSBC USA Inc. 10.95% per year, payable monthly if each index closes at or above coupon trigger level on observation date for that month; Coupon trigger: 9,694.7345 for Nasdaq and 1,569.83355 for Russell, or 85% of initial levels due 8/4/2025

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 11/9/2023

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 11/3/2025

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 11/3/2025

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 11/2/2027

HSBC USA Inc. 10.8% per year, payable each six months if the index closes at or above barrier level on observation date for that period due 5/2/2024

HSBC USA Inc. 10.8% per year, payable each six months if the index closes at or above barrier level on observation date for that period due 11/3/2025

HSBC USA Inc. 0.00% due 12/28/2023

HSBC USA Inc. 9% annual rate, paid quarterly, if the underlying stock closes at or above its 55% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 10/31/2025

HSBC USA Inc. 8.75% due 5/2/2024

HSBC USA Inc. 0.00% due 6/26/2024

HSBC USA Inc. 0.00% due 10/31/2025

HSBC USA Inc. 0.00% due 11/1/2027

HSBC USA Inc. 9.8% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 7/31/2025

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 0.00% due 12/18/2024

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 1/11/2024

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 7.05% due 1/31/2024

HSBC USA Inc. 9.05% due 1/31/2024

HSBC USA Inc. 14%, payable monthly if the stock closes at or above 51% coupon trigger level on the relevant observation date due 10/28/2024

HSBC USA Inc. 20% annual rate, paid monthly, if each underlying stock closes at or above its 65% barrier level on the related monthly observation date due 10/28/2025

HSBC USA Inc. 14.6% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 10/28/2024

HSBC USA Inc. 0.00% due 10/26/2027

HSBC USA Inc. 0.00% due 10/26/2026

HSBC USA Inc. 11% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $110.99; 55% of initial level due 10/24/2025

HSBC USA Inc. 11.35% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 6,786.198 for Nasdaq, 2,251.65 for S&P, 1,045.3428 for Russell; 60% of initial levels due 10/24/2024

HSBC USA Inc. 2.5% if any stock closes below initial level on annual observation date or 8.5% if all five stocks close above initial level on annual observation date; payable annually due 10/26/2026

HSBC USA Inc. 1.85% if any stock closes below initial level on annual observation date or 10.35% if all five stocks close above initial level on annual observation date; payable annually due 10/26/2026

HSBC USA Inc. 19.15% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $100.80 for Chevron, $62.274 for Exxon Mobil, $78.042 for EOG; 60% of initial levels due 10/24/2024

HSBC USA Inc. 0.00% due 10/24/2024

HSBC USA Inc. 15.4%, payable monthly if the stock closes at or above 75% coupon trigger level on the relevant observation date due 11/21/2023

HSBC USA Inc. 13.25%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,975.984 for S&P, 8,918.192 for Nasdaq; 80% of initial levels due 11/21/2023

HSBC USA Inc. 0.00% due 4/12/2024

HSBC USA Inc. 0.00% due 10/21/2024

HSBC USA Inc. 0.00% due 10/20/2025

HSBC USA Inc. 10.5% annual rate, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 10/20/2025

HSBC USA Inc. 15.05% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 4/19/2024

HSBC USA Inc. 27%, payable monthly if each stock closes at or above coupon trigger level on determination date for that period, plus any previously unpaid coupon; Coupon trigger levels: $17.646 for Halliburton, $58.308 for Alphabet, $67.362 for Nvidia; 60% of initial levels due 10/21/2024

HSBC USA Inc. 11.1% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 6,415.236 for Nasdaq, 2,149.842 for S&P, 1,009.4418 for Russell; 60% of initial levels due 10/17/2024

HSBC USA Inc. 12.75% annual rate, payable quarterly if ETF closes at or above coupon barrier on related observation date; Coupon barrier: $286.64; 70% of initial level due 10/17/2025

HSBC USA Inc. 0.00% due 3/14/2024

HSBC USA Inc. 12.5% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $17.916 for Apple, $83.004 for Bank of America; 60% of initial levels due 10/15/2024

HSBC USA Inc. 13% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier: $123.802575; 61.75% of initial level due 10/31/2023

HSBC USA Inc. 11.30% due 11/13/2023

HSBC USA Inc. 16.76% due 11/13/2023

HSBC USA Inc. 0.00% due 11/14/2023

HSBC USA Inc. 0.00% due 10/16/2023

HSBC USA Inc. 0.00% due 12/13/2024

HSBC USA Inc. 0.00% due 10/13/2027

HSBC USA Inc. 37.1%, annual rate, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date, plus any previously unpaid coupons due 10/14/2025

HSBC USA Inc. 0.00% due 11/13/2023

HSBC USA Inc. 0.00% due 11/13/2024

HSBC USA Inc. 0.00% due 10/20/2023

HSBC USA Inc. 47.88% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $26.53 for Royal Caribbean, $4.921 for Carnival; 70% of initial levels due 4/8/2024

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 10/5/2026

HSBC USA Inc. 0.00% due 10/5/2027

HSBC USA Inc. 12% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 7/7/2025

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 10/11/2023

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 12% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 7,679.854 for Nasdaq, 2,509.934 for S&P, 1,165.3012 for Russell; 70% of initial levels due 10/3/2024

HSBC USA Inc. 9.5% annual rate, paid quarterly, if each underlying index closes at or above its 60% downside threshold on the related quarterly observation date due 10/3/2024

HSBC USA Inc. 14.45% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,488.65 for Stoxx, 2,689.215 for S&P, 1,248.537 for Russell; 75% of initial levels due 10/3/2024

HSBC USA Inc. 10.7% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 6,582.732 for Nasdaq, 2,151.372 for S&P, 998.8296 for Russell; 60% of initial levels due 10/3/2024

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 9/25/2025

HSBC USA Inc. 0.00% due 9/30/2027

HSBC USA Inc. 0.00% due 9/26/2025

HSBC USA Inc. 0.00% due 9/25/2025

HSBC USA Inc. 0.00% due 9/27/2024

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 10/3/2025

HSBC USA Inc. 27%, payable monthly if each stock closes at or above trigger level on determination date for that period due 10/3/2025

HSBC USA Inc. 0.00% due 11/15/2024

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 9/30/2027

HSBC USA Inc. 18.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons; Coupon trigger level: $169.764; 60% of initial price due 9/30/2025

HSBC USA Inc. 10.4% annual rate, paid quarterly, if each underlying index closes at or above its 80% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 4/1/2024

HSBC USA Inc. 8.88% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 6/30/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 10/6/2023

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 1/18/2024

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 9/29/2027

HSBC USA Inc. 7.30% due 9/30/2024

HSBC USA Inc. 17.2% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 8,440.5825 for Nasdaq, 2,741.28 for S&P, 1,241.9115 for Russell; 75% of initial levels due 10/1/2024

HSBC USA Inc. 0.00% due 9/28/2027

HSBC USA Inc. 0.00% due 9/28/2026

HSBC USA Inc. 10% annual rate, paid quarterly if underlying stock closes at or above coupon barrier level on related quarterly observation date; Coupon barrier level: $68.268, 60% of initial share price due 3/28/2024

HSBC USA Inc. 15% annual rate, paid quarterly if underlying stock closes at or above coupon barrier level on related quarterly observation date; Coupon barrier level: $78.756, 60% of initial share price due 3/28/2024

HSBC USA Inc. 18.34% annual rate, paid monthly, if each underlying stock closes at or above its 70% coupon barrier on the related monthly observation date due 9/29/2025

HSBC USA Inc. 12% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 9/29/2025

HSBC USA Inc. 13.75%, payable semiannually if each underlier closes at or above 70% trigger level on determination date for that period due 9/29/2025

HSBC USA Inc. 44.48%, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon barrier levels: $192.731 for Tesla, $8.617 for Ford and $24.836 for GM, 70% of initial share prices due 9/29/2025

HSBC USA Inc. 10.5% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 7,917.868 for Nasdaq, 2,585.261 for S&P, 1,175.713 for Russell; 70% of initial levels due 9/26/2025

HSBC USA Inc. 0.00% due 3/27/2024

HSBC USA Inc. 23.78% annual rate, paid monthly if underlying stock closes at or above coupon barrier level on related monthly observation date; Coupon barrier levels: $102.648 for Generac and $52.596 for PayPal, 60% of initial share price due 9/30/2024

HSBC USA Inc. 8.40% due 3/27/2024

HSBC USA Inc. 0.00% due 9/26/2025

HSBC USA Inc. 13.5% annual rate, paid monthly, if the underlying stock closes at or above its 70% barrier level on the related observation date due 3/26/2024

HSBC USA Inc. 13.2%, payable monthly if the stock closes at or above 80% coupon trigger level on the relevant observation date due 10/23/2023

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,699.151 for S&P, 21,494.361 for Dow; 70% of initial levels due 3/25/2024

HSBC USA Inc. 11.10% due 12/26/2023

HSBC USA Inc. 23.79% annual rate, paid monthly, if each underlying stock closes at or above its 70% coupon barrier on the related monthly observation date due 9/23/2024

HSBC USA Inc. 29.46% annual rate, paid monthly, if each underlying stock closes at or above its 70% barrier level on the related monthly observation date due 9/23/2025

HSBC USA Inc. 0.00% due 9/23/2025

HSBC USA Inc. 0.00% due 9/22/2025

HSBC USA Inc. 0.00% due 9/22/2027

HSBC USA Inc. 7%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon Barrier levels: 2,729.923 for S&P, 1,268.9901 for Russell, 8,367.289 for Nasdaq; 70% of initial levels due 9/22/2025

HSBC USA Inc. 10% annual rate, paid monthly, if each underlying index closes at or above its 70% coupon barrier on the related monthly observation date due 9/22/2025

HSBC USA Inc. 8.5% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 9/22/2025

HSBC USA Inc. 8.85% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 3/22/2024

HSBC USA Inc. 12% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 3/22/2024

HSBC USA Inc. 10% annual rate, paid monthly, if each underlying index closes at or above its 70% coupon barrier on the related monthly observation date due 9/22/2025

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 9/26/2023

HSBC USA Inc. 0.00% due 9/24/2025

HSBC USA Inc. 18.25% annual rate, paid monthly, if the underlying stock closes at or above its 67% barrier level on the related monthly observation date due 10/23/2023

HSBC USA Inc. 15.75%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $96.6743; 67% of initial price due 10/23/2023

HSBC USA Inc. 10.82%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $28.866; 60% of initial price due 9/22/2025

HSBC USA Inc. 9%, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 21,575.694 for Dow, 1,258.7323 for Russell, 8,302.966 for Nasdaq; 70% of initial levels due 9/22/2025

HSBC USA Inc. 11.11% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $44.065 for ETF, 1,258.7323 for Russell, 8,302.966 for Nasdaq; 70% of initial levels due 6/21/2024

HSBC USA Inc. 10% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $44.065 for ETF, 1,258.7323 for Russell, 8,302.966 for Nasdaq; 70% of initial levels due 9/22/2025

HSBC USA Inc. 16.75% annual rate, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date, plus any previously unpaid coupons due 9/22/2025

HSBC USA Inc. 10.25%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger levels: 21,575.694 for Dow, 8,302.966 for Nasdaq, 1,258.7323 for Russell; 70% of initial levels due 9/22/2025

HSBC USA Inc. 10.64% annual rate, paid monthly, if each underlying index closes at or above its 70% barrier level on the related monthly observation date due 6/21/2024

HSBC USA Inc. 13.41%, payable monthly if each underlier closes at or above trigger level on determination date for that period; Trigger levels: 1,258.7323 for Russell, 8,302.966 for Nasdaq, $44.065 for ETF; 70% of initial levels due 9/23/2024

HSBC USA Inc. 8.26%, payable monthly if each index closes at or above trigger level on determination date for that period; Trigger levels: 2,904.9975 for S&P, 8,896.035 for Nasdaq, 1,348.64175 for Russell; 75% of initial levels due 9/21/2027

HSBC USA Inc. 12.8% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 8,896.035 for Nasdaq, 2,904.9975 for S&P, 1,348.64175 for Russell; 75% of initial levels due 9/19/2025

HSBC USA Inc. 0.00% due 9/19/2025

HSBC USA Inc. 0.00% due 1/8/2025

HSBC USA Inc. 7%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,082.8075 for S&P, 1,429.5645 for Russell; 75% of initial levels due 9/15/2027

HSBC USA Inc. 13%, payable monthly if each underlier closes at or above trigger level on determination date for that period; Trigger levels: 8,917.804 for Nasdaq, 1,334.2602 for Russell, $45.283 for ETF; 70% of initial levels due 9/16/2024

HSBC USA Inc. 11.85%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $121.1749; 77% of initial price due 10/16/2023

HSBC USA Inc. 16.7%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 10/16/2023

HSBC USA Inc. 18.5% annual rate, paid monthly, if the underlying stock closes at or above its coupon barrier level on the related monthly observation date; Coupon barrier: $149.84, 50% of initial level due 3/14/2024

HSBC USA Inc. 10.45% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $223.35; 60% of initial level due 9/12/2025

HSBC USA Inc. 0.00% due 3/14/2023

HSBC USA Inc. 20.7%, paid monthly, if each underlying stock closes at or above its 60% coupon barrier on the related monthly observation date due 9/13/2027

HSBC USA Inc. 0.00% due 9/13/2027

HSBC USA Inc. 19% annual rate, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $47.766 for Advanced Micro, $82.284 for Nvidia, 60% of initial prices due 9/12/2025

HSBC USA Inc. 0.00% due 9/9/2024

HSBC USA Inc. 10.37% due 10/10/2023

HSBC USA Inc. 0.00% due 9/8/2027

HSBC USA Inc. 5.75% per year, payable quarterly plus any previously unpaid coupons if each index closes at or above coupon barrier level on observation date for that quarter; Coupon trigger levels: 2,746.982 for S&P, 1,266,8236 for Russell and 8,468.908 for Nasdaq, or 70% of initial levels due 9/9/2024

HSBC USA Inc. 10.8% per year, payable monthly if each index closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: 21,922.908 for Dow, 1,266.8236 for Russell and 8,468.908 for Nasdaq, or 70% of initial levels due 9/8/2025

HSBC USA Inc. 8.75% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,126.628 for Stoxx, 2,354.556 for S&P, 1,085.8488 for Russell; 60% of initial levels due 9/6/2024

HSBC USA Inc. 10.4%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 2,578.4525 for S&P, 1,184.8317 for Russell, 20,576.673 for Dow; 65% of initial levels due 9/9/2024

HSBC USA Inc. 0.00% due 9/19/2023

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 0.00% due 9/8/2026

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 9/7/2027

HSBC USA Inc. 17.66% annual rate, paid quarterly, if each underlying stock closes at or above its 60% coupon barrier on the related quarterly observation date due 9/3/2024

HSBC USA Inc. 22.7% annual rate, paid quarterly, if each underlying stock closes at or above its 60% barrier level on the related quarterly observation date due 9/6/2024

HSBC USA Inc. 12.65% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier level on observation date for that month; Coupon trigger levels: 9,817.624 for Nasdaq and 1,475.288 for Russell, or 80% of initial levels due 10/6/2023

HSBC USA Inc. 10.95% per year, payable monthly if each index closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: 10,431.2255 for Nasdaq and 1,567.4935 for Russell, or 85% of initial levels due 6/6/2025

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 9/6/2024

HSBC USA Inc. 0.00% due 9/12/2023

HSBC USA Inc. 0.00% due 9/6/2024

HSBC USA Inc. 0.00% due 9/7/2027

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 0.00% due 11/8/2023

HSBC USA Inc. 0.00% due 9/19/2023

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 0.00% due 9/6/2024

HSBC USA Inc. 0.00% due 3/6/2024

HSBC USA Inc. 0.00% due 11/13/2024

HSBC USA Inc. 0.00% due 2/13/2024

HSBC USA Inc. 0.00% due 11/22/2024

HSBC USA Inc. 0.00% due 8/31/2027

HSBC USA Inc. 11.75%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $28.995; 50% of initial price due 9/2/2025

HSBC USA Inc. 12.50% due 9/3/2024

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 8/31/2027

HSBC USA Inc. 9.85% annual rate, paid quarterly, if each underlying index closes at or above its 75% barrier level on the related quarterly observation date due 9/2/2025

HSBC USA Inc. 9.37%, payable monthly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 3,246.128 for S&P, 1,519.864 for Russell, 10,084.136 for Nasdaq; 80% of initial levels due 8/31/2027

HSBC USA Inc. 11.18% annual rate, paid quarterly, if each underlying index closes at or above its 70% barrier level on the related quarterly observation date due 9/3/2024

HSBC USA Inc. 19.6% annual rate, paid monthly, if each underlying stock closes at or above its 50% barrier level on the related monthly observation date, plus any previously unpaid coupons due 9/2/2025

HSBC USA Inc. 9.55% annual rate, paid quarterly, if each underlying index closes at or above its 80% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 2/29/2024

HSBC USA Inc. 7.9% per year, payable monthly if each index closes at or above coupon barrier level on observation date that period; Coupon barrier levels: 10,714.3945 for Nasdaq, 1,614.8555 for Russell; 85% of initial levels due 6/2/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 9/6/2023

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 8/31/2027

HSBC USA Inc. 12.65% annual rate, payable quarterly if each index closes above coupon barrier on applicable observation date; Coupon barriers: 22,598.38 for Dow, 8,823.619 for Nasdaq, 1,329.881 for Russell, 70% of initial levels due 5/31/2024

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 9.55% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 8,823.619 for Nasdaq, 2,840.362 for S&P, 1,329.881 for Russell; 70% of initial levels due 8/29/2024

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 10/16/2024

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 10/27/2023

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 8/27/2027

HSBC USA Inc. 0.00% due 8/25/2028

HSBC USA Inc. 0.00% due 8/29/2025

HSBC USA Inc. 11.4%, payable quarterly if the ETF closes at or above downside threshold on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 8/29/2023

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 21.5% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $142.058; 70% of initial level due 9/2/2025

HSBC USA Inc. 12.50% due 9/8/2023

HSBC USA Inc. 10.55%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $433.656; 80% of initial price due 9/26/2023

HSBC USA Inc. 12.85%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $265.3404; 78% of initial price due 9/26/2023

HSBC USA Inc. 10.35%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $428.64; 80% of initial price due 9/26/2023

HSBC USA Inc. 10.05% annual rate, paid monthly, if each underlying index closes at or above its 70% coupon barrier on the related monthly observation date due 8/26/2025

HSBC USA Inc. 0.00% due 8/25/2027

HSBC USA Inc. 0.00% due 9/11/2024

HSBC USA Inc. 10.20% due 8/24/2023

HSBC USA Inc. 12.15% due 8/24/2023

HSBC USA Inc. 0.00% due 8/24/2027

HSBC USA Inc. 0.00% due 8/24/2026

HSBC USA Inc. 18%, payable monthly if the stock closes at or above 69% coupon trigger level on the relevant observation date due 9/25/2023

HSBC USA Inc. 20.25%, payable monthly if the stock closes at or above 67% coupon trigger level on the relevant observation date due 9/25/2023

HSBC USA Inc. 21.4% annual rate, paid monthly, if each underlying stock closes at or above its 70% coupon barrier on the related monthly observation date due 8/25/2025

HSBC USA Inc. 14.65%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 8/25/2025

HSBC USA Inc. 13%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 8/25/2025

HSBC USA Inc. 21% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $445.00; 50% of initial level due 8/22/2025

HSBC USA Inc. 10.2% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 8,607.885 for Nasdaq, 2,748.512 for S&P, 1,272.2749 for Russell; 65% of initial levels due 8/22/2024

HSBC USA Inc. 0.00% due 6/7/2024

HSBC USA Inc. 15% annual rate, payable quarterly if stock closes at or above 63.8% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 9/6/2023

HSBC USA Inc. 0.00% due 8/23/2027

HSBC USA Inc. 0.00% due 8/29/2023

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 0.00% due 8/25/2025

HSBC USA Inc. 26% annual rate, paid monthly, if each underlying stock closes at or above its 70% coupon barrier on the related monthly observation date due 8/22/2025

HSBC USA Inc. 0.00% due 8/14/2024

HSBC USA Inc. 12.12%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $55.73; 50% of initial price due 8/18/2025

HSBC USA Inc. 0.00% due 9/18/2023

HSBC USA Inc. 10.45% due 8/17/2023

HSBC USA Inc. 10.20% due 8/17/2023

HSBC USA Inc. 0.00% due 8/18/2025

HSBC USA Inc. 11.5%, payable quarterly if the stock closes at or above 70% coupon trigger level on the relevant observation date due 8/15/2024

HSBC USA Inc. 0.00% due 8/15/2024

HSBC USA Inc. 0.00% due 8/16/2027

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 8.3%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,885.729 for S&P, 1,339.0237 for Russell, 9,105.719 for Nasdaq; 70% of initial levels due 8/12/2025

HSBC USA Inc. 12.85% annual rate, payable quarterly if stock closes at or above 50% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 8/25/2023

HSBC USA Inc. 0.00% due 8/11/2025

HSBC USA Inc. 0.00% due 10/26/2023

HSBC USA Inc. 11.6% annual rate, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barriers: 9,245.383 for Nasdaq, 1,345.2768 for Russell, 2,901.633 for S&P, 70% of initial levels due 8/8/2024

HSBC USA Inc. 16.25% annual rate, paid quarterly if the stock closes at or above its 55% coupon barrier on the observation date for that quarter, plus any previously unpaid coupons due 8/23/2023

HSBC USA Inc. 18.35% annual rate, paid quarterly if the stock closes at or above its 70% coupon barrier on the observation date for that quarter, plus any previously unpaid coupons due 8/23/2023

HSBC USA Inc. 0.00% due 8/10/2027

HSBC USA Inc. 0.00% due 8/4/2025

HSBC USA Inc. 0.00% due 8/3/2027

HSBC USA Inc. 13.1% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 9/5/2023

HSBC USA Inc. 11.35% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 5/5/2025

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 8/9/2023

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 8/3/2027

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 0.00% due 8/4/2025

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 18.35% annual rate, paid quarterly if the stock closes at or above its 55% coupon barrier on the observation date for that quarter, plus any previously unpaid coupons due 8/16/2023

HSBC USA Inc. 0.00% due 8/2/2027

HSBC USA Inc. 26.25% per year, payable monthly if each stock closes at or above coupon barrier level on observation date for that month; Coupon barrier levels: $84.679 with respect to Amazon, $365.617 with respect to Costco, $88.613 with respect to Walmart and $108.22 with respect to Target, or 70% of initial share prices due 8/1/2025

HSBC USA Inc. 0.00% due 10/9/2024

HSBC USA Inc. 0.00% due 7/30/2027

HSBC USA Inc. 0.00% due 7/29/2025

HSBC USA Inc. 0.00% due 7/29/2027

HSBC USA Inc. 9.9%, paid quarterly, if each underlying index closes at or above its 75% barrier level on the related quarterly observation date due 7/29/2025

HSBC USA Inc. 9.9% annual rate, payable quarterly if each index closes at or above coupon barrier on determination date for that period; previously unpaid coupons will also be paid; Coupon barrier levels: 3,136.84 for S&P, 1,444.1968 for Russell; 80% of initial levels due 1/29/2024

HSBC USA Inc. 9.95%, paid quarterly, if the underlying stock closes at or above its 60% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 7/29/2025

HSBC USA Inc. 8.25% annual rate, payable monthly if each index closes at or above 85% trigger level on determination date for that period due 4/29/2025

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 8/4/2023

HSBC USA Inc. 0.00% due 1/29/2025

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 7/29/2027

HSBC USA Inc. 10.00% due 7/31/2024

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 24.5% annual rate, paid quarterly, if the underlying stock closes at or above its 70% barrier level on the related quarterly observation date due 7/28/2025

HSBC USA Inc. 9.5% annual rate, paid quarterly, if the underlying index closes at or above its 80% barrier level on the related quarterly observation date due 7/28/2025

HSBC USA Inc. 0.00% due 8/14/2024

HSBC USA Inc. 0.00% due 7/27/2027

HSBC USA Inc. 0.00% due 7/28/2025

HSBC USA Inc. 7% annual rate, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date due 7/27/2027

HSBC USA Inc. 15.7%, payable semiannually if each underlier closes at or above 60% coupon trigger level on determination date for that period due 7/28/2025

HSBC USA Inc. 14%, payable semiannually if each underlier closes at or above 60% coupon trigger level on determination date for that period due 7/28/2025

HSBC USA Inc. Payable quarterly if each asset closes at or above coupon trigger on related observation date; first two payment dates will be payable at the equivalent of 11.65% per annum and the final will be payable at the equivalent of 7.7668% per annum due 3/29/2023

HSBC USA Inc. 10.95% annual rate, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barriers: 8,057.7055 for Nasdaq, 1,174.47265 for Russell, 2,575.0595 for S&P, 65% of initial levels due 7/25/2024

HSBC USA Inc. 7.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 8,833.587 for Nasdaq, 1,285.6851 for Russell, 22,425.83 for Dow; 70% of initial levels due 7/26/2027

HSBC USA Inc. 0.00% due 7/22/2027

HSBC USA Inc. 12.5% annual rate, paid monthly, if each underlying stock closes at or above its 60% barrier level on the related monthly observation date due 7/22/2024

HSBC USA Inc. 9.85%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 2,490.0525 for S&P, 2,282.709 for Stoxx, 7,720.375 for Nasdaq; 65% of initial levels due 7/23/2024

HSBC USA Inc. 6.8%, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date due 7/20/2027

HSBC USA Inc. 0.00% due 8/21/2023

HSBC USA Inc. 0.00% due 7/21/2025

HSBC USA Inc. 15%, paid quarterly, if the underlying stock closes at or above its barrier level on the related quarterly observation date due 7/18/2024

HSBC USA Inc. 24.15% annual rate, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 7/18/2025

HSBC USA Inc. 41% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; Coupon barrier level: $18.402; 60% of initial level due 7/22/2024

HSBC USA Inc. 9.95% per year, paid quarterly, if each index closes at or above its coupon barrier on related observation date; Coupon barrier levels: 21,901.78 for Dow, 2,704.21 for S&P; 70% of initial levels due 7/20/2027

HSBC USA Inc. 7.8% per year, paid quarterly, if each index closes at or above its coupon barrier on related observation date; Coupon barrier levels: 21,901.78 for Dow, 2,704.21 for S&P; 70% of initial levels due 7/20/2027

HSBC USA Inc. 0.00% due 7/29/2027

HSBC USA Inc. 0.00% due 7/25/2025

HSBC USA Inc. 0.00% due 7/28/2028

HSBC USA Inc. 19.2% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $104.322 for Caterpillar, $18.504 for BofA, $90.984 for Nvidia; 60% of initial levels due 4/21/2025

HSBC USA Inc. 0.00% due 2/22/2024

HSBC USA Inc. 0.00% due 7/15/2024

HSBC USA Inc. 0.00% due 9/7/2023

HSBC USA Inc. 6.75%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,890.8225 for S&P, 1,299.006 for Russell; 75% of initial levels due 7/14/2027

HSBC USA Inc. 10.25% due 8/14/2023

HSBC USA Inc. 0.00% due 7/14/2025

HSBC USA Inc. 6.63% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter due 7/13/2023

HSBC USA Inc. 9.15%, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 21,936.705 for Dow, 8,487.983 for Nasdaq, 1,238.5555 for Russell; 70% of initial levels due 7/14/2025

HSBC USA Inc. 10.60% due 7/14/2025

HSBC USA Inc. 28.3% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $6.94, 50% of initial level due 1/11/2024

HSBC USA Inc. 8.75% due 10/12/2023

HSBC USA Inc. 7.00% due 10/12/2023

HSBC USA Inc. 9.50% due 7/14/2025

HSBC USA Inc. 0.00% due 7/7/2027

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 7/6/2027

HSBC USA Inc. 17%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $88.512; 80% of initial price due 7/7/2025

HSBC USA Inc. 20.5% annual rate, payable quarterly if all three stocks close above coupon barrier levels on related observation date; Coupon barriers: $51.384 for Exxon, $67.566 for JPMorgan, $84.738 for Target, 60% of initial levels due 7/8/2024

HSBC USA Inc. 8.9%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 8,052.604 for Nasdaq, 1,195.593 for Russell, 21,542.801 for Dow; 70% of initial levels due 7/7/2025

HSBC USA Inc. 17.6% annual rate, payable quarterly if all three stocks close above coupon barrier values on related observation date; Coupon barriers: $107.256 for Caterpillar, $154.098 for Microsoft, $61.32 for NIKE, 60% of initial levels due 7/8/2024

HSBC USA Inc. 10.5% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period due 4/7/2025

HSBC USA Inc. 12.6% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 8/7/2023

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 7/12/2023

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 7/6/2027

HSBC USA Inc. 0.00% due 1/6/2025

HSBC USA Inc. 8.25%, payable monthly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 18,465.258 for Dow, 6,902.232 for Nasdaq, 2,271.228 for S&P; 60% of initial levels due 7/7/2025

HSBC USA Inc. 0.00% due 8/25/2023

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 1/8/2024

HSBC USA Inc. 0.00% due 7/6/2026

HSBC USA Inc. 0.00% due 7/5/2024

HSBC USA Inc. 0.00% due 7/6/2027

HSBC USA Inc. 16.82%, payable monthly if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 8,146.439 for Nasdaq, 1,217.1887 for Russell, $41.377 for ETF; 70% of initial levels due 7/1/2024

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 6/30/2027

HSBC USA Inc. 8% annual rate, payable monthly if each index closes above coupon trigger level on related observation date; Coupon barriers: 22,006.782 for Dow, 8,405.768 for Nasdaq, 1,240.2194 for Russell, 70% of initial levels due 6/30/2025

HSBC USA Inc. 12%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 6/30/2025

HSBC USA Inc. 9% annual rate, paid quarterly, if each underlying index closes at or above its 75% barrier level on the related quarterly observation date due 6/30/2025

HSBC USA Inc. 9.2% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupon; Coupon triggers: 3,120.088 for S&P, 1,417.3936 for Russell, 80% of initial levels due 1/2/2024

HSBC USA Inc. 7.35% annual rate, payable monthly if each index closes at or above 85% trigger level on determination date for that period due 3/31/2025

HSBC USA Inc. 7.75% due 7/31/2023

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 12/30/2024

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 6/30/2027

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 13% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $68.352 for JPMorgan, $27.81 for Citi, $171.702 for Goldman Sachs; 60% of initial levels due 6/30/2025

HSBC USA Inc. 8.64% annual rate, paid quarterly, if each underlying index closes at or above its 70% barrier level on the related quarterly observation date due 6/30/2025

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 10% annual rate, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 6/27/2025

HSBC USA Inc. 0.00% due 6/21/2024

HSBC USA Inc. 10.15% per year, paid quarterly, if each index closes at or above its coupon barrier on. related observation date; Coupon barrier levels: 22,050.48 for Dow, 1,236.016 for Russell; 70% of initial levels due 6/29/2027

HSBC USA Inc. 0.00% due 6/29/2027

HSBC USA Inc. 0.00% due 6/27/2025

HSBC USA Inc. 0.00% due 6/25/2027

HSBC USA Inc. 0.00% due 6/27/2025

HSBC USA Inc. 0.00% due 6/30/2028

HSBC USA Inc. 0.00% due 7/7/2023

HSBC USA Inc. 0.00% due 2/27/2024

HSBC USA Inc. 0.00% due 6/30/2028

HSBC USA Inc. 0.00% due 6/27/2025

HSBC USA Inc. 0.00% due 6/28/2027

HSBC USA Inc. 7%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 21,338.191 for Dow, 1,183.1939 for Russell, 8,069.397 for Nasdaq; 70% of initial levels due 6/27/2025

HSBC USA Inc. 9.6%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 21,338.191 for Dow, 1,183.1939 for Russell, 8,069.397 for Nasdaq; 70% of initial levels due 6/27/2025

HSBC USA Inc. 10%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 8,645.7825 for Nasdaq, 1,267.70775 for Russell, 2,819.9175 for S&P; 75% of initial levels due 6/27/2025

HSBC USA Inc. 0.00% due 7/18/2024

HSBC USA Inc. 7.15%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 21,371.175 for Dow, 1,185.8217 for Russell, 2,635.353 for S&P; 70% of initial levels due 6/24/2027

HSBC USA Inc. 14%, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: 22,897.6875 for Dow, 8,660.07 for Nasdaq, 1,270.52325 for Russell; 75% of initial levels due 12/24/2024

HSBC USA Inc. 43% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; Coupon barrier level: $190.326; 60% of initial level due 6/24/2024

HSBC USA Inc. 0.00% due 6/23/2027

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 0.00% due 6/23/2027

HSBC USA Inc. 0.00% due 6/23/2025

HSBC USA Inc. 11.20% due 9/25/2023

HSBC USA Inc. 9.87% annual rate, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 20,922.146 for Dow, 7,886.193 for Nasdaq, 1,165.9858 for Russell; 70% of initial levels due 6/23/2025

HSBC USA Inc. 14.2%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 6/23/2025

HSBC USA Inc. 15.85%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 6/23/2025

HSBC USA Inc. 0.00% due 3/20/2024

HSBC USA Inc. 8.17%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 21,467.971 for Dow, 1,211.7973 for Russell, 8,115.639 for Nasdaq; 70% of initial levels due 6/23/2025

HSBC USA Inc. 10.2% annual rate, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the related quarterly observation date due 12/21/2023

HSBC USA Inc. 11.3% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $41.279 for ETF, 1,211.7973 for Russell, 8,115.639 for Nasdaq; 70% of initial levels due 6/23/2025

HSBC USA Inc. 11.4% annual rate, paid monthly, if each underlying index closes at or above its 80% coupon barrier on the related monthly observation date due 12/21/2023

HSBC USA Inc. 0.00% due 6/21/2024

HSBC USA Inc. 12.5% annual rate, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon trigger levels: 2,842.4925 for S&P, 2,649.24 for Stoxx, 1,298.35425 for Russell; 75% of initial levels due 6/21/2024

HSBC USA Inc. 0.00% due 6/17/2025

HSBC USA Inc. 8.45% annual rate, paid quarterly, if the underlying stock closes at or above its 65% barrier level on the related quarterly observation date due 6/17/2025

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 13% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 6/23/2023

HSBC USA Inc. 11.92% annual rate, payable quarterly if each underlier closes at or above trigger level on determination date for that period; Trigger levels: 21,974.953 for Dow, 8,282.974 for Nasdaq, $41.825 for ETF; 70% of initial levels due 6/13/2025

HSBC USA Inc. 20.25%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month; Coupon trigger: 7,691.333 for Nasdaq, 1,170.1846 for Russell, $21.170 for ETF; 65% of initial prices due 9/15/2023

HSBC USA Inc. 23% annual rate, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 6/13/2025

HSBC USA Inc. 11.7% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 8,282.974 for Nasdaq, 2,730.602 or S&P, 1,260.1988 for Russell; 70% of initial levels due 6/13/2024

HSBC USA Inc. 8.3% annual rate, paid quarterly, if each underlying index closes at or above its 65% coupon barrier on the related observation date due 6/13/2024

HSBC USA Inc. 0.00% due 6/15/2027

HSBC USA Inc. 0.00% due 6/27/2025

HSBC USA Inc. 0.00% due 6/27/2027

HSBC USA Inc. 0.00% due 6/30/2028

HSBC USA Inc. 0.00% due 6/27/2025

HSBC USA Inc. 9% annual rate, payable quarterly if each index closes at or above trigger level on determination date for that period due 12/14/2023

HSBC USA Inc. 6.5% annual rate, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon trigger levels: 2,885.001 for S&P, 23,041.046 for Dow, 1,322.9195 for Russell; 70% of initial levels due 3/9/2027

HSBC USA Inc. 7.1% annual rate, paid quarterly, if each underlying index closes at or above its 70% barrier level on the related quarterly observation date due 6/8/2027

HSBC USA Inc. 14.1% annual rate, paid quarterly, if the underlying stock closes at or above its 50% downside threshold on the related quarterly observation date due 6/6/2025

HSBC USA Inc. 8.35% due 9/8/2023

HSBC USA Inc. 8.20% due 12/7/2023

HSBC USA Inc. 0.00% due 6/16/2023

HSBC USA Inc. 0.00% due 6/3/2025

HSBC USA Inc. 0.00% due 6/3/2027

HSBC USA Inc. 14.4% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $111.63, 75% of initial price due 6/3/2023

HSBC USA Inc. 21% per year, payable monthly if each underlier closes at or above coupon trigger on every day that period; Coupon triggers: 1,211.62795 for Russell, 8,217.365 for Nasdaq, $20.6245 for ETF; 65% of initial levels due 9/5/2023

HSBC USA Inc. 23.33%, paid monthly, if the underlying stock closes at or above its 50% barrier level on the related monthly observation date due 6/3/2025

HSBC USA Inc. 25.31% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $379.13 for Tesla, $1,202.095 for Amazon, $74.42 for Apple; 50% of initial levels due 6/3/2025

HSBC USA Inc. 11.25%, paid monthly, if each underlying index closes at or above its 80% barrier level on the related monthly observation date, plus any previously unpaid coupons due 7/3/2023

HSBC USA Inc. 0.00% due 6/5/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 6/9/2023

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 6/3/2027

HSBC USA Inc. 0.00% due 12/3/2024

HSBC USA Inc. 0.00% due 6/3/2025

HSBC USA Inc. 0.00% due 6/3/2027

HSBC USA Inc. 0.00% due 6/3/2025

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 9/6/2023

HSBC USA Inc. 0.00% due 6/2/2027

HSBC USA Inc. 10% per year, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier level: $63.03, or 55% of initial share price due 2/1/2023

HSBC USA Inc. 10.75% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,475.759 for Stoxx, 2,702.856 for S&P, 1,227.1324 for Russell; 65% of initial levels due 5/31/2024

HSBC USA Inc. 13% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,666.202 for Stoxx, 2,910.768 for S&P, 1,321.5272 for Russell; 70% of initial levels due 5/31/2024

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 15.7% annual rate, payable quarterly if each stock closes at or above coupon barrier on observation date for that quarter; previously unpaid coupons will also be paid; Coupon barrier level: $173.712, 80% of initial level due 6/3/2024

HSBC USA Inc. 0.00% due 7/28/2023

HSBC USA Inc. 11.4% annual rate, paid monthly, if the underlying stock closes at or above its 74% barrier level on the related monthly observation date due 9/1/2023

HSBC USA Inc. 10.75% annual rate, paid monthly, if each underlying index closes at or above its 70% coupon barrier on the related monthly observation date due 6/2/2025

HSBC USA Inc. 8.7%, payable quarterly if the stock closes at or above the coupon trigger level on the relevant observation date; Coupon trigger level: $125.13; 60% of initial price due 6/2/2025

HSBC USA Inc. 0.00% due 5/27/2027

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 0.00% due 5/28/2027

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 0.00% due 5/26/2028

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 5/26/2028

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 21.996% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $329.40, 50% of initial price due 6/2/2025

HSBC USA Inc. 8.5% annual rate, paid quarterly, if each underlying index closes at or above its 80% barrier level on the related quarterly observation date, plus any previously unpaid coupons due 11/30/2023

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 6/6/2023

HSBC USA Inc. 0.00% due 4/29/2027

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 6/1/2027

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 6/1/2027

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 9.88% annual rate, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon trigger levels: 2,759.036 for S&P, 8,238.888 for Nasdaq, 1,235.3782 for Russell; 70% of initial levels due 11/27/2024

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 9.3% per year; quarterly guaranteed payments for first two years; then, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers:

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 0.00% due 5/25/2027

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 9.5% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: 1,241.2862 for Russell, 8,284.934 for Nasdaq, $41.986 for ETF; 70% of initial levels due 5/27/2025

HSBC USA Inc. 10.57%, payable monthly if each index closes at or above 70% trigger level on determination date for that period due 11/17/2023

HSBC USA Inc. 14.3% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 5/27/2025

HSBC USA Inc. 16.65%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 5/27/2025

HSBC USA Inc. 7.38% due 5/28/2024

HSBC USA Inc. 11.8% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,377.0695 for Stoxx, 2,535.884 or S&P, 1,152.6229 for Russell; 65% of initial levels due 5/23/2024

HSBC USA Inc. 14% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,559.921 for Stoxx, 2,730.952 or S&P, 1,241.2862 for Russell; 70% of initial levels due 5/23/2024

HSBC USA Inc. 0.00% due 5/24/2027

HSBC USA Inc. 0.00% due 8/23/2023

HSBC USA Inc. 0.00% due 5/24/2027

HSBC USA Inc. 8.53%, payable quarterly if the index closes at or above coupon barrier on determination date for that period; Coupon barrier level: 2,942.76; 75% of initial level due 5/24/2027

HSBC USA Inc. 10.50% due 5/23/2024

HSBC USA Inc. 10.6%, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 23,617.5525 for Dow, 8,946.2325 for Nasdaq, 1,331.1345 for Russell; 75% of initial levels due 5/23/2025

HSBC USA Inc. 0.00% due 5/20/2027

HSBC USA Inc. 30% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $109.062 for Nvidia, $165.918 for Pioneer, $21.594 for BofA; 60% of initial prices due 5/28/2024

HSBC USA Inc. 21.27%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; previously unpaid coupons will also be paid; Coupon trigger level: $495.0465, 65% of initial price due 11/20/2023

HSBC USA Inc. 0.00% due 5/19/2025

HSBC USA Inc. 13% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $41.916 for ETF, 1,248.3989 for Russell, 8,570.506 for Nasdaq; 70% of initial levels due 5/19/2025

HSBC USA Inc. 14% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,579.738 for Stoxx, 2,805.607 or S&P, 1,248.3989 for Russell; 70% of initial levels due 5/21/2024

HSBC USA Inc. 0.00% due 5/18/2027

HSBC USA Inc. 10.7% per annum, payable quarterly for the first two years, then payable quarterly if the stock closes at or above the coupon trigger level on the relevant observation date; Coupon trigger level: $47.56; 50% of initial price due 5/18/2027

HSBC USA Inc. 0.00% due 5/19/2025

HSBC USA Inc. 12.45%, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $1,373.61825; 60.75% of initial value due 5/16/2024

HSBC USA Inc. 0.00% due 8/7/2023

HSBC USA Inc. 0.00% due 5/17/2027

HSBC USA Inc. 0.00% due 5/16/2025

HSBC USA Inc. 0.00% due 5/17/2027

HSBC USA Inc. 0.00% due 5/15/2024

HSBC USA Inc. 0.00% due 5/12/2027

HSBC USA Inc. 0.00% due 11/13/2023

HSBC USA Inc. 9.15%, payable quarterly if each index closes at or above trigger level on determination date for that period due 5/12/2025

HSBC USA Inc. 13% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; previously unpaid coupons will also be paid; Coupon barrier levels: $69.42 for Abbott, $194.466 for Goldman, $173.988 for Microsoft; 60% of initial prices due 5/9/2023

HSBC USA Inc. 19.38% annual rate, payable quarterly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $83.01 for Apple and $476.31 for Tesla; 50% of initial prices due 5/9/2023

HSBC USA Inc. 12.75% per year; paid quarterly contingently if both stocks close above their downside thresholds every day during the quarterly observation period due 5/8/2025

HSBC USA Inc. 0.00% due 1/8/2024

HSBC USA Inc. 0.00% due 1/10/2024

HSBC USA Inc. 14.1%, payable quarterly if the stock closes at or above 75% coupon trigger level on the relevant observation date due 5/8/2024

HSBC USA Inc. 0.00% due 5/9/2023

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 12% annual rate, payable quarterly if stock closes above coupon trigger level on related observation date; Coupon trigger: $92.148; 60% of initial value due 3/29/2023

HSBC USA Inc. 0.00% due 5/9/2023

HSBC USA Inc. 10% annual rate, payable quarterly if stock closes at or above 66.95% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 5/19/2023

HSBC USA Inc. 10% annual rate, payable quarterly if stock closes at or above 67.9% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 5/19/2023

HSBC USA Inc. 10% annual rate, payable quarterly if stock closes at or above 55% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 5/19/2023

HSBC USA Inc. 18.5% annual rate, payable quarterly if stock closes at or above 50% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 5/19/2023

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 5/4/2027

HSBC USA Inc. 23.4%, payable quarterly if the stock closes at or above 55% coupon trigger level on the relevant observation date due 5/5/2025

HSBC USA Inc. 10.5% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 6/5/2023

HSBC USA Inc. 12.15% due 6/5/2023

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 5/5/2023

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 5/4/2027

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 5/4/2027

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 14.25% annual rate, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter; previously unpaid coupons will also be paid due 5/17/2023

HSBC USA Inc. 13.5%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date due 5/5/2025

HSBC USA Inc. 9.44% due 6/5/2023

HSBC USA Inc. 20.25%, payable monthly if each stock closes at or above barrier level on determination date for that period due 5/5/2025

HSBC USA Inc. 15.55%, payable monthly if each stock closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: $109.347 for Walmart, $393.40 for Costco, $165.473 for Target, $2,024.351 for Amazon; 70% of initial levels due 5/5/2025

HSBC USA Inc. 15.03%, payable quarterly if each fund closes at or above coupon barrier level on determination date for that period; Coupon barriers: $52.402 for Energy and $53.144 for Biotech, 70% of initial levels due 11/4/2024

HSBC USA Inc. 12.9%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 4/4/2025

HSBC USA Inc. 13.2%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons due 4/29/2027

HSBC USA Inc. 0.00% due 6/26/2024

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 4/29/2027

HSBC USA Inc. 14%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date due 5/1/2024

HSBC USA Inc. 7.85%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 24,930.135 for Dow, 1,417.85625 for Russell, 9,757.2825 for Nasdaq; 75% of initial levels due 4/29/2025

HSBC USA Inc. 11.5%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date due 5/1/2024

HSBC USA Inc. 7.85% per year, payable quarterly if each index closes at or above 80% coupon trigger on observation date for that period, plus any previously unpaid coupon due 10/30/2023

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 5/2/2023

HSBC USA Inc. 0.00% due 4/29/2027

HSBC USA Inc. 0.00% due 10/29/2024

HSBC USA Inc. 0.00% due 4/24/2024

HSBC USA Inc. 0.00% due 4/29/2027

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 4/28/2027

HSBC USA Inc. 0.00% due 4/27/2026

HSBC USA Inc. 19% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $25.858 for ETF, 1,358.4655 for Russell, 9,349.809 for Nasdaq; 70% of initial levels due 1/29/2024

HSBC USA Inc. 0.00% due 4/28/2025

HSBC USA Inc. 0.00% due 10/28/2024

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 8.57%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 23,667.98 for Dow, 1,358.4655 for Russell, 9,349.809 for Nasdaq; 70% of initial levels due 4/28/2025

HSBC USA Inc. 16.57%, payable quarterly if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 1,358.4655 for Russell, 9,349.809 for Nasdaq, $25.858 for ETF; 70% of initial levels due 1/29/2024

HSBC USA Inc. 12.55% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 4/28/2025

HSBC USA Inc. 14.3% per annum, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 4/28/2025

HSBC USA Inc. 11.75%, payable quarterly if each asset closes at or above coupon trigger on related observation date; Coupon trigger: $31.878; 70% of initial value due 4/25/2024

HSBC USA Inc. 0.00% due 4/25/2025

HSBC USA Inc. 9.5% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $46.396 for ETF, 1,394.0234 for Russell, 9,604.315 for Nasdaq; 70% of initial levels due 4/28/2025

HSBC USA Inc. 0.00% due 4/24/2024

HSBC USA Inc. 0.00% due 6/28/2023

HSBC USA Inc. 0.00% due 4/21/2025

HSBC USA Inc. 14.75%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $130.698; 60% of initial price due 7/21/2023

HSBC USA Inc. 16% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $502.145 for Tesla, $1,527.85 for Amazon, $140.26 for Microsoft; 50% of initial levels due 4/21/2025

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 10.65% due 4/19/2023

HSBC USA Inc. 8.05% due 4/19/2023

HSBC USA Inc. 9.35% due 4/19/2023

HSBC USA Inc. 9.25% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $27.30, 60% of initial price due 4/21/2025

HSBC USA Inc. 0.00% due 8/8/2023

HSBC USA Inc. 11.55% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,694.076 for Stoxx, 3,074.813 for S&P, 1,403.486 for Russell; 70% of initial levels due 4/18/2024

HSBC USA Inc. 6%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 25,923.4425 for Dow, 1,518.8265 for Russell, 10,662.9675 for Nasdaq; 75% of initial levels due 4/19/2023

HSBC USA Inc. 13.15%, payable monthly if the stock closes at or above the barrier price on the relevant observation date due 5/19/2023

HSBC USA Inc. 0.00% due 5/18/2023

HSBC USA Inc. 9.2%, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 10,455.18 for Nasdaq, 1,490.20275 for Russell, 25,665.27 for Dow; 75% of initial levels due 4/21/2025

HSBC USA Inc. 10.7%, payable monthly if the stock closes at or above the barrier price on the relevant observation date due 5/15/2023

HSBC USA Inc. 7% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $313.8825, 75% of initial price due 5/15/2023

HSBC USA Inc. 12.9%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date due 5/15/2023

HSBC USA Inc. 0.00% due 4/13/2027

HSBC USA Inc. 0.00% due 4/14/2025

HSBC USA Inc. 14.75%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 5/5/2023

HSBC USA Inc. 0.00% due 4/15/2024

HSBC USA Inc. 0.00% due 6/7/2024

HSBC USA Inc. 19.25% annual rate, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 4/14/2025

HSBC USA Inc. 19.25% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 4/14/2025

HSBC USA Inc. 8.55% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $110.8064, 62% of initial price due 4/11/2024

HSBC USA Inc. 9.36%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $83.532, or 60% of initial share price due 4/12/2027

HSBC USA Inc. 0.00% due 10/18/2023

HSBC USA Inc. 0.00% due 4/8/2027

HSBC USA Inc. 8.5%, payable monthly if the stock closes at or above the coupon trigger level on the relevant observation date; Coupon trigger level: $107.1398; 79% of initial price due 5/8/2023

HSBC USA Inc. 0.00% due 2/15/2024

HSBC USA Inc. 0.00% due 10/20/2027

HSBC USA Inc. 0.00% due 7/17/2026

HSBC USA Inc. 0.00% due 4/6/2027

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 4/5/2027

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 4/5/2027

HSBC USA Inc. 16.65%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $177.359; 65% of initial price due 5/5/2023

HSBC USA Inc. 10% per year, payable monthly if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 11,870.792 for Nasdaq, 1,656.1 for Russell; 80% of initial levels due 5/5/2023

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 6/23/2023

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 4/5/2027

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 1/10/2024

HSBC USA Inc. 0.00% due 4/5/2027

HSBC USA Inc. 0.00% due 4/7/2025

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 4/13/2023

HSBC USA Inc. 0.00% due 3/25/2027

HSBC USA Inc. 15.75%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; coupon payment events will automatically include any previously unpaid coupons; Coupon trigger level: $352.80; 50% of initial price due 4/4/2025

HSBC USA Inc. 18.78% due 4/3/2023

HSBC USA Inc. 14.3% per year, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $40.1555; 55% of initial value due 4/4/2024

HSBC USA Inc. 9.25% annual rate, payable quarterly if the stock closes at or above 60% coupon trigger level on observation date for that period due 3/31/2025

HSBC USA Inc. 11% annual rate, payable quarterly if the stock closes at or above 50% coupon trigger level on observation date for that period due 3/31/2025

HSBC USA Inc. 0.00% due 4/2/2024

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 21.45% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $64.93, 50% of initial price due 3/31/2025

HSBC USA Inc. 7.7% annual rate, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 26,216.9175 for Dow, 1,558.545 for Russell, 11,240.55 for Nasdaq; 75% of initial levels due 3/31/2025

HSBC USA Inc. 18.95%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date due 3/31/2025

HSBC USA Inc. 7.45% annual rate, payable quarterly if each index closes at or above 80% coupon trigger level on determination date for that period; previously unpaid coupons will also be paid due 10/2/2023

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 3/31/2027

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 3/31/2027

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 3/31/2027

HSBC USA Inc. 13.75% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $53.8425 for ETF, 1,558.4873 for Russell, 3,407.295 for S&P; 75% of initial levels due 3/28/2024

HSBC USA Inc. 7.75%, payable quarterly if the stock closes at or above coupon trigger on related observation date; Coupon trigger: $105.322; 70% of initial value due 3/28/2024

HSBC USA Inc. 8.35% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 10,328.017 for Nasdaq, 3,180.142 for S&P, 1,454.5881 for Russell; 70% of initial levels due 3/28/2025

HSBC USA Inc. 14% annual rate, payable quarterly if stock closes at or above 59.25% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 4/1/2024

HSBC USA Inc. 12% annual rate, payable quarterly if each stock closes at or above coupon barrier on observation date for that quarter; previously unpaid coupons will also be paid; Coupon barrier level: $185.88393, 85.1% of initial level due 4/1/2024

HSBC USA Inc. 9.2% annualized, payable quarterly if indexes close at or above coupon barrier on observation date; Coupon barriers: 10,328.02 for Nasdaq, 3,180.14 for S&P; 70% of initial levels due 3/31/2027

HSBC USA Inc. 7% annualized, payable quarterly if indexes close at or above coupon barrier on observation date; Coupon barriers: 10,328.02 for Nasdaq, 3,180.14 for S&P; 70% of initial levels due 3/31/2027

HSBC USA Inc. 9.30% due 3/28/2023

HSBC USA Inc. 0.00% due 4/19/2023

HSBC USA Inc. 10.2% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $60.354, 70% of initial price due 3/28/2024

HSBC USA Inc. 12%, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $30.381; 65% of initial value due 3/28/2024

HSBC USA Inc. 11% annual rate, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $101.292 for Apple, $26.508 for BofA, 60% of initial prices due 3/25/2025

HSBC USA Inc. 0.00% due 3/25/2024

HSBC USA Inc. 0.00% due 3/23/2026

HSBC USA Inc. 8.5%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date: Coupon trigger level: $84.06, or 60% of initial share price due 3/25/2024

HSBC USA Inc. 9.9% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 3/24/2025

HSBC USA Inc. 7.65% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 3/24/2025

HSBC USA Inc. 10% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $79.488 for JPMorgan, $24.90 for BofA, $1,768.398 for Amazon, 60% of initial prices due 3/18/2025

HSBC USA Inc. 8.5% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $42.458, 65% of initial price due 3/18/2025

HSBC USA Inc. 18% per year, payable monthly if each stock closes at or above coupon trigger level on the observation date for that month; Coupon trigger levels: $9.342 for American Airlines, $22.944 for United Airlines; 60% of initial levels due 3/18/2025

HSBC USA Inc. 18% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; previously unpaid coupons will also be paid; Coupon triggers:

HSBC USA Inc. 10.60% due 3/20/2023

HSBC USA Inc. 9.70% due 3/20/2023

HSBC USA Inc. 11.9%, payable quarterly if stock closes at or above 65% coupon trigger on related observation date due 3/14/2024

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 4/17/2024

HSBC USA Inc. 16.4%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 3/11/2024

HSBC USA Inc. 14.00% due 3/11/2024

HSBC USA Inc. 10.6% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $387.3935; 65% of initial level due 3/7/2025

HSBC USA Inc. 12.45% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 10,378.3725 for Nasdaq, 3,246.6525 for S&P, 1,500.657 for Russell; 75% of initial levels due 9/9/2024

HSBC USA Inc. 8.21% annualized, payable quarterly if indexes close at or above coupon barrier on observation date; Coupon barriers: 9,686.48 for Nasdaq, 3,030.21 for S&P; 70% of initial levels due 3/7/2025

HSBC USA Inc. 10.18% annualized, payable quarterly if indexes close at or above coupon barrier on observation date; Coupon barriers: 9,686.48 for Nasdaq, 3,030.21 for S&P; 70% of initial levels due 3/7/2025

HSBC USA Inc. 7.00% due 9/7/2023

HSBC USA Inc. 0.00% due 8/23/2023

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 9.6% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 4/3/2023

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 3/3/2027

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 6.25% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 1,962.115 for Stoxx, 2,186.97 for S&P, 1,024.0445 for Russell; 50% of initial levels due 3/5/2025

HSBC USA Inc. 6.25% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 2,158.3265 for Stoxx, 2,405.667 for S&P, 1,126.44895 for Russell; 55% of initial levels due 3/4/2024

HSBC USA Inc. 14% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,943.1725 for Stoxx, 3,280.455 for S&P, 1,536.06675 for Russell; 75% of initial levels due 3/4/2024

HSBC USA Inc. 0.00% due 3/3/2027

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 4/5/2023

HSBC USA Inc. 0.00% due 3/2/2026

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 10.25% per year, payable quarterly if each ETF closes at or above its coupon barrier level on the corresponding observation date; Coupon barrier levels: $50.97 for EAFE, $138.63 for Russell, $299.81 for S&P; 70% of initial levels due 3/1/2027

HSBC USA Inc. 8.45%, payable quarterly if the stock closes at or above coupon barrier price on the relevant observation date due 2/28/2025

HSBC USA Inc. 0.00% due 3/1/2024

HSBC USA Inc. 16.55%, payable quarterly if each stock closes at or above coupon trigger level on determination date for that period; Coupon trigger levels:

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 3/1/2027

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 6.55% annual rate, payable quarterly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 8/28/2023

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 3/1/2027

HSBC USA Inc. 0.00% due 8/28/2024

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 3/1/2027

HSBC USA Inc. 0.00% due 2/24/2026

HSBC USA Inc. 0.00% due 2/24/2027

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 9.1% annual rate, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 2/19/2025

HSBC USA Inc. 7.55%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 2/24/2025

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,444.568 for Stoxx, 1,205.5998 for Russell, 2,609.322 for S&P; 60% of initial levels due 2/23/2024

HSBC USA Inc. 11% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,851.996 for Stoxx, 1,406.5331 for Russell, 3,044.209 for S&P; 70% of initial levels due 2/23/2024

HSBC USA Inc. 14% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 3,055.71 for Stoxx, 1,506.9998 for Russell, 3,261.6525 for S&P; 75% of initial levels due 2/23/2024

HSBC USA Inc. 0.00% due 2/24/2026

HSBC USA Inc. 16.35% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $192.248; 80% of initial level due 3/8/2023

HSBC USA Inc. 11.95% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 3/8/2023

HSBC USA Inc. 44%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon barrier price: $18.835; 50% of initial price due 11/23/2022

HSBC USA Inc. 11%, payable quarterly if the stock closes at or above barrier price on the relevant observation date; coupon payment evens will automatically include any previously unpaid coupons due 8/23/2023

HSBC USA Inc. 15.5% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $70.614 for AMD, $28.608 for BofA, $307.44 for Costco, 60% of initial levels due 2/24/2025

HSBC USA Inc. 15.5% per year, payable monthly if each stock closes at or above barrier level on determination date for that month due 2/18/2024

HSBC USA Inc. 10.15%, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon barrier: $354.996; 60% of initial price due 2/18/2025

HSBC USA Inc. 15.75% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $110.279, 65% of initial price due 2/18/2025

HSBC USA Inc. 11.05% per year, payable quarterly if each stock closes at or above 65% coupon trigger on observation date for that period, plus any previously unpaid coupon due 2/20/2024

HSBC USA Inc. 0.00% due 4/17/2024

HSBC USA Inc. 9.65% due 2/21/2023

HSBC USA Inc. 7.90% due 2/21/2023

HSBC USA Inc. 20.33%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $53.94; 50% of initial price due 2/16/2023

HSBC USA Inc. 0.00% due 2/18/2025

HSBC USA Inc. 0.00% due 2/15/2024

HSBC USA Inc. 0.00% due 5/15/2024

HSBC USA Inc. 0.00% due 7/13/2023

HSBC USA Inc. 16.86% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $132.108 for Meta, $76.938 for AMD, $50.472 for Micron; 60% of initial levels due 2/11/2025

HSBC USA Inc. 12.1% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: 3,375.3975 for S&P, $30.075 for financial, $55.0875 for banking; 75% of initial levels due 2/8/2024

HSBC USA Inc. 0.00% due 11/8/2023

HSBC USA Inc. 15.5% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $193.816; 80% of initial level due 2/23/2023

HSBC USA Inc. 8.5% per year, paid quarterly, if each index closes at or above its coupon barrier on the related observation date; Coupon barrier levels: 24,562.82 for Dow, 10,286.05 for Nasdaq; 70% of initial levels due 2/7/2025

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 7.75% annual rate, payable monthly if each index closes at or above trigger level on determination date for that period; previously unpaid coupons will also be paid due 3/3/2023

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 2/3/2027

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 3/1/2027

HSBC USA Inc. 0.00% due 2/3/2027

HSBC USA Inc. 0.00% due 2/3/2025

HSBC USA Inc. 18.1%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon barrier price: $30.93; 60% of initial price due 8/2/2023

HSBC USA Inc. 13.6%, payable monthly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 8/2/2023

HSBC USA Inc. 0.00% due 2/2/2024

HSBC USA Inc. 10.1% annual rate, payable quarterly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $253.88 for United, $40.249 for Tenet, 55% of initial prices due 1/31/2025

HSBC USA Inc. 10.25% annual rate, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 23,912.546 for Dow, 2,929.479 for Stoxx, 3,028.557 for S&P, 70% of initial levels due 5/2/2023

HSBC USA Inc. 10% per year, payable quarterly if the stock closes at or above coupon trigger on related observation date; Coupon trigger: $209.888; 70% of initial value due 2/1/2024

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 6.35% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupon; Coupon triggers: 3,479.944 for S&P, 1,581.1712 for Russell, 80% of initial levels due 7/31/2023

HSBC USA Inc. 6.10% due 7/31/2023

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 2/1/2027

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 2/1/2027

HSBC USA Inc. 0.00% due 1/26/2026

HSBC USA Inc. 9% per year, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $56.4975, 45% of initial value due 1/26/2023

HSBC USA Inc. 12.6% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 10,106.88 for Nasdaq, 3,078.558 for S&P, 2,960.692 for Stoxx; 70% of initial levels due 1/26/2023

HSBC USA Inc. 12.4% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $391.9945; 85% of initial level due 2/8/2023

HSBC USA Inc. 0.00% due 1/25/2027

HSBC USA Inc. 14% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier: $116.775; 75% of initial level due 2/1/2023

HSBC USA Inc. 0.00% due 3/21/2024

HSBC USA Inc. 0.00% due 1/24/2025

HSBC USA Inc. 0.00% due 1/20/2026

HSBC USA Inc. 32.8% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $230.286 for lululemon, $117.236 for Roku, $110.523 for JPMorgan, 70% of initial prices due 1/22/2024

HSBC USA Inc. 0.00%

HSBC USA Inc. 0.00% due 5/3/2023

HSBC USA Inc. 0.00% due 10/18/2023

HSBC USA Inc. 0.00% due 1/16/2025

HSBC USA Inc. 12.00% due 1/18/2024

HSBC USA Inc. 8.90% due 1/17/2023

HSBC USA Inc. 8.60% due 1/17/2023

HSBC USA Inc. 8.45% per year, payable monthly if each stock closes at or above barrier level on determination date for that month due 1/13/2025

HSBC USA Inc. 0.00% due 1/13/2025

HSBC USA Inc. 0.00% due 1/11/2027

HSBC USA Inc. 25.65% annual rate, payable quarterly if stock closes at or above 50% coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons due 1/10/2023

HSBC USA Inc. 19% per year, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 1/5/2024

HSBC USA Inc. 19% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $396.942 for Adobe, $127.316 for Pioneer, $267.785 for Goldman Sachs; 70% of initial levels due 1/5/2024

HSBC USA Inc. 23% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $106.617 for DocuSign, $162.008 for Target, $31.143 for BofA; 70% of initial level due 1/5/2024

HSBC USA Inc. 23% per year, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 1/5/2024

HSBC USA Inc. 15%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date due 1/5/2024

HSBC USA Inc. 0.00% due 1/3/2025

HSBC USA Inc. 0.00% due 12/15/2023

HSBC USA Inc. 0.00% due 12/31/2026

HSBC USA Inc. 8.7%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $226.408 for Danaher, $352.058 for UnitedHealth, 70% of initial prices due 1/2/2024

HSBC USA Inc. 0.00% due 12/30/2025

HSBC USA Inc. 27.75% annual rate, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $30.486 for Penn, $92.616 for AMD, 60% of initial prices due 12/30/2022

HSBC USA Inc. 16.30% due 12/30/2022

HSBC USA Inc. 12.65%, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $40.201; 70% of initial value due 1/2/2024

HSBC USA Inc. 6.65% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $127.314 for UPS, $105.768 for Apple, $29.016 for Wells, 60% of initial prices due 12/30/2024

HSBC USA Inc. 0.00% due 2/24/2023

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 0.00% due 12/28/2026

HSBC USA Inc. 18.85% plus any previously unpaid coupons, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon triggers: $60.109 for Wynn, $176.96 for Salesforce, $107.695 for DocuSign, 70% of initial prices due 12/30/2024

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 12/31/2026

HSBC USA Inc. 0.00% due 12/30/2024

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 1/6/2023

HSBC USA Inc. 7.3% per year, paid quarterly, if each fund closes at or above its coupon barrier on any related observation date; Coupon barrier levels: $324.142 for S&P, $38.164 for Energy; 70% of initial levels due 12/23/2026

HSBC USA Inc. 0.00% due 12/23/2026

HSBC USA Inc. 0.00% due 12/26/2023

HSBC USA Inc. 0.00% due 9/13/2023

HSBC USA Inc. 0.00% due 12/22/2026

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 16%, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $191.2709 for Nvidia, $2,339.4408 for Amazon, and $222.7744 for Microsoft; 68.8% of initial prices due 12/22/2026

HSBC USA Inc. 7.75% per year, payable monthly if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 12,641.168 for Nasdaq, 1,739.1448 for Russell, 80% of initial levels due 1/23/2023

HSBC USA Inc. 8.30% due 3/22/2023

HSBC USA Inc. 0.00% due 12/22/2023

HSBC USA Inc. 0.00% due 12/22/2026

HSBC USA Inc. 0.00% due 6/24/2024

HSBC USA Inc. 0.00% due 12/22/2023

HSBC USA Inc. 0.00% due 12/22/2026

HSBC USA Inc. 11.18%, payable quarterly if each stock closes at or above coupon trigger level on determination date for that period; Coupon trigger levels:

HSBC USA Inc. 0.00% due 12/22/2026

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 12/21/2026

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 5.85% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 1,721.964 for Russell, 3,734.936 for S&P; 80% of initial levels due 6/21/2023

HSBC USA Inc. 0.00% due 12/21/2023

HSBC USA Inc. 0.00% due 12/21/2026

HSBC USA Inc. 0.00% due 6/21/2024

HSBC USA Inc. 0.00% due 12/21/2026

HSBC USA Inc. 12.8% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $31.317 for Comcast, $178.3275 for American Tower, $222.079 for Meta; 65% of initial levels due 12/20/2024

HSBC USA Inc. 6.75%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $2,604.0091; 77% of initial price due 1/17/2023

HSBC USA Inc. 0.00% due 12/19/2023

HSBC USA Inc. 0.00% due 12/16/2024

HSBC USA Inc. 8.1% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $37.926; 60% of initial level due 12/13/2024

HSBC USA Inc. 0.00% due 2/24/2023

HSBC USA Inc. 15% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: $30.39 for GM, $534.48 for Tesla; 50% of initial levels due 12/13/2024

HSBC USA Inc. 30.00% due 6/13/2022

HSBC USA Inc. 0.00% due 6/13/2023

HSBC USA Inc. 0.00% due 6/7/2023

HSBC USA Inc. 0.00% due 12/9/2025

HSBC USA Inc. 14.25%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 12/9/2024

HSBC USA Inc. 0.00% due 12/8/2026

HSBC USA Inc. 16.25%, payable monthly if the stock closes at or above coupon trigger level on the relevant observation date; previously unpaid coupons will also be paid; Coupon barrier price: $64.344; 60% of initial price due 6/8/2023

HSBC USA Inc. 8.75% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $87.732 for Disney, $2,033.874 for Amazon, $37.656 for Citigroup, 60% of initial prices due 12/9/2024

HSBC USA Inc. 0.00% due 3/6/2024

HSBC USA Inc. 0.00% due 12/6/2024

HSBC USA Inc. 0.00% due 12/3/2026

HSBC USA Inc. 0.00% due 12/3/2024

HSBC USA Inc. 0.00% due 12/3/2025

HSBC USA Inc. 0.00% due 12/3/2024

HSBC USA Inc. 12.3% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $95.232, 80% of initial price due 12/3/2024

HSBC USA Inc. 7% annual rate, payable monthly if each index closes at or above 80% trigger level on determination date for that period; previously unpaid coupons will also be paid due 1/3/2023

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 12/3/2026

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 12/3/2026

HSBC USA Inc. 0.00% due 12/3/2024

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 6%, payable quarterly if each index closes at or above 80% coupon barrier on determination date for that period due 12/1/2026

HSBC USA Inc. 10.66% annual rate, payable monthly if the stock closes at or above coupon trigger level on observation date for that period; previously unpaid coupons will also be paid; Coupon trigger level: $29.134, 70% of initial price due 6/2/2023

HSBC USA Inc. 0.00% due 4/2/2025

HSBC USA Inc. 0.00% due 12/13/2023

HSBC USA Inc. 0.00% due 12/1/2026

HSBC USA Inc. 10% per year, payable quarterly if stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $42.119; 70% of initial level due 12/1/2022

HSBC USA Inc. 0.00% due 11/30/2026

HSBC USA Inc. 13% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $151.578 for Lowe�s, $94.68 for AMD, $129.39 for Square, 60% of initial prices due 12/2/2024

HSBC USA Inc. 27.85% due 5/31/2022

HSBC USA Inc. 0.00% due 11/30/2026

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 14.3% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $15.366 for Steel, $123.198 for Caterpillar, $21.888 for CSX, 60% of initial prices due 11/29/2024

HSBC USA Inc. 0.00% due 1/25/2024

HSBC USA Inc. 24.15% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 12/9/2022

HSBC USA Inc. 13.6% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon barrier level: $134.2875, 75% of initial level due 12/9/2022

HSBC USA Inc. 0.00% due 11/26/2024

HSBC USA Inc. 5.7%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; previously unpaid coupons will also be paid; Coupon barrier levels: 3,746.352 for S&P, 1,865.0784 for Russell; 80% of initial levels due 5/26/2023

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 11/26/2024

HSBC USA Inc. 0.00% due 11/27/2026

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 11/27/2026

HSBC USA Inc. 15%, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $26.56; 50% of initial value due 11/28/2023

HSBC USA Inc. 0.00% due 11/27/2026

HSBC USA Inc. 7.80% due 11/28/2022

HSBC USA Inc. 8.35% due 11/28/2022

HSBC USA Inc. 0.00% due 11/24/2025

HSBC USA Inc. 0.00% due 11/25/2024

HSBC USA Inc. 7%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 11/25/2024

HSBC USA Inc. 8.25%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 11/25/2024

HSBC USA Inc. 9.15%, payable quarterly if asset closes at or above coupon trigger on related observation date; Coupon trigger: $475.16; 70% of initial value due 11/24/2023

HSBC USA Inc. 9.2% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $426.54; 75% of initial level due 11/22/2024

HSBC USA Inc. 16% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $1,267.95; 75% of initial level due 11/22/2024

HSBC USA Inc. 0.00% due 11/24/2025

HSBC USA Inc. 0.00% due 11/22/2024

HSBC USA Inc. 7% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $55.65 for ETF, 1,782.756 for Russell, 12,231.0525 for Nasdaq; 75% of initial levels due 8/22/2023

HSBC USA Inc. 9.33% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $77.2655 for IBM, $32.708 for Intel, $34.06 for Verizon; 65% of initial levels due 11/18/2024

HSBC USA Inc. 0.00% due 11/29/2023

HSBC USA Inc. 0.00% due 11/20/2023

HSBC USA Inc. 0.00% due 11/17/2026

HSBC USA Inc. 0.00% due 11/18/2024

HSBC USA Inc. 14.35% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $24.61, 50% of initial price due 11/18/2024

HSBC USA Inc. 16% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $24.61, 50% of initial prices due 11/18/2024

HSBC USA Inc. 13.5% annual rate, payable quarterly if the stock closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $29.125, 50% of initial price due 11/18/2024

HSBC USA Inc. 11% annual rate, payable quarterly if each asset closes at or above coupon trigger on related observation date; Coupon trigger: $31.665; 75% of initial value due 11/16/2023

HSBC USA Inc. 11.75% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $134.251; 65% of initial level due 11/15/2024

HSBC USA Inc. 6.17% annual rate, contingent based on the number of days both indexes close above their 75% accrual coupon barrier, calculated quarterly; Coupon barrier levels: 1,808.832 for Russell, 3,512.138 for S&P; 75% of initial levels due 11/17/2026

HSBC USA Inc. 6.17% annualized, accruing each day that all indexes close at or above coupon barrier; paid quarterly; Coupon barriers: 1,808.832 for Russell, 3,512.138 for S&P; 75% of initial levels due 11/17/2026

HSBC USA Inc. 0.00% due 8/16/2023

HSBC USA Inc. 0.00% due 11/14/2024

HSBC USA Inc. 0.00% due 11/15/2024

HSBC USA Inc. 18.88% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $123.252 for Paypal, $1,025.988 for MercadoLibre, $14.55 for Palantir; 60% of initial levels due 11/16/2026

HSBC USA Inc. 5.25% due 5/16/2023

HSBC USA Inc. 8% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; coupon payments will include any previously unpaid coupons due 11/14/2023

HSBC USA Inc. 13.8%, payable quarterly if each asset closes at or above coupon trigger on related observation date; Coupon trigger: $172.055; 65% of initial value due 11/9/2023

HSBC USA Inc. 14.25% per year, payable quarterly if the stock closes at or above the coupon barrier on the determination date for that period; Coupon barrier level: $611.045; 50% of initial level due 11/8/2024

HSBC USA Inc. 10% annual rate, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; coupon payments will include any previously unpaid coupons; Coupon threshold level: $230.60388; 67.6% of initial level due 11/23/2022

HSBC USA Inc. 11.4% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $20.709 for ETF, 2,998.8855 for S&P, 1,532.77865 for Russell; 65% of initial levels due 2/6/2023

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 7.6% per year, payable monthly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupon; Coupon triggers: 12,680.376 for Nasdaq, 1,837.7528 for Russell, 80% of initial levels due 12/5/2022

HSBC USA Inc. 0.00% due 11/3/2023

HSBC USA Inc. 0.00% due 11/3/2026

HSBC USA Inc. 0.00% due 11/3/2023

HSBC USA Inc. 0.00% due 11/3/2026

HSBC USA Inc. 12.8% per year, payable quarterly if each asset closes at or above coupon trigger on related observation date; Coupon trigger: $178.5225; 65% of initial value due 11/2/2023

HSBC USA Inc. 0.00% due 11/3/2026

HSBC USA Inc. 0.00% due 11/4/2024

HSBC USA Inc. 0.00% due 11/2/2023

HSBC USA Inc. 15%, payable quarterly if the stock closes at or above the barrier price on the relevant observation date due 10/31/2023

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 10/29/2025

HSBC USA Inc. 0.00% due 10/29/2024

HSBC USA Inc. 0.00% due 10/29/2026

HSBC USA Inc. 0.00% due 10/29/2024

HSBC USA Inc. 0.00% due 10/29/2026

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupon; Coupon triggers: 3,659.832 for S&P, 1,836.86 for Russell, 80% of initial levels due 5/1/2023

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 10/29/2026

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 10/25/2023

HSBC USA Inc. 0.00% due 6/14/2023

HSBC USA Inc. 0.00% due 7/12/2023

HSBC USA Inc. 0.00% due 10/29/2026

HSBC USA Inc. 0.00% due 4/28/2023

HSBC USA Inc. 17.8% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $625.8 for Tesla, $104.636 for Apple, $64.421 for Zillow, 70% of initial prices due 10/28/2024

HSBC USA Inc. 0.00% due 10/21/2026

HSBC USA Inc. 7.14% due 10/24/2022

HSBC USA Inc. 7.35% due 10/24/2022

HSBC USA Inc. 7.75% due 10/19/2022

HSBC USA Inc. 0.00% due 10/21/2024

HSBC USA Inc. 0.00% due 10/18/2023

HSBC USA Inc. 0.00% due 8/16/2023

HSBC USA Inc. 28.25% per year, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 10/18/2023

HSBC USA Inc. 25.5% per year, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 10/18/2023

HSBC USA Inc. 0.00% due 10/15/2026

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,647.6385 for Stoxx, 2,854.371 for S&P, 1,451.50785 for Russell; 65% of initial levels due 10/12/2023

HSBC USA Inc. 0.00% due 10/3/2025

HSBC USA Inc. 7.25% per year, payable monthly if each ETF closes at or above coupon trigger on observation date for that period; Coupon triggers: $324.825 for SPDR, $268.035 for QQQ; 75% of initial levels due 1/9/2023

HSBC USA Inc. 0.00% due 9/26/2023

HSBC USA Inc. 12.02% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: 1,552.229 for Russell, 10,130.484 for Nasdaq, $20.769 for ETF; 70% of initial levels due 10/7/2025

HSBC USA Inc. 12.46% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: $32.914 for Wells Fargo, $49.903 for Citi, $51.261 for Schwab; 70% of initial levels due 10/7/2022

HSBC USA Inc. 10.55%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 10/7/2024

HSBC USA Inc. 16.3% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $542.654 for Tesla, $99.855 for Apple, $1,910.475 for Alphabet, 70% of initial prices due 10/7/2024

HSBC USA Inc. 17% per year, payable quarterly if the stock closes at or above the coupon barrier on the determination date for that period; Coupon barrier level: $58.925; 50% of initial level due 10/4/2024

HSBC USA Inc. 0.00% due 10/5/2026

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 11.8% annual rate, payable quarterly if each stock closes at or above coupon barrier level on determination date for that quarter; Coupon barrier levels: $91.975 for Apple, $2,135.276 for Amazon, $63.2515 for Morgan Stanley, 65% of initial prices due 10/7/2024

HSBC USA Inc. 7.35% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons; Coupon triggers: 11,017.215 for Nasdaq, 1,653.279 for Russell, 3,230.655 for S&P; 75% of initial levels due 10/5/2022

HSBC USA Inc. 7.2% annual rate, payable monthly if each index closes at or above barrier level on determination date for that period; previously unpaid coupons will also be paid due 11/7/2022

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 0.00% due 10/5/2026

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 0.00% due 10/5/2026

HSBC USA Inc. 0.00% due 4/5/2024

HSBC USA Inc. 0.00% due 10/5/2026

HSBC USA Inc. 0.00% due 10/7/2024

HSBC USA Inc. 21.5% annual rate, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $67.662 for Affirm, $11.976 for Opendoor, 60% of initial prices due 10/4/2024

HSBC USA Inc. 13% annual rate, payable monthly if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $269.423 for Goldman, $30.149 for BofA, $70.245 for Advanced Micro, 70% of initial prices due 4/4/2023

HSBC USA Inc. 0.00% due 10/3/2024

HSBC USA Inc. 7.45% due 9/30/2022

HSBC USA Inc. 7.75% due 9/30/2022

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 6.8%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,110.177 for S&P, 70.63 for Stoxx Banks; 70% of initial levels due 9/30/2024

HSBC USA Inc. 5.8% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period; coupon payments will automatically include any previously unpaid coupons; Coupon triggers: 12,163.864 for Nasdaq, 1,824.8024 for Russell; 80% of initial levels due 3/30/2023

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 9/30/2026

HSBC USA Inc. 0.00% due 10/2/2024

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 12.05% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $204.2925 for ETF, 11,497.26 for Nasdaq, 1,686.0563 for Russell; 75% of initial levels due 9/28/2023

HSBC USA Inc. 21.9%, payable quarterly if each stock closes at or above coupon barrier level on determination date for that quarter; Coupon barrier levels: $154.567 for Nvidia, $49.826 for Citi, $113.421 for Pioneer, 70% of initial prices due 9/29/2023

HSBC USA Inc. 0.00% due 9/27/2023

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above coupon barrier on every trading day during the observation period; Coupon barriers: 2,910.957 for Stoxx, 3,118.836 for S&P, 1,573.6525 for Russell; 70% of initial levels due 9/28/2023

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,910.957 for Stoxx, 3,118.836 for S&P, 1,573.649 for Russell; 70% of initial levels due 9/28/2023

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 9/27/2024

HSBC USA Inc. 0.00% due 9/28/2026

HSBC USA Inc. 0.00% due 9/29/2025

HSBC USA Inc. 13.45%, payable quarterly if each stock closes at or above coupon barrier level on determination date for that quarter; Coupon barrier levels: $26.616 for Uber, $27.51 for Wells, $61.692 for AMD, 60% of initial prices due 9/27/2024

HSBC USA Inc. 0.00% due 9/23/2024

HSBC USA Inc. 0.00% due 9/22/2026

HSBC USA Inc. 0.00% due 9/22/2025

HSBC USA Inc. 0.00% due 9/22/2026

HSBC USA Inc. 10.5% per year, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $8.13 for Ford, $30.798 for GM, $455.694 for Tesla; 60% of initial levels due 9/23/2024

HSBC USA Inc. 20.65% per year, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $226.87 for Roku, $179.053 for Square, $209.909 for Microsoft; 70% of initial levels due 9/23/2024

HSBC USA Inc. 22.6% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; coupon payments will also include any previously unpaid coupons; Coupon triggers: $30.277 for United, $107.90 for Airbnb, $16.211 for Norwegian; 65% of initial levels due 9/14/2022

HSBC USA Inc. 8% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $70.329; 70% of initial level due 9/22/2022

HSBC USA Inc. 12.7% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $137.6025 for Disney, $442.0125 for Netflix; 75% of initial levels due 9/20/2024

HSBC USA Inc. 9.35% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 3,324.7425 for S&P, 3,098.13 for Stoxx, 1,677.65325 for Russell; 75% of initial levels due 9/21/2023

HSBC USA Inc. 0.00% due 9/20/2024

HSBC USA Inc. 0.00% due 9/16/2026

HSBC USA Inc. 0.00% due 9/21/2026

HSBC USA Inc. 0.00% due 9/15/2026

HSBC USA Inc. 12% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon trigger levels: $191.238 for Roku, $89.418 for Apple; 60% of initial levels due 3/20/2023

HSBC USA Inc. 0.00% due 9/19/2024

HSBC USA Inc. 7.4% annual rate, payable quarterly if each ETF closes at or above coupon barrier on observation date; Coupon barriers: $155.421 for Russell and $36.526 for Emerging Markets, 70% of initial levels due 9/18/2026

HSBC USA Inc. 11.75%, payable quarterly if each asset closes at or above coupon trigger on related observation date due 9/19/2023

HSBC USA Inc. 0.00% due 11/15/2023

HSBC USA Inc. 23.37% per year, payable monthly if each stock closes at or above coupon barrier level on determination date for that month; Coupon barrier levels: $441.762 for Tesla, $196.98 for Roku, $55.098 for Zillow; 60% of initial prices due 9/16/2024

HSBC USA Inc. 12%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month; Coupon trigger: 1,447.9049 for Russell, 2,898.077 for S&P, $20.475 for ETF; 65% of initial prices due 12/15/2022

HSBC USA Inc. 13.8% per year, payable quarterly if the stock closes at or above coupon barrier on every day that period; Coupon barrier: $115.64, 70% of initial share price due 9/13/2024

HSBC USA Inc. 10% per year, payable quarterly if stock closes at or above coupon barrier on determination date for that period; Coupon barrier: $25.9285, 65% of initial level due 9/13/2024

HSBC USA Inc. 7.4% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 11,580.5625 for Nasdaq, 3,343.935 for S&P, 1,670.6595 for Russell; 75% of initial levels due 9/14/2023

HSBC USA Inc. 8.86% annual rate, payable quarterly if each ETF closes at or above coupon barrier on observation date; Coupon barriers: $155.134 for Russell and $36.743 for Emerging Markets, 70% of initial levels due 9/15/2026

HSBC USA Inc. 3.95% per year, payable quarterly if each index closes at or above trigger level on determination date for that period due 9/14/2026

HSBC USA Inc. 9.68%, payable quarterly plus any previously unpaid coupons if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger price: $53.62; 70% of initial price due 3/14/2023

HSBC USA Inc. 0.00% due 9/13/2024

HSBC USA Inc. 0.00% due 12/13/2023

HSBC USA Inc. 6.90% due 9/12/2022

HSBC USA Inc. 8.15% due 9/12/2022

HSBC USA Inc. 0.00% due 9/9/2026

HSBC USA Inc. 25.32% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $440.142 for Tesla, $205.362 for Roku, $58.536 for Zillow; 60% of initial levels due 9/9/2022

HSBC USA Inc. 21.75% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $178.974 for Zoom, $205.362 for Roku, $250.02 for Moderna; 60% of initial levels due 9/9/2024

HSBC USA Inc. 10% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $231.304; 80% of initial level due 9/9/2022

HSBC USA Inc. 10.85% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 11,703.1875 for Nasdaq, 3,402.7125 for S&P, 1,728.01275 for Russell; 75% of initial levels due 9/8/2022

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above trigger level on determination date for that period due 9/3/2024

HSBC USA Inc. 16% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $265.566 for Facebook, $464.59 for Adobe, $51.59 for Micron; 70% of initial levels due 9/5/2023

HSBC USA Inc. 21% per year, payable quarterly if each stock closes at or above barrier level on observation date for that period due 9/5/2023

HSBC USA Inc. 7% per year, payable monthly if each index closes at or above 80% coupon trigger on observation date for that period, plus any previously unpaid coupons due 10/3/2022

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/3/2026

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 9.5% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 3,618.144 for S&P, 3,357.128 for Stoxx, 1,819.0192 for Russell; 80% of initial levels due 9/6/2024

HSBC USA Inc. 0.00% due 9/6/2023

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 9/2/2026

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 8.12%, payable quarterly if the stock closes at or above the 65% coupon trigger level on the relevant observation date due 9/3/2024

HSBC USA Inc. 10% per year, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $37.723 for Intel and $34.86 for General Motors; 70% of initial prices due 9/3/2024

HSBC USA Inc. 8.1% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $32.334 for Intel, $44.40 for Micron; 60% of initial levels due 8/31/2026

HSBC USA Inc. 15%, payable quarterly if the stock closes at or above 72.96% coupon trigger level on the relevant observation date due 8/31/2023

HSBC USA Inc. 11.25% per year, payable quarterly if the stock closes at or above coupon trigger on related observation date; Coupon trigger: $236.73; 75% of initial value due 8/31/2023

HSBC USA Inc. 7.25% annual rate, payable quarterly if stock closes at or above trigger price on the corresponding observation date due 9/1/2022

HSBC USA Inc. 0.00% due 11/1/2022

HSBC USA Inc. 0.00% due 8/30/2023

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 16.4723% per year, payable monthly if the stock closes at or above barrier price on observation date for that period due 2/28/2023

HSBC USA Inc. 6.75%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barriers: 3,129.0 for S&P, 67.788 for Stoxx Banks; 70% of initial levels due 9/3/2024

HSBC USA Inc. 5.65% per year, payable quarterly if each index closes at or above 80% coupon trigger on observation date for that period; coupon payment events will automatically include any previously unpaid coupons due 2/28/2023

HSBC USA Inc. 0.00% due 8/29/2024

HSBC USA Inc. 0.00% due 8/27/2026

HSBC USA Inc. 0.00% due 8/29/2024

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 8.8% per year, payable quarterly if each underlier closes at or above coupon barrier on the relevant observation date; Coupon barriers: $60.2925 for ETF, 11,526.69 for Nasdaq, 1,679.452 for Russell; 75% of initial levels due 8/29/2024

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 15.4081% annual rate, payable monthly if stock closes at or above 80% coupon barrier on the corresponding observation date; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 8/29/2022

HSBC USA Inc. 13.8001% annual rate, payable monthly if stock closes at or above 90% coupon barrier on the corresponding observation date; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 8/29/2022

HSBC USA Inc. 0.00% due 8/27/2027

HSBC USA Inc. 0.00% due 8/31/2026

HSBC USA Inc. 12.85%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $75.1205 for Starbucks, $26.6305 for ViacomCBS and $108.017 for American Express; 60% of initial prices due 8/30/2024

HSBC USA Inc. 0.00% due 8/26/2026

HSBC USA Inc. 0.00% due 8/25/2026

HSBC USA Inc. 12.25% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; previously unpaid coupons will also be paid; Coupon triggers: $171.60 for DocuSign, $150.528 for RingCentral; 60% of initial levels due 8/26/2024

HSBC USA Inc. 9.85%, payable semiannually if each asset closes at or above trigger level on determination date for that period due 8/26/2024

HSBC USA Inc. 8.55%, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 8/26/2024

HSBC USA Inc. 6.85% per year, payable quarterly if the stock closes at or above coupon barrier on determination date for that period; Coupon barrier level: $46.576; 80% of initial level due 8/24/2023

HSBC USA Inc. 10.25% per year, payable quarterly if the stock closes at or above the coupon barrier on the determination date for that period; Coupon barrier level: $185.273; 55% of initial level due 8/23/2024

HSBC USA Inc. 0.00% due 1/12/2023

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 7.70% due 8/23/2022

HSBC USA Inc. 9.7% per year, payable quarterly if stock closes at or above coupon barrier on determination date for that period; Coupon barrier: $89.159, or 70% of initial share price due 8/22/2024

HSBC USA Inc. 11.2% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $1,388.61 for Chipotle, $394.215 for Domino�s, $48.00 for Restaurant; 75% of initial levels due 8/22/2024

HSBC USA Inc. 9.45% per year, payable quarterly if each stock closes at or above barrier level on observation date for that period due 8/20/2024

HSBC USA Inc. 11% per year, payable monthly if each stock closes at or above barrier level on observation date for that period due 8/21/2023

HSBC USA Inc. 7.75% per year, payable quarterly if each stock closes at or above barrier level on observation date for that period due 8/20/2026

HSBC USA Inc. 0.00% due 2/21/2023

HSBC USA Inc. 0.00% due 8/19/2024

HSBC USA Inc. 0.00% due 8/21/2023

HSBC USA Inc. 0.00% due 8/18/2026

HSBC USA Inc. 0.00% due 8/27/2027

HSBC USA Inc. 27.5% annual rate, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $21.60 for Blink and $26.382 for NIO, 60% of initial prices due 8/16/2024

HSBC USA Inc. 11.25% per year, payable quarterly if the stock closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $114.336; 60% of initial price due 8/27/2026

HSBC USA Inc. 10.5%, payable quarterly if the stock closes at or above 60% coupon trigger level on the relevant observation date due 8/17/2026

HSBC USA Inc. 5.40% due 8/16/2023

HSBC USA Inc. 4.15% due 8/16/2023

HSBC USA Inc. 11% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $2,036.0775 for Alphabet, $36.5775 for Wells Fargo; 75% of initial levels due 8/9/2024

HSBC USA Inc. 12% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $53.3025 for Apple, $53.3025 for Citigroup; 75% of initial levels due 8/9/2024

HSBC USA Inc. 12.5% per year, payable each quarter if each fund closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $30.288 for Financial, $56.752 for Consumer Staples, $39.608 for Energy; 80% of initial levels due 8/9/2024

HSBC USA Inc. 10.6% per year, payable quarterly if stock closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: $43.395, 75% of initial share price due 8/9/2024

HSBC USA Inc. 7.5% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $169.3445 for Target, $2,180.568 for Amazon, $282.776 for Costco; 65% of initial levels due 8/12/2024

HSBC USA Inc. 9.2196%, payable monthly if each stock closes at or above coupon trigger on determination date for that period; Coupon triggers: $101.843 for Walmart, $310.233 for Costco, $182.98 for Target, $2,363.193 for Amazon; 70% of initial levels due 2/12/2024

HSBC USA Inc. 0.00% due 2/21/2023

HSBC USA Inc. 7.15% per year, payable quarterly if the ETF closes at or above 70% coupon trigger level on the relevant observation date due 8/9/2024

HSBC USA Inc. 7.5% per year, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 8/12/2024

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above trigger level on determination date for that period due 8/5/2024

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above barrier level on determination date for that period due 7/31/2024

HSBC USA Inc. 8%, payable quarterly if each index closes at or above trigger level on determination date for that period due 8/5/2024

HSBC USA Inc. 29%, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 8/4/2023

HSBC USA Inc. 6.5%, payable quarterly if each index closes at or above trigger level on determination date for that period due 8/4/2026

HSBC USA Inc. 6% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 11,967.9 for Nasdaq, 1,780.9968 for Russell; 80% of initial levels due 9/6/2022

HSBC USA Inc. 0.00% due 8/4/2023

HSBC USA Inc. 0.00% due 8/2/2024

HSBC USA Inc. 12.00% due 2/6/2023

HSBC USA Inc. 0.00% due 8/4/2023

HSBC USA Inc. 0.00%

HSBC USA Inc. 0.00% due 8/4/2023

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 11.15% per year, payable quarterly if the stock closes at or above the trigger level on the review date for that quarter due 8/3/2023

HSBC USA Inc. 0.00% due 8/4/2026

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 8/3/2026

HSBC USA Inc. 0.00% due 8/30/2022

HSBC USA Inc. 6.8% per year, paid quarterly if each ETF closes at or above its coupon barrier on any related observation date; Coupon barrier levels: $295.82 for S&P 500 ETF, $94.017 for Biotech; 70% of initial levels due 7/31/2026

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 0.00% due 7/30/2025

HSBC USA Inc. 0.00% due 7/30/2024

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 6.5%, payable quarterly if each index closes at or above trigger level on determination date for that period due 7/30/2024

HSBC USA Inc. 19%, payable quarterly if the stock closes at or above barrier price on observation date for that quarter due 8/1/2022

HSBC USA Inc. 5.1% per year, payable quarterly if each index closes at or above barrier level on observation date for that period, plus any previously unpaid coupon due 1/30/2023

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 0.00% due 1/30/2024

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 9%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger: 64.757 for Euro Stoxx Banks and 10,469.879 for Nasdaq, 70% of initial prices due 7/30/2026

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 12.25% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $2,589.874 for Amazon, $182.602 for Target, $296.261 for Costco, $99.841 for Walmart; 70% of initial levels due 7/31/2023

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 0.00% due 7/28/2026

HSBC USA Inc. 0.00% due 7/28/2025

HSBC USA Inc. 0.00% due 7/30/2025

HSBC USA Inc. 15.5% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $10.524 for Luminar, $386.028 for Tesla; 60% of initial levels due 7/29/2024

HSBC USA Inc. 11% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; coupon payments will also include any previously unpaid coupons; Coupon triggers: $89.136 for Apple, $276.432 for Dexcom, $35.352 for Marvell; 60% of initial levels due 7/29/2024

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 8.35% per year, payable semiannually if each underlier closes at or above trigger level on determination date for that period due 7/29/2024

HSBC USA Inc. 7%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 7/29/2024

HSBC USA Inc. 7.5% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 12,089.432 for Nasdaq, 3,529.432 for S&P, 1,767.7192 for Russell; 80% of initial levels due 7/27/2023

HSBC USA Inc. 6.4% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,670.915 for Stoxx, 2,867.6635 for S&P, 1,436.2719 for Russell; 65% of initial levels due 1/26/2024

HSBC USA Inc. 0.00% due 7/27/2026

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 7/27/2023

HSBC USA Inc. 0.00% due 7/27/2026

HSBC USA Inc. 8.65% per year, payable quarterly if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $106.8375 for Apple, $1,868.67 for Alphabet, $207.7575 for Microsoft; 75% of initial levels due 7/24/2024

HSBC USA Inc. 0.00% due 7/23/2026

HSBC USA Inc. 10% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon trigger levels: $239.994 for Roku, $42.372 for Trade Desk; 60% of initial levels due 7/21/2023

HSBC USA Inc. 8.45%, payable quarterly if stock closes at or above trigger level on determination date for that quarter due 7/22/2024

HSBC USA Inc. 0.00% due 7/22/2024

HSBC USA Inc. 10% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barriers: $109.7925 for Apple, $2,680.2225 for Amazon, $210.5625 for Microsoft; 75% of initial levels due 7/19/2024

HSBC USA Inc. 8.00% due 7/20/2023

HSBC USA Inc. 0.00% due 7/19/2024

HSBC USA Inc. 6.45%, payable quarterly if each index closes at or above trigger level on determination date for that period due 1/20/2023

HSBC USA Inc. 0.00% due 7/20/2026

HSBC USA Inc. 9.3% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $37.716 for ETF, 20,025.943 for Nikkei, 63.854 for Stoxx Banks; 70% of initial levels due 7/20/2026

HSBC USA Inc. 0.00% due 7/19/2024

HSBC USA Inc. 17.35% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $139.895 for Alibaba, $46.711 for Citigroup, $29.624 for Wells Fargo; 70% of initial levels due 7/16/2024

HSBC USA Inc. 8.65% per year, payable quarterly if each underlier closes at or above coupon barrier on the relevant observation date; Coupon barriers: $59.61 for ETF, 3,276.908 for S&P, 1,679.148 for Russell; 75% of initial levels due 7/18/2022

HSBC USA Inc. 7.1% per year, payable each quarter if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,495.64 for S&P, 11,860.872 for Nasdaq, 1,824.004 for Russell; 80% of initial levels due 7/13/2023

HSBC USA Inc. 6.75% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,847.663 for Stoxx, 3,058.685 for S&P, 1,596.0035 for Russell; 70% of initial levels due 1/12/2024

HSBC USA Inc. 0.00% due 7/13/2023

HSBC USA Inc. 0.00% due 7/13/2026

HSBC USA Inc. 17.35% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $139.895 for Alibaba, $46.711 for Citi, $29.624 for Wells Fargo; 70% of initial levels due 7/16/2024

HSBC USA Inc. 11.5% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $97.797 for Walmart, $283.276 for Costco, $2,587.606 for Amazon, $173.285 for Target; 70% of initial levels due 7/12/2023

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 7.89% per year, paid quarterly if each ETF closes at or above its coupon barrier on related observation date; Coupon barrier levels: $304.122 for S&P 500 ETF, $91.945 for Biotech; 70% of initial levels due 7/10/2026

HSBC USA Inc. 7.89% per year, paid quarterly if each ETF closes at or above its coupon barrier on any related observation date; Coupon barrier levels: $304.122 for S&P 500 ETF, $91.945 for Biotech; 70% of initial levels due 7/10/2026

HSBC USA Inc. 12% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $81.765 for Teladoc, $34.005 for Tenet; 50% of initial levels due 7/9/2026

HSBC USA Inc. 0.00%

HSBC USA Inc. 0.00% due 7/9/2024

HSBC USA Inc. 0.00% due 7/11/2024

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 29% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $2,106.588 for Amazon, $26.964 for Virgin Galactic; 60% of initial levels due 7/10/2023

HSBC USA Inc. 0.00% due 7/10/2023

HSBC USA Inc. 0.00%

HSBC USA Inc. 0.00% due 7/8/2026

HSBC USA Inc. 0.00% due 7/6/2026

HSBC USA Inc. 0.00% due 7/8/2026

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 12.25%, payable quarterly if each fund closes at or above coupon barrier level on determination date for that period; Coupon barriers: $43.096 for Energy and $29.352 for Financial ETF, 80% of initial levels due 7/8/2024

HSBC USA Inc. 6.35% per year, payable monthly if each index closes at or above barrier level on observation date for that period, plus any previously unpaid coupon due 8/8/2022

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 7/6/2026

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 1/8/2024

HSBC USA Inc. 0.00% due 7/8/2024

HSBC USA Inc. 0.00% due 7/6/2026

HSBC USA Inc. 0.00% due 6/30/2026

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 6/26/2024

HSBC USA Inc. 0.00% due 7/30/2026

HSBC USA Inc. 10.05% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $50.73 for ETF, 25,825.38 for Dow, 10,758.885 for Nasdaq; 75% of initial levels due 6/28/2023

HSBC USA Inc. 13.8%, payable quarterly if the stock closes at or above barrier price on observation date for that quarter due 6/28/2023

HSBC USA Inc. 5.2%, payable quarterly if each index closes at or above trigger level on determination date for that period, plus any previously unpaid coupon due 6/6/2022

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 6/30/2026

HSBC USA Inc. 0.00% due 1/2/2024

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 6.05% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $79.866 for Apple, $2,040.876 for Amazon, $159.012 for Microsoft; 60% of initial levels due 6/28/2024

HSBC USA Inc. 0.00% due 6/30/2026

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 11.4% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $133.4475 for Disney, $1,684.6725 for Booking, $50.2275 for TJX, 75% of initial levels due 6/29/2022

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 12.168% annual rate, payable monthly if stock closes at or above trigger level on the corresponding observation date; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 6/28/2022

HSBC USA Inc. 11.4% per year, payable quarterly if each stock closes at or above barrier level on observation date for that period due 6/28/2024

HSBC USA Inc. 25.3% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $94.85 for Applied, $167.083 for Workday, $31.787 for NIO; 70% of initial levels due 6/28/2024

HSBC USA Inc. 7.5% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,853.158 for Stoxx, 2,969.288 for S&P, 1,612.4283 for Russell; 70% of initial levels due 1/2/2024

HSBC USA Inc. 7% per year, paid quarterly, if each ETF closes at or above its coupon barrier on any related observation date; Coupon barrier levels: $295.82 for S&P 500 ETF, $94.017 for Biotech; 70% of initial levels due 6/26/2026

HSBC USA Inc. 13.56%, payable quarterly if stock closes at or above coupon trigger on related observation date; Coupon trigger: $115.687; 65% of initial value due 6/27/2023

HSBC USA Inc. 7.48% due 6/24/2022

HSBC USA Inc. 0.00% due 6/23/2026

HSBC USA Inc. 0.00% due 6/23/2025

HSBC USA Inc. 20.5%, payable monthly if the stock closes at or above the coupon trigger level on the relevant observation date; Coupon trigger: $14.046; 60% of initial price due 6/23/2023

HSBC USA Inc. 8.75% per year, payable monthly if each ETF closes at or above 75% coupon trigger on observation date for that period due 6/23/2026

HSBC USA Inc. 8.75% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon trigger levels: $112.073 for Disney, $325.5005 for Netflix; 65% of initial levels due 6/24/2024

HSBC USA Inc. 5.00% due 6/23/2023

HSBC USA Inc. 7.3%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 6/24/2024

HSBC USA Inc. 8.4%, payable semiannually if each underlier closes at or above barrier level on determination date for that period due 6/24/2024

HSBC USA Inc. 8.4%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that period; Coupon trigger: $93.506 for ETF and 2,916.515 for S&P, 70% of initial prices due 6/24/2024

HSBC USA Inc. 7.3%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that period; Coupon trigger: $93.506 for ETF and 2,916.515 for S&P, 70% of initial prices due 6/24/2024

HSBC USA Inc. 0.00% due 7/7/2022

HSBC USA Inc. 0.00% due 6/23/2026

HSBC USA Inc. 7.42% per year, paid quarterly if each ETF closes at or above its coupon barrier on related observation date; Coupon barrier levels: $290.44 for S&P 500 ETF, $36.67 for Energy; 70% of initial levels due 6/23/2026

HSBC USA Inc. 0.00% due 8/21/2023

HSBC USA Inc. 0.00% due 7/7/2022

HSBC USA Inc. 13% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period; Coupon triggers: $36.416 for Delta, 1,851.7528 for Russell, 11,186.408 for Nasdaq; 80% of initial levels due 6/23/2025

HSBC USA Inc. 8.55%, payable quarterly if each index closes at or above trigger level on determination date for that period due 6/22/2026

HSBC USA Inc. 5.1%, payable monthly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 2,892.869 for Stoxx, 1,628.3015 for Russell, 24,075.625 for Dow; 70% of initial levels due 9/19/2022

HSBC USA Inc. 12%, payable quarterly if the stock closes at or above the barrier level on the relevant observation date due 6/19/2023

HSBC USA Inc. 0.00% due 6/19/2023

HSBC USA Inc. 0.00% due 6/17/2024

HSBC USA Inc. 15.25% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $47.604 for Micron, $44.868 for Western, $58.062 for Seagate, 60% of initial levels due 6/17/2024

HSBC USA Inc. 10.25% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $89.145 for Apple, $1,701.14 for Alphabet, $342.139 for Netflix; 70% of initial levels due 6/14/2024

HSBC USA Inc. 8.25% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period; Coupon barrier levels: $177.6975 for McDonald�s, $98.955 for NIKE; 75% of initial levels due 6/14/2024

HSBC USA Inc. 7% per year, payable each quarter if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,397.952 for S&P, 11,198.64 for Nasdaq, 1,868.6464 for Russell; 80% of initial levels due 6/15/2023

HSBC USA Inc. 0.00% due 6/14/2024

HSBC USA Inc. 0.00% due 5/20/2026

HSBC USA Inc. 9.5% per year, payable quarterly if each stock closes at or above 60% coupon trigger on observation date for that period; previously unpaid coupons will also be paid due 6/14/2024

HSBC USA Inc. 0.00% due 6/27/2024

HSBC USA Inc. 0.00% due 6/22/2022

HSBC USA Inc. 6% per year, payable quarterly if the ETF closes at or above coupon trigger level on the relevant observation date; Coupon trigger level: $88.732, 70% of initial price due 6/10/2024

HSBC USA Inc. 0.00% due 5/19/2025

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 28.75% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $82.803 for Zillow, $60.508 for CVS, $235.20 for Twilio; 70% of initial levels due 5/31/2023

HSBC USA Inc. 10.25% per year, payable each quarter if each stock closes at or above coupon barrier level on determination date for that period; Coupon barrier levels: $33.376 for Delta, $43.022 for Southwest; 70% of initial levels due 5/31/2024

HSBC USA Inc. 0.00% due 6/16/2022

HSBC USA Inc. 15% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,645.864 for Stoxx, 2,732.6715 for S&P, 1,474.8318 for Russell; 65% of initial levels due 12/1/2023

HSBC USA Inc. 0.00% due 6/29/2022

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 0.00% due 6/29/2022

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 6/2/2025

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 7% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 10,926.28 for Nasdaq, 1,818.4584 for Russell; 80% of initial levels due 7/5/2022

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/28/2027

HSBC USA Inc. 0.00% due 6/2/2023

HSBC USA Inc. 0.00% due 6/2/2026

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 6/10/2022

HSBC USA Inc. 0.00% due 6/2/2023

HSBC USA Inc. 0.00% due 5/26/2023

HSBC USA Inc. 0.00% due 6/2/2026

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/28/2027

HSBC USA Inc. 0.00% due 6/3/2024

HSBC USA Inc. 0.00% due 5/28/2026

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 6.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Coupon barrier levels: 3,357.64 for S&P, 1,781.8704 for Russell, 10,913.4 for Nasdaq; 80% of initial levels due 5/30/2023

HSBC USA Inc. 6% per year, payable quarterly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 10,913.40 for Nasdaq, 1,781.8704 for Russell; 80% of initial levels due 11/28/2022

HSBC USA Inc. 0.00% due 5/24/2024

HSBC USA Inc. 0.00% due 5/27/2026

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 11/28/2025

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. 0.00% due 5/27/2026

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 0.00% due 5/5/2026

HSBC USA Inc. 0.00% due 5/26/2026

HSBC USA Inc. 10.6%, payable quarterly if each asset closes at or above barrier level on observation date for that quarter due 5/25/2023

HSBC USA Inc. 0.00% due 5/24/2023

HSBC USA Inc. 8.2%, payable semiannually if each asset closes at or above trigger level on determination date for that period due 5/28/2024

HSBC USA Inc. 9.45%, payable semiannually if each asset closes at or above trigger level on determination date for that period due 5/28/2024

HSBC USA Inc. 10.5%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month due 8/26/2022

HSBC USA Inc. 12.75%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month due 8/26/2022

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 12.00% due 6/3/2022

HSBC USA Inc. 26.15% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $99.784 for Wynn and $59.72 for Advanced Micro Devices, 80% of initial levels due 5/20/2024

HSBC USA Inc. 25% per year, payable quarterly if each stock closes at or above 60% coupon trigger on observation date for that period, plus any previously unpaid coupon due 5/20/2022

HSBC USA Inc. 0.00% due 5/17/2023

HSBC USA Inc. 0.00% due 5/18/2023

HSBC USA Inc. 7.1% per year, payable quarterly if stock closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: $52.72, 80% of initial share price due 5/18/2023

HSBC USA Inc. 0.00% due 5/28/2027

HSBC USA Inc. 10.1% per year, payable quarterly if each stock closes at or above barrier level on observation date for that period due 5/18/2026

HSBC USA Inc. 0.00% due 5/17/2024

HSBC USA Inc. 0.00% due 5/14/2025

HSBC USA Inc. 7.30% due 5/16/2022

HSBC USA Inc. 6.20% due 5/16/2022

HSBC USA Inc. 9.5% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon trigger levels: $82.71 for Qualcomm, $47.286 for AMD; 60% of initial levels due 5/11/2026

HSBC USA Inc. 9.6%, payable monthly if each index closes at or above trigger level on determination date for that period due 5/13/2024

HSBC USA Inc. 0.00% due 5/12/2026

HSBC USA Inc. 9.1% per year, payable quarterly if shares close at or above coupon barrier level on determination date for that quarter; Coupon barrier: $44.2425, 75% of initial share price due 5/12/2022

HSBC USA Inc. 0.00% due 5/13/2024

HSBC USA Inc. 0.00% due 5/11/2023

HSBC USA Inc. 25.25% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 5/24/2022

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 5/5/2026

HSBC USA Inc. 13.85%, payable quarterly if the stock closes at or above the coupon trigger level on the observation date for that quarter due 5/4/2023

HSBC USA Inc. 8.4%, payable monthly if each index closes at or above trigger level on determination date for that period, plus any previously unpaid coupon due 6/6/2022

HSBC USA Inc. 0.00% due 5/5/2023

HSBC USA Inc. 0.00% due 5/5/2026

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 5/5/2023

HSBC USA Inc. 0.00% due 11/3/2023

HSBC USA Inc. 0.00% due 5/5/2026

HSBC USA Inc. 0.00% due 5/6/2024

HSBC USA Inc. 0.00% due 8/3/2022

HSBC USA Inc. 9.8% per year, payable quarterly if each asset closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 3,369.176 for S&P, $110.448 for ETF, 80% of initial levels

HSBC USA Inc. 0.00% due 5/3/2023

HSBC USA Inc. 8.05% due 5/2/2022

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 4/30/2026

HSBC USA Inc. 6%, payable quarterly if each index closes at or above trigger level on determination date for that period, plus any previously unpaid coupon due 10/31/2022

HSBC USA Inc. 0.00% due 4/30/2026

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 10/30/2025

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 4/30/2026

HSBC USA Inc. 0.00% due 4/28/2026

HSBC USA Inc. 0.00% due 4/28/2025

HSBC USA Inc. 0.00% due 4/28/2026

HSBC USA Inc. 0.00% due 4/28/2025

HSBC USA Inc. 0.00% due 4/28/2026

HSBC USA Inc. 11% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $80.916 for Applied Materials and $51.618 for Micron; 60% of initial levels due 4/27/2026

HSBC USA Inc. 11.2%, payable semiannually if each asset closes at or above trigger level on determination date for that period due 4/29/2024

HSBC USA Inc. 9.75% annual rate, payable semiannually if each asset closes at or above trigger level on determination date for that period due 4/29/2024

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 4/23/2025

HSBC USA Inc. 21.6% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $40.14 for Alaska Air Group, $10.20 for APA and $430.378 for Oneok; 60% of initial levels due 4/28/2022

HSBC USA Inc. 27.25% per year, payable monthly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $75.366 for Pinduoduo, $357.72 for Align and $431.394 for Tesla; 60% of initial levels due 4/28/2022

HSBC USA Inc. 7.75%, payable quarterly if the ETF closes at or above the barrier price on the relevant observation date due 4/22/2024

HSBC USA Inc. 0.00% due 4/20/2026

HSBC USA Inc. 0.00% due 4/30/2027

HSBC USA Inc. 0.00% due 10/19/2022

HSBC USA Inc. 0.00% due 4/30/2027

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 7.25% due 4/18/2022

HSBC USA Inc. 6.85% due 4/18/2022

HSBC USA Inc. 0.00% due 4/14/2026

HSBC USA Inc. 9% per year, payable quarterly if each stock closes at or above coupon trigger on observation date for that period; Coupon triggers: $32.142 for Comcast and $22.476 for Fox; 60% of initial levels due 4/14/2025

HSBC USA Inc. 0.00% due 4/14/2026

HSBC USA Inc. 9.2% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date; Coupon barriers: 10,318.875 for Nasdaq, 3,072.8775 for S&P, 2,983.3725 for Stoxx; 75% of initial levels due 4/13/2022

HSBC USA Inc. 0.00% due 4/8/2026

HSBC USA Inc. 9.7% annual rate, payable quarterly if stock closes at or above downside threshold level on determination date for that period due 4/4/2024

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 0.00% due 4/8/2024

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 0.00% due 1/6/2023

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 10.3% annual rate, payable quarterly if the ETF closes at or above coupon trigger level on observation date for that period; Coupon trigger level:

HSBC USA Inc. 8% annual rate, payable quarterly if each underlier closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 3,178.312 for S&P, $42.672 for ETF; 80% of initial levels due 4/6/2026

HSBC USA Inc. 11.05% per year, payable monthly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupons; Coupon triggers: 10,473.152 for Nasdaq, 1,776.4152 for Russell, 80% of initial levels due 5/6/2022

HSBC USA Inc. 0.00% due 4/6/2023

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 0.00% due 4/6/2023

HSBC USA Inc. 0.00% due 4/8/2024

HSBC USA Inc. 0.00% due 4/6/2026

HSBC USA Inc. 5.35% due 10/5/2022

HSBC USA Inc. 0.00% due 6/19/2023

HSBC USA Inc. 0.00% due 4/4/2024

HSBC USA Inc. 0.00% due 3/26/2024

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 0.00% due 1/3/2023

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 8% annual rate, payable quarterly if the ETF closes at or above coupon trigger level on observation date for that period; Coupon trigger level: $16.072, 50% of initial price due 4/1/2024

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that period, plus any previously unpaid coupons; Coupon triggers: 9,734.34 for Nasdaq, 1,666.1115 for Russell, 75% of initial levels due 6/30/2022

HSBC USA Inc. 6.95% per year, payable monthly if each index closes at or above barrier level on determination date for that period due 3/31/2026

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 0.00% due 3/26/2026

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 3/26/2026

HSBC USA Inc. 0.00% due 4/2/2024

HSBC USA Inc. 0.00% due 3/27/2026

HSBC USA Inc. 0.00% due 3/30/2026

HSBC USA Inc. 11%, payable quarterly if the stock closes at or above the barrier price on the observation date for that quarter due 3/26/2024

HSBC USA Inc. 0.00% due 3/24/2026

HSBC USA Inc. 14.85%, payable semiannually if each asset closes at or above barrier level on determination date for that period due 3/25/2024

HSBC USA Inc. 13%, payable semiannually if each asset closes at or above barrier level on determination date for that period due 3/25/2024

HSBC USA Inc. 0.00% due 6/23/2022

HSBC USA Inc. 0.00% due 9/23/2022

HSBC USA Inc. 0.00% due 3/28/2022

HSBC USA Inc. 0.00% due 3/23/2026

HSBC USA Inc. 7.27% due 3/21/2022

HSBC USA Inc. 0.00% due 3/19/2026

HSBC USA Inc. 0.00% due 3/19/2024

HSBC USA Inc. 0.00% due 3/18/2026

HSBC USA Inc. 0.00% due 3/18/2024

HSBC USA Inc. 0.00% due 10/4/2023

HSBC USA Inc. 0.00% due 3/18/2024

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. 0.00% due 3/12/2024

HSBC USA Inc. 0.00% due 3/10/2025

HSBC USA Inc. 0.00% due 3/13/2024

HSBC USA Inc. 8.04% due 3/14/2022

HSBC USA Inc. 8.10% due 3/14/2022

HSBC USA Inc. 8.5% annual rate, payable quarterly if each stock closes at or above barrier level on observation date for that period due 3/9/2026

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 30% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: $15.51 for ETF, $27.468 for stock; 60% of initial prices due 3/4/2024

HSBC USA Inc. 10.4%, payable quarterly if each asset closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: 2,858.3625 for S&P, 9,682.08 for Nasdaq and $341.1375 for S&P Midcap 400, 75% of initial prices due 3/2/2023

HSBC USA Inc. 10.5% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 10,327.552 for Nasdaq and 1,760.8408 for Russell, 80% of initial levels due 4/4/2022

HSBC USA Inc. 0.00% due 3/3/2023

HSBC USA Inc. 0.00% due 3/3/2026

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 16% per year, payable monthly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $39.032 for Exxon, $71.645 for Chevron and $17.913 for BP; 70% of initial levels due 3/2/2023

HSBC USA Inc. 8.60% due 3/2/2022

HSBC USA Inc. 9.50% due 3/2/2022

HSBC USA Inc. 8.25% due 3/2/2022

HSBC USA Inc. 8.40% due 3/2/2022

HSBC USA Inc. 6.95% due 3/2/2022

HSBC USA Inc. 0.00% due 3/2/2026

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 0.00% due 2/26/2026

HSBC USA Inc. 0.00% due 11/28/2022

HSBC USA Inc. 6.4% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 10,555.768 for Nasdaq, 1,785.05128 for Russell; 80% of initial levels due 2/26/2026

HSBC USA Inc. 6.75%, payable monthly if each index closes at or above barrier level on determination date for that period, plus any previously unpaid coupon due 5/26/2022

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 0.00% due 8/26/2025

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 0.00% due 2/23/2026

HSBC USA Inc. 0.00% due 2/27/2026

HSBC USA Inc. 12.95% annual rate, payable quarterly if each index closes at or above 70% coupon trigger on determination date for that period due 2/27/2023

HSBC USA Inc. 0.00% due 2/24/2026

HSBC USA Inc. 6.50% due 8/24/2022

HSBC USA Inc. 8.875%, payable quarterly if each index closes at or above coupon trigger level on determination date for that period; Coupon trigger levels: 9,506.546 for Nasdaq, 57.89 for Euro Stoxx Banks, 70% of initial levels due 2/24/2026

HSBC USA Inc. 13%, payable semiannually if each asset closes at or above barrier level on determination date for that period due 2/26/2024

HSBC USA Inc. 11.25%, payable semiannually if each asset closes at or above barrier level on determination date for that period due 2/26/2024

HSBC USA Inc. 20%, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 3/10/2022

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 2/22/2024

HSBC USA Inc. 0.00% due 2/20/2024

HSBC USA Inc. 0.00% due 1/6/2026

HSBC USA Inc. 0.00% due 2/17/2026

HSBC USA Inc. 0.00% due 3/18/2022

HSBC USA Inc. 0.00% due 2/12/2024

HSBC USA Inc. 8.15% annual rate, payable quarterly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $38.19 for Citigroup and $44.538 for Morgan Stanley, 60% of initial prices due 2/10/2026

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 10,956.016 for Nasdaq and 3,132.472 for S&P, 80% of initial levels due 2/13/2023

HSBC USA Inc. 0.00% due 4/5/2023

HSBC USA Inc. 8.6% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 2/8/2024

HSBC USA Inc. 8.5% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 2/8/2024

HSBC USA Inc. 25%, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 2/15/2023

HSBC USA Inc. 0.00% due 2/9/2026

HSBC USA Inc. 0.00% due 2/8/2027

HSBC USA Inc. 0.00% due 2/5/2026

HSBC USA Inc. 35.4% annual rate, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 2/17/2022

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 12.35%, payable quarterly if the stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier price: $337.875, 75% of initial price due 2/2/2023

HSBC USA Inc. 9.5%, payable monthly if each index closes at or above 80% trigger level on determination date for that period, plus any previously unpaid coupon due 3/3/2022

HSBC USA Inc. 0.00% due 2/3/2023

HSBC USA Inc. 0.00% due 2/3/2026

HSBC USA Inc. 0.00% due 12/26/2023

HSBC USA Inc. 0.00% due 3/25/2022

HSBC USA Inc. 0.00% due 1/27/2023

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 1/25/2024

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 1/29/2027

HSBC USA Inc. 0.00% due 2/2/2026

HSBC USA Inc. 0.00% due 2/1/2023

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 1/30/2026

HSBC USA Inc. 0.00% due 1/29/2026

HSBC USA Inc. 0.00% due 1/29/2024

HSBC USA Inc. 0.00% due 1/29/2026

HSBC USA Inc. 5.7%, payable monthly if each index closes at or above barrier level on determination date for that period due 1/26/2026

HSBC USA Inc. 0.00% due 7/29/2025

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 1/29/2024

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 1/29/2026

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 1/26/2026

HSBC USA Inc. 0.00% due 1/27/2026

HSBC USA Inc. 18.82% per year, payable quarterly if each stock closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: $249.21 for Zoom, $48.1845 for Morgan Stanley, $2,139.9495 for Amazon; 65% of initial levels due 1/29/2024

HSBC USA Inc. 9.85%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: 2,689.029 for S&P and $106.792 for ETF, 70% of initial prices due 1/29/2024

HSBC USA Inc. 11.1%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that quarter; Coupon trigger: 2,689.029 for S&P and $106.792 for ETF, 70% of initial prices due 1/29/2024

HSBC USA Inc. 8% annual rate, payable quarterly if each index closes at or above coupon trigger on determination date for that period due 1/26/2026

HSBC USA Inc. 0.00% due 1/25/2023

HSBC USA Inc. Each month, 11.3% per year if stocks close at or above trigger price on monthly observation date due 1/22/2024

HSBC USA Inc. 10.87% due 1/22/2024

HSBC USA Inc. 9% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 1/19/2024

HSBC USA Inc. 7.25% annual rate, if each index closes at or above coupon barrier level on a quarterly determination date; Coupon barrier levels: 1,592.40075 for Russell and 2,826.1875 for S&P, 75% of initial level due 1/20/2023

HSBC USA Inc. 0.00% due 8/3/2022

HSBC USA Inc. 0.00% due 1/21/2026

HSBC USA Inc. 0.00% due 1/29/2027

HSBC USA Inc. 0.00% due 9/21/2022

HSBC USA Inc. 0.00% due 2/15/2023

HSBC USA Inc. 0.00% due 3/11/2022

HSBC USA Inc. 0.00% due 3/22/2023

HSBC USA Inc. 10.5%, payable quarterly if each index closes at or above 70% coupon trigger on determination date for that period due 7/12/2023

HSBC USA Inc. 11.75%, payable quarterly if each asset closes at or above 60% coupon trigger level on observation date for that quarter due 1/8/2026

HSBC USA Inc. 16.75% per year, payable quarterly if each stock closes at or above 60% coupon trigger level on observation date for that period; previously unpaid coupons will also be paid due 1/9/2023

HSBC USA Inc. 6.60% due 1/5/2022

HSBC USA Inc. 7.50% due 1/5/2022

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 0.00% due 1/2/2024

HSBC USA Inc. 0.00% due 12/31/2025

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 12/26/2023

HSBC USA Inc. 8.8% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 1/24/2022

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 8.1%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 52.15 for Stoxx Banks, 8,916.726 for Nasdaq, 70% of initial levels due 12/23/2025

HSBC USA Inc. 0.00% due 12/23/2025

HSBC USA Inc. 0.00% due 12/26/2023

HSBC USA Inc. 0.00% due 2/8/2023

HSBC USA Inc. 0.00% due 1/5/2022

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 12/22/2023

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 5.25% per year, payable quarterly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 3/22/2022

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 6/22/2023

HSBC USA Inc. 0.00% due 12/22/2023

HSBC USA Inc. 0.00% due 3/22/2022

HSBC USA Inc. 0.00% due 12/22/2025

HSBC USA Inc. 0.00% due 12/23/2024

HSBC USA Inc. 0.00% due 4/5/2022

HSBC USA Inc. 0.00% due 12/18/2025

HSBC USA Inc. 10%, payable quarterly if the stock closes at or above coupon trigger level on observation date for that quarter due 12/18/2025

HSBC USA Inc. 0.00% due 12/18/2023

HSBC USA Inc. 0.00% due 12/18/2025

HSBC USA Inc. 0.00% due 12/20/2022

HSBC USA Inc. 0.00% due 10/19/2022

HSBC USA Inc. 0.00% due 12/18/2025

HSBC USA Inc. 0.00% due 12/18/2023

HSBC USA Inc. 6.00% due 6/17/2022

HSBC USA Inc. 0.00% due 12/18/2025

HSBC USA Inc. 16.25% annual rate, payable quarterly if the stock closes at or above 50% coupon trigger level on observation date for that period; previously unpaid coupons will also be paid due 12/18/2023

HSBC USA Inc. 8.75% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 12/14/2023

HSBC USA Inc. 0.00% due 3/22/2023

HSBC USA Inc. 0.00% due 12/16/2025

HSBC USA Inc. 0.00% due 12/14/2023

HSBC USA Inc. 0.00% due 12/10/2025

HSBC USA Inc. 0.00% due 12/22/2021

HSBC USA Inc. 5.19% per year, payable quarterly if each index closes at or above coupon barrier on each day during that period; Coupon barrier: 2,774.34, 75% of initial levels due 12/9/2030

HSBC USA Inc. 0.00% due 10/20/2022

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 12/3/2026

HSBC USA Inc. 0.00% due 6/3/2026

HSBC USA Inc. 9% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $78.6675, 75% of initial share price due 11/30/2023

HSBC USA Inc. 7.10% due 12/2/2021

HSBC USA Inc. 8.45% due 12/2/2021

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 9.55% per year, payable quarterly if stocks close at or above 65% coupon trigger price on observation date due 11/30/2023

HSBC USA Inc. 16.75% per year, payable quarterly if stocks close at or above 70% coupon trigger price on observation date due 12/1/2023

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 9.65% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 12/1/2021

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 8/30/2023

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 8.15%, payable monthly if each index closes at or above trigger level on determination date for that period due 8/30/2023

HSBC USA Inc. 9.6%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: 53.018 for Stoxx, 8,455.867 for Nasdaq and 1,279.4724 for Russell, 70% of initial prices due 9/2/2025

HSBC USA Inc. 8.9% per year, payable monthly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 12/30/2021

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 11/29/2022

HSBC USA Inc. 0.00% due 2/18/2025

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 12/1/2025

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 9.50% due 12/10/2021

HSBC USA Inc. 0.00% due 2/24/2023

HSBC USA Inc. 0.00% due 11/28/2022

HSBC USA Inc. 8.65% due 11/30/2021

HSBC USA Inc. 7.05% due 11/30/2021

HSBC USA Inc. 13.70% due 11/30/2021

HSBC USA Inc. 0.00% due 11/25/2025

HSBC USA Inc. 5.8%, payable monthly if each index closes at or above 80% of initial level on determination date for that period due 12/1/2025

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 11/24/2025

HSBC USA Inc. 7.9%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 49.602 for Stoxx, 8,389.801 for Nasdaq and 1,248.8938 for Russell, 70% of initial prices due 8/25/2025

HSBC USA Inc. 5.65% per year, payable quarterly plus any previously unpaid coupons if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 2/24/2022

HSBC USA Inc. 0.00% due 11/24/2025

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 5/24/2023

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 2/24/2022

HSBC USA Inc. 0.00% due 11/24/2025

HSBC USA Inc. 0.00% due 11/23/2022

HSBC USA Inc. 0.00% due 11/27/2024

HSBC USA Inc. 0.00% due 1/25/2023

HSBC USA Inc. 10.74% annual rate, payable quarterly if each stock closes at or above 55% coupon trigger level on observation date for that period due 11/20/2023

HSBC USA Inc. 11.14% per year, payable quarterly if funds close at or above 70% coupon trigger price on observation date for that quarter due 11/17/2022

HSBC USA Inc. 13.48% per year, payable quarterly if funds close at or above 70% coupon trigger price on observation date for that quarter due 11/17/2022

HSBC USA Inc. 0.00% due 11/18/2022

HSBC USA Inc. 11.5% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 5/18/2023

HSBC USA Inc. 0.00% due 11/6/2025

HSBC USA Inc. 0.00% due 11/4/2025

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 11.85%, payable monthly if each index closes at or above barrier level on determination date for that period due 12/6/2021

HSBC USA Inc. 0.00% due 11/4/2022

HSBC USA Inc. 0.00% due 11/4/2026

HSBC USA Inc. 0.00% due 11/4/2025

HSBC USA Inc. 0.00% due 11/4/2026

HSBC USA Inc. 0.00% due 11/4/2022

HSBC USA Inc. 11%, payable quarterly if each index closes at or above 70% coupon trigger level on observation date for that period due 8/4/2025

HSBC USA Inc. 0.00% due 11/4/2025

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 0.00% due 10/26/2022

HSBC USA Inc. 0.00% due 11/3/2025

HSBC USA Inc. 0.00% due 11/3/2023

HSBC USA Inc. 0.00% due 11/3/2025

HSBC USA Inc. 9%, payable quarterly if each index closes at or above 70% coupon trigger on determination date for that period due 8/4/2025

HSBC USA Inc. 0.00% due 1/12/2022

HSBC USA Inc. 0.00% due 8/17/2022

HSBC USA Inc. 0.00% due 10/31/2025

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 10/30/2025

HSBC USA Inc. 7% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 10/30/2025

HSBC USA Inc. 7.5% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 1/31/2022

HSBC USA Inc. 0.00% due 10/30/2025

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 0.00% due 10/30/2025

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 6.65% per year, payable monthly if each underlier closes at or above coupon barrier level on determination date; Coupon barriers: 75% of initial levels due 10/30/2025

HSBC USA Inc. 0.00% due 10/30/2025

HSBC USA Inc. 0.00% due 10/30/2024

HSBC USA Inc. 0.00% due 6/16/2022

HSBC USA Inc. 0.00% due 10/29/2025

HSBC USA Inc. 5.35%, payable semiannually if each index closes at or above 70% coupon trigger level on observation date for that period due 10/28/2025

HSBC USA Inc. 6.5%, payable semiannually if each index closes at or above 70% coupon trigger level on observation date for that period due 10/28/2025

HSBC USA Inc. 0.00% due 11/10/2021

HSBC USA Inc. 0.00% due 10/27/2025

HSBC USA Inc. 0.00% due 2/3/2022

HSBC USA Inc. 0.00% due 11/10/2021

HSBC USA Inc. 0.00% due 10/21/2025

HSBC USA Inc. 0.00% due 12/14/2022

HSBC USA Inc. 0.00% due 4/21/2023

HSBC USA Inc. 0.00% due 10/21/2025

HSBC USA Inc. 0.00% due 1/20/2022

HSBC USA Inc. 0.00% due 8/17/2022

HSBC USA Inc. 7.30% due 10/18/2021

HSBC USA Inc. 7.60% due 10/18/2021

HSBC USA Inc. 7.50% due 10/18/2021

HSBC USA Inc. 0.00% due 10/10/2023

HSBC USA Inc. 12.75% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 10/7/2021

HSBC USA Inc. 9.5% per year, payable semiannually if each ETF closes at or above coupon trigger level on determination date for that period; Coupon/barrier levels: 60% of initial levels due 10/6/2023

HSBC USA Inc. 8.2% per year, payable semiannually if each ETF closes at or above 60% coupon trigger level on determination date for that period due 10/6/2023

HSBC USA Inc. 0.00% due 1/31/2028

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 11% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 11/5/2021

HSBC USA Inc. 0.00% due 10/5/2022

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 10/5/2022

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 10/5/2023

HSBC USA Inc. 0.00% due 4/5/2022

HSBC USA Inc. 0.00% due 10/6/2025

HSBC USA Inc. 0.00% due 11/3/2021

HSBC USA Inc. 7.5% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,334.829 for S&P, 1,053.3089 for Russell and 19,216.862 for Dow, or 70% of initial levels due 9/27/2024

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 6.7%, payable quarterly if each index closes at or above trigger level on determination date for that period due 12/30/2021

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 3/30/2022

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 3/30/2022

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 0.00% due 3/30/2022

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 11.1% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 9/28/2023

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 9/30/2025

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 9/28/2023

HSBC USA Inc. 0.00% due 9/29/2025

HSBC USA Inc. 7.00% due 3/28/2022

HSBC USA Inc. 0.00% due 9/25/2025

HSBC USA Inc. 0.00% due 9/25/2023

HSBC USA Inc. 0.00% due 9/26/2022

HSBC USA Inc. Each quarter, 16.4% per year if stocks close at or above 60% coupon trigger price on observation date due 9/26/2022

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above trigger level on determination date for that period due 9/24/2025

HSBC USA Inc. 0.00% due 9/23/2025

HSBC USA Inc. 7%, payable semiannually if each index closes at or above 70% coupon trigger level on observation date for that period due 9/23/2025

HSBC USA Inc. 5.7%, payable semiannually if each index closes at or above 70% coupon trigger level on observation date for that period due 9/23/2025

HSBC USA Inc. 5% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 9/23/2025

HSBC USA Inc. 6.55% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 9/23/2025

HSBC USA Inc. 0.00% due 9/21/2023

HSBC USA Inc. 8.75% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,539.1175 for S&P, 1,164.24675 for Russell and 21,024.285 for Dow, or 75% of initial levels due 9/19/2024

HSBC USA Inc. 0.00% due 1/11/2023

HSBC USA Inc. 0.00% due 4/5/2022

HSBC USA Inc. 0.00% due 10/4/2023

HSBC USA Inc. 0.00% due 9/18/2025

HSBC USA Inc. 0.00% due 9/20/2022

HSBC USA Inc. 0.00% due 10/20/2022

HSBC USA Inc. 0.00% due 9/17/2025

HSBC USA Inc. 0.00% due 6/17/2024

HSBC USA Inc. 11.15% per year, payable monthly if the stock closes at or above 70% coupon trigger level on observation date for that month due 12/16/2021

HSBC USA Inc. 0.00% due 9/15/2025

HSBC USA Inc. 6%, payable quarterly if each index closes at or above 70% coupon barrier level on observation date for that quarter due 9/16/2030

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/15/2025

HSBC USA Inc. 0.00% due 9/14/2022

HSBC USA Inc. 0.00% due 9/12/2030

HSBC USA Inc. 28.50% due 9/10/2021

HSBC USA Inc. 0.00% due 9/11/2023

HSBC USA Inc. 0.00% due 9/8/2025

HSBC USA Inc. 11.76% per year, payable monthly if each stock closes at or above coupon trigger level on observation date for that month due 9/8/2023

HSBC USA Inc. 8.06%, payable quarterly if each index closes at or above 75% coupon trigger level on observation date for that quarter due 6/10/2024

HSBC USA Inc. 20% per year, payable monthly if the stock closes at or above 60% coupon trigger level on observation date for that month due 3/4/2022

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 10.5% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 10/4/2021

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,625.2325 for S&P, 1,171.407 for Russell and 21,322.5375 for Dow, or 75% of initial levels due 8/29/2024

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 3/3/2023

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/3/2025

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/3/2025

HSBC USA Inc. 0.00% due 12/3/2021

HSBC USA Inc. 32% per year, payable quarterly if each stock closes at or above trigger level on determination date for that period due 9/30/2022

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 8.05% due 9/2/2021

HSBC USA Inc. 8.25% due 9/2/2021

HSBC USA Inc. 0.00% due 9/1/2023

HSBC USA Inc. 0.00% due 9/1/2022

HSBC USA Inc. 34% per year, payable quarterly if stocks close at or above 60% coupon trigger prices on observation date for that quarter due 8/31/2023

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 0.00% due 8/29/2025

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 11.00% due 9/13/2021

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 8.88% per year, payable monthly if each asset closes at or above coupon barrier on determination date for that month; Coupon barriers: 60% of initial levels due 9/2/2025

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 11/30/2021

HSBC USA Inc. 6.20% due 9/30/2021

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 11/14/2022

HSBC USA Inc. 0.00% due 8/26/2025

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above trigger level on determination date for that period due 8/26/2025

HSBC USA Inc. 5% per year, payable quarterly if each ETF closes at or above 65% coupon trigger level on determination date for that period due 8/26/2025

HSBC USA Inc. 0.00% due 8/28/2025

HSBC USA Inc. 6% per year, payable semiannually if each index closes at or above barrier level on observation date for that period due 8/26/2025

HSBC USA Inc. 7.2% per year, payable semiannually if each index closes at or above barrier level on observation date for that period due 8/26/2025

HSBC USA Inc. 5.2% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 8/26/2025

HSBC USA Inc. 6.9% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 8/26/2025

HSBC USA Inc. 0.00% due 8/30/2022

HSBC USA Inc. 0.00% due 8/25/2023

HSBC USA Inc. 6% per year, payable monthly if each index closes at or above 70% coupon trigger level on observation date for that month due 5/24/2021

HSBC USA Inc. 0.00% due 8/21/2023

HSBC USA Inc. 10.5% per year, payable monthly if stocks close at or above 50% coupon trigger prices on observation date for that month due 8/21/2023

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter due 8/19/2024

HSBC USA Inc. 0.00% due 3/3/2023

HSBC USA Inc. 10.05% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 8/17/2023

HSBC USA Inc. 0.00% due 10/5/2021

HSBC USA Inc. 0.00% due 12/3/2021

HSBC USA Inc. Each month, 30% per year if stocks close at or above coupon trigger price on observation date for that month due 8/18/2025

HSBC USA Inc. 0.00% due 8/18/2025

HSBC USA Inc. 8% per year, payable monthly if each underlying closes at or above 60% coupon trigger level on observation date for that month due 8/19/2024

HSBC USA Inc. 0.00% due 8/25/2021

HSBC USA Inc. 0.00% due 12/21/2021

HSBC USA Inc. 0.00% due 8/10/2023

HSBC USA Inc. 6.20% due 8/11/2021

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 11%, payable monthly if each index closes at or above barrier level on observation date for that month due 11/5/2021

HSBC USA Inc. 12.4% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 9/7/2021

HSBC USA Inc. 9.9% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter due 7/29/2024

HSBC USA Inc. 7.1% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter due 7/29/2024

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/5/2025

HSBC USA Inc. 0.00% due 8/7/2023

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/5/2025

HSBC USA Inc. 0.00% due 8/7/2023

HSBC USA Inc. 0.00% due 11/3/2021

HSBC USA Inc. 8% per year, payable quarterly if index closes at or above trigger level on observation date for that quarter due 7/31/2030

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 8% per year, payable monthly if each index closes at or above barrier level on observation date for that month due 11/1/2021

HSBC USA Inc. 9.25% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 11/1/2021

HSBC USA Inc. 7.50% due 8/31/2021

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 0.00% due 7/31/2025

HSBC USA Inc. 0.00% due 8/2/2022

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 6% per year, payable semiannually if each index closes at or above trigger level on determination date for that period due 7/29/2025

HSBC USA Inc. 7.3% per year, payable semiannually if each index closes at or above trigger level on determination date for that period due 7/29/2025

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 7/26/2022

HSBC USA Inc. 10.25% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 7/29/2021

HSBC USA Inc. 0.00% due 10/5/2022

HSBC USA Inc. 18.5% per year, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 8/11/2021

HSBC USA Inc. 0.00% due 7/28/2023

HSBC USA Inc. 0.00% due 7/26/2022

HSBC USA Inc. 10.25% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,418.5475 for S&P, 1,104.98925 for Russell and 20,003.9625 for Dow, or 75% of initial levels due 7/22/2024

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 16% per year, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 8/4/2021

HSBC USA Inc. 19% per year, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 8/4/2021

HSBC USA Inc. 15% per year, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 8/4/2021

HSBC USA Inc. 0.00% due 8/25/2021

HSBC USA Inc. 0.00% due 7/21/2022

HSBC USA Inc. 0.00% due 3/9/2022

HSBC USA Inc. 0.00% due 4/20/2022

HSBC USA Inc. 0.00% due 7/20/2023

HSBC USA Inc. 0.00% due 1/12/2022

HSBC USA Inc. 0.00% due 10/20/2021

HSBC USA Inc. 0.00% due 6/15/2022

HSBC USA Inc. 6.75% due 7/14/2021

HSBC USA Inc. 14% per year, payable monthly if stock closes at or below trigger level on any monthly observation date; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or below trigger level due 10/14/2020

HSBC USA Inc. 0.00% due 7/10/2023

HSBC USA Inc. 0.00% due 7/20/2021

HSBC USA Inc. 23%, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 7/20/2021

HSBC USA Inc. 0.00% due 7/8/2025

HSBC USA Inc. 0.00% due 1/7/2022

HSBC USA Inc. 0.00% due 7/7/2022

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. Each month, 11.5% per year if stocks close at or above 55% coupon trigger prices on observation date due 7/6/2023

HSBC USA Inc. 13.1% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 80% of initial levels due 8/6/2021

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 7/7/2025

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 12% annualized, payable quarterly if each index closes at or above downside threshold on observation date for that quarter due 7/1/2024

HSBC USA Inc. 0.00% due 10/5/2021

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. 0.00% due 7/3/2023

HSBC USA Inc. 0.00% due 6/30/2026

HSBC USA Inc. Each quarter, 13% per year if stocks close at or above 60% coupon trigger price on observation date for that quarter due 12/30/2022

HSBC USA Inc. 13.5%, payable quarterly if the stock closes at or above 55% coupon trigger level on observation date for that quarter due 6/30/2025

HSBC USA Inc. 8.70% due 12/22/2020

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 11% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 6/29/2023

HSBC USA Inc. 0.00% due 6/22/2022

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 8/27/2021

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. Each month, 30% per year if stocks close at or above 50% coupon trigger prices on observation date for that month due 6/30/2025

HSBC USA Inc. Each month, 42.25% per year if stocks close at or above 60% coupon trigger prices on observation date for that month due 6/30/2025

HSBC USA Inc. 9.1% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 75% of initial levels due 9/30/2021

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/29/2021

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 8/27/2021

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 6/29/2022

HSBC USA Inc. 0.00% due 12/29/2021

HSBC USA Inc. 0.00% due 9/26/2022

HSBC USA Inc. 0.00% due 1/4/2023

HSBC USA Inc. 0.00% due 12/27/2021

HSBC USA Inc. 12% per year, payable quarterly if stock closes at or above trigger level on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above trigger level due 7/8/2021

HSBC USA Inc. 11.4% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,335.1175 for S&P, 1,069.89825 for Russell, 19,589.7075 for Dow, or 75% of initial levels due 6/24/2024

HSBC USA Inc. 8.05% due 12/22/2020

HSBC USA Inc. 32.20% due 12/22/2020

HSBC USA Inc. 0.00% due 6/22/2026

HSBC USA Inc. 0.00% due 6/20/2022

HSBC USA Inc. Each month, 10.5% per year if stocks close at or above 60% coupon trigger price on observation date due 6/19/2023

HSBC USA Inc. Each month, 12.5% per year if stocks close at or above 60% coupon trigger price on observation date for that month due 6/19/2023

HSBC USA Inc. 0.00% due 6/19/2025

HSBC USA Inc. 0.00% due 6/18/2026

HSBC USA Inc. Each quarter, 12% per year if stocks close at or above 60% coupon trigger price on observation date due 12/19/2022

HSBC USA Inc. 0.00% due 6/15/2023

HSBC USA Inc. 0.00% due 10/5/2021

HSBC USA Inc. Each quarter, 16.2% per year if stocks close at or above 70% coupon trigger price on observation date due 6/14/2021

HSBC USA Inc. 0.00% due 6/10/2025

HSBC USA Inc. 0.00% due 6/12/2023

HSBC USA Inc. 0.00% due 6/22/2022

HSBC USA Inc. 0.00% due 9/12/2022

HSBC USA Inc. 0.00% due 6/9/2025

HSBC USA Inc. 0.00% due 6/7/2023

HSBC USA Inc. 0.00% due 6/9/2025

HSBC USA Inc. 0.00% due 6/3/2022

HSBC USA Inc. 0.00% due 6/5/2023

HSBC USA Inc. Each month, 13% per year if stocks close at or above 60% coupon trigger price on observation date due 6/5/2023

HSBC USA Inc. 11% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,283.2325 for S&P, 1,045.52625 for Russell and 19,037.3325 for Dow, or 75% of initial levels due 5/30/2024

HSBC USA Inc. 0.00% due 6/3/2022

HSBC USA Inc. 0.00% due 6/3/2025

HSBC USA Inc. 0.00% due 6/3/2022

HSBC USA Inc. 0.00% due 6/3/2025

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 13.50% due 6/11/2021

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. Each month, 25.5% per year if stocks close at or above 60% coupon trigger price on observation date due 5/29/2025

HSBC USA Inc. 25.3% per year, payable monthly if stocks close at or above 60% coupon trigger prices on observation date for that month due 5/29/2025

HSBC USA Inc. 33% per year, payable monthly if stocks close at or above 60% coupon trigger prices on observation date for that month due 5/29/2025

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. 0.00% due 5/29/2025

HSBC USA Inc. 0.00% due 11/29/2022

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 0.00% due 11/29/2022

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 0.00% due 11/29/2022

HSBC USA Inc. 0.00% due 6/11/2021

HSBC USA Inc. 0.00% due 5/29/2025

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 5/29/2024

HSBC USA Inc. 0.00% due 5/29/2025

HSBC USA Inc. 0.00% due 5/29/2024

HSBC USA Inc. Each quarter, 13% per year if stocks close at or above 60% coupon trigger price on observation date due 11/28/2022

HSBC USA Inc. Each quarter, 16% per year if stocks close at or above 60% coupon trigger prices on observation date due 11/28/2022

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 5/29/2026

HSBC USA Inc. 0.00% due 5/29/2025

HSBC USA Inc. 0.00% due 8/24/2022

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 0.00% due 5/26/2023

HSBC USA Inc. Each month, 13.25% per year if stocks close at or above 60% coupon trigger prices on observation date due 5/22/2023

HSBC USA Inc. Each month, 14% per year if stocks close at or above 52.5% coupon trigger prices on observation date due 5/22/2023

HSBC USA Inc. 0.00% due 5/20/2022

HSBC USA Inc. 0.00% due 5/22/2023

HSBC USA Inc. 11% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,004.59 for S&P, 879.8944 for Russell and 16,579.794 for Dow, or 70% of initial levels due 5/20/2024

HSBC USA Inc. 0.00% due 5/22/2023

HSBC USA Inc. 0.00% due 5/20/2025

HSBC USA Inc. 0.00% due 5/20/2022

HSBC USA Inc. 0.00% due 11/21/2022

HSBC USA Inc. 0.00% due 5/20/2022

HSBC USA Inc. 0.00% due 11/21/2022

HSBC USA Inc. 0.00% due 5/20/2022

HSBC USA Inc. 0.00% due 5/20/2025

HSBC USA Inc. 0.00% due 4/18/2022

HSBC USA Inc. 0.00% due 11/3/2021

HSBC USA Inc. 29.5% per year, payable monthly if stocks close at or above 60% coupon trigger price on observation date for that month due 5/15/2025

HSBC USA Inc. 0.00% due 5/15/2025

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 15% per year, payable quartelry if stocks close at or above 60% coupon trigger price on observation date for that quarter due 11/14/2022

HSBC USA Inc. 17.25% per year, payable quarterly if stocks close at or above 60% coupon trigger price on observation date for that quarter due 11/14/2022

HSBC USA Inc. 8% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 5/15/2025

HSBC USA Inc. 10% per year, payable semiannually if each index closes at or above 80% coupon barrier level on observation date that period due 5/15/2025

HSBC USA Inc. 0.00% due 9/12/2022

HSBC USA Inc. 0.00% due 5/13/2024

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 11/14/2022

HSBC USA Inc. 0.00% due 5/8/2023

HSBC USA Inc. 0.00% due 4/22/2022

HSBC USA Inc. 9.04%, payable quarterly if each index closes at or above 70% coupon trigger level on observation date for that quarter due 2/7/2022

HSBC USA Inc. 12.7% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 80% of initial levels due 8/5/2021

HSBC USA Inc. 9.2% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,038.701 for S&P, 917.4648 for Russell and 17,042.004 for Dow, or 70% of initial levels due 4/29/2024

HSBC USA Inc. 0.00% due 5/5/2025

HSBC USA Inc. 0.00% due 5/5/2023

HSBC USA Inc. 0.00% due 5/5/2022

HSBC USA Inc. 0.00% due 5/5/2023

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 21% per year, payable monthly if each stock closes at or above 60% coupon trigger level on observation date for that month due 5/5/2025

HSBC USA Inc. 21.5%, payable quarterly if the stock closes at or above 50% coupon trigger level on observation date for that quarter due 5/4/2022

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 6.5%, payable quarterly if each index closes at or above 70% coupon trigger level on observation date for that quarter due 1/31/2022

HSBC USA Inc. 9.3%, payable monthly if each asset closes at or above 60% coupon trigger level on observation date for that month due 4/29/2024

HSBC USA Inc. 10.1% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 80% of initial levels due 7/30/2021

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 11/1/2021

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 14.75% per year, payable monthly if each stock closes at or above 50% coupon trigger level on observation date for that month due 5/1/2023

HSBC USA Inc. 14.25% per year, payable monthly if each stock closes at or above 60% coupon trigger level on observation date for that month due 5/1/2023

HSBC USA Inc. 12.1% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,127.555 for S&P, 924.78975 for Russell and 17,831.4525 for Dow, or 75% of initial levels due 4/22/2024

HSBC USA Inc. 0.00% due 11/15/2021

HSBC USA Inc. 0.00% due 4/29/2025

HSBC USA Inc. 15%, payable quarterly if each fund closes at or above coupon barrier level on determination date for that period; Coupon barriers: 51.75% of initial levels due 4/28/2022

HSBC USA Inc. 0.00% due 8/18/2021

HSBC USA Inc. 0.00% due 4/27/2023

HSBC USA Inc. 0.00% due 4/23/2026

HSBC USA Inc. 0.00% due 4/27/2022

HSBC USA Inc. 0.00% due 4/24/2024

HSBC USA Inc. 11.5% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,155.92 for S&P, 921.8235 for Russell and 2,166.225 for Stoxx, or 75% of initial levels due 4/22/2024

HSBC USA Inc. 0.00% due 4/22/2025

HSBC USA Inc. 15% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $22.725, 50% of initial share price due 4/20/2023

HSBC USA Inc. 0.00% due 4/20/2023

HSBC USA Inc. 12.9% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 989.8664 for Russell and 2,276.848 for S&P; 80% of initial levels due 7/19/2021

HSBC USA Inc. 9.2% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 989.8664 for Russell and 2,276.848 for S&P; 80% of initial levels due 7/19/2021

HSBC USA Inc. 0.00% due 4/17/2025

HSBC USA Inc. 0.00% due 4/17/2023

HSBC USA Inc. 0.00% due 4/17/2024

HSBC USA Inc. 0.00% due 4/18/2022

HSBC USA Inc. 0.00% due 4/17/2024

HSBC USA Inc. 0.00% due 4/15/2025

HSBC USA Inc. 0.00% due 4/23/2021

HSBC USA Inc. 12.3% per year, payable monthly if each underlier closes at or above coupon barrier level on determination date; Coupon barriers: $186.249 for Apple, $1,430.10 for Amazon.com, $27.559 for Morgan Stanley, $100.282 for Johnson & Johnson and $252.987 for Lockheed Martin; 70% of initial levels due 4/14/2023

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 0.00% due 3/24/2022

HSBC USA Inc. 14.26%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 2,067.672 for S&P, 922.4824 for Russell, 80% of initial prices due 7/6/2021

HSBC USA Inc. 8.46%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 1,809.213 for S&P, 807.1721 for Russell and 5,469.4493 for Nasdaq, 70% of initial prices due 4/3/2025

HSBC USA Inc. 9.30% due 7/6/2021

HSBC USA Inc. 0.00% due 4/3/2025

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 4/11/2023

HSBC USA Inc. 0.00% due 10/3/2022

HSBC USA Inc. 9.5%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $66.102 for Procter & Gamble and $74.934 for Kimberly-Clark, 60% of initial prices due 3/31/2023

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 5.7%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 1,841.049 for S&P, 826.2233 for Russell and 5,527.9896 for Nasdaq, 70% of initial prices due 3/31/2025

HSBC USA Inc. 11.6% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 944.2552 for Russell and 2,104.056 for S&P; 80% of initial levels due 6/30/2021

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 37.2% per year, payable monthly if stocks close at or above coupon trigger price on observation date; Coupon trigger: $41.562 for Chevron, $97.788 for McDonald�s, $23.778 for Valero; 60% of initial prices due 3/31/2025

HSBC USA Inc. 10.5%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 1,732.892 for S&P, 777.2555 for Russell and 5,228.7305 for Nasdaq, 70% of initial prices due 3/27/2025

HSBC USA Inc. 0.00% due 3/27/2024

HSBC USA Inc. 0.00% due 3/27/2023

HSBC USA Inc. 15.25%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 709.7223 for Russell, 13,421.786 for Dow, 4,896.0037 for Nasdaq, 70% of initial levels due 3/25/2027

HSBC USA Inc. 23%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 709.7223 for Russell, 13,421.786 for Dow, 4,896.0037 for Nasdaq, 70% of initial levels due 3/25/2025

HSBC USA Inc. 17.4%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that period; Coupon trigger: $44.928 for ETF and 1,498.198 for S&P, 65% of initial prices due 3/27/2023

HSBC USA Inc. 20.4%, payable semiannually if each underlying closes at or above coupon trigger level on observation date for that period; Coupon trigger: $44.928 for ETF and 1,498.198 for S&P, 65% of initial prices due 3/27/2023

HSBC USA Inc. 0.00% due 3/27/2024

HSBC USA Inc. 30% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $10.245, 50% of initial share price due 3/24/2021

HSBC USA Inc. 23.8% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 1,798.575 for S&P, 743.370 for Russell and 1,789.365 for Stoxx, or 75% of initial levels due 3/21/2024

HSBC USA Inc. 10.35%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 594.6984 for Russell, 11,939.352 for Dow, 4,305.1056 for Nasdaq, 60% of initial levels due 3/24/2025

HSBC USA Inc. 0.00% due 3/20/2023

HSBC USA Inc. 22%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $31.38 for CVS and $27.048 for Walgreens, 60% of initial prices due 3/20/2023

HSBC USA Inc. 0.00% due 3/19/2025

HSBC USA Inc. 0.00% due 4/22/2022

HSBC USA Inc. 0.00% due 3/20/2023

HSBC USA Inc. 0.00% due 3/18/2024

HSBC USA Inc. 0.00% due 3/18/2025

HSBC USA Inc. 46% per year, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $120.00 for Trade Desk, $13.56 for Uber and $26.34 for Advanced Micro Devices, 60% of initial levels due 3/18/2025

HSBC USA Inc. 13% per year, payable quarterly if stocks close at or above coupon barrier on related observation date; Coupon barriers: $95.298 for Microsoft, $728.562 for Alphabet, $95.298 for Apple, 60% of initial share price due 3/16/2023

HSBC USA Inc. 0.00% due 3/20/2023

HSBC USA Inc. 0.00% due 9/20/2021

HSBC USA Inc. 12.5%, payable quarterly if each underlying closes at or above coupon trigger level on observation date for that quarter; Coupon trigger: 5,596.6841 for Nasdaq, 847.0945 for Russell, $25.298 for ETF, 70% of initial prices due 3/18/2025

HSBC USA Inc. 29% per year, payable quarterly if each stock closes at or above downside threshold on any quarterly determination date; Downside thresholds: $50.052 for Chevron, $22.872 for Exxon; 60% of initial levels due 3/18/2021

HSBC USA Inc. 0.00% due 3/16/2023

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 5,596.684 for Nasdaq, 1,897.71 for S&P; 70% of initial levels due 3/18/2030

HSBC USA Inc. 41% per year, payable quarterly if each stock closes at or above downside threshold on each day during that quarter; Downside thresholds: $57.195 for Chevron, $27.885 for Exxon; 75% of initial levels due 3/17/2021

HSBC USA Inc. 11.65%, payable quarterly if each underlying closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 17,664.915 for Dow, 948.222 for Russell, 2,179.17 for Stoxx, $27.7125 for ETF, 75% of initial prices due 3/13/2030

HSBC USA Inc. 9.35%, payable quarterly if index closes at or above coupon barrier level on related quarterly observation date; Coupon barrier: 1,918.97, 70% of initial level due 3/16/2022

HSBC USA Inc. 0.00% due 3/13/2025

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 0.00% due 3/13/2025

HSBC USA Inc. 7.72%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month; Coupon trigger: $54.06 for ETF, 869.5326 for Russell and 1,783.422 for S&P, 60% of initial prices due 3/11/2024

HSBC USA Inc. 8.65%, payable quarterly if each underlying closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 2,080.659 for S&P, 1,014.4547 for Russell, $29.75 for ETF, 70% of initial prices due 3/13/2023

HSBC USA Inc. 18% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $61.062, 60% of initial share price due 3/11/2021

HSBC USA Inc. 6.1%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 18,284.896 for Dow, 2,116.758 for S&P and 1,035.1768 for Russell; 70% of initial levels due 3/10/2025

HSBC USA Inc. 8.1% plus any previously unpaid coupons, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $159.126 for Apple, $19.965 for AT&T, $90.4805 for Microsoft, 55% of initial prices due 9/7/2021

HSBC USA Inc. 7.5% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,008.6495 for index, $63.0175 for Health Care and $77.8765 for Consumer; 65% of initial levels due 3/5/2021

HSBC USA Inc. 11%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon trigger levels: 1,062.9437 for Russell, 18,692.324 for Dow, 57.652 for Stoxx Banks, 70% of initial levels due 3/5/2025

HSBC USA Inc. 8.85%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon trigger levels: 1,062.9437 for Russell, 18,692.324 for Dow, 57.652 for Stoxx Banks, 70% of initial levels due 3/5/2025

HSBC USA Inc. 0.00% due 3/6/2025

HSBC USA Inc. 12.4% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,107.32325 for Russell, 6,346.37625 for Nasdaq; 75% of initial levels due 12/4/2020

HSBC USA Inc. 8.2%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: 5,923.2845 for Nasdaq, 1,033.5017 for Russell and 2,067.954 for S&P, 70% of initial prices due 3/4/2025

HSBC USA Inc. 9.6% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,181.1448 for Russell and 2,363.376 for S&P; 80% of initial levels due 6/4/2021

HSBC USA Inc. 6.84% due 6/4/2021

HSBC USA Inc. 0.00% due 3/4/2025

HSBC USA Inc. 0.00% due 3/4/2022

HSBC USA Inc. 0.00% due 3/3/2022

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 5.15%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 5,923.2845 for Nasdaq, 1,033.5017 for Russell and 2,330.643 for Stoxx, 70% of initial levels due 3/4/2025

HSBC USA Inc. 0.00% due 3/4/2025

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 0.00% due 3/4/2022

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 3/3/2025

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 2/23/2023

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 2/16/2022

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 0.00% due 4/29/2021

HSBC USA Inc. 0.00% due 9/2/2021

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 8/29/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 11%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 68.46 for Euro Stoxx Banks and 2,346.1575 for S&P, 75% of initial prices due 2/28/2030

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 0.00% due 2/25/2025

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 2/27/2025

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 7%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: 20,294.687 for Dow, 6,612.6816 for Nasdaq and 68.908 for Stoxx Banks, 70% of initial prices due 11/26/2021

HSBC USA Inc. 11.2%, payable quarterly if the stock closes at or above coupon trigger price on observation date for that quarter, in which case the notes will pay any previously unpaid coupons as well; Coupon trigger price: $26.64, 50% of initial price due 2/27/2023

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 8/28/2024

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 7.45%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $58.356 for biotech, $59.664 for technology; 60% of initial levels due 2/28/2023

HSBC USA Inc. 8.7%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $58.356 for biotech, $59.664 for technology; 60% of initial levels due 2/28/2023

HSBC USA Inc. 8.75% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $52.504, 80% of initial share price due 2/24/2023

HSBC USA Inc. 10.65% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $32.424, 60% of initial share price due 2/24/2023

HSBC USA Inc. 0.00% due 4/22/2022

HSBC USA Inc. 0.00% due 12/15/2021

HSBC USA Inc. 9% per year, payable quarterly plus any previously unpaid contingent coupons if shares close at or above coupon barrier price on any quarterly observation date; Coupon barrier price: $144.6579, 81% of initial share price due 2/25/2022

HSBC USA Inc. 8% per year, payable quarterly plus any previously unpaid contingent coupons if shares close at or above coupon barrier price on any quarterly observation date; Coupon barrier price: $137.960775, 77.25% of initial share price due 3/10/2021

HSBC USA Inc. 9%, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier; Coupon barrier: $80.64693, 68.7% of initial share price due 2/25/2022

HSBC USA Inc. 10.5%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $16.825 for Schlumberger and $10.93 for Halliburton, 50% of initial prices due 2/21/2025

HSBC USA Inc. 0.00% due 2/20/2025

HSBC USA Inc. 7.75% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,535.12 for S&P, 1,265.688 for Russell and 2,880.7275 for Stoxx, or 75% of initial levels due 2/20/2024

HSBC USA Inc. 0.00% due 2/21/2023

HSBC USA Inc. 0.00% due 8/20/2021

HSBC USA Inc. 7%, payable monthly if stock closes at or above coupon barrier level on related monthly observation date; Coupon barrier: $99.31, 72.25% of initial price due 2/20/2025

HSBC USA Inc. 7%, payable monthly if stock closes at or above coupon barrier level on related monthly observation date; Coupon barrier: $132.06, 71.25% of initial price due 2/20/2025

HSBC USA Inc. 0.00% due 2/17/2023

HSBC USA Inc. 0.00% due 2/18/2025

HSBC USA Inc. 0.00% due 2/12/2025

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 20,371.757 for Dow, 69.748 for Stoxx and 1,159.7446 for Russell; 70% of initial levels due 2/12/2025

HSBC USA Inc. 0.00% due 2/14/2022

HSBC USA Inc. 6.65%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 1,076.9057 for Russell, 18,916.6315 for Dow, 6,110.7137 for Nasdaq, 65% of initial levels due 2/13/2023

HSBC USA Inc. 6.25% annualized, payable each quarter that each asset closes at or above its coupon barrier on the observation date for that quarter; Coupon trigger levels: 2,329.397 for S&P, 1,159.7446 for Russell and $37.786 for ETF; 70% of initial levels due 2/13/2023

HSBC USA Inc. 9.3% per year, payable quarterly if Blackstone Group shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $47.07, 75% of initial share price due 2/10/2023

HSBC USA Inc. 0.00% due 2/12/2025

HSBC USA Inc. 10%, payable quarterly if stock closes at or above coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier; Coupon barrier: $162.3975, 75% of initial level due 2/24/2021

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 72.5% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 2/24/2021

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 2/24/2021

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 6% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/trigger levels: 1,224.15375 for Russell, and 6,844.674 for Nasdaq, 75% of initial levels due 11/6/2020

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 7.8% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,291.2488 for Russell, 7,193.2096 for Nasdaq; 80% of initial levels due 3/5/2021

HSBC USA Inc. 7.15% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,129.8427 for Russell, 6,294.0584 for Nasdaq; 70% of initial levels due 2/5/2025

HSBC USA Inc. 7.7% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,291.2488 for Russell and 2,580.416 for S&P; 80% of initial levels due 5/5/2021

HSBC USA Inc. 5.00% due 8/5/2021

HSBC USA Inc. 6.10% due 5/5/2021

HSBC USA Inc. 0.00% due 2/5/2025

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 10.75%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 63.973 for Euro Stoxx Banks and 2,257.864 for S&P, 70% of initial prices due 2/5/2025

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 8.4% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $105.888, 80% of initial share price due 2/3/2023

HSBC USA Inc. 0.00% due 2/5/2025

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 5/5/2021

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 0.00% due 1/30/2025

HSBC USA Inc. 0.00% due 1/27/2023

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 9.7% plus any previously unpaid coupons, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: $88.257 for Caterpillar and $104.104 for Deere, 65% of initial prices due 1/31/2023

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 6.55%, payable quarterly if each ETF closes at or above coupon barrier on observation date; Coupon barriers: $114.75 for iShares Russell, $30.54 for EM; 70% of initial levels due 1/31/2025

HSBC USA Inc. 0.00% due 2/2/2023

HSBC USA Inc. 5.25%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 6,363.6531 for Nasdaq, 1,160.8198 for Russell and 2,293.368 for S&P; 70% of initial levels due 1/28/2030

HSBC USA Inc. 5.4% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,326.6512 for Russell and 2,620.992 for S&P; 80% of initial levels due 4/30/2021

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 8%, payable quarterly if index closes at or above coupon trigger on observation date for that quarter; Coupon trigger: 60.4305, 65% of initial level due 1/31/2025

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 8/2/2021

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 10% per year, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon triggers: 64.05 for Euro Stoxx Banks and 2,270.541 for S&P, 70% of initial prices due 1/30/2030

HSBC USA Inc. 0.00% due 1/29/2026

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. Each quarter, 8.1% per year if stocks close at or above coupon trigger price on observation date: Coupon triggers: $84.7385 for FedEx, $35.288 for Bristol and $177.6775 for Boeing; 55% of initial prices due 1/30/2023

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 9%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $54.45 for biotech, $58.458 for technology; 60% of initial levels due 1/31/2023

HSBC USA Inc. 7.8%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $54.45 for biotech, $58.458 for technology; 60% of initial levels due 1/31/2023

HSBC USA Inc. 10% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $21.462, 60% of initial share price due 1/27/2023

HSBC USA Inc. 0.00% due 1/24/2025

HSBC USA Inc. Each quarter, 9.5% per year if stocks close at or above trigger price on observation date; Coupon trigger/trigger prices: $27.9785 for Dow, $97.9165 for 3M, 55% of initial share price due 1/24/2025

HSBC USA Inc. 5%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 19,975.06 for Dow, 6,266.5253 for Nasdaq and 1,150.8966 for Russell; 70% of initial levels due 11/1/2021

HSBC USA Inc. Each quarter, 9% per year if stocks close at or above trigger price on observation date; Trigger prices: $79.1395 for IBM, $33.264 for Verizon, $26.983 for Cisco, 55% of initial share price due 1/24/2025

HSBC USA Inc. 8.75%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 7,350.86 for Nasdaq, 1,347.5704 for Russell and 3,025.832 for Stoxx; 80% of initial levels due 1/28/2030

HSBC USA Inc. 0.00% due 4/26/2022

HSBC USA Inc. 9%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 2,656.632 for S&P, 1,348.7184 for Russell and 3,031.296 for Stoxx; 80% of initial levels due 1/24/2023

HSBC USA Inc. 0.00% due 7/23/2021

HSBC USA Inc. 0.00% due 1/23/2023

HSBC USA Inc. 0.00% due 1/24/2022

HSBC USA Inc. 0.00% due 7/23/2021

HSBC USA Inc. 10.25% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $135.345, 70% of initial share price due 1/20/2023

HSBC USA Inc. 10.25% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $47.235, 75% of initial share price due 1/20/2023

HSBC USA Inc. 11.75% annualized, if stock closes at or above 60% coupon barrier on observation date for that quarter due 2/3/2021

HSBC USA Inc. 0.00% due 1/30/2025

HSBC USA Inc. 8% annualized, payable quarterly if each index closes at or above 75% coupon threshold on observation date for that quarter due 1/19/2024

HSBC USA Inc. Each quarter, 11.25% per year if stocks close at or above trigger price on observation date; Coupon trigger/trigger prices: $141.228 for American Tower, $181.884 for Broadcom, 60% of initial share price due 1/23/2023

HSBC USA Inc. 11.4%, payable quarterly if each stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier levels: $82.176 for Lear Corp., $252.57 for Lockheed Martin Corp. and $137.646 for Raytheon Co.; 60% of initial prices due 1/23/2023

HSBC USA Inc. 6.15%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier levels: 7,228.5336 for Nasdaq, 1,345.9168 for Russell and 2,631.432 for S&P, 80% of initial prices due 10/23/2020

HSBC USA Inc. 8.25%; payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 20,321.154 for Dow, 1,177.6772 for Russell, 66.556 for Stoxx; 70% of initial levels due 1/23/2025

HSBC USA Inc. 20% annualized, if stock closes at or above 60% coupon barrier on observation date for that quarter due 2/3/2021

HSBC USA Inc. 0.00% due 1/16/2025

HSBC USA Inc. 7.60% due 1/19/2021

HSBC USA Inc. 0.00% due 1/14/2027

HSBC USA Inc. 7.7% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 20,269.83 for Dow, 2,657.116 for Stoxx; 70% of initial levels due 1/14/2027

HSBC USA Inc. 0.00% due 1/13/2022

HSBC USA Inc. 5%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 17,123.064 for Dow, 1,001.0814 for Russell, 1,938.468 for S&P; 60% of its initial level due 1/7/2030

HSBC USA Inc. 12.1%, payable quarterly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $26.605 for Micron and $116.16 for Nvidia, 50% of initial price due 1/3/2023

HSBC USA Inc. 0.00% due 4/5/2021

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 6.5% annualized, payable quarterly if each index closes at or above 70% coupon threshold on observation date for that quarter due 12/28/2023

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,255.60575 for Russell, 2,832.495 for Stoxx; 75% of initial levels due 12/27/2029

HSBC USA Inc. 7.05%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier levels: 1,171.8987 for Russell, 2,256.807 for S&P and 2,643.662 for Stoxx, 70% of initial prices due 12/27/2029

HSBC USA Inc. 0.00% due 1/2/2024

HSBC USA Inc. 8.3% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,337.5216 for Russell, 6,942.7928 for Nasdaq; 80% of initial levels due 2/1/2021

HSBC USA Inc. 7.15%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier levels: 6,074.9437 for Nasdaq, 1,170.3314 for Russell and 2,254.854 for S&P, 70% of initial prices due 12/30/2024

HSBC USA Inc. 8.2% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,337.5216 for Russell and 2,576.976 for S&P; 80% of initial levels due 3/30/2021

HSBC USA Inc. 6.00% due 3/30/2021

HSBC USA Inc. 0.00% due 12/24/2024

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 7/1/2024

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 0.00% due 1/2/2024

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 8.8%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon/trigger levels: $58.02 for biotech, $54.57 for technology; 60% of initial levels due 12/30/2022

HSBC USA Inc. 10.1%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $58.02 for biotech, $54.57 for technology; 60% of initial levels due 12/30/2022

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/30/2021

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 5.25% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter; Barrier levels: 6,048.9037 for Nasdaq-100, 1,166.9658 for Russell 2000 and 2,243.759 for S&P 500, or 70% of initial levels due 12/27/2024

HSBC USA Inc. 5% per year, payable monthly if each index closes at or above barrier level on observation date for that month; Barrier levels: 1,333.6752 for Russell 2000 and 6,913.0328 for Nasdaq-100, or 80% of initial levels due 1/27/2021

HSBC USA Inc. 5.8% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter; Barrier levels: 1,333.6752 for Russell 2000 and 2,564.296 for S&P 500, or 80% of initial levels due 3/29/2021

HSBC USA Inc. 0.00% due 12/22/2022

HSBC USA Inc. 0.00% due 12/29/2022

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 6/27/2023

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 12/27/2024

HSBC USA Inc. 0.00% due 12/20/2024

HSBC USA Inc. 10.85%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 19,787.012 for Dow, 68.334 for Stoxx and 1,160.2948 for Russell, 70% of initial level due 12/20/2024

HSBC USA Inc. 9.1%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 19,787.012 for Dow, 68.334 for Stoxx Banks and 1,160.2948 for Russell, 70% of initial level due 12/20/2024

HSBC USA Inc. 5.2%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 2,234.764 for S&P, 1,160.2948 for Russell and 6,002.99 for Nasdaq; 70% of initial levels due 9/20/2021

HSBC USA Inc. 7.75%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 2,808.96 for Stoxx and 1,243.173 for Russell; 75% of initial levels due 12/20/2029

HSBC USA Inc. 6% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,247.168 for Euro Stoxx, 1,915.512 for S&P, 994.5384 for Russell; 60% of initial levels due 12/22/2022

HSBC USA Inc. 5% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,154.9573 for Russell, 19,765.123 for Dow, 5,999.2338 for Nasdaq, 70% of initial levels due 12/19/2024

HSBC USA Inc. 0.00% due 12/19/2024

HSBC USA Inc. 0.00% due 12/16/2024

HSBC USA Inc. 0.00% due 12/17/2024

HSBC USA Inc. 0.00% due 6/23/2021

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers/barrier levels: 1,142.3482 for Russell, 2,199.141 for S&P and 2,581.215 for Stoxx, or 70% of initial levels due 12/14/2023

HSBC USA Inc. 8.71% per year, payable quarterly if each index closes at or above coupon barrier on related valuation date; Coupon barriers: 2,765.5875 for Euro Stoxx, 2,356.2225 for S&P, 1,223.9445 for Russell; 75% of initial levels due 12/17/2029

HSBC USA Inc. 0.00% due 3/24/2022

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 20,911.29 for Dow, 6,265.71975 for Nasdaq and 1,223.7855 for Russell, 75% of initial level due 12/13/2024

HSBC USA Inc. 0.00% due 3/24/2022

HSBC USA Inc. 11% per year, payable quarterly if stock closes at or above barrier value on observation date for that quarter; Barrier level: $40.44, or 75% of initial share price due 12/9/2022

HSBC USA Inc. 5.5%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 19,610.542 for Dow, 5,878.1569 for Nasdaq, and 1,143.6859 for Russell; 70% of initial levels due 9/13/2021

HSBC USA Inc. 7.55%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 5,878.1569 for Nasdaq, 1,143.6859 for Russell, and 2,584.638 for Stoxx; 70% of initial levels due 12/11/2029

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier on observation date for that period; Coupon barrier level: 6,717.8936 for Nasdaq, 1,307.0696 for Russell, and 2,516.728 for S&P; 80% of initial levels due 9/11/2020

HSBC USA Inc. 0.00% due 12/13/2021

HSBC USA Inc. 8.55%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 5,878.157 for Nasdaq, 1,143.686 for Russell; 70% of initial levels due 12/9/2022

HSBC USA Inc. 0.00% due 12/3/2021

HSBC USA Inc. 0.00% due 12/10/2024

HSBC USA Inc. 9.75% due 12/9/2020

HSBC USA Inc. 0.00% due 12/6/2024

HSBC USA Inc. 8.3% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,299.6024 for Russell, 6,722.948 for Nasdaq; 80% of initial levels due 1/4/2021

HSBC USA Inc. 8.1% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,299.6024 for Russell and 2,512.784 for S&P; 80% of initial levels due 3/4/2021

HSBC USA Inc. 7.5% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,137.1521 for Russell, 2,198.686 for S&P, 5,882.5795 for Nasdaq, 70% of initial levels due 12/4/2024

HSBC USA Inc. 5.70% due 3/4/2021

HSBC USA Inc. 0.00% due 12/4/2024

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 12/2/2021

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 12/4/2024

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 6/4/2021

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 0.00% due 3/3/2021

HSBC USA Inc. 7.45% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,207.541 for S&P, 1,143.8728 for Russell and $48.062 for ETF; 70% of initial levels due 9/3/2021

HSBC USA Inc. 0.00% due 2/3/2021

HSBC USA Inc. 0.00% due 11/21/2024

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 7.4%, payable quarterly due 9/2/2020

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 11/18/2022

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 11/19/2021

HSBC USA Inc. 0.00% due 12/2/2024

HSBC USA Inc. 10.5%, payable monthly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $28.175 for Delta, $58.50 for Lowe�s and $110.605 for Nvidia, 50% of initial price due 11/29/2022

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,646.529 for Dow, 1,135.3328 for Russell and 66.22 for Stoxx Banks; 70% of initial levels due 11/29/2024

HSBC USA Inc. 5.7% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,297.5232 for Russell, 6,697.5424 for Nasdaq; 80% of initial levels due 12/29/2020

HSBC USA Inc. 7.6%, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon barriers: 2,780.76 for Stoxx, 1,216.428 for Russell; 75% of initial levels due 11/29/2029

HSBC USA Inc. 5.8% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,297.5232 for Russell and 2,506.912 for S&P; 80% of initial levels due 3/1/2021

HSBC USA Inc. 5.45% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 5,860.3496 for Nasdaq, 1,135.3328 for Russell and 2,193.548 for S&P; 70% of initial levels due 11/29/2024

HSBC USA Inc. 7.25% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,135.3328 for Russell, 2,193.548 for S&P and 2,595.376 for Stoxx; 70% of initial levels due 11/29/2029

HSBC USA Inc. 6.5% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 2,193.548 for S&P, 1,135.3328 for Russell and 2,595.376 for Stoxx, or 70% of initial levels due 11/30/2026

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 11/29/2022

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 7.25%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 5,860.3496 for Nasdaq, 1,135.3328 for Russell and 2,595.376 for Stoxx; 70% of its initial level due 11/30/2026

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 0.00% due 11/29/2024

HSBC USA Inc. 0.00% due 11/27/2026

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 12/2/2022

HSBC USA Inc. 9.3%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $52.884 for biotech, $51.954 for technology; 65% of initial levels due 12/2/2022

HSBC USA Inc. 10.7%, payable every six months if each ETF closes at or above coupon barrier on determination date for that period; Coupon barriers: $52.884 for biotech, $51.954 for technology; 65% of initial levels due 12/2/2022

HSBC USA Inc. 10.65% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $30.20, 80% of initial share price due 11/28/2022

HSBC USA Inc. 11.1% per year, payable quarterly if Dow shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $32.52, 60% of initial level due 11/28/2022

HSBC USA Inc. 0.00% due 11/26/2024

HSBC USA Inc. 5% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,603.423 for Dow, 1,117.5178 for Russell, 5,820.8661 for Nasdaq; 70% of initial levels due 8/20/2021

HSBC USA Inc. 10% per year, payable quarterly if stock closes at or above barrier value on observation date for that quarter; Barrier level: $86.64, or 75% of initial share price due 11/18/2022

HSBC USA Inc. 8.5%, payable monthly if each index closes at or above coupon barrier on observation date that month; Coupon barriers: 565.555 for Stoxx, 1,117.5178 for Russell and 19,603.423 for Dow; 70% of initial levels due 11/20/2024

HSBC USA Inc. 5.1% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,277.1632 for Russell, 2,496.368 for S&P; 80% of initial levels due 8/20/2020

HSBC USA Inc. 0.00% due 5/20/2021

HSBC USA Inc. 0.00% due 11/21/2022

HSBC USA Inc. 0.00% due 5/20/2021

HSBC USA Inc. 0.00% due 9/17/2021

HSBC USA Inc. 8.35%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 2,598.13 for Stoxx, 1,117.518 for Russell; 70% of initial levels due 11/20/2024

HSBC USA Inc. 0.00% due 1/27/2022

HSBC USA Inc. 0.00% due 11/19/2020

HSBC USA Inc. 5.75% due 11/17/2021

HSBC USA Inc. 8.7% per year, payable quarterly if stock closes at or above barrier value on observation date for that quarter; Barrier level: $165.83, or 75% of initial share price due 11/14/2022

HSBC USA Inc. 0.00% due 11/14/2023

HSBC USA Inc. 0.00% due 11/21/2024

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 11/15/2021

HSBC USA Inc. 8.25%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 19,372.36 for Dow, 1,115.793 for Russell; 70% of initial levels due 11/10/2022

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 81% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 11/18/2020

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,126.292 for S&P, 1,093.7164 for Russell, and 5,658.6831 for Nasdaq, 70% of initial levels due 11/5/2024

HSBC USA Inc. 8.7%, payable monthly if each index closes at or above coupon barrier level on determination date for that month; Coupon barrier: 6,467.0664 for Nasdaq, 1,249.9616 for Russell, 80% of initial levels due 12/7/2020

HSBC USA Inc. 8.4%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,430.048 S&P, 1,249.9616 for Russell, 80% of initial levels due 2/5/2021

HSBC USA Inc. 6.00% due 2/5/2021

HSBC USA Inc. 0.00% due 11/5/2024

HSBC USA Inc. 0.00% due 11/5/2021

HSBC USA Inc. 0.00% due 11/3/2021

HSBC USA Inc. 0.00% due 11/7/2022

HSBC USA Inc. 0.00% due 11/6/2023

HSBC USA Inc. 0.00% due 11/5/2024

HSBC USA Inc. 0.00% due 11/7/2022

HSBC USA Inc. 0.00% due 11/10/2021

HSBC USA Inc. 0.00% due 5/5/2022

HSBC USA Inc. 6.6% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 1,100.9929 for Russell, 2,132.739 for S&P and 2,534.203 for Stoxx, or 70% of initial levels due 10/29/2026

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 1,100.9929 for Russell, 2,132.739 for S&P and 2,534.203 for Stoxx, or 70% of initial levels due 10/27/2023

HSBC USA Inc. 0.00% due 4/8/2021

HSBC USA Inc. 9.1%, payable quarterly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $123.5245 for Palo Alto, $25.982 for Cisco, 55% of initial price due 11/1/2022

HSBC USA Inc. 0.00% due 11/1/2024

HSBC USA Inc. 8.75% due 10/30/2020

HSBC USA Inc. 6.3% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,257.5464 for Russell, 6,488.5352 for Nasdaq; 80% of initial levels due 11/30/2020

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier on observation date that quarter; Coupon barriers: 5,677.4683 for Nasdaq, 1,100.3531 for Russell and 2,127.594 for S&P; 70% of initial levels due 10/31/2024

HSBC USA Inc. 6% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,257.5464 for Russell, 2,431.536 for S&P; 80% of initial levels due 2/1/2021

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 5/2/2022

HSBC USA Inc. 0.00% due 2/1/2021

HSBC USA Inc. 0.00% due 5/2/2022

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 9% per year, payable monthly if each index closes at or above coupon trigger on observation date for that month; Coupon triggers: 18,763.871 for Dow, 1,085.126 for Russell 2000 and 65.016 for Euro Stoxx Banks, or 70% of initial levels due 10/29/2024

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above barrier value on observation date for that quarter; Barrier values: 18,763.871 for Dow, 1,085.126 for Russell 2000 and 5,576.7033 for Nasdaq-100, or 70% of initial levels due 4/29/2021

HSBC USA Inc. 8.15%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 5,576.7033 for Nasda-100, 2,534.959 for Euro Stoxx 50 and 1,085.126 for Russell 2000, or 70% of initial levels due 10/29/2029

HSBC USA Inc. 6% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,242.284 for Russell, 2,403.616 for S&P; 80% of initial levels due 7/28/2020

HSBC USA Inc. 5.1%, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,954.368 for S&P and 1,007.5903 for Russell; 65% of initial levels due 10/24/2024

HSBC USA Inc. 0.00% due 10/25/2023

HSBC USA Inc. 0.00% due 10/25/2022

HSBC USA Inc. 0.00% due 10/25/2023

HSBC USA Inc. 10.35%, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 11/4/2020

HSBC USA Inc. 19.51%, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 4/21/2020

HSBC USA Inc. 8% per year, payable quarterly if stock closes at or above barrier value on observation date for that quarter; Barrier level: $26.467, or 70% of initial share price due 10/24/2022

HSBC USA Inc. 0.00% due 4/22/2021

HSBC USA Inc. 0.00% due 10/24/2022

HSBC USA Inc. 0.00% due 4/22/2021

HSBC USA Inc. 7.05% per year, payable quarterly if each index closes at or above barrier level on calculation day for that quarter; Barrier levels: 2,092.783 for S&P 500, 1,067.5399 for Russell 2000 and 2,519.475 for Euro Stoxx 50, or 70% of initial levels due 10/19/2023

HSBC USA Inc. 0.00% due 1/22/2021

HSBC USA Inc. 0.00% due 4/13/2021

HSBC USA Inc. 10.5% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $26.10, 70% of initial share price due 10/14/2022

HSBC USA Inc. 6.9%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 2,079.19 for S&P, 2,498.94 for Stoxx; 70% of initial levels due 10/17/2024

HSBC USA Inc. 7.75% due 10/16/2020

HSBC USA Inc. 8.5%, payable quarterly if the stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier price: $26.194, 70% of initial price due 10/17/2022

HSBC USA Inc. 0.00% due 10/18/2021

HSBC USA Inc. 9%, payable quarterly if each index closes at or above coupon barrier on observation date that quarter; Coupon barriers: 18,314.828 for Dow, 1,030.8186 for Russell and 58.03 for Stoxx Banks; 70% of initial levels due 10/11/2024

HSBC USA Inc. 8.4%, payable monthly if each index closes at or above coupon barrier on observation date that month; Coupon barriers: 18,314.828 for Dow, 1,030.8186 for Russell and 5,322.989 for Nasdaq; 70% of initial levels due 4/12/2021

HSBC USA Inc. 6.15%, payable quarterly if each index closes at or above coupon barrier on observation date that quarter; Coupon barriers: 18,314.828 for Dow, 1,030.8186 for Russell and 5,322.989 for Nasdaq; 70% of initial levels due 7/12/2021

HSBC USA Inc. 0.00% due 8/11/2021

HSBC USA Inc. 8.5% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $26.26, 70% of initial share price due 10/7/2022

HSBC USA Inc. 10.75% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $43.44, 80% of initial share price due 10/7/2022

HSBC USA Inc. 8.7% per year, payable monthly if each index closes at or above coupon barrier on determination date for that month; Coupon barriers: 1,218.6984 for Russell and 6,199.5592 for Nasdaq; 80% of initial levels due 11/3/2020

HSBC USA Inc. 8.5%, payable monthly if each index closes at or above coupon barrier on observation date that month; Coupon barriers: 5,424.6143 for Nasdaq, 1,066.3611 for Russell and 2,083.718 for S&P; 70% of initial levels due 10/3/2024

HSBC USA Inc. 8.1% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,218.6984 for Russell, 2,381.392 for S&P; 80% of initial levels due 1/4/2021

HSBC USA Inc. 6.50% due 1/4/2021

HSBC USA Inc. 0.00% due 10/3/2024

HSBC USA Inc. 0.00% due 10/4/2021

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 10/3/2022

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 10/3/2024

HSBC USA Inc. 0.00% due 10/3/2022

HSBC USA Inc. 0.00% due 10/5/2022

HSBC USA Inc. 0.00% due 5/5/2022

HSBC USA Inc. 11.75%, payable quarterly if each stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier levels: $160.902 for Home Depot, $76.678 for Lowe's and $82.915 for Walmart; 70% of initial prices due 4/4/2022

HSBC USA Inc. 7.8% annualized, payable quarterly if each index closes at or above 75% coupon threshold on observation date for that quarter due 9/28/2023

HSBC USA Inc. 0.00% due 11/27/2020

HSBC USA Inc. 0.00% due 10/1/2024

HSBC USA Inc. 9.15%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Trigger/barrier levels: $22.428 for AT&T, $ 36.264 for Verizon. 60% of initial prices due 9/30/2026

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 10/1/2024

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8% per year if Apple shares close at or above downside threshold level on observation date for that quarter; Downside threshold: $141.83, 64.5% of initial share price due 9/29/2022

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8% per year if Pfizer shares close at or above downside threshold level on observation date for that quarter; Downside threshold: $24.78, 69.25% of initial share price due 9/29/2022

HSBC USA Inc. 13.65%, payable monthly if each stock closes at or above trigger level on determination date for that period; Trigger level: $132.618 for Apple, $1,060.998 for Amazon.com, $747.564 for Alphabet, $158.85 for Netflix, 60% of initial levels due 9/30/2022

HSBC USA Inc. 6.6%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,089.409 for S&P, 1,085.4578 for Russell, and 5,462.4794 for Nasdaq, 70% of initial levels due 9/30/2024

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter; Coupon barrier: 2,238.6525 for S&P, 1,090.7729 for Russell, and 5,473.027 for Nasdaq, 75% of initial levels due 10/1/2029

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,238.6525 for S&P, 1,162.9905 for Russell, and 5,852.6565 for Nasdaq, 75% of initial levels due 10/1/2029

HSBC USA Inc. 6.3%, payable monthly if each index closes at or above coupon barrier level on determination date for that month; Coupon barrier: 6,242.8336 for Nasdaq, 1,240.5232 for Russell, 80% of initial levels due 10/30/2020

HSBC USA Inc. 5.9%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,387.896 for S&P, 1,240.5232 for Russell, 80% of initial levels due 10/1/2029

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 3/30/2022

HSBC USA Inc. 0.00% due 12/30/2020

HSBC USA Inc. 0.00% due 3/30/2022

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above coupon trigger on determination date for that period; Coupon triggers: 2,634.7725 for Euro Stoxx 50 and 1,162.9905 for Russell 2000, or 75% of initial levels due 10/1/2029

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 2,634.7725 for Stoxx and 1,162.9905 for Russell; 75% of initial levels due 10/1/2029

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 0.00% due 7/14/2021

HSBC USA Inc. 0.00% due 9/30/2024

HSBC USA Inc. 8.1%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 18,864.993 for Dow, 1,090.7729 for Russell, and 5,473.027 for Nasdaq, 70% of initial levels due 3/26/2021

HSBC USA Inc. 10%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 18,864.993 for Dow, 1,090.7729 for Russell, and 5,473.027 for Nasdaq, 70% of initial levels due 3/26/2021

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 2,094.246 for S&P, 1,090.7729 for Russell, and 5,473.027 for Nasdaq, 70% of initial levels due 3/26/2021

HSBC USA Inc. 0.00% due 9/26/2024

HSBC USA Inc. 0.00% due 9/27/2023

HSBC USA Inc. 6.3% per year, payable monthly if the underlier closes at or above buffer level on determination date, in which case a coupon will also be paid for any previously unpaid month during the life of the notes; Buffer level: $19.032; 80% of initial level due 9/27/2021

HSBC USA Inc. 5.60% due 3/25/2021

HSBC USA Inc. 0.00% due 3/27/2023

HSBC USA Inc. 0.00% due 9/25/2024

HSBC USA Inc. 0.00% due 9/24/2024

HSBC USA Inc. 9%, payable quarterly if each stock closes at or above 60% coupon barrier level on observation date for that quarter due 12/23/2020

HSBC USA Inc. 0.00% due 3/22/2021

HSBC USA Inc. 0.00% due 9/20/2022

HSBC USA Inc. 0.00% due 3/22/2021

HSBC USA Inc. 9%, payable monthly if each index closes at or above coupon barrier on observation date that month; Coupon barriers: 18,953.774 for Dow, 1,109.2179 for Russell, and 62.335 for Stoxx Banks; 70% of initial levels due 9/19/2024

HSBC USA Inc. 9.40% due 9/18/2020

HSBC USA Inc. 0.00% due 3/26/2021

HSBC USA Inc. 0.00% due 9/18/2024

HSBC USA Inc. 8%, payable monthly if stock closes at or above coupon barrier level on related monthly observation date; Coupon barrier: $23.98, 63.25% of initial price due 9/18/2024

HSBC USA Inc. 8%, payable monthly if stock closes at or above coupon barrier level on related monthly observation date; Coupon barrier: $87.35, 72.65% of initial price due 9/18/2024

HSBC USA Inc. 8.3%, payable quarterly if each index closes at or above coupon barrier on every day that quarter; Coupon barriers: 18,784.857 for Dow, 1,066.9671 for Russell and 5,482.6821 for Nasdaq; 70% of initial levels due 3/12/2021

HSBC USA Inc. 10.25%, payable quarterly if each index closes at or above coupon barrier on observation date that quarter; Coupon barriers: 18,784.857 for Dow, 1,066.9671 for Russell and 5,482.6821 for Nasdaq; 70% of initial levels due 3/12/2021

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 2,084.901 for S&P, 1,066.9617 for Russell and 5,482.6821 for Nasdaq; 70% of initial levels due 6/14/2021

HSBC USA Inc. 9.3% per year, payable quarterly if Amgen shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $155.80, 75% of initial share price due 9/9/2022

HSBC USA Inc. 0.00% due 1/7/2021

HSBC USA Inc. 0.00% due 9/10/2021

HSBC USA Inc. 7.7%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 5,383.6986 for Nasdaq, 1,046.3873 for Russell, 2,048.522 for S&P; 70% of initial levels due 9/5/2024

HSBC USA Inc. 5.20% due 12/7/2020

HSBC USA Inc. 0.00% due 9/7/2021

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/5/2024

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 4/13/2021

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 8.75%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 2,398.73 for Stoxx, 2,048.52 for S&P, 1,046.387 for Russell; 70% of initial levels due 9/3/2024

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 0.00% due 8/27/2021

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon barrier level on calculation day for that quarter; Coupon barrier levels: 2,047.206 for the S&P, 1,047.704 for Russell and 2,387.931 for Stoxx; 70% of initial levels due 8/27/2026

HSBC USA Inc. 8.9% per year, payable quarterly if each index closes at or above barrier level on calculation day for that quarter; Barrier levels: 2,193.435 for S&P, 1,122.540 for Russell and 2,558.4975 for Stoxx, or 75% of initial levels due 8/29/2023

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 0.00% due 8/29/2025

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 0.00% due 9/3/2024

HSBC USA Inc. 7.25%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 18,225.27 for Dow, 1,030.899 for Russell; 70% of initial levels due 9/3/2024

HSBC USA Inc. 11.75% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 59.715 for Stoxx, 19,333.425 for Dow; 75% of initial levels due 8/30/2029

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 53.3454 for Stoxx, 975.54613 for Russell; 67% of initial levels due 8/27/2024

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that period; Coupon barriers: 1,092.02925 for Russell, 2,527.8525 Stoxx; 75% of initial levels due 8/30/2029

HSBC USA Inc. 5.7%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 2,008.412 for S&P, 1,019.2273 for Russell and 5,296.2189 for Nasdaq; 70% of initial levels due 8/30/2024

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 8/30/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 8/30/2023

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 55.174 for Stoxx, 17,940.23 for Dow; 70% of initial levels due 8/30/2024

HSBC USA Inc. 10.2%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon triggers: $47.664 for biotech ETF and 1,850.6215 for index; 65% of initial values due 8/30/2022

HSBC USA Inc. 8.8%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon triggers: $47.664 for biotech ETF and 1,850.6215 for index; 65% of initial values due 8/30/2022

HSBC USA Inc. 8.1%, payable semiannually if each fund closes at or above coupon trigger on related observation date; Coupon triggers: $47.664 for biotech ETF and $46.302 for tech ETF; 60% of initial values due 8/30/2022

HSBC USA Inc. 9.4%, payable semiannually if each fund closes at or above coupon trigger on related observation date; Coupon triggers: $47.664 for biotech ETF and $46.302 for tech ETF; 60% of initial values due 8/30/2022

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 68.9% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 9/10/2020

HSBC USA Inc. 12.5%, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 9/10/2020

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 5,395.1989 for Nasdaq, 1,054.2014 for Russell and 18,376.568 for Dow, 70% of initial levels due 3/1/2021

HSBC USA Inc. 10%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 18,376.568 for Dow, 1,054.2014 for Russell, 5,395.1989 for Nasdaq; 70% of initial levels due 3/1/2021

HSBC USA Inc. 6%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 5,395.1989 for Nasdaq, 1,054.2014 for Russell and 2,046.065 for Stoxx; 70% of initial levels due 6/1/2021

HSBC USA Inc. 5.25% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,754.19 for S&P, 905.31 for Russell; 60% of initial levels due 8/22/2023

HSBC USA Inc. 0.00% due 8/22/2022

HSBC USA Inc. 0.00% due 11/23/2023

HSBC USA Inc. 10.3% per year, payable quarterly if Blackstone shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $33.06, 70% of initial share price due 8/19/2022

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 2,166.51 for S&P, 1,120.23 for Russell; 75% of initial levels due 8/21/2024

HSBC USA Inc. 0.00% due 8/20/2020

HSBC USA Inc. 9%, payable quarterly if each fund closes at or above coupon barrier level on determination date for that period; Coupon barrier: $44.058 for EAFE, $27.118 for FTSE and $242.494 Midcap; 70% of initial levels due 8/14/2026

HSBC USA Inc. 6.15%, payable monthly if each index closes at or above coupon barrier level on determination date for that month; Coupon barrier: 5,352.3876 for Nasdaq, 2,043.055 for S&P; 70% of initial levels due 8/14/2020

HSBC USA Inc. 14.85%, payable semiannually if each fund closes at or above coupon trigger on related observation date; Coupon triggers: $58.821 for biotech, $15.603 for oil; 70% of initial values due 8/15/2022

HSBC USA Inc. 0.00% due 8/16/2024

HSBC USA Inc. 9% per year, payable for each quarter that each index closes at or above its coupon barrier on every day that quarter; Coupon barriers: 5,407.381 for Nasdaq, 1,072.492 for Russell, 2,056.66 for S&P; 70% of initial levels due 8/11/2022

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/29/2025

HSBC USA Inc. 0.00% due 2/16/2021

HSBC USA Inc. 0.00% due 8/13/2024

HSBC USA Inc. 10.25% per year, payable for each quarter that each index closes at or above its coupon barrier on every day that quarter; Coupon barriers: 5,407.381 for Nasdaq, 1,072.492 for Russell, 2,056.66 for S&P; 70% of initial levels due 8/11/2022

HSBC USA Inc. 0.00% due 2/3/2021

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 5,264.925 for Nasdaq, 1,051.460 for Russell; 70% of initial levels due 8/11/2022

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 18,220.664 for Dow, 1,051.4602 for Russell, 5,264.9254 for Nasdaq; 70% of initial levels due 2/9/2021

HSBC USA Inc. 10%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 18,220.664 for Dow, 1,051.4602 for Russell, 5,264.9254 for Nasdaq; 70% of initial levels due 2/9/2021

HSBC USA Inc. 0.00% due 8/9/2024

HSBC USA Inc. 8.25% per year, payable for each quarter that each index closes at or above its coupon barrier on the observation date for that quarter; Coupon barriers: 1,282.90 for EAFE, 1,041.190 for Russell, 1,991.32 for S&P; 70% of initial levels due 2/10/2025

HSBC USA Inc. 10.55% per year, payable quarterly if each index closes at or above its coupon barrier on each day during that quarter; Coupon barriers: 5,190.984 for Nasdaq-100, 1,041.190 for Russell 2000 and 1,991.318 for S&P 500, or 70% of initial levels due 2/9/2023

HSBC USA Inc. 0.00% due 8/5/2021

HSBC USA Inc. 10.15%, payable quarterly if stock closes at or above barrier price on observation date for that quarter; Barrier price: $26.082, 70% of initial price due 8/6/2020

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 8%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger level: 5,494.146 for Nasdaq, 1,102.2235 for Russell, 2,086.266 for S&P; 70% of initial levels due 8/5/2024

HSBC USA Inc. 6.20% due 11/5/2020

HSBC USA Inc. 0.00% due 9/8/2020

HSBC USA Inc. 0.00% due 8/5/2021

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/5/2021

HSBC USA Inc. 0.00% due 8/4/2021

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/7/2023

HSBC USA Inc. 7.2%, payable quarterly if each index closes above 70% of initial level on observation date due 8/2/2021

HSBC USA Inc. 0.00% due 8/7/2023

HSBC USA Inc. 0.00% due 8/5/2024

HSBC USA Inc. 0.00% due 8/5/2022

HSBC USA Inc. 0.00% due 8/4/2021

HSBC USA Inc. 10.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,038.614 for Dow, 1,109.9193 for Russell and 60.326 for Stoxx; 70% of initial levels due 8/2/2024

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above barrier level on calculation day for that quarter; Barrier levels: 2,109.226 for S&P 500, 1,109.9193 for Russell 2000 and 2,423.955 for Euro Stoxx 50, or 70% of initial levels due 7/27/2023

HSBC USA Inc. 9.00% due 8/5/2020

HSBC USA Inc. 8.50% due 8/5/2020

HSBC USA Inc. 0.00% due 8/1/2024

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter; Barrier levels: 17,947.017 for Dow and 59.1096 for Euro Stoxx Banks, or 66% of initial levels due 7/31/2024

HSBC USA Inc. 12% per year, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 67.17 for Stoxx, 20,394.3375 for Dow; 75% of initial levels due 7/31/2029

HSBC USA Inc. 9%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 59.1096 for Stoxx, 17,947.017 for Dow; 66% of initial levels due 7/31/2024

HSBC USA Inc. 11.15%, payable monthly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $133.284 for GS, $86.790 for Disney and $30.954 for Intel, 60% of initial price due 8/1/2022

HSBC USA Inc. 6.1%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger level: 5,611.8671 for Nasdaq, 1,105.2769 for Russell, 2,118.102 for S&P; 70% of initial levels due 7/31/2024

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 8/2/2021

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 2,643.3525 for Stoxx and 1,184.22525 for Russell; 75% of initial levels due 7/31/2029

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 7/31/2024

HSBC USA Inc. 7.45%, payable quarterly if indexes close at or above downside thresholds on observation date for that quarter; Downside thresholds: 5,611.867 for Nasdaq-100, 1,105.277 for Russell 2000 and 2,118.10 for S&P 500, or 70% of initial levels due 7/31/2024

HSBC USA Inc. 8.85%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger level: 1,802.202 for S&P, 936.8694 for Russell, 2,106.09 for Stoxx, 60% of initial levels due 7/30/2029

HSBC USA Inc. 9.1%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier: 19,088.979 for Dow, 1,106.2919 for Russell, 63.203 for Stoxx; 70% of initial levels due 7/29/2024

HSBC USA Inc. 9.6% per year, payable quarterly if each underlier closes at or above coupon trigger level on observation date for that period; Coupon trigger levels: 16,361.982 for Dow, 948.2502 for Russell and $15.15 for ETF; 60% of initial levels due 7/29/2024

HSBC USA Inc. 0.00% due 5/19/2021

HSBC USA Inc. 9.75%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,020.33 for Dow, 1,081.3481 for Russell and 5,533.5833 for Nasdaq; 70% of initial levels due 1/25/2021

HSBC USA Inc. 7.75%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,020.33 for Dow, 1,081.3481 for Russell and 5,533.5833 for Nasdaq; 70% of initial levels due 1/25/2021

HSBC USA Inc. 0.00% due 7/26/2023

HSBC USA Inc. 19.2%, payable quarterly if each stock closes at or above 60% coupon barrier level on determination date for that quarter due 7/26/2021

HSBC USA Inc. 18.4%, payable quarterly if each stock closes at or above 70% coupon barrier level on determination date for that quarter due 7/26/2021

HSBC USA Inc. 0.00% due 7/25/2024

HSBC USA Inc. 0.00% due 7/24/2026

HSBC USA Inc. 9.3%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon triggers: 1,934.7965 for index, $55.6465 for ETF; 65% of initial values due 7/26/2022

HSBC USA Inc. 10.6%, payable semiannually if each asset closes at or above coupon trigger on related observation date; Coupon triggers: 1,934.7965 for index, $55.6465 for ETF; 65% of initial values due 7/26/2022

HSBC USA Inc. 8.4%, payable semiannually if each fund closes at or above coupon trigger on related observation date; Coupon triggers: $51.366 for biotech ETF and $48.414 for tech ETF; 60% of initial values due 7/26/2022

HSBC USA Inc. 9.6%, payable semiannually if each fund closes at or above coupon trigger on related observation date; Coupon triggers: $51.366 for biotech ETF and $48.414 for tech ETF; 60% of initial values due 7/26/2022

HSBC USA Inc. 10.5% per year, payable quarterly if AT&T shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $26.232, 80% of initial share price due 7/22/2022

HSBC USA Inc. 5.5%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,088.9368 for Russell, 19,056.079 for Dow Jones and 5,532.8924 for Nasdaq-100; 70% of initial levels due 7/23/2024

HSBC USA Inc. 5.05% due 11/23/2020

HSBC USA Inc. 0.00% due 1/23/2023

HSBC USA Inc. 5.15% due 1/22/2021

HSBC USA Inc. 9.5% per year, payable quarterly if Blackstone units close at or above downside threshold level on determination date for that quarter; Downside threshold: $34.515, 75% of initial unit price due 7/15/2022

HSBC USA Inc. 9.5%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger level: 16,070.094 for Dow, 937.5534 for Russell, 53.904 for Stoxx, 60% of initial levels due 7/12/2024

HSBC USA Inc. 18.2%, payable semiannually if each fund closes at or above coupon trigger level on related observation date; Coupon trigger levels: $62.223 for Biotech and $18.326 for Oil & Gas; 70% of initial levels due 7/11/2022

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 8%, payable quarterly if each index closes at or above trigger level on determination date for that period; Trigger/barrier level: 5,369.7525 for Nasdaq, 1,096.6004 for Russell, 2,059.232 for S&P, 70% of initial level due 7/3/2024

HSBC USA Inc. 6.30% due 10/5/2020

HSBC USA Inc. 0.00% due 8/3/2020

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 7/3/2023

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 7/3/2024

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 1/3/2024

HSBC USA Inc. 0.00% due 9/24/2021

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 7/1/2022

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 12/31/2020

HSBC USA Inc. 0.00% due 6/25/2021

HSBC USA Inc. 0.00% due 7/1/2021

HSBC USA Inc. 0.00% due 6/28/2024

HSBC USA Inc. 6.45%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 1,062.443 for Russell, 2,039.65 for S&P; 70% of initial levels due 6/28/2024

HSBC USA Inc. 0.00% due 6/28/2023

HSBC USA Inc. 12% per year, payable quarterly if each index closes at or above coupon trigger on observation date for that quarter; Coupon triggers: 19,911.165 for Dow and 64.1775 for Euro Stoxx Banks, or 75% of initial levels due 6/28/2029

HSBC USA Inc. 9.75% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter; Barrier levels: 15,928.932 for Dow, 912.621 for Russell 2000 and 51.342 for Euro Stoxx Banks, or 60% of initial levels due 6/28/2024

HSBC USA Inc. 6% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter; Barrier levels: 5,314.0752 for Nasdaq-100, 1,064.7245 for Russell 2000 and 2,042.166 for S&P 500, or 70% of initial levels due 6/28/2024

HSBC USA Inc. 9.75%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Barrier level: 18,262.727 for Dow, 51.342 for Stoxx and 1,065.7493 for Russell, 60% of initial level due 6/28/2024

HSBC USA Inc. 0.00% due 6/27/2024

HSBC USA Inc. 0.00% due 6/28/2024

HSBC USA Inc. 0.00% due 12/28/2021

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 0.00% due 6/28/2024

HSBC USA Inc. 0.00% due 6/28/2023

HSBC USA Inc. 20.25%, payable quarterly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $137.158 for Goldman, $106.232 for Nvidia and $95.879 for Microsoft, 70% of initial price due 6/28/2021

HSBC USA Inc. 12.8%, payable quarterly if each stock closes at or above trigger level on determination date for that period; Trigger/barrier level: $106.036 for Travelers, $97.440 for IBM and $54.383 for Exxon, 70% of initial price due 6/28/2021

HSBC USA Inc. 10% per year, payable semiannually if each underlying closes at or above coupon trigger on observation date for that semiannual period; Coupon triggers: 1,917.799 for index and $56.719 for ETF, or 65% of initial levels due 6/28/2022

HSBC USA Inc. 11.25% per year, payable semiannually if each underlier closes at or above barrier level on observation date for that semiannual period; Barrier levels: 1,917.799 for index and $56.719 for ETF; 65% of initial levels due 6/28/2022

HSBC USA Inc. 8.8% per year, payable semiannually if each ETF closes at or above coupon trigger on observation date for that semiannual period; Coupon triggers: $52.356 for biotech ETF and $46.986 for tech fund, or 60% of initial share prices due 6/28/2022

HSBC USA Inc. 10.1%, payable semiannually if each fund closes at or above coupon trigger level on related observation date; Coupon trigger levels: $52.356 for Biotech and $46.986 for Technology Select; 60% of initial levels due 6/28/2022

HSBC USA Inc. 9.15% per year, payable for each quarter that each index closes at or above its coupon barrier on each day that quarter; Coupon barriers: 2,065.32 for S&P, 1,084.740 for Russell and 5,410.147 for Nasdaq; 70% of initial levels due 6/24/2022

HSBC USA Inc. 0.00% due 9/21/2020

HSBC USA Inc. 0.00% due 12/20/2022

HSBC USA Inc. 0.00% due 6/20/2022

HSBC USA Inc. 5.85%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Barrier level: 18,262.727 for Dow, 5,235.3777 for Nasdaq and 1,065.7493 for Russell, 70% of initial level due 6/19/2024

HSBC USA Inc. 0.00% due 7/20/2020

HSBC USA Inc. 0.00% due 6/20/2022

HSBC USA Inc. 9.63% per year, payable for each quarter that each index closes at or above its coupon barrier on each day that quarter; Coupon barriers: 2,020.89 for S&P, 1,065.624 for Russell and 5,235.378 for Nasdaq; 70% of initial levels due 12/17/2021

HSBC USA Inc. 0.00% due 6/10/2022

HSBC USA Inc. 0.00% due 6/7/2024

HSBC USA Inc. 0.00% due 6/7/2022

HSBC USA Inc. 7.90% due 6/5/2024

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 5.70% due 9/8/2020

HSBC USA Inc. 0.00% due 7/6/2020

HSBC USA Inc. 0.00% due 6/5/2023

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 10.2% per year, payable quarterly if AT&T shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $22.935, 75% of initial share price due 6/3/2022

HSBC USA Inc. 0.00% due 6/5/2023

HSBC USA Inc. 0.00% due 6/5/2024

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 9/3/2020

HSBC USA Inc. 0.00% due 5/30/2024

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 5/30/2025

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 5.85% per year, payable each quarter that each index closes at or above the coupon barrier on the observation date for that quarter; Coupon barriers: 1,961.67 for S&P, 1,052.813 for Russell and 5,094.863 for Nasdaq; 70% of initial levels due 5/31/2024

HSBC USA Inc. 0% due 5/31/2023

HSBC USA Inc. 12.55%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 66.48 for Stoxx, 19,010.8275 for Dow; 75% of initial levels due 5/31/2029

HSBC USA Inc. 7.85%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,052.8133 for Russell, 2,344.202 for Stoxx and 1,961.673 for S&P 500; 70% of initial levels due 5/31/2029

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 6/7/2021

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 6/7/2021

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 6/7/2021

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 6/7/2021

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0% due 5/31/2023

HSBC USA Inc. 0.00% due 8/23/2023

HSBC USA Inc. 10.00% due 5/28/2020

HSBC USA Inc. 0.00% due 1/6/2021

HSBC USA Inc. 7.2%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 19,407.9975 for Dow, 5,588.265 for Nasdaq and 1,158.936 for Russell; 75% of initial levels due 5/24/2024

HSBC USA Inc. 0.00% due 6/1/2029

HSBC USA Inc. 10.5% per year, payable quarterly if Blackstone units close at or above downside threshold level on determination date for that quarter; Downside threshold: $30.4875, 75% of initial unit price due 5/20/2022

HSBC USA Inc. 9.15% per year, payable quarterly if ETF's shares close at or above downside threshold level on determination date for that quarter; Downside threshold: $20.643, 70% of initial share price due 5/21/2020

HSBC USA Inc. 0 due 5/22/2024

HSBC USA Inc. 5.15%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 934.3434 for Russell, 15,517.608 for Dow and 4,548.0852 for Nasdaq; 60% of initial levels due 5/21/2024

HSBC USA Inc. 0.00% due 5/30/2025

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0 due 5/20/2024

HSBC USA Inc. 0.00% due 5/3/2022

HSBC USA Inc. 0.00% due 11/14/2022

HSBC USA Inc. 0.00% due 5/17/2024

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barriers: 5,126.892 for Nasdaq, 1,066.101 for Russell, 1,968.31 for S&P; 70% of initial levels due 5/16/2024

HSBC USA Inc. 0.00% due 9/14/2020

HSBC USA Inc. 0.00% due 5/15/2024

HSBC USA Inc. 9.05%, payable quarterly if each index closes at or above coupon barrier on related quarterly observation date; Coupon barriers: 2,016.98 for S&P, 1,101.095 for Russell; 70% of initial levels due 5/13/2022

HSBC USA Inc. 0.00% due 5/14/2024

HSBC USA Inc. 10.25% per year, payable quarterly if General Mills shares close at or above 80% downside threshold level on determination date for that quarter due 5/6/2022

HSBC USA Inc. 9.25% per year, payable quarterly if IBM shares close at or above 80% downside threshold level on determination date for that quarter due 5/6/2022

HSBC USA Inc. 0.00% due 11/4/2020

HSBC USA Inc. 0.00% due 5/8/2023

HSBC USA Inc. 8.30% due 5/3/2024

HSBC USA Inc. 6.75% due 8/3/2020

HSBC USA Inc. 0.00% due 6/3/2020

HSBC USA Inc. 0.00% due 5/3/2021

HSBC USA Inc. 0.00% due 5/3/2022

HSBC USA Inc. 0.00% due 5/3/2021

HSBC USA Inc. 0.00% due 5/3/2023

HSBC USA Inc. 0.00% due 5/3/2022

HSBC USA Inc. 0.00% due 5/3/2024

HSBC USA Inc. 0.00% due 5/3/2022

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 8.7%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $83.418 for Caterpillar and $99.006 for Deere, 60% of initial prices due 3/29/2021

HSBC USA Inc. 0.00% due 5/13/2020

HSBC USA Inc. 0.00% due 5/5/2021

HSBC USA Inc. 0.00% due 5/13/2020

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 6.30% due 4/30/2024

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 8.15%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Barrier levels: 1,102.928 for Russell, 2,048.32 for S&P and 2,444.34 for Stoxx, 70% of initial levels due 4/30/2029

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 11/1/2021

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/30/2024

HSBC USA Inc. 0.00% due 4/28/2023

HSBC USA Inc. 0.00% due 4/29/2024

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 0.00% due 4/25/2022

HSBC USA Inc. 0.00% due 5/10/2023

HSBC USA Inc. 7.1%, payable quarterly if each index closes at or above coupon barrier on determination date for that period; Barrier level: 1,174.311 for Russell, 19,919.655 for Dow, 5,767.28625 for Nasdaq, 75% of initial level due 4/24/2024

HSBC USA Inc. 0.00% due 4/23/2024

HSBC USA Inc. 0.00% due 10/18/2022

HSBC USA Inc. 0.00% due 4/27/2020

HSBC USA Inc. 0.00% due 4/12/2021

HSBC USA Inc. 0.00% due 4/8/2024

HSBC USA Inc. 0.00% due 4/10/2023

HSBC USA Inc. 0.00% due 4/10/2025

HSBC USA Inc. 0.00% due 4/4/2024

HSBC USA Inc. 0.00% due 4/8/2024

HSBC USA Inc. 0.00% due 2/10/2021

HSBC USA Inc. 6.65% due 4/3/2024

HSBC USA Inc. 5.90% due 7/6/2020

HSBC USA Inc. 0.00% due 5/4/2020

HSBC USA Inc. 0.00% due 4/5/2021

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 4/5/2021

HSBC USA Inc. 0.00% due 4/3/2024

HSBC USA Inc. 0.00% due 4/6/2021

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 8.75% per year, payable quarterly if JPMorgan shares close at or above downside threshold level on determination date for that quarter due 4/1/2022

HSBC USA Inc. 0.00% due 4/3/2025

HSBC USA Inc. 0.00% due 4/3/2024

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 4/9/2021

HSBC USA Inc. 0.00% due 8/26/2021

HSBC USA Inc. 0.00% due 4/4/2024

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 5/5/2020

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 3/25/2022

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 3/28/2025

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 5.00% due 4/1/2024

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,069.716 for Russell, 1,972.92 for S&P and 2,323.67 for Stoxx; 70% of initial levels due 3/29/2029

HSBC USA Inc. 7.15%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 1,146.125 for Russell, 2,113.85 for S&P and 5,513.363 for Nasdaq; 75% of initial levels due 3/29/2029

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 9/29/2021

HSBC USA Inc. 0.00% due 3/29/2022

HSBC USA Inc. 0.00% due 4/1/2024

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 9.00% due 3/28/2029

HSBC USA Inc. 0.00% due 4/14/2025

HSBC USA Inc. 0.00% due 4/12/2023

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 10.55% per year, payable quarterly if AT&T shares close at or above downside threshold level on determination date for that quarter due 3/25/2022

HSBC USA Inc. 0.00% due 4/1/2021

HSBC USA Inc. 0.00% due 3/24/2022

HSBC USA Inc. 0.00% due 3/20/2024

HSBC USA Inc. 9.05% due 3/25/2020

HSBC USA Inc. 0.00% due 3/21/2023

HSBC USA Inc. 0.00% due 3/21/2022

HSBC USA Inc. 9.2%, payable quarterly if each index closes at or above 80% coupon barrier on observation date for that period due 3/18/2021

HSBC USA Inc. 0.00% due 3/20/2024

HSBC USA Inc. 0.00% due 6/19/2020

HSBC USA Inc. 0.00% due 3/24/2021

HSBC USA Inc. 4%, payable quarterly if each index closes at or above coupon barrier on determination date for that quarter; Coupon barriers: 760.942 for Russell, 1,236.535 for S&P and 1,641.80 for Stoxx; 50% of initial levels due 9/29/2021

HSBC USA Inc. 0.00% due 3/13/2024

HSBC USA Inc. 10% per year plus any previously unpaid contingent coupons if Lloyds shares close at or above trigger price on applicable quarterly observation date due 3/25/2020

HSBC USA Inc. 0.00% due 3/25/2022

HSBC USA Inc. 3% initially, stepping up to 3.75% on March 11, 2022 and to 5% on March 11, 2023; payable semiannually due 3/11/2024

HSBC USA Inc. 0.00% due 3/8/2021

HSBC USA Inc. 0.00% due 3/7/2023

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 7.00% due 3/5/2024

HSBC USA Inc. 7.15% due 6/5/2020

HSBC USA Inc. 0.00% due 4/6/2020

HSBC USA Inc. 0.00% due 3/5/2021

HSBC USA Inc. 0.00% due 3/7/2022

HSBC USA Inc. 0.00% due 3/5/2021

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 0.00% due 3/7/2022

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 0.00% due 3/5/2024

HSBC USA Inc. 0.00% due 3/7/2022

HSBC USA Inc. 0.00% due 3/3/2021

HSBC USA Inc. 0.00% due 5/6/2020

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 7.05%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barrier/thresholds: 18,240.586 for Dow, 4,986.251 for Nasdaq-100, 70% of initial levels due 2/29/2024

HSBC USA Inc. 5.30% due 2/28/2024

HSBC USA Inc. 8.2%, payable quarterly if each index closes at or above trigger level on determination date for that period due 2/28/2029

HSBC USA Inc. 0.00% due 5/28/2020

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 8.50% due 2/28/2029

HSBC USA Inc. 0.00% due 2/28/2024

HSBC USA Inc. 20% per year, payable quarterly if Tesla shares close at or above downside threshold level on determination date for that quarter due 2/27/2020

HSBC USA Inc. 0.00% due 2/25/2021

HSBC USA Inc. 0.00% due 2/24/2022

HSBC USA Inc. 0.00% due 2/22/2024

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/24/2022

HSBC USA Inc. 0.00% due 2/23/2024

HSBC USA Inc. 0.00% due 2/22/2021

HSBC USA Inc. 7.68% due 2/24/2020

HSBC USA Inc. 9.42% due 2/24/2020

HSBC USA Inc. 8.16% due 2/24/2020

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 3/8/2023

HSBC USA Inc. 0.00% due 8/23/2021

HSBC USA Inc. 9.1%, payable each quarter that stock closes at or above 75% downside threshold on observation date for that quarter due 2/18/2022

HSBC USA Inc. 0.00% due 4/8/2021

HSBC USA Inc. 0.00% due 2/22/2024

HSBC USA Inc. 0.00% due 8/21/2024

HSBC USA Inc. 11.6%, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 3/4/2020

HSBC USA Inc. 18%, payable quarterly if stock closes at or above 70% coupon barrier on observation date for that quarter; if coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 3/4/2020

HSBC USA Inc. 0.00% due 5/20/2020

HSBC USA Inc. 3% in years one and two, 3.35% in year three, 3.8% in year four and 4.5% in year five; payable semiannually due 2/20/2024

HSBC USA Inc. 0.00% due 4/20/2020

HSBC USA Inc. 15% annualized if shares close at or above 75% coupon barrier on quarterly observation date due 2/24/2020

HSBC USA Inc. 0.00% due 2/3/2021

HSBC USA Inc. 3% initially, stepping up to 3.5% on Feb. 6, 2021, to 4.25% on Feb. 6, 2022 and to 5% on Feb. 6, 2023; payable semiannually due 2/6/2024

HSBC USA Inc. 0.00% due 2/19/2020

HSBC USA Inc. 0.00% due 2/14/2025

HSBC USA Inc. 8.00% due 2/5/2024

HSBC USA Inc. 8.75% due 5/5/2020

HSBC USA Inc. 0.00% due 3/5/2020

HSBC USA Inc. 0.00% due 2/5/2021

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/5/2021

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/5/2024

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 6.25% due 1/31/2024

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 8/2/2021

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 9%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 1/30/2020

HSBC USA Inc. 0.00% due 10/4/2023

HSBC USA Inc. 9.25%, payable each quarter taht stock closes at or above 75% downside threshold on observation date for that quarter due 1/28/2022

HSBC USA Inc. 0.00% due 1/25/2024

HSBC USA Inc. 0.00% due 1/27/2022

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 0.00% due 3/24/2021

HSBC USA Inc. 0.00% due 1/25/2023

HSBC USA Inc. 8.50% due 4/24/2020

HSBC USA Inc. 7.75% due 1/14/2022

HSBC USA Inc. 9.75% due 1/14/2022

HSBC USA Inc. 0.00% due 4/23/2020

HSBC USA Inc. 0.00% due 5/5/2020

HSBC USA Inc. 8.6%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter due 1/14/2022

HSBC USA Inc. 0.00% due 1/17/2025

HSBC USA Inc. 0.00% due 1/7/2022

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 0.00% due 1/11/2023

HSBC USA Inc. 9.25%, payable quarterly if each index closes at or above trigger level on determination date for that period due 12/27/2028

HSBC USA Inc. 7.75%, payable quarterly if each index closes at or above trigger level on determination date for that period due 12/27/2028

HSBC USA Inc. 0.00% due 1/14/2026

HSBC USA Inc. 0.00% due 1/10/2024

HSBC USA Inc. 12.20% due 12/15/2021

HSBC USA Inc. 13.90% due 12/15/2021

HSBC USA Inc. 7.25% due 12/21/2023

HSBC USA Inc. 5.75% due 12/21/2023

HSBC USA Inc. 0.00% due 1/21/2020

HSBC USA Inc. 0.00% due 12/21/2023

HSBC USA Inc. 0.00% due 6/21/2021

HSBC USA Inc. 0.00% due 12/21/2020

HSBC USA Inc. 0.00% due 6/21/2021

HSBC USA Inc. 0.00% due 12/21/2020

HSBC USA Inc. 0.00% due 6/21/2021

HSBC USA Inc. 0.00% due 12/21/2020

HSBC USA Inc. 0.00% due 12/21/2021

HSBC USA Inc. 0.00% due 12/21/2023

HSBC USA Inc. 0.00% due 12/21/2021

HSBC USA Inc. 8.95% due 12/19/2019

HSBC USA Inc. 0.00% due 12/19/2023

HSBC USA Inc. 0.00% due 3/18/2020

HSBC USA Inc. 0.00% due 12/13/2024

HSBC USA Inc. 10.10% due 12/12/2019

HSBC USA Inc. 9.85% due 12/12/2019

HSBC USA Inc. 11.15% due 12/12/2019

HSBC USA Inc. 0.00% due 12/11/2023

HSBC USA Inc. 9.50% due 12/5/2023

HSBC USA Inc. 7.50% due 3/5/2020

HSBC USA Inc. 0.00% due 1/6/2020

HSBC USA Inc. 0.00% due 12/7/2020

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 12/7/2020

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 5.90% due 12/5/2023

HSBC USA Inc. 0.00% due 12/5/2023

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 3/4/2020

HSBC USA Inc. 0.00% due 12/3/2020

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 11/22/2024

HSBC USA Inc. 0.00% due 11/24/2023

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 7.50% due 11/30/2023

HSBC USA Inc. 9.5%, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $790.71 for Amazon, $87.12 for Apple, $133.315 for Netflix and $526.14 for Alphabet; 50% of initial prices due 11/30/2021

HSBC USA Inc. 7.4%, payable quarterly if each index closes at or above trigger level on determination date for that period due 11/30/2028

HSBC USA Inc. 8.25%, payable quarterly if each index closes at or above trigger level on determination date for that period due 11/30/2028

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 12/13/2023

HSBC USA Inc. 7.75% due 11/10/2021

HSBC USA Inc. 0.00% due 5/25/2021

HSBC USA Inc. 0.00% due 11/27/2020

HSBC USA Inc. 0.00% due 8/23/2022

HSBC USA Inc. 10.25% due 11/21/2019

HSBC USA Inc. 9.30% due 11/21/2019

HSBC USA Inc. 9.45% due 11/21/2019

HSBC USA Inc. 0.00% due 11/19/2021

HSBC USA Inc. 0.00% due 2/20/2020

HSBC USA Inc. 0.00% due 11/20/2020

HSBC USA Inc. 0.00% due 11/20/2023

HSBC USA Inc. 2.00% due 11/16/2023

HSBC USA Inc. 11%, payable quarterly if the stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier price: 94.57, 70% of initial price due 11/15/2021

HSBC USA Inc. 0.00% due 11/13/2019

HSBC USA Inc. 0.00% due 5/7/2020

HSBC USA Inc. 0.00% due 2/5/2020

HSBC USA Inc. 0.00% due 11/4/2020

HSBC USA Inc. 13.6%, payable semiannually if each asset closes above coupon barrier; Coupon barrier: 1,315.78385 for index, $34.697 for ETF, 85% of initial values due 11/5/2021

HSBC USA Inc. 6.45% due 2/5/2020

HSBC USA Inc. 0.00% due 12/5/2019

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 11/5/2020

HSBC USA Inc. 0.00% due 11/5/2021

HSBC USA Inc. 0.00% due 11/5/2020

HSBC USA Inc. 0.00% due 11/7/2022

HSBC USA Inc. 0.00% due 11/5/2020

HSBC USA Inc. 6.5%, payable quarterly if each index closes above coupon barrier; Coupon barrier: 903.9822 for Russell, 1,888.278 for Stoxx; 60% of initial levels due 10/29/2025

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 11/2/2020

HSBC USA Inc. 8.00% due 10/31/2028

HSBC USA Inc. 11.50% due 10/31/2028

HSBC USA Inc. 6.15% due 10/31/2028

HSBC USA Inc. 9.9%, payable monthly if each stock closes at or above trigger level on determination date for that period due 11/1/2021

HSBC USA Inc. 0.00% due 12/2/2019

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 11/1/2021

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 3.125% initially, stepping up to 3.5% on Oct. 29, 2019 and to 3.875% on Oct. 29, 2020; payable semiannually due 10/29/2021

HSBC USA Inc. 0.00% due 10/30/2023

HSBC USA Inc. 0.00% due 10/26/2022

HSBC USA Inc. 0.00% due 10/26/2021

HSBC USA Inc. 0.00% due 11/10/2022

HSBC USA Inc. 0.00% due 11/12/2025

HSBC USA Inc. 0.00% due 11/9/2023

HSBC USA Inc. 0.00% due 11/25/2019

HSBC USA Inc. 6.25% per year, payable semiannually if each index closes at or above barrier level on observation date for that period; Barrier levels: 1,937.446 for S&P 500 and 1,079.4294 for Russell 2000; 70% of initial levels due 10/12/2021

HSBC USA Inc. 7.50% due 10/12/2021

HSBC USA Inc. 0.00% due 10/24/2023

HSBC USA Inc. 0.00% due 10/23/2023

HSBC USA Inc. 0.00% due 10/25/2021

HSBC USA Inc. 0.00% due 10/23/2023

HSBC USA Inc. 0.00% due 10/21/2025

HSBC USA Inc. 0.00% due 4/24/2020

HSBC USA Inc. 3.25% initially, stepping up to 3.75% on Oct. 18, 2020, to 4.25% on Oct. 18, 2021 and to 4.75% on Oct. 18, 2022; payable semiannually due 10/18/2023

HSBC USA Inc. Year-over-year change in index plus 75 bps, subject to minimum rate of 0%; payable monthly due 10/18/2021

HSBC USA Inc. 8.35% due 10/18/2019

HSBC USA Inc. 10.50% due 10/18/2019

HSBC USA Inc. 7.43% due 10/18/2019

HSBC USA Inc. 9.9%, payable monthly if stock closes at or above 80% coupon barrier on observation date for that month due 10/15/2021

HSBC USA Inc. 15.25%, payable monthly if stock closes at or above 80% coupon barrier on observation date for that month due 4/17/2019

HSBC USA Inc. 0.00% due 10/15/2021

HSBC USA Inc. 0.00% due 1/17/2020

HSBC USA Inc. 0.00% due 10/17/2023

HSBC USA Inc. 0.00% due 1/16/2024

HSBC USA Inc. 8.65%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter due 10/10/2019

HSBC USA Inc. 0.00% due 10/6/2023

HSBC USA Inc. 8.5%, payable quarterly if the stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier price: $101.4845, 65% of initial price due 1/9/2020

HSBC USA Inc. 11.00% due 10/9/2019

HSBC USA Inc. 0.00% due 10/11/2023

HSBC USA Inc. 15%, payable monthly if stock closes at or above 80% coupon barrier on observation date for that quarter due 4/2/2019

HSBC USA Inc. 12%, payable monthly if stock closes at or above 75% coupon barrier on observation date for that quarter due 4/2/2019

HSBC USA Inc. 6.10% due 1/3/2020

HSBC USA Inc. 0.00% due 11/4/2019

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 10/4/2021

HSBC USA Inc. 0.00% due 10/3/2022

HSBC USA Inc. 0.00% due 10/4/2021

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 10/4/2021

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 9.85% due 10/3/2019

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 12.83%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 10/17/2019

HSBC USA Inc. 0.00% due 10/7/2022

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 10/3/2023

HSBC USA Inc. 10%, payable quarterly if each stock closes at or above 78% of initial price on observation date for that quarter due 10/2/2020

HSBC USA Inc. 0.00% due 9/23/2021

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/27/2024

HSBC USA Inc. 0.00% due 9/24/2021

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/24/2021

HSBC USA Inc. 9.4%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 9/29/2025

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 7.5% annualized, payable quarterly if each fund closes at or above its 70% coupon barrier on observation date for that quarter due 9/29/2023

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/28/2020

HSBC USA Inc. 9.15% due 9/28/2028

HSBC USA Inc. 5.70% due 9/28/2028

HSBC USA Inc. 11.25%, payable monthly if each stock closes at or above trigger level on determination date for that period due 9/28/2021

HSBC USA Inc. 0.00% due 9/28/2023

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 5/26/2020

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 9/28/2021

HSBC USA Inc. 0.00% due 9/7/2021

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/28/2023

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 10/14/2022

HSBC USA Inc. 9.65%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter due 9/24/2021

HSBC USA Inc. 10.25%, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter due 9/26/2019

HSBC USA Inc. 5.50% due 9/10/2021

HSBC USA Inc. 7.00% due 9/21/2023

HSBC USA Inc. 0.00% due 9/26/2023

HSBC USA Inc. 0.00% due 9/28/2023

HSBC USA Inc. 0.00% due 9/29/2025

HSBC USA Inc. 0.00% due 9/19/2025

HSBC USA Inc. 5.25% due 9/21/2023

HSBC USA Inc. 3% initially, stepping up to 3.25% on Sept. 20, 2019 and to 3.5% on Sept. 20, 2020; payable semiannually due 9/20/2021

HSBC USA Inc. 0.00% due 9/19/2022

HSBC USA Inc. 0.00% due 9/16/2020

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 78.5% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 10/2/2019

HSBC USA Inc. 0.00% due 9/19/2023

HSBC USA Inc. 0.00% due 12/18/2019

HSBC USA Inc. 8%, payable quarterly if shares close at or above coupon barrier on observation date; Coupon barrier/downside threshold: $38.54, 63.25% of initial price due 9/10/2021

HSBC USA Inc. 7%, payable quarterly if shares close at or above coupon barrier on observation date; Coupon barrier/downside threshold: $82.74, 78% of initial price due 9/10/2021

HSBC USA Inc. 7%, payable quarterly if shares close at or above coupon barrier on observation date; due 9/10/2021

HSBC USA Inc. 0.00% due 6/12/2020

HSBC USA Inc. 9.6% annualized, payable monthly until Sept. 3, 2019 if knock-out event does not occur that month; knock-out event is if ETF closes below 90% coupon trigger on any trading day before Sept. 3, 2019 due 9/6/2023

HSBC USA Inc. 8.85%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter due 9/3/2021

HSBC USA Inc. 9%, payable quarterly if stock closes at or above 75% coupon barrier on observation date for that quarter due 9/5/2019

HSBC USA Inc. 6.25% due 11/4/2019

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 0.00% due 9/6/2023

HSBC USA Inc. 0.00% due 9/8/2020

HSBC USA Inc. 0.00% due 9/7/2021

HSBC USA Inc. 0.00% due 9/6/2023

HSBC USA Inc. 0.00% due 9/7/2021

HSBC USA Inc. 0.00% due 3/3/2021

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 10%, payable quarterly if each stock closes at or above 80.8% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 9/18/2019

HSBC USA Inc. 0.00% due 8/26/2021

HSBC USA Inc. 0.00% due 8/24/2023

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 3/5/2021

HSBC USA Inc. 0.00% due 9/5/2023

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 0.00% due 8/30/2023

HSBC USA Inc. 9.40% due 9/3/2019

HSBC USA Inc. 8.50% due 9/3/2019

HSBC USA Inc. 7.70% due 9/3/2019

HSBC USA Inc. 0.00% due 9/21/2022

HSBC USA Inc. 9.25%, payable monthly if stock closes at or above 80% coupon barrier on observation date for that month due 8/27/2021

HSBC USA Inc. 9.75%, payable monthly if stock closes at or above 75% coupon barrier on observation date for that month due 8/27/2021

HSBC USA Inc. 10.50% due 8/18/2021

HSBC USA Inc. 9.00% due 8/18/2021

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 9/2/2025

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/26/2021

HSBC USA Inc. 10.27%, payable quarterly if each stock closes at or above 72.3% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 9/11/2019

HSBC USA Inc. 10%, payable quarterly if each stock closes at or above 72.3% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 9/11/2019

HSBC USA Inc. 3% initially, stepping up to 3.2% on Aug. 28, 2019 and to 3.4% on Aug. 28, 2020; payable semiannually due 8/28/2021

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 0.00% due 2/27/2020

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 8/27/2024

HSBC USA Inc. 0.00% due 8/22/2022

HSBC USA Inc. 0.00% due 8/25/2023

HSBC USA Inc. 0.00% due 12/4/2019

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barrier/thresholds: 2,254.7 for S&P, 1,336.533 for Russell, 80% of initial levels due 8/20/2020

HSBC USA Inc. 0.00% due 5/17/2022

HSBC USA Inc. 0.00% due 11/18/2019

HSBC USA Inc. 0.00% due 8/8/2022

HSBC USA Inc. 0.00% due 8/17/2023

HSBC USA Inc. 0.00% due 8/16/2021

HSBC USA Inc. 6.53% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on observation date for that quarter due 8/15/2023

HSBC USA Inc. 6.5%, payable quarterly if each index closes at or above coupon barrier on related quarterly observation date; Coupon barriers: 4,480.177 for Nasdaq, 1,014.532 for Russell, 1,712.15 for S&P; 60% of initial levels due 8/14/2023

HSBC USA Inc. 3% initially, stepping up to 3.125% on Aug. 9, 2019 and to 3.25% on Aug. 9, 2020; payable semiannually due 8/9/2021

HSBC USA Inc. 4% for first year; after that, 7.5 times spread of 30-year CMS rate over two-year CMS rate; payable quarterly due 8/9/2023

HSBC USA Inc. 0.00% due 8/8/2022

HSBC USA Inc. 0.00% due 8/9/2021

HSBC USA Inc. 0.00% due 8/7/2020

HSBC USA Inc. 0.00% due 8/3/2020

HSBC USA Inc. 6.50% due 11/4/2019

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 0.00% due 8/3/2020

HSBC USA Inc. 0.00% due 8/3/2021

HSBC USA Inc. 0.00% due 8/3/2022

HSBC USA Inc. 0.00% due 8/3/2021

HSBC USA Inc. 0.00% due 8/3/2023

HSBC USA Inc. 0.00% due 2/3/2022

HSBC USA Inc. 0.00% due 11/5/2019

HSBC USA Inc. 10.15% due 8/2/2019

HSBC USA Inc. 8.90% due 8/2/2019

HSBC USA Inc. 10%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $104.934 for Facebook, $1,090.362 for Amazon, $751.734 for Alphabet and $114.588 for Apple; 60% of initial prices due 8/2/2021

HSBC USA Inc. 10.25%, payable quarterly if stock closes at or above its 80% downside threshold on observation date for that quarter due 7/30/2021

HSBC USA Inc. 0.00% due 8/1/2023

HSBC USA Inc. 0.00% due 8/3/2020

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 2/1/2021

HSBC USA Inc. 0.00% due 7/28/2021

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 7.35% due 7/31/2028

HSBC USA Inc. 0.00% due 7/29/2021

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 7/29/2021

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 8.25% due 7/24/2024

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 7.25% due 7/29/2019

HSBC USA Inc. 8.10% due 7/29/2019

HSBC USA Inc. 0.00% due 7/27/2022

HSBC USA Inc. 8.25%, payable monthly if fund stock closes at or above 65% coupon barrier on observation date for that month due 7/25/2023

HSBC USA Inc. 0.00% due 7/27/2021

HSBC USA Inc. 0.00% due 8/26/2019

HSBC USA Inc. 0.00% due 7/25/2024

HSBC USA Inc. 0.00% due 7/26/2021

HSBC USA Inc. 9.00% due 7/27/2021

HSBC USA Inc. 10.50% due 7/27/2021

HSBC USA Inc. 0.00% due 7/27/2023

HSBC USA Inc. 0.00% due 7/23/2021

HSBC USA Inc. 0.00% due 7/27/2023

HSBC USA Inc. 0.00% due 7/28/2025

HSBC USA Inc. 0.00% due 1/27/2020

HSBC USA Inc. 0.00% due 3/4/2024

HSBC USA Inc. 10%, payable quarterly if stock closes at or above its 80% downside threshold on observation date for that quarter due 7/18/2019

HSBC USA Inc. 0.00% due 7/18/2023

HSBC USA Inc. 10%, payable quarterly if stock closes at or above 81% coupon barrier on observation date for that quarter; If coupon payment is missed, it will be paid on next coupon payment date that stock closes at or above barrier due 7/31/2019

HSBC USA Inc. 0.00% due 7/18/2023

HSBC USA Inc. 0.00% due 10/17/2019

HSBC USA Inc. 10% annualized, payable quarterly if shares close at or above coupon barrier on related quarterly observation date; if a coupon is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above the barrier; Coupon barrier: $139.43, 66.4% of initial share price due 7/31/2019

HSBC USA Inc. 9.85%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 7/11/2025

HSBC USA Inc. 13%, payable quarterly if stock closes at or above its 60% downside threshold on observation date for that quarter due 7/11/2019

HSBC USA Inc. 0.00% due 7/10/2023

HSBC USA Inc. 6.25% due 10/7/2019

HSBC USA Inc. 0.00% due 8/5/2019

HSBC USA Inc. 0.00% due 7/6/2020

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 7/5/2023

HSBC USA Inc. 0.00% due 7/6/2023

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 0.00% due 6/28/2024

HSBC USA Inc. 0.00% due 1/3/2022

HSBC USA Inc. 0.00% due 7/3/2023

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 5.45% due 6/29/2028

HSBC USA Inc. 10.55%, payable monthly if each stock closes at or above 50% coupon barrier on observation date for that month due 4/27/2020

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 0.00% due 12/29/2020

HSBC USA Inc. 0.00% due 6/29/2021

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 7.35% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,042.295 for S&P and 1,251.3953 for Russell; 75% of initial levels due 6/29/2028

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 0.00% due 6/28/2023

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 8.63% due 6/28/2019

HSBC USA Inc. 8.00% due 6/28/2019

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 0.00% due 6/29/2022

HSBC USA Inc. 0.00% due 6/29/2021

HSBC USA Inc. 8% per year, payable quarterly if Amazon stock closes at or above coupon trigger on related quarterly observation date; Coupon trigger: $1,286.7525, 75% of initial price due 9/26/2019

HSBC USA Inc. 10.25% due 6/29/2021

HSBC USA Inc. 9.25% due 6/29/2021

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 0.00% due 6/29/2023

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 7.6% annualized, payable quarterly if each index closes at or above 70% coupon barrier on observation date for that quarter due 6/29/2022

HSBC USA Inc. 12.5%, payable monthly if stock closes at or above 80% coupon barrier on observation date for that month due 12/20/2018

HSBC USA Inc. 0.00% due 6/20/2023

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 6/25/2021

HSBC USA Inc. 8.60% due 6/18/2019

HSBC USA Inc. 0.00% due 9/18/2019

HSBC USA Inc. 9.20% due 6/13/2019

HSBC USA Inc. 0.00% due 2/13/2020

HSBC USA Inc. 3% initially, stepping up to 3.4% on June 13, 2020, to 3.8% on June 13, 2021 and to 4.2% on June 13, 2022; payable semiannually due 6/13/2023

HSBC USA Inc. 9.5% payable monthly if stock closes at or above barrier level on each day that month due 9/9/2019

HSBC USA Inc. 0.00% due 6/3/2021

HSBC USA Inc. 7.00% due 8/30/2019

HSBC USA Inc. 0.00% due 6/5/2020

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 0.00% due 6/7/2021

HSBC USA Inc. 0.00% due 6/5/2023

HSBC USA Inc. 0.00% due 6/3/2020

HSBC USA Inc. 0.00% due 7/5/2019

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 6.00% due 5/31/2028

HSBC USA Inc. 6% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,040.998 for S&P, 1,220.196 for Russell; 75% of initial levels due 5/31/2028

HSBC USA Inc. 5.40% due 12/2/2019

HSBC USA Inc. 0.00% due 6/12/2019

HSBC USA Inc. 7.75% due 5/31/2028

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 6/12/2019

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 5/31/2023

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 7/26/2019

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 6/1/2021

HSBC USA Inc. 0.00% due 5/30/2023

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 7/26/2019

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/27/2025

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barrier/thresholds: 1,913.11 for S&P, 1,146.209 for Russell, 70% of initial levels due 5/26/2021

HSBC USA Inc. 8.15% due 5/23/2019

HSBC USA Inc. 9.00% due 5/23/2019

HSBC USA Inc. 8.40% due 5/23/2019

HSBC USA Inc. 0.00% due 5/25/2022

HSBC USA Inc. 11.5%, payable semiannually if each fund closes at or above coupon trigger level on related observation date; Coupon trigger levels: $65.499 for Biotech and $48.209 for Technology Select; 70% of initial levels due 5/25/2021

HSBC USA Inc. 10.25%, payable semiannually if each fund closes at or above coupon trigger level on related observation date; Coupon trigger levels: $65.499 for Biotech and $48.209 for Technology Select; 70% of initial levels due 5/25/2021

HSBC USA Inc. 0.00% due 5/25/2022

HSBC USA Inc. 0.00% due 5/25/2023

HSBC USA Inc. 20%, payable quarterly if each stock closes at or above trigger level on determination date for that period due 5/22/2020

HSBC USA Inc. 0.00% due 12/3/2020

HSBC USA Inc. 0.00% due 8/19/2019

HSBC USA Inc. 10.5%, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter due 5/16/2019

HSBC USA Inc. 0.00% due 11/18/2019

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 10.5%, payable each quarter that stock closes at or above downside threshold on observation date for that quarter due 5/16/2019

HSBC USA Inc. 9.2%, payable each quarter that stock closes at or above downside threshold on observation date for that quarter due 5/14/2021

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 7.25%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barrier/thresholds: 84.45 for Euro Stoxx Banks, 2,317.59 for Euro Stoxx 50, 65% of initial levels due 5/14/2021

HSBC USA Inc. 0.00% due 5/23/2024

HSBC USA Inc. 10.75%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $113.334 for Alibaba, $17.58 for BofA and $43.458 for Procter & Gamble, 60% of initial prices due 5/9/2022

HSBC USA Inc. 0.00% due 6/10/2019

HSBC USA Inc. 7% annualized, payable quarterly if each index closes at or above its 78.35% coupon barrier on observation date for that quarter due 5/7/2021

HSBC USA Inc. 9.22%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barrier/thresholds: 796.495 for MSCI Emerging Markets, 1,082.5906 for Russell, 70% of initial levels due 5/10/2021

HSBC USA Inc. 7.50% due 5/3/2021

HSBC USA Inc. 7.00% due 8/5/2019

HSBC USA Inc. 7.50% due 5/3/2021

HSBC USA Inc. 0.00% due 6/3/2019

HSBC USA Inc. 0.00% due 5/3/2023

HSBC USA Inc. 0.00% due 5/4/2020

HSBC USA Inc. 0.00% due 5/3/2022

HSBC USA Inc. 0.00% due 5/3/2021

HSBC USA Inc. 0.00% due 5/3/2023

HSBC USA Inc. 0.00% due 5/5/2020

HSBC USA Inc. 0.00% due 4/28/2028

HSBC USA Inc. 3% initially, stepping up to 3.4% on May 2, 2020, to 3.8% on May 2, 2021 and to 4.2% on May 2, 2022; payable semiannually due 5/2/2023

HSBC USA Inc. 6.35% annualized, payable each quarter that each index closes at or above its coupon trigger on observation date for that quarter; Coupon triggers: 1,735.4415 for S&P, 1,011.5534 for Russell and 2,287.207 for Stoxx; 65% of initial levels due 4/28/2022

HSBC USA Inc. 0.00% due 5/2/2023

HSBC USA Inc. 10% annualized, payable quarterly if shares close at or above trigger level on quarterly observation date; any contingent coupon may be paid at a later time if the shares close above trigger level on a subsequent observation date due 5/15/2019

HSBC USA Inc. 6.40% due 3/29/2022

HSBC USA Inc. 8%, payable semiannually if each stock closes at or above trigger level on determination date for that period due 5/3/2021

HSBC USA Inc. 8.4%, payable semiannually if each stock closes at or above trigger level on determination date for that period due 5/3/2021

HSBC USA Inc. 7.9%, payable semiannually if each stock closes at or above trigger level on determination date for that period due 5/3/2021

HSBC USA Inc. 0.00% due 1/2/2020

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: 80% of initial price due 4/29/2021

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: 71% of initial price due 4/29/2021

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: 75% of initial price due 4/29/2021

HSBC USA Inc. 6.4% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 1,979.55 for S&P, 1,162.85025 for Russell; 75% of initial levels due 4/28/2028

HSBC USA Inc. 10%, payable monthly if each stock closes at or above 50% coupon barrier on observation date for that month due 4/30/2021

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 8.00% due 4/28/2028

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 5/1/2023

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/28/2023

HSBC USA Inc. 6.00% due 10/30/2019

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 15.5%, payable quarterly if each stock closes at or above 70% coupon barrier on observation date for that quarter due 4/27/2020

HSBC USA Inc. 0.00% due 4/26/2019

HSBC USA Inc. 11.25% annualized, payable semiannually if each fund closes at or above its 70% coupon barrier on the observation date for that period due 4/27/2021

HSBC USA Inc. 10% annualized, payable semiannually if each fund closes at or above its 70% coupon barrier on the observation date for that period due 4/27/2021

HSBC USA Inc. 0.00% due 4/25/2023

HSBC USA Inc. 0.00% due 4/27/2022

HSBC USA Inc. 0.00% due 4/27/2023

HSBC USA Inc. 10% annualized, if stock closes at or above 78% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above the barrier due 5/8/2019

HSBC USA Inc. 10%, payable quarterly if Amazon stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier price: $1,109.955, 77% of initial price due 4/22/2019

HSBC USA Inc. 0.00% due 4/19/2024

HSBC USA Inc. 0.00% due 4/15/2020

HSBC USA Inc. 0.00% due 6/11/2019

HSBC USA Inc. 0.00% due 2/15/2023

HSBC USA Inc. 0.00% due 4/1/2021

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 12%, payable each quarter that stock closes at or above downside threshold on observation date for that quarter due 4/3/2019

HSBC USA Inc. 0.00% due 4/5/2023

HSBC USA Inc. 0.00% due 10/1/2019

HSBC USA Inc. 12.1% per year if shares close at or above trigger price on applicable quarterly observation date; any contingent coupon that is not paid will be paid at a later time if the ETF shares close above the trigger price on a subsequent observation date due 4/16/2019

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 0.00% due 3/25/2021

HSBC USA Inc. 6.85% due 7/3/2019

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 0.00% due 4/5/2021

HSBC USA Inc. 0.00% due 4/3/2020

HSBC USA Inc. 0.00% due 4/5/2021

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 7.3% annualized, payable each quarter that each index closes at or above its coupon trigger on observation date for that quarter; Coupon triggers: 1,693.25 for S&P, 983.47015 for Russell and 2,165.3125 for Stoxx; 65% of initial levels due 3/29/2022

HSBC USA Inc. 9.25%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; coupon will also be paid for any previous quarter during which no coupon was paid; Coupon trigger levels: $95.5435 for Caterpillar and $98.904 for Deere, 65% of initial prices due 3/29/2021

HSBC USA Inc. 0.00% due 4/1/2021

HSBC USA Inc. 12.25%, payable monthly if each stock closes at or above coupon trigger level on observation date for that month; Coupon trigger levels: $47.64 for AbbVie, $164.485 for Boeing and $122.24 for Nvidia, 50% of initial prices due 3/29/2021

HSBC USA Inc. 0.00% due 5/29/2019

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 0.00% due 9/29/2020

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 7.75% due 3/29/2028

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 3/29/2022

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 0.00% due 3/26/2024

HSBC USA Inc. 10.75% due 3/29/2021

HSBC USA Inc. 12%, payable semiannually if each fund closes at or above coupon trigger level on related observation date; Coupon trigger levels: $62.02 for Biotech and $45.00 for Technology Select; 70% of initial levels due 3/29/2021

HSBC USA Inc. 14%, payable each quarter that stock closes at or above downside threshold on observation date for that quarter due 3/28/2019

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 0.00% due 3/29/2022

HSBC USA Inc. 0.00% due 3/29/2023

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 11.40% due 3/25/2019

HSBC USA Inc. 0.00% due 9/23/2019

HSBC USA Inc. 0.00% due 9/12/2019

HSBC USA Inc. 0.00% due 3/25/2022

HSBC USA Inc. 0.00% due 3/25/2021

HSBC USA Inc. 0.00% due 3/30/2023

HSBC USA Inc. 5.70% due 9/16/2019

HSBC USA Inc. 7% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,052.324 for Euro Stoxx, 1,671.942 for S&P, 958.2852 for Russell; 60% of initial levels due 9/14/2020

HSBC USA Inc. 0.00% due 3/18/2022

HSBC USA Inc. 0.00% due 9/14/2020

HSBC USA Inc. 0.00% due 9/12/2019

HSBC USA Inc. 14%, payable monthly if stock closes at or above downside threshold on observation date for that month due 9/7/2018

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0%; payable annually due 3/6/2025

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 0.00% due 3/6/2026

HSBC USA Inc. 0.00% due 3/3/2021

HSBC USA Inc. 5.75% due 6/5/2019

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 0.00% due 3/5/2020

HSBC USA Inc. 0.00% due 3/7/2022

HSBC USA Inc. 0.00% due 3/5/2021

HSBC USA Inc. 0.00% due 3/6/2023

HSBC USA Inc. 7.00% due 3/2/2021

HSBC USA Inc. 0.00% due 3/2/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 8% per year, payable each quarter that each asset closes at or above its coupon trigger on observation date that quarter; Coupon triggers: $65.23 for biotech and $60.49 for health, 70% of initial prices due 3/1/2021

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 7.4%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barriers: 854.76 for MSCI Emerging Markets, 2,424.23 for Stoxx 50, 70% of initial levels due 3/2/2028

HSBC USA Inc. 5.65% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on review date for that quarter due 2/26/2025

HSBC USA Inc. 7% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon trigger: 1,923.11 for S&P, 1,084.430 for Russell; 70% of initial levels due 2/28/2028

HSBC USA Inc. 5.50% due 8/28/2019

HSBC USA Inc. 0.00% due 3/28/2019

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 8/28/2019

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 3/2/2021

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 10.25%, payable quarterly if stock closes at or above 75% downside threshold on observation date for that quarter due 2/26/2021

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. Year-over-year change in index plus 50 bps, subject to minimum rate of 0%; payable monthly due 2/28/2025

HSBC USA Inc. 0.00% due 3/2/2021

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/28/2019

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 10.2% per year, payable quarterly if each index closes at or above coupon barrier on each trading day for that quarter; Barriers/thresholds: 1,923.11 for S&P, 1,084.43 for Russell and 2,409.02 for Stoxx; 70% of initial levels due 2/26/2021

HSBC USA Inc. 0.00% due 4/26/2019

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/26/2019

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 2/25/2021

HSBC USA Inc. 0.00% due 2/23/2023

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 8/28/2019

HSBC USA Inc. 0.00% due 2/24/2023

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 8/27/2020

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 7.50% due 3/8/2019

HSBC USA Inc. 0.00% due 3/8/2019

HSBC USA Inc. 0.00% due 2/26/2020

HSBC USA Inc. 0.00% due 7/11/2019

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/26/2025

HSBC USA Inc. 0.00% due 9/3/2020

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 12.50% due 2/26/2021

HSBC USA Inc. 10.75% due 2/26/2021

HSBC USA Inc. 0.00% due 2/26/2024

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/27/2023

HSBC USA Inc. 6.5% annualized, payable quarterly if each index closes at or above 65% threshold on observation date for that quarter due 2/22/2021

HSBC USA Inc. 6.85%, payable quarterly if index closes at or above coupon barrier on observation date; Coupon barrier: 2,398.76, 70% of initial level due 2/14/2028

HSBC USA Inc. 0.00% due 8/21/2019

HSBC USA Inc. 14% annualized, payable quarterly if each fund closes at or above 75% coupon barrier on determination date for that quarter due 8/18/2020

HSBC USA Inc. 8.25% annualized, payable quarterly if index closes at or above 80% coupon barrier on determination date that quarter due 2/12/2021

HSBC USA Inc. 10% annualized, payable quarterly if each index closes at or above 80% coupon barrier on determination date for that quarter due 8/13/2020

HSBC USA Inc. 8.04%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barriers: 1,034.485 for Russell, 2,328.19 for Stoxx 50, 70% of initial levels due 2/14/2028

HSBC USA Inc. 10.1% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: $27.53 for iShares U.S. Home Construction ETF, $22.67 for SPDR Oil & Gas Exploration & Production ETF; 70% of initial prices due 12/27/2019

HSBC USA Inc. 3.5% for first year; after that, 5.5 times spread of 30-year CMS rate over two-year CMS rate; payable quarterly due 2/13/2023

HSBC USA Inc. 12.07% annualized, if stock closes at or above 70% coupon barrier on observation date for that quarter due 2/27/2019

HSBC USA Inc. 0.00% due 2/15/2024

HSBC USA Inc. 0.00% due 2/9/2023

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 0.00% due 5/3/2021

HSBC USA Inc. 10% per year if shares close at or above trigger price on applicable quarterly observation date due 2/21/2019

HSBC USA Inc. 6.00% due 5/6/2019

HSBC USA Inc. 5.45% due 5/6/2019

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 0.00% due 2/5/2020

HSBC USA Inc. 0.00% due 2/7/2022

HSBC USA Inc. 0.00% due 2/5/2021

HSBC USA Inc. 8% annualized, payable quarterly if fund closes at or above 80% coupon barrier on each day during that quarter due 2/5/2019

HSBC USA Inc. 7.5% annualized, payable quarterly if each index closes at or above 65% coupon barrier on each day during that quarter due 8/5/2020

HSBC USA Inc. 0.00% due 2/6/2023

HSBC USA Inc. 0.00% due 2/5/2021

HSBC USA Inc. 0.00% due 2/5/2025

HSBC USA Inc. 3.5% for first year; after that, 5.8 times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero; payable quarterly due 2/2/2023

HSBC USA Inc. 7.95% due 2/1/2019

HSBC USA Inc. 9.00% due 2/1/2019

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 8%, payable quarterly if each index closes at or above coupon barrier on observation date; Coupon barriers/thresholds: 92.98 for Stoxx Banks, 2,367.98 for Stox 50, 65% of initial levels due 2/3/2021

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/threshold: $25.85, 67.5% of initial price due 1/31/2020

HSBC USA Inc. 6.05% due 1/28/2028

HSBC USA Inc. 5.00% due 7/31/2019

HSBC USA Inc. 9.25%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barrier levels: $102.906 for Apple, $841.23 for Amazon, $114 for Facebook and $705.504 for Alphabet, 60% of initial prices due 1/29/2021

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 4.25% due 1/31/2025

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 2.25% initially, stepping up to 2.75% on Jan. 31, 2020, to 3.25% on Jan. 31, 2021 and to 4.25% on Jan. 31, 2022; payable semiannually due 1/31/2023

HSBC USA Inc. 3.125% initially, stepping up to 4% on Jan. 30, 2025 and to 4.75% on July 30, 2027; payable semiannually due 1/30/2030

HSBC USA Inc. 9.25% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,154.65 for S&P, 1,206.044 for Russell and 2,735.56 for Stoxx; 75% of initial levels due 7/30/2020

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/31/2025

HSBC USA Inc. 0.00% due 1/31/2028

HSBC USA Inc. 0.00% due 1/26/2023

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 7/30/2020

HSBC USA Inc. 2.20% due 2/22/2019

HSBC USA Inc. 0.00% due 1/27/2021

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 8.85%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $27.64 for Intel and $99.75 for IBM, 60% of initial prices due 1/30/2025

HSBC USA Inc. 0.00% due 1/26/2026

HSBC USA Inc. 0.00% due 1/26/2022

HSBC USA Inc. 0.00% due 1/26/2021

HSBC USA Inc. 15.75%, payable quarterly if each stock closes at or above 70% coupon barrier on observation date for that quarter due 1/24/2020

HSBC USA Inc. 0.00% due 1/23/2020

HSBC USA Inc. 0.00% due 1/22/2021

HSBC USA Inc. 0.00% due 1/26/2024

HSBC USA Inc. 8.50% due 1/27/2020

HSBC USA Inc. 8.50% due 1/26/2021

HSBC USA Inc. 10.00% due 1/26/2021

HSBC USA Inc. 0.00% due 1/26/2023

HSBC USA Inc. 0.00% due 1/26/2022

HSBC USA Inc. 0.00% due 1/26/2023

HSBC USA Inc. 8.85%, payable quarterly if each stock closes at or above 60% coupon barrier on observation date for that quarter due 1/21/2025

HSBC USA Inc. 10% per year, payable quarterly if each index closes at or above coupon threshold every day that quarter; Downside/coupon thresholds: 2,242.048 for S&P, 1,269.3264 for Russell and 2,890.224 for Stoxx, 80% of initial levels due 7/22/2020

HSBC USA Inc. 10.75%, payable quarterly if each stock closes at or above 75% coupon barrier on observation date for that quarter due 7/19/2021

HSBC USA Inc. 0.00% due 7/19/2019

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 10.5% per year, payable quarterly if each index closes at or above 75% coupon barrier on each trading day for that quarter due 7/20/2020

HSBC USA Inc. 9.85% per year, payable quarterly if each index closes at or above 75% coupon barrier on each trading day for that quarter due 7/22/2020

HSBC USA Inc. 0.00% due 1/19/2024

HSBC USA Inc. 6.70% due 10/24/2018

HSBC USA Inc. 10% per year, payable quarterly if each index closes at or above coupon threshold every day that quarter; Downside/coupon thresholds: 2,201.032 for S&P, 1,248.0792 for Russell and 2,898.296 for Stoxx, 80% of initial levels due 7/14/2020

HSBC USA Inc. 5.05% due 7/9/2019

HSBC USA Inc. 8%, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter due 1/8/2021

HSBC USA Inc. 9.5%, payable quarterly if ETF closes at or above 80% coupon barrier on observation date for that quarter due 1/10/2019

HSBC USA Inc. 9% annualized, payable quarterly if each fund closes at or above 70% coupon threshold on observation date for that quarter due 1/10/2020

HSBC USA Inc. 3.8% annualized, payable monthly until Jan. 9, 2019 if knock-out event does not occur that month; knock-out event is if index closes below 85% coupon trigger on any trading day before Jan. 4, 2019 due 1/7/2022

HSBC USA Inc. 0.00% due 7/6/2020

HSBC USA Inc. 8%, payable quarterly if stock closes at or above 80% coupon barrier on observation date for that quarter due 12/31/2020

HSBC USA Inc. 0.00% due 7/3/2018

HSBC USA Inc. 0.00% due 1/3/2024

HSBC USA Inc. 8.29% due 1/2/2019

HSBC USA Inc. 9.5%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barriers: $102.36 for Apple, $10.428 for General Electric and $51.426 for Microsoft, 60% of initial prices due 12/30/2024

HSBC USA Inc. 6% annualized, payable quarterly if each index closes at or above 65% threshold on observation date for that quarter due 12/29/2021

HSBC USA Inc. 7%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: $121.98, 71.5% of initial price due 12/31/2020

HSBC USA Inc. 8%, payable quarterly if index closes at or above coupon barrier on quarterly observation date; Barrier/downside threshold: 91.61, 69.5% of initial price due 1/2/2020

HSBC USA Inc. 7%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: $111.40, 72.75% of initial price due 12/31/2020

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier/thresholds: $14.71, 71.5% of initial price due 12/31/2020

HSBC USA Inc. 6.00% due 12/29/2027

HSBC USA Inc. 7.35%, payable each quarter that each index closes at or above its coupon trigger level on the observation date for that quarter; Coupon trigger levels: 2,010.38 for S&P, 1,158.17 for Russell; 75% of initial levels due 12/23/2027

HSBC USA Inc. 0.00% due 12/29/2022

HSBC USA Inc. 7.35% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,010.38 for S&P and 1,158.17 for Russell; 75% of initial levels due 12/29/2027

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/31/2020

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 7.80% due 12/27/2019

HSBC USA Inc. 15% annualized, payable each quarter that each fund closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers/barriers: $36.14 for Bank ETF, $63.44 for Biotech ETF and $48.41 for Technology Select; 75% of initial prices due 12/27/2019

HSBC USA Inc. 15% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: $60.90 for Biotech ETF, $34.69 for Bank ETF and $71.40 for Semiconductor ETF; 72% of initial prices due 12/27/2019

HSBC USA Inc. 0.00% due 12/27/2019

HSBC USA Inc. 0.00% due 12/31/2024

HSBC USA Inc. 0.00% due 12/23/2021

HSBC USA Inc. 0.00% due 12/22/2022

HSBC USA Inc. 0.00% due 1/7/2019

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 11.75% annualized, payable semiannually if each fund closes at or above 70% coupon barrier on review date for that period due 12/29/2020

HSBC USA Inc. 10%, payable semiannually if each fund closes at or above trigger level on related observation date due 12/29/2020

HSBC USA Inc. 0.00% due 12/23/2019

HSBC USA Inc. 0.00% due 12/29/2021

HSBC USA Inc. 0.00% due 12/29/2022

HSBC USA Inc. 0.00% due 12/23/2019

HSBC USA Inc. 0.00% due 12/29/2025

HSBC USA Inc. 0.00% due 12/20/2019

HSBC USA Inc. 5.25% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,009.44 for S&P and 1,155.057 for Russell; 75% of initial levels due 6/26/2019

HSBC USA Inc. 9.6%, payable quarterly if each stock closes at or above 60% coupon barrier on observation date for that quarter due 12/28/2020

HSBC USA Inc. 10.5% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter; Coupon triggers: 2,009.44 for S&P, $34.32 for China Large-Cap and $258.87 for S&P Midcap 400; 75% of initial levels due 6/26/2019

HSBC USA Inc. 6.25% due 3/26/2019

HSBC USA Inc. 5.75% due 3/26/2019

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 12/26/2019

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/26/2019

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/26/2019

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/26/2019

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/26/2019

HSBC USA Inc. 4.25% due 12/26/2024

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 12/28/2020

HSBC USA Inc. 0.00% due 12/27/2021

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 12/28/2020

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 12/28/2020

HSBC USA Inc. 8.25% per year, payable each quarter that each index closes at or above coupon barrier on observation date for that quarter; Coupon barriers: 1,078.0532 for Russell, 792.995 for MSCI EM and 2,486.855 for Euro Stoxx; 70% of initial levels due 12/23/2022

HSBC USA Inc. 0.00% due 12/22/2020

HSBC USA Inc. 8.3% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter due 6/23/2021

HSBC USA Inc. 9.8% per year, payable quarterly if stock closes at or above barrier on determination date for that quarter due 12/18/2020

HSBC USA Inc. 0.00% due 6/19/2019

HSBC USA Inc. 9.6% per year, payable quarterly if each fund closes at or above downside threshold on determination date that quarter due 6/18/2020

HSBC USA Inc. 11.3% per year plus any previously unpaid contingent coupons if shares close at or above trigger price on applicable quarterly observation date due 1/3/2019

HSBC USA Inc. 0.00% due 7/3/2019

HSBC USA Inc. 0.00% due 6/19/2019

HSBC USA Inc. 0.00% due 12/21/2020

HSBC USA Inc. 7.35% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,997.14 for S&P and 1,143.335 for Russell; 75% of initial levels due 12/20/2027

HSBC USA Inc. 17%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barriers: $204.29 for Boeing, $73.86 for JPMorgan and $131.50 for Netflix, 70% of initial prices due 12/18/2019

HSBC USA Inc. 12.35%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger/barriers: $83.95 for Chevron, $69.96 for EOG and $109.94 for Pioneer, 70% of initial prices due 12/18/2019

HSBC USA Inc. 0.00% due 6/18/2025

HSBC USA Inc. 9.6% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter due 12/11/2020

HSBC USA Inc. 8%, payable quarterly if each stock closes at or above 60% coupon barrier on observation date for that quarter due 12/9/2024

HSBC USA Inc. 10.50% due 12/10/2018

HSBC USA Inc. 8% per year, payable quarterly if stock closes at or above barrier on determination date for that quarter due 12/4/2020

HSBC USA Inc. 0.00% due 12/6/2023

HSBC USA Inc. 0.00% due 3/14/2019

HSBC USA Inc. 13.25% per year, payable each month that shares close at or above downside threshold level on determination date for that month due 6/6/2018

HSBC USA Inc. 6.00% due 3/5/2019

HSBC USA Inc. 5.00% due 3/5/2019

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 12/5/2019

HSBC USA Inc. 0.00% due 12/7/2020

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 12/5/2022

HSBC USA Inc. 0.00% due 6/3/2020

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 12/7/2020

HSBC USA Inc. 0.00% due 4/6/2021

HSBC USA Inc. 6.30% due 3/4/2019

HSBC USA Inc. 6.25%, payable quarterly if each index closes above its 65% barrier on the observation date that quarter due 12/6/2021

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 7%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier: $823.58, 69% of initial price due 12/2/2020

HSBC USA Inc. 8%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier: $47.20, 75.5% of initial price due 12/2/2020

HSBC USA Inc. 6.6%, payable quarterly if each fund closes at or above coupon barrier level on observation date for that quarter; Coupon barriers: $107.00 for Russell, $49.22 for EAFE, 70% of initial prices due 12/2/2020

HSBC USA Inc. 7%, payable quarterly if stock closes at or above coupon barrier level on observation date for that quarter; Coupon barrier: $64.93, 76.5% of initial price due 12/2/2020

HSBC USA Inc. 9.7% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter due 12/3/2020

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 6.00% due 11/30/2027

HSBC USA Inc. 5.25% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,951.07 for S&P, 1,134.982 for Russell; 75% of initial levels due 11/30/2027

HSBC USA Inc. 7.35% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,951.07 for S&P, 1,134.982 for Russell; 75% of initial levels due 11/30/2027

HSBC USA Inc. 6% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,951.07 for S&P, 1,134.982 for Russell; 75% of initial levels due 11/30/2027

HSBC USA Inc. 9%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $7.8715 for Ford and $28.7105 for General Motors, 65% of initial prices due 11/24/2020

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 12/1/2022

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 4.25% due 12/2/2024

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 12/1/2023

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 6.8% annualized, payable quarterly if each fund closes at or above 70% coupon barrier on review date for that quarter due 12/1/2020

HSBC USA Inc. 0.00% due 1/24/2019

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 11/27/2020

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 0.00% due 11/27/2019

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 12/2/2019

HSBC USA Inc. 0.00% due 11/22/2019

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 0.00% due 11/23/2020

HSBC USA Inc. 0.00% due 12/5/2018

HSBC USA Inc. 0.00% due 11/22/2021

HSBC USA Inc. 0.00% due 5/24/2021

HSBC USA Inc. 0.00% due 11/22/2022

HSBC USA Inc. 0.00% due 11/27/2023

HSBC USA Inc. 5.5% per year, payable semiannually if each index closes at or above barrier level on observation date for that period due 11/27/2020

HSBC USA Inc. 7% per year, payable semiannually if each index closes at or above barrier level on observation date for that period due 11/27/2020

HSBC USA Inc. 0.00% due 12/5/2018

HSBC USA Inc. 0.00% due 11/28/2022

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 0.00% due 11/28/2022

HSBC USA Inc. 12%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter due 11/20/2019

HSBC USA Inc. 9.3% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter due 11/19/2020

HSBC USA Inc. 7.6% per year, payable quarterly if each stock closes at or above barrier on determination date for that quarter due 11/18/2024

HSBC USA Inc. 5.15% due 5/17/2019

HSBC USA Inc. 2.5% initially; beginning Nov. 17, 2020, Libor plus 57 bps, subject to 0% floor, 3% cap; payable quarterly due 11/17/2022

HSBC USA Inc. 2.25% initially, stepping up to 3% on May 15, 2020; payable semiannually due 11/15/2022

HSBC USA Inc. 8%, payable quarterly if index closes at or above coupon barrier on quarterly observation date; Barrier/downside threshold: 93.97, 71% of initial price due 11/15/2019

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 8.7% per year, payable quarterly if each index closes at or above 70% coupon barrier on each trading day for that quarter due 5/12/2021

HSBC USA Inc. 0.00% due 9/10/2018

HSBC USA Inc. 15% per year, payable quarterly if Celgene shares close at or above 80% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above barrier due 11/16/2018

HSBC USA Inc. 10% per year plus any previously unpaid contingent coupons if shares close at or above trigger price on applicable quarterly observation date due 11/21/2018

HSBC USA Inc. 0.00% due 11/9/2023

HSBC USA Inc. 6.00% due 2/4/2019

HSBC USA Inc. 5.50% due 2/4/2019

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 11/4/2019

HSBC USA Inc. 0.00% due 5/3/2019

HSBC USA Inc. 0.00% due 11/3/2020

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 11/3/2021

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 0.00% due 2/5/2019

HSBC USA Inc. 0.00% due 11/3/2020

HSBC USA Inc. 0.00% due 11/3/2022

HSBC USA Inc. 6.3% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,935.80 for S&P, 1,131.237 for Russell; 75% of initial levels due 2/1/2019

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 11/1/2022

HSBC USA Inc. 9% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 10/30/2020

HSBC USA Inc. 6.3% per year, payable quarterly if ETF closes at or above downside threshold on determination date for that quarter due 11/1/2018

HSBC USA Inc. 0.00% due 11/1/2022

HSBC USA Inc. 0.00% due 4/28/2023

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 5.25% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,920.30 for S&P, 1,123.094 for Russell; 75% of initial levels due 4/30/2019

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 4.25% due 10/31/2024

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 5.00% due 10/4/2027

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 1.5% plus (a) 3.55% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 10/31/2024

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 10/29/2027

HSBC USA Inc. 0.50% due 10/30/2024

HSBC USA Inc. 6.40% due 10/24/2018

HSBC USA Inc. 5.05% due 4/22/2019

HSBC USA Inc. 7% per year, payable quarterly if index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 2,703.4125, 75% of initial level due 10/18/2027

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 1/18/2022

HSBC USA Inc. 0.00% due 10/15/2019

HSBC USA Inc. 0.00% due 10/12/2022

HSBC USA Inc. 8.9% per year, payable quarterly if each index closes at or above its downside threshold on each day during that quarter due 10/13/2020

HSBC USA Inc. 0.00% due 10/11/2019

HSBC USA Inc. 0.00% due 10/12/2021

HSBC USA Inc. 10.00% due 10/9/2018

HSBC USA Inc. 0.00% due 10/6/2022

HSBC USA Inc. 1.7% initially, stepping up to 2.35% on April 6, 2019; payable semiannually due 10/6/2020

HSBC USA Inc. 0.00% due 10/6/2022

HSBC USA Inc. 6.25% due 12/31/2018

HSBC USA Inc. 5.50% due 12/31/2018

HSBC USA Inc. 0.00% due 10/4/2022

HSBC USA Inc. 0.00% due 10/4/2019

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 10/4/2022

HSBC USA Inc. 0.00% due 10/5/2022

HSBC USA Inc. 0.00% due 10/4/2021

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 9/22/2022

HSBC USA Inc. 0.00% due 9/25/2020

HSBC USA Inc. 7.65% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter due 10/4/2027

HSBC USA Inc. 0.00% due 10/3/2022

HSBC USA Inc. 0.00% due 9/28/2023

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 6.35% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,872.63 for S&P, 1,092.64725 for Russell; 75% of initial levels due 9/24/2027

HSBC USA Inc. 5.50% due 3/29/2019

HSBC USA Inc. 0.00% due 9/26/2022

HSBC USA Inc. 0.00% due 3/30/2020

HSBC USA Inc. 4.25% due 9/30/2024

HSBC USA Inc. 0.00% due 9/29/2022

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 9/29/2022

HSBC USA Inc. 1.25% plus (a) 4.25% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 9/30/2024

HSBC USA Inc. 0.00% due 9/29/2022

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 9/29/2021

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 5.25%, payable semiannually if each index closes at or above coupon trigger level on observation date; Coupon trigger/barriers: 1,751.554 for S&P and 1,015.5467 for Russell; 70% of initial levels due 9/29/2020

HSBC USA Inc. 7%, payable semiannually if each index closes at or above coupon trigger level on observation date; Coupon trigger/barriers: 1,751.554 for S&P and 1,015.5467 for Russell; 70% of initial levels due 9/29/2020

HSBC USA Inc. 0.00% due 9/27/2022

HSBC USA Inc. 0.00% due 9/29/2021

HSBC USA Inc. 0.00% due 9/29/2022

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/29/2022

HSBC USA Inc. 0.00% due 9/27/2021

HSBC USA Inc. 0.00% due 9/20/2019

HSBC USA Inc. 8% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 9/18/2020

HSBC USA Inc. 11.25% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 9/18/2020

HSBC USA Inc. 0.00% due 1/3/2019

HSBC USA Inc. 10% per year, payable quarterly if United Rentals shares close at or above 62% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above barrier due 10/3/2018

HSBC USA Inc. 6.3% per year, payable quarterly if each index closes at or above 70% coupon barrier on determination date that quarter due 9/21/2020

HSBC USA Inc. 7.8% per year, payable quarterly if each index closes at or above 70% coupon barrier on determination date that quarter due 9/21/2020

HSBC USA Inc. 8.7% per year, payable quarterly if each index closes at or above its coupon barrier on each day during that quarter; Coupon barriers: 1,002.198 for Russell 2000, 1,750.16 for S&P 500 and 2,460.89 for Euro Stoxx 50; 70% of initial levels due 9/21/2020

HSBC USA Inc. 0.00% due 9/23/2022

HSBC USA Inc. 0.00% due 9/25/2020

HSBC USA Inc. 0.00% due 9/16/2021

HSBC USA Inc. 0.00% due 9/14/2023

HSBC USA Inc. 0.00% due 9/15/2022

HSBC USA Inc. 0.00% due 3/11/2021

HSBC USA Inc. 0.00% due 3/13/2019

HSBC USA Inc. 10.1% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 1,849.155 for S&P, 1,051.647 for Russell and 2,575.35 for Stoxx; 75% of initial levels due 3/11/2020

HSBC USA Inc. 6.25% due 12/6/2018

HSBC USA Inc. 5.50% due 3/6/2019

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/6/2019

HSBC USA Inc. 0.00% due 9/8/2020

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/7/2021

HSBC USA Inc. 0.00% due 9/8/2020

HSBC USA Inc. 0.00% due 12/5/2018

HSBC USA Inc. 0.00% due 9/3/2021

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 3/5/2019

HSBC USA Inc. 5.10% due 7/8/2019

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 8/30/2022

HSBC USA Inc. 6.35% due 8/31/2027

HSBC USA Inc. 5.00% due 3/6/2019

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 3/2/2020

HSBC USA Inc. 4.52% due 9/3/2024

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/31/2022

HSBC USA Inc. 0.00% due 8/31/2027

HSBC USA Inc. 7% initially, payable each quarter that each index closes at or above its coupon trigger level on the observation date for that quarter; steps up to 8% on Aug. 30, 2022 and to 10% on Aug. 30, 2025 due 8/30/2027

HSBC USA Inc. 0.00% due 9/12/2018

HSBC USA Inc. 9.5% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 8/28/2020

HSBC USA Inc. 8.2% per year, payable quarterly if each index closes at or above its coupon barrier on each day during that quarter; Coupon barriers: 1,587.98 for S&P, 895.344 for Russell and 2,235.06 for Stoxx; 65% of initial levels due 8/31/2020

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 1.5% plus (a) 4.25% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 8/29/2024

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 10.25% per year, payable semiannually if index closes at or above coupon trigger on observation date for that semiannual period; Coupon trigger: 1,145.233395, or 83.5% of initial index level due 8/25/2027

HSBC USA Inc. 0.00% due 8/27/2020

HSBC USA Inc. 0.00% due 8/25/2020

HSBC USA Inc. 8.00% due 8/23/2022

HSBC USA Inc. 0.00% due 8/25/2021

HSBC USA Inc. 0.00% due 8/25/2023

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 6.4% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 8/22/2019

HSBC USA Inc. 8.96% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 8/21/2020

HSBC USA Inc. 5.75% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 950.4551, 70% of initial level due 8/25/2023

HSBC USA Inc. 0.00% due 8/25/2021

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 0.00% due 8/25/2021

HSBC USA Inc. 0.00% due 8/25/2022

HSBC USA Inc. 8.3% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 8/14/2020

HSBC USA Inc. 10% per year, payable quarterly if Ulta shares close at or above 69.75% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above barrier due 8/29/2018

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 0.00% due 8/15/2019

HSBC USA Inc. 0.00% due 8/15/2022

HSBC USA Inc. 0.00% due 8/11/2021

HSBC USA Inc. 0.00% due 9/10/2018

HSBC USA Inc. 0.00% due 8/9/2021

HSBC USA Inc. 8% per year, payable quarterly if stock closes at or above downside threshold on determination date for that quarter due 8/7/2020

HSBC USA Inc. 8% per year, payable quarterly if Prudential shares close at or above downside threshold level on determination date for that quarter due 8/7/2020

HSBC USA Inc. 9.6% per year, payable quarterly if the shares close at or above downside threshold level on determination date for that quarter due 8/7/2020

HSBC USA Inc. 0.00% due 11/5/2018

HSBC USA Inc. 0.00% due 8/3/2023

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 8/15/2018

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 6.25% due 7/31/2018

HSBC USA Inc. 5.00% due 10/31/2018

HSBC USA Inc. 6.85% due 6/29/2018

HSBC USA Inc. 4.75% due 10/31/2018

HSBC USA Inc. 6.25% due 10/31/2018

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 4.51% due 7/31/2024

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 0.00% due 7/27/2022

HSBC USA Inc. 0.00% due 8/1/2022

HSBC USA Inc. 0.00% due 8/2/2021

HSBC USA Inc. 0.00% due 7/27/2022

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. 1.5% plus (a) 4% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 7/29/2024

HSBC USA Inc. 0.00% due 7/27/2020

HSBC USA Inc. 0.00% due 7/27/2022

HSBC USA Inc. 0.00% due 7/28/2021

HSBC USA Inc. 0.00% due 7/28/2022

HSBC USA Inc. 10.3% annualized for each quarter if fund closes at or above 75% downside threshold on determination date for that quarter due 7/26/2018

HSBC USA Inc. 5.75% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 1,005.0873, 70% of initial level due 7/28/2023

HSBC USA Inc. 5.75% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 1,005.0873, 70% of initial level due 7/28/2022

HSBC USA Inc. 9.65% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 1,854.41 for S&P, 1,076.879 for Russell and 2,588.78 for Stoxx; 75% of initial levels due 1/24/2020

HSBC USA Inc. 0.00% due 7/28/2021

HSBC USA Inc. 0.00% due 7/28/2022

HSBC USA Inc. 0.00% due 7/29/2024

HSBC USA Inc. 0.00% due 8/8/2018

HSBC USA Inc. 0.00% due 1/23/2019

HSBC USA Inc. 10% per year plus any previously unpaid contingent coupons if Bank of America shares close at or above trigger price on applicable quarterly observation date due 8/8/2018

HSBC USA Inc. 8.6% per year, payable quarterly if each index closes at or above its coupon barrier on each day during that quarter; Coupon barriers: 1,730.78 for S&P, 1,005.087 for Russell and 2,416.20 for Stoxx; 70% of initial levels due 7/31/2020

HSBC USA Inc. 0.00% due 7/25/2022

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above coupon barrier level on each day that quarter; Coupon barriers: 2,461.45 for Stoxx, 1,721.40 for S&P and 1,002.121 for Russell; 70% of initial levels due 7/24/2020

HSBC USA Inc. 10.40% due 7/19/2018

HSBC USA Inc. 7.7% per year, payable quarterly if each index closes at or above 70% coupon barrier on each day during that quarter due 7/18/2019

HSBC USA Inc. 6.70% due 7/16/2018

HSBC USA Inc. 0.00% due 7/10/2020

HSBC USA Inc. 8.5% per year, payable quarterly if stock closes at or above its downside threshold on determination date for that quarter due 7/10/2020

HSBC USA Inc. 9.1% per year, payable quarterly if stock closes at or above its downside threshold on determination date for that quarter due 7/10/2020

HSBC USA Inc. 8.5% per year, payable quarterly if each index closes at or above coupon barrier level on each day that quarter; Coupon barriers: 920.293 for Russell 2000, 1,576.37 for S&P 500 and 2,251.50 for Euro Stoxx 50; 65% of initial levels due 7/14/2020

HSBC USA Inc. 0.00% due 1/11/2019

HSBC USA Inc. 8% payable quarterly if stock closes at or above trigger level on determination date for that quarter; coupon will also be paid for any previous quarter during which no coupon was paid; Trigger/barrier level: $38.654, 70% of initial price due 7/6/2022

HSBC USA Inc. 0.00% due 6/23/2022

HSBC USA Inc. 0.00% due 7/6/2021

HSBC USA Inc. 0.00% due 1/3/2020

HSBC USA Inc. 8.8% per year, payable quarterly if stock closes at or above its downside threshold on determination date for that quarter due 7/6/2020

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. 0.00% due 7/3/2019

HSBC USA Inc. 0.00% due 6/23/2022

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 7/5/2022

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 7.85% per year, payable monthly if stock closes at or above its downside threshold on determination date for that month due 4/3/2018

HSBC USA Inc. 0.00% due 7/1/2022

HSBC USA Inc. 5.5% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Barrier levels: 1,693.566 for S&P, 982.4654 for Russell; 70% of initial levels due 6/29/2018

HSBC USA Inc. 6.9% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter due 6/30/2027

HSBC USA Inc. 6.25% due 9/28/2018

HSBC USA Inc. 5.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 1.75% plus (a) 3.25% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 6/28/2024

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 8.05% per year, payable quarterly if each index closes at or above coupon barrier level on each day that quarter; Coupon barriers: 2,315.14 for Stoxx, 1,585.40 for S&P and 920.82 for Russell; 65% of initial levels due 7/2/2020

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 5.00% due 1/2/2019

HSBC USA Inc. 10.5%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 7/1/2019

HSBC USA Inc. 8.70% due 7/2/2018

HSBC USA Inc. 7.65% due 7/2/2018

HSBC USA Inc. 8.80% due 7/2/2018

HSBC USA Inc. 7.25% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Trigger/barrier levels: 1,828.725 for S&P, 2,657.76 for Stoxx; 75% of initial levels due 12/28/2018

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 8.4%, payable quarterly if each stock closes at or above coupon trigger level on observation date for that quarter; Coupon trigger levels: $60.802 for JPMorgan and $23.919 for Pfizer, 70% of initial prices due 6/26/2020

HSBC USA Inc. 0.00% due 6/28/2022

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 9.75% per year, payable quarterly if stock closes at or above its downside threshold on determination date for that quarter due 6/26/2020

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 990.3446, 70% of initial level due 6/30/2023

HSBC USA Inc. 6% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 990.3446, 70% of initial level due 6/30/2023

HSBC USA Inc. 7.35% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Barriers/thresholds: 2,303.392 for Euro Stoxx, 1,584.895 for S&P, 919.6083 for Russell; 65% of initial levels due 6/27/2019

HSBC USA Inc. 9.15% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter due 3/26/2020

HSBC USA Inc. 10.85% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter due 6/27/2019

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 7/11/2018

HSBC USA Inc. 0.00% due 6/27/2022

HSBC USA Inc. 9.1% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day for that quarter; Coupon barrier levels: 1,704.93 for S&P, 979.79 for Russell, 2,488.05 for Stoxx; 70% of initial levels due 6/29/2020

HSBC USA Inc. 10.05%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 6/25/2019

HSBC USA Inc. 0.00% due 6/23/2020

HSBC USA Inc. 8% per year, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter; Coupon barrier levels: 1,827.7725 for S&P and 4,294.73325 for Nasdaq; 75% of initial levels due 6/23/2027

HSBC USA Inc. 5% annualized, payable each quarter that each index closes at or above its barrier level on the observation date for that quarter; Trigger/barrier levels: 1,717.422 for S&P, 992.6567 for Russell; 70% of initial levels due 9/24/2018

HSBC USA Inc. 20.5%, payable quarterly if each stock closes at or above trigger level on determination date for that quarter due 6/21/2019

HSBC USA Inc. 10.05% per year, payable quarterly if Blackstone units close at or above downside threshold level on determination date for that quarter due 6/19/2020

HSBC USA Inc. 8.75% per year, payable quarterly if Ctrip.com ADS close at or above downside threshold level on determination date for that quarter due 6/19/2020

HSBC USA Inc. 9.5% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter due 6/20/2019

HSBC USA Inc. 9.3% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day for that quarter; Coupon barrier levels: 1,703.21 for S&P, 3,977.04 for Nasdaq, 2,480.72 for Stoxx; 70% of initial levels due 12/23/2019

HSBC USA Inc. 0.00% due 7/3/2019

HSBC USA Inc. 0.00% due 8/20/2018

HSBC USA Inc. 0.00% due 6/17/2022

HSBC USA Inc. 0.00% due 6/16/2022

HSBC USA Inc. 2% initially, stepping up to 3.35% on June 16, 2020; payable semiannually due 6/16/2022

HSBC USA Inc. 8.7% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter; Barriers/thresholds: 924.110 for Russell 2000, 1,580.65 for S&P 500 and 2,330.95 for Euro Stoxx 50; 65% of initial levels due 6/16/2020

HSBC USA Inc. 9.6% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter; Barriers/thresholds: 995.195 for Russell 2000, 1,702.24 for S&P 500 and 2,510.25 for Euro Stoxx 50; 70% of initial levels due 12/17/2019

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/13/2018

HSBC USA Inc. 11.65% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day for that quarter; Coupon barrier levels: 1,825.34 for S&P, 1,061.709 for Russell, 2,672.91 for Stoxx; 75% of initial levels due 12/17/2019

HSBC USA Inc. 0.00% due 6/9/2022

HSBC USA Inc. 0.00% due 6/9/2020

HSBC USA Inc. 8.55%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 6/7/2024

HSBC USA Inc. 10.00% due 6/11/2018

HSBC USA Inc. 10.00% due 6/11/2019

HSBC USA Inc. 8.50% due 6/11/2018

HSBC USA Inc. 0.00% due 6/3/2019

HSBC USA Inc. 16% per year, payable monthly if U.S. Steel shares close at or above downside threshold level on determination date for that month due 12/7/2017

HSBC USA Inc. 0.00% due 6/5/2019

HSBC USA Inc. 0.00% due 12/5/2018

HSBC USA Inc. 0.00% due 6/3/2020

HSBC USA Inc. 0.00% due 6/6/2022

HSBC USA Inc. 0.00% due 12/6/2021

HSBC USA Inc. 0.00% due 6/1/2022

HSBC USA Inc. 0.00% due 8/27/2018

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 5.75% due 5/31/2018

HSBC USA Inc. 6.50% due 6/1/2027

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 6.25% due 8/31/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 1.75% plus (a) 3.25% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 5/31/2024

HSBC USA Inc. 1.25% plus (a) 2.5% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 5/31/2022

HSBC USA Inc. 1% plus (a) 4% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 5/31/2022

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 5/31/2022

HSBC USA Inc. 0.00% due 5/26/2021

HSBC USA Inc. 0.00% due 5/26/2020

HSBC USA Inc. 0.00% due 5/26/2022

HSBC USA Inc. 12.5% per year, payable monthly if Marathon Oil shares close at or above downside threshold level on determination date for that month due 11/24/2017

HSBC USA Inc. 6% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 957.131, 70% of initial level due 5/26/2023

HSBC USA Inc. 0.00% due 5/26/2022

HSBC USA Inc. 0.00% due 5/22/2020

HSBC USA Inc. 0.00% due 5/21/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 2% for the first two years, stepping up to 2.5% on May 18, 2019, to 3.25% on May 18, 2020 and to 4% on May 18, 2021; payable semiannually due 5/18/2022

HSBC USA Inc. 3% for the first five years, stepping up to 3.25% on May 17, 2022, to 3.5% on May 17, 2023, to 3.75% on May 17, 2024, to 4% on May 17, 2025 and to 4.25% on May 17, 2026; payable semiannually due 5/17/2027

HSBC USA Inc. 7%, payable quarterly if stock closes at or above downside threshold on observation date for that quarter due 5/18/2020

HSBC USA Inc. 8%, payable quarterly if stock closes at or above downside threshold on observation date for that quarter due 5/18/2020

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 0.00% due 5/16/2022

HSBC USA Inc. 0.00% due 4/3/2023

HSBC USA Inc. 5.10% due 11/13/2018

HSBC USA Inc. 7.90% due 5/14/2018

HSBC USA Inc. 7.50% due 5/14/2018

HSBC USA Inc. 0.00% due 5/10/2022

HSBC USA Inc. 8% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 5/8/2020

HSBC USA Inc. 0.00% due 5/11/2021

HSBC USA Inc. 0.00% due 5/10/2021

HSBC USA Inc. 0.00% due 5/9/2019

HSBC USA Inc. 6% annualized, payable monthly if index closes at or above 90% threshold on observation date for that month due 5/4/2022

HSBC USA Inc. 7.5% per year, payable quarterly if index closes at or above coupon barrier level on observation date for that quarter; Coupon barrier level: 1,788.15, or 75% of initial level due 5/3/2027

HSBC USA Inc. 18% per year, payable monthly if Marathon Oil shares close at or above downside threshold level on determination date for that month due 11/2/2017

HSBC USA Inc. 9.25% per year, payable quarterly if MetLife shares close at or above downside threshold level on determination date for that quarter due 5/1/2020

HSBC USA Inc. 0.00% due 5/4/2022

HSBC USA Inc. 0.00% due 5/5/2020

HSBC USA Inc. 7.7% annualized, payable quarterly if each index closes at or above 70% threshold on observation date for that quarter due 5/2/2019

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 8.5%, payable quarterly if each index closes at or above barrier on quarterly observation date; Barriers: 1,671.22 for S&P, 2,505.10 for Stoxx; 70% of initial levels due 4/30/2027

HSBC USA Inc. 0.00% due 4/28/2022

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 5.50% due 7/26/2018

HSBC USA Inc. 7.10% due 4/30/2018

HSBC USA Inc. 7.00% due 7/31/2018

HSBC USA Inc. 5.70% due 10/31/2018

HSBC USA Inc. 0.00% due 10/28/2020

HSBC USA Inc. 0.00% due 4/28/2021

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 4.50% due 4/29/2022

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 2% for the two years, stepping up to 2.5% on April 28, 2019, to 3.25% on April 28, 2020 and to 4% on April 28, 2021; payable semiannually due 4/28/2022

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 8% annualized for each quarter if fund closes at or above 60% coupon barrier on determination date for that quarter due 5/6/2024

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 1.5% plus (a) 6.3% if each basket stock closes at or above its initial share price on the valuation date for that year or (b) 0% otherwise; payable annually due 4/26/2024

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 10/26/2018

HSBC USA Inc. 0.00% due 4/28/2021

HSBC USA Inc. 0.00% due 4/28/2022

HSBC USA Inc. 9.25% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 4/24/2020

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 965.8978, 70% of initial level due 4/28/2023

HSBC USA Inc. 0.00% due 4/28/2022

HSBC USA Inc. 0.00% due 4/26/2022

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 4/22/2019

HSBC USA Inc. 3% initially, stepping up to 3.25% on April 21, 2022, to 3.75% on April 21, 2023, to 4.25% on April 21, 2024, to 4.75% on April 21, 2025 and to 5.25% on April 21, 2026; payable semiannually due 4/21/2027

HSBC USA Inc. 5.25% annualized for each quarter that each index closes at or above downside threshold level on determination date for that quarter due 4/18/2019

HSBC USA Inc. 17%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 4/12/2019

HSBC USA Inc. 9.75% per year, payable quarterly if Bank of America shares close at or above downside threshold level on determination date for that quarter due 4/12/2018

HSBC USA Inc. 0.00% due 4/12/2022

HSBC USA Inc. 0.00% due 10/10/2018

HSBC USA Inc. 0.00% due 4/12/2021

HSBC USA Inc. 2.1% initially, stepping up to 2.6% on Oct. 6, 2018; payable semiannually due 4/6/2020

HSBC USA Inc. 0.00% due 4/5/2022

HSBC USA Inc. 12% per year, payable monthly if Marathon Petroleum shares close at or above downside threshold level on determination date for that month due 10/4/2017

HSBC USA Inc. 7.2% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 1,772.04, 75% of initial level due 4/5/2027

HSBC USA Inc. 0.00% due 4/5/2022

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 3/27/2020

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 6% annualized for each quarter that each index closes at or above downside threshold level on determination date for that quarter due 4/4/2019

HSBC USA Inc. 0.00% due 4/4/2022

HSBC USA Inc. 10%, payable quarterly if each index closes at or above barrier on quarterly observation date; Barriers: 960.152 for Russell, 2,432.69 for Stoxx; 70% of initial levels due 3/31/2027

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 5.50% due 6/26/2018

HSBC USA Inc. 7.75% due 3/29/2018

HSBC USA Inc. 6.25% due 9/28/2018

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 8.25% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 3/28/2024

HSBC USA Inc. 3.5% if each basket stock closes at or above initial share price on valuation date or 2.4% otherwise; payable annually due 3/28/2024

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 7.75% per year, payable monthly if knock-out event does not occur that month; if knock-out event does occur, no contingent coupon will be paid for that month or any subsequent month due 3/29/2022

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. 10.4% per year, payable quarterly if Allergan shares close at or above downside threshold level on determination date for that quarter due 3/27/2020

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above 70% coupon barrier on review date for that quarter due 3/31/2023

HSBC USA Inc. 0.00% due 3/31/2022

HSBC USA Inc. Contingent monthly coupon at an annual rate of 4% unless index closes below its coupon trigger level on any trading day during any monthly observation period, in which case, no coupon will be paid that month or any subsequent month; Coupon trigger: 1,876.768, 80% of initial level due 9/28/2021

HSBC USA Inc. 7%, payable quarterly if each index closes at or above barrier on quarterly observation date; Barrier/thresholds; 995.743 for Russell, 1,737.85 for S&P; 74% of initial levels due 3/27/2020

HSBC USA Inc. 0.00% due 3/24/2020

HSBC USA Inc. 3.25% initially, stepping up to 3.75% on March 24, 2022, to 4.25% on March 24, 2025 and to 5% on March 24, 2026; payable semiannually due 3/24/2027

HSBC USA Inc. 0.00% due 3/24/2022

HSBC USA Inc. 7.55%, payable annually if index closes at or above 80% coupon barrier on review date for that year; if a coupon payment is missed because the index closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above the barrier due 3/25/2024

HSBC USA Inc. 0.00% due 3/25/2019

HSBC USA Inc. 20.5%, payable quarterly if each stock closes at or above 70% coupon barrier on review date for that quarter due 3/22/2019

HSBC USA Inc. 0.00% due 3/22/2019

HSBC USA Inc. 16%, payable monthly if stock closes at or above 75% downside threshold on review date for that month due 9/21/2017

HSBC USA Inc. 0.00% due 3/22/2022

HSBC USA Inc. 13.45% per year, payable quarterly if Anadarko shares close at or above 75% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above barrier due 4/4/2018

HSBC USA Inc. 12.75% per year, payable quarterly if Bank of America shares close at or above 80% coupon barrier on observation date for that quarter; if a coupon payment is missed because the stock closes below the barrier, it will be paid on the next coupon payment date on which the stock closes at or above barrier due 4/4/2018

HSBC USA Inc. 8.65%, payable quarterly if each index closes at or above coupon barrier, 70% of its initial level, on quarterly observation date; due 3/20/2020

HSBC USA Inc. 0.00% due 3/24/2023

HSBC USA Inc. 9.00% due 3/28/2018

HSBC USA Inc. 2.5% initially, stepping up to 3% on March 17, 2019, to 3.5% on March 17, 2020 and to 4% on March 17, 2021; payable quarterly due 3/17/2022

HSBC USA Inc. Libor, subject to floor of 2.5% and cap of 3.5% per year; payable quarterly due 3/16/2021

HSBC USA Inc. 11.5%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 9/15/2017

HSBC USA Inc. 0.00% due 3/15/2022

HSBC USA Inc. 0.00% due 5/10/2018

HSBC USA Inc. 0.00% due 1/4/2021

HSBC USA Inc. 12% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter due 3/14/2019

HSBC USA Inc. 0.00% due 9/12/2018

HSBC USA Inc. 7%, payable quarterly if stock closes at or above downside threshold on observation date for that quarter due 3/13/2020

HSBC USA Inc. 9.25%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 955.686 for Russell, 2,391.39 for Euro Stoxx; 70% of initial levels due 3/16/2027

HSBC USA Inc. 8.95%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 955.686 for Russell, 2,391.39 for Euro Stoxx; 70% of initial levels due 3/15/2027

HSBC USA Inc. 6.5%, payable quarterly if stock closes at or above downside threshold on observation date for that quarter due 3/13/2020

HSBC USA Inc. 8.50% due 3/11/2027

HSBC USA Inc. 12.5% per year, payable quarterly if Blackstone Group shares close at or above downside threshold level on determination date for that quarter due 3/6/2020

HSBC USA Inc. 9.5% per year, payable quarterly if Salesforce.com shares close at or above downside threshold level on determination date for that quarter due 3/6/2020

HSBC USA Inc. 0.00% due 3/6/2020

HSBC USA Inc. 8.15%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 3/6/2024

HSBC USA Inc. 7.00% due 3/6/2019

HSBC USA Inc. 0.00% due 9/10/2018

HSBC USA Inc. 9.1% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 3/4/2020

HSBC USA Inc. 13.3% per year, payable quarterly if each index closes at or above coupon barrier on each day during that quarter; Coupon barriers: 2,655.688 for Euro Stoxx, 1,890.912 for S&P, 1,109.3472 for Russell; 80% of initial levels due 3/5/2019

HSBC USA Inc. 7.25% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Coupon barrier: 1,772.73, 75% of initial level due 3/3/2027

HSBC USA Inc. 0.00% due 3/3/2022

HSBC USA Inc. 0.00% due 3/4/2020

HSBC USA Inc. 6.7%, payable quarterly if each index closes above coupon trigger on observation date for that quarter; Coupon trigger/barriers: 1,536.366 for S&P, 901.3446 for Russell, 2,157.7465 for Stoxx, 65% of initial levels due 3/4/2019

HSBC USA Inc. 0.00% due 6/5/2018

HSBC USA Inc. 0.00% due 3/3/2023

HSBC USA Inc. 9.5% per year, payable quarterly if Tesla shares close at or above downside threshold level on determination date for that quarter due 3/1/2018

HSBC USA Inc. 13.3% annualized if shares close at or above 70% coupon barrier on quarterly observation date due 3/14/2018

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 8%, payable monthly if stock closes at or above downside threshold on observation date for that month due 2/28/2022

HSBC USA Inc. 10%, payable monthly if stock closes at or above downside threshold on observation date for that month due 2/28/2022

HSBC USA Inc. 0.00% due 4/27/2018

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 7.00% due 5/29/2018

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 5/29/2018

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 2/22/2019

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 9% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 2/29/2024

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/25/2022

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 3/9/2018

HSBC USA Inc. 5.70% due 9/4/2018

HSBC USA Inc. 0.00% due 2/24/2022

HSBC USA Inc. 0.00% due 4/27/2018

HSBC USA Inc. 8.70% due 2/27/2018

HSBC USA Inc. 9.40% due 2/27/2018

HSBC USA Inc. 9.10% due 2/27/2018

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/15/2022

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 2.25% initially, stepping up to 2.55% on Feb. 23, 2018, to 2.85% on Feb. 23, 2019, to 3.15% on Feb. 23, 2020 and to 3.45% on Feb. 23, 2021; payable quarterly due 2/23/2022

HSBC USA Inc. 18.25% per year, payable quarterly if each stock closes at or above 70% coupon barrier level on determination date for that quarter; $93.471 for Facebook, $66.647 for Royal Caribbean and $120.897 for Boeing due 8/27/2019

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above 70% coupon barrier on review date for that quarter due 2/27/2023

HSBC USA Inc. 0.00% due 2/24/2020

HSBC USA Inc. 8.40% due 2/24/2020

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/18/2022

HSBC USA Inc. 2% initially, stepping up to 2.5% on Aug. 21, 2018; payable quarterly due 2/21/2020

HSBC USA Inc. 0.00% due 2/15/2019

HSBC USA Inc. 12.2% per year, payable quarterly if Halliburton shares close at or above downside threshold level on determination date for that quarter due 2/13/2020

HSBC USA Inc. 8.75%, payable quarterly if fund closes at or above trigger level on determination date for that quarter; Trigger/barrier level: $12.785, 50% of initial price due 2/15/2024

HSBC USA Inc. 0.00% due 2/14/2022

HSBC USA Inc. 0.00% due 4/9/2018

HSBC USA Inc. 0.00% due 2/10/2020

HSBC USA Inc. 2.25% for the first year, stepping up to 2.55% on Feb. 8, 2018, to 2.85% on Feb. 8, 2019, to 3.15% on Feb. 8, 2020 and to 3.45% on Feb. 8, 2021; payable quarterly due 2/8/2022

HSBC USA Inc. 10.5% per year, payable quarterly if Valero shares close at or above downside threshold level on determination date for that quarter due 2/6/2020

HSBC USA Inc. 10%, payable monthly if stock closes at or above downside threshold on observation date for that month due 2/8/2022

HSBC USA Inc. 7%, payable monthly if stock closes at or above downside threshold on observation date for that month due 2/8/2022

HSBC USA Inc. 0.00% due 2/7/2019

HSBC USA Inc. 5.60% due 8/7/2018

HSBC USA Inc. 0.00% due 2/6/2019

HSBC USA Inc. 0.00% due 2/3/2022

HSBC USA Inc. 0.00% due 2/3/2021

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 10.25% due 2/1/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 3.00% due 2/1/2021

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 9.65% per year, payable quarterly if Gilead shares close at or above downside threshold level on determination date for that quarter due 1/30/2020

HSBC USA Inc. 9.25% per year, payable quarterly if ETF shares close at or above downside threshold level on determination date for that quarter due 2/1/2018

HSBC USA Inc. 10% annualized if shares close at or above 76% coupon barrier on quarterly observation date due 2/14/2018

HSBC USA Inc. 12.35% per year, payable on a quarter if fund closes at or above coupon barrier on observation date for that quarter; if a contingent coupon is not paid on a particular quarter, that contingent coupon will be paid on a later quarter if fund closes at or above coupon barrier on observation date for that later quarter; Coupon barrier: $30.975, 75% of initial price due 2/14/2018

HSBC USA Inc. 7.2%, payable quarterly if indexes close at or above coupon barriers on quarterly observation date; Coupon barriers: 3,617.64 for Nasdaq, 959.493 for Russell, 70% of initial levels due 1/29/2027

HSBC USA Inc. 6%, payable quarterly if indexes close at or above coupon barriers on quarterly observation date; Coupon barriers: 1,651.67 for Euro Stoxx and 1,147.35 for S&P, 50% of initial levels due 1/29/2027

HSBC USA Inc. 7.17%, payable quarterly if indexes close at or above coupon barriers on quarterly observation date; Coupon barriers: 959.493 for Russell 2000 and 1,606.28 for S&P 500, 70% of initial levels due 1/29/2027

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 7.25% due 1/31/2018

HSBC USA Inc. 6% annualized, payable quarterly if each index closes at or above its 70% coupon trigger level on the observation date for that quarter due 3/29/2018

HSBC USA Inc. 0.00% due 1/27/2023

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 1/25/2019

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 9.25% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 1/31/2024

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 0.00% due 2/9/2018

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 3% for the first two years, stepping up to 3.25% on Jan. 27, 2019, to 3.625% on Jan. 27, 2021, to 4.125% on Jan. 27, 2025 and to 4.75% on Jan. 20, 2025; payable quarterly due 1/27/2027

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 7.80% due 1/25/2018

HSBC USA Inc. 9.00% due 1/25/2018

HSBC USA Inc. 8.30% due 1/25/2018

HSBC USA Inc. 0.00% due 1/27/2021

HSBC USA Inc. 0.00% due 1/27/2022

HSBC USA Inc. 10.2% per year, payable quarterly if Delta shares close at or above downside threshold level on determination date for that quarter due 1/25/2018

HSBC USA Inc. 9% per year, payable quarterly if Microsoft shares close at or above downside threshold level on determination date for that quarter due 1/24/2020

HSBC USA Inc. 12.5% per year, payable quarterly if Netflix shares close at or above downside threshold level on determination date for that quarter due 1/25/2018

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above 70% coupon barrier on review date for that quarter; due 1/27/2023

HSBC USA Inc. 0.00% due 1/27/2022

HSBC USA Inc. 7.00% due 1/25/2019

HSBC USA Inc. 0.00% due 1/25/2019

HSBC USA Inc. 0.00% due 10/23/2018

HSBC USA Inc. 3% for the first four years, stepping up to 3.75% on Jan. 20, 2021, to 4.25% on Jan. 20, 2024, to 4.25% on Jan. 20, 2026 and to 6.25% on Jan. 20, 2027; payable quarterly due 1/20/2027

HSBC USA Inc. 2.3% until July 20, 2019, when it will step up to 3.3% through maturity; payable quarterly due 1/20/2022

HSBC USA Inc. 7.90% due 1/22/2018

HSBC USA Inc. 8.60% due 1/22/2018

HSBC USA Inc. 8.00% due 1/22/2018

HSBC USA Inc. 0.00% due 1/20/2021

HSBC USA Inc. 22.6%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 1/22/2019

HSBC USA Inc. 21.9%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 1/22/2019

HSBC USA Inc. 25.5%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 1/22/2019

HSBC USA Inc. 19.65%, payable each quarter that each stock closes at or above trigger level on determination date for that quarter due 1/22/2019

HSBC USA Inc. 0.00% due 1/4/2024

HSBC USA Inc. 12.5% per year, payable monthly if Blackstone shares close at or above downside threshold level on determination date for that month due 7/18/2017

HSBC USA Inc. 5.5%, payable quarterly if index closes at or above coupon trigger on determination date for that quarter; Coupon trigger: 1,705.98, 75% of initial index level due 7/19/2024

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 0.00% due 7/18/2018

HSBC USA Inc. 9.3% annualized for each quarter that each index closes at or above coupon barriers on every trading day that quarter; Coupon barriers/thresholds: 1,088.8528 for Russell and 1,816.352 for S&P; 80% of initial levels due 1/17/2019

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 10.8% per year, payable quarterly if Applied Materials shares close at or above downside threshold level on determination date for that quarter due 1/9/2020

HSBC USA Inc. 0.00% due 1/11/2021

HSBC USA Inc. 0.00% due 7/9/2018

HSBC USA Inc. 0.00% due 1/4/2018

HSBC USA Inc. 0.00% due 2/23/2018

HSBC USA Inc. 10.25% per year, payable quarterly if Bank of America shares close at or above downside threshold level on determination date for that quarter due 1/3/2018

HSBC USA Inc. 10.5% per year, payable quarterly if Caterpillar shares close at or above downside threshold level on determination date for that quarter due 1/3/2020

HSBC USA Inc. 7.35% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Barrier level: 1,686.945, 75% of initial level due 1/4/2027

HSBC USA Inc. 0.00% due 1/3/2019

HSBC USA Inc. 0.00% due 1/4/2019

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 12/31/2026

HSBC USA Inc. 0.00% due 12/29/2021

HSBC USA Inc. 0.00% due 1/4/2021

HSBC USA Inc. 0.00% due 1/3/2022

HSBC USA Inc. 5%, payable quarterly if each fund closes at or above coupon trigger level on quarterly observation date; Trigger levels: $78.13 for PowerShares and $15.327 for Financial Select; 65% of initial levels due 12/22/2026

HSBC USA Inc. 6.5% per year, payable each quarter that index closes at or above coupon barrier on review date for that quarter; Barrier level: 960.057, 70% of initial level due 1/3/2023

HSBC USA Inc. 2.5% for first two years; then Libor plus 100 basis points, subject to minimum of zero and maximum of 4% per year due 12/29/2021

HSBC USA Inc. 0.00% due 1/3/2022

HSBC USA Inc. 0.00% due 6/27/2018

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 8.15%, payable quarterly if each index closes at or above coupon trigger level on quarterly observation date; Coupon trigger levels: 1,582.672 for S&P and 953.8613 for Russell; 70% of initial levels due 12/22/2026

HSBC USA Inc. 3% initially, stepping up to 3.25% on Dec. 28, 2018, to 3.5% on Dec. 28, 2019, to 3.75% on Dec. 28, 2020, to 4% on Dec. 28, 2021, to 4.25% on Dec. 28, 2022, to 4.5% on Dec. 28, 2023, to 4.75% on Dec. 28, 2024, to 5% on Dec. 28, 2025, to 5.25% on Dec. 28, 2026 and to 5.5% on Dec. 28, 2027; payable semiannually due 12/28/2028

HSBC USA Inc. 4% if each basket stock closes at or above initial share price on valuation date or 2% otherwise; payable annually due 12/28/2021

HSBC USA Inc. 5.5% annualized, payable quarterly if each index closes at or above its 70% coupon trigger level on the observation date for that quarter due 12/31/2021

HSBC USA Inc. 6% annualized, payable quarterly if each index closes at or above its 70% coupon trigger level on the observation date for that quarter due 3/29/2018

HSBC USA Inc. 7.25% annualized, payable quarterly if each index closes at or above its 70% coupon trigger level on the observation date for that quarter due 12/29/2017

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 12/31/2021

HSBC USA Inc. 8.5% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 12/29/2023

HSBC USA Inc. 9.00% due 12/27/2017

HSBC USA Inc. 0.00% due 12/22/2021

HSBC USA Inc. 0.00% due 12/20/2019

HSBC USA Inc. 0.00% due 12/22/2023

HSBC USA Inc. 0.00% due 8/20/2018

HSBC USA Inc. 0.00% due 8/17/2018

HSBC USA Inc. 0.00% due 6/18/2018

HSBC USA Inc. 2.25% until June 16, 2019, when it will step up to 3.25% through maturity; payable quarterly due 12/16/2021

HSBC USA Inc. 0.00% due 12/16/2019

HSBC USA Inc. 4.57% per year, payable monthly unless index closes below coupon trigger during that month, in which case no coupon will be paid for that or any subsequent month; Coupon trigger: 1,807.624, 80% of initial level due 1/12/2022

HSBC USA Inc. 13% per year, payable monthly if Anadarko shares close at or above downside threshold level on determination date for that month due 6/14/2017

HSBC USA Inc. 14.25% per year, payable quarterly if ConocoPhillips shares close at or above downside threshold level on determination date for that quarter due 12/14/2017

HSBC USA Inc. 7.13% annualized for each month that each index closes at or above 60% coupon barriers on determination date for that month; Coupon barriers: 832.8438 for Russell and 1,355.718 for S&P; 60% of initial levels due 12/14/2026

HSBC USA Inc. 0.00% due 2/23/2018

HSBC USA Inc. 12.50% due 12/22/2017

HSBC USA Inc. 14%, payable quarterly if each stock closes at or above 70% coupon barrier level on determination date for that quarter due 12/11/2017

HSBC USA Inc. 8.50% due 12/10/2026

HSBC USA Inc. 14.45% per year, payable monthly if American Airlines shares close at or above downside threshold level on determination date for that month due 6/7/2017

HSBC USA Inc. Libor plus 350 bps, payable quarterly due 12/7/2026

HSBC USA Inc. 8.3% payable quarterly if each index closes at or above coupon barrier on observation date that quarter; Coupon barriers: 991.75425 for Russell 2000 and 1,649.1075 for S&P 500; 75% of initial levels due 12/3/2026

HSBC USA Inc. 0.00% due 12/4/2019

HSBC USA Inc. 0.00% due 6/19/2018

HSBC USA Inc. 0.00% due 12/4/2019

HSBC USA Inc. 1.65% for first 18 months and 2.65% for last 18 months; payable quarterly due 12/2/2019

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 6% annualized for each quarter that index closes at or above 80% coupon barrier on determination date for that quarter due 5/30/2024

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 15.2% per year, payable monthly if Netflix shares close at or above downside threshold level on determination date for that month due 5/31/2017

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 0.00% due 11/25/2022

HSBC USA Inc. 5.15% due 5/29/2018

HSBC USA Inc. 0.00% due 11/21/2018

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 11/22/2019

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 7.25% due 5/31/2018

HSBC USA Inc. 5.75% due 5/31/2018

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 6.50% due 11/23/2021

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 10.50% due 11/29/2019

HSBC USA Inc. 0.00% due 11/29/2021

HSBC USA Inc. 8.1% annualized for each quarter that each index closes at or above 75% coupon barriers on determination date for that quarter; Coupon barriers: 976.65 for Russell and 1,632.705 for S&P; 75% of initial levels due 11/21/2023

HSBC USA Inc. 8.4% annualized for each quarter that each index closes at or above 75% coupon barriers on determination date for that quarter due 11/16/2021

HSBC USA Inc. 9% per year, payable quarterly if Walgreens Boots shares close at or above downside threshold level on determination date for that quarter due 11/16/2017

HSBC USA Inc. 8.35% annualized if spot rate is at or below barrier on review date, payable quarterly; Trigger/coupon barrier: 4.7502, 140% of initial spot rate due 11/20/2017

HSBC USA Inc. 0.00% due 2/16/2018

HSBC USA Inc. 0.00% due 11/2/2021

HSBC USA Inc. 0.00% due 5/16/2018

HSBC USA Inc. 2% initially, stepping up to 2.25% on Nov. 16, 2018, to 2.625% on Nov. 16, 2019 and to 3% on Nov. 16, 2020; payable quarterly due 11/16/2021

HSBC USA Inc. 0.00% due 11/16/2018

HSBC USA Inc. 0.00% due 4/16/2018

HSBC USA Inc. 0.00% due 11/15/2021

HSBC USA Inc. 0.00% due 11/18/2022

HSBC USA Inc. 0.00% due 11/10/2022

HSBC USA Inc. 7.1%, payable quarterly if each index closes at or above coupon trigger level on quarterly observation date; Coupon trigger levels: 1,251.108 for S&P and 698.0634 for Russell; 60% of initial levels due 11/9/2021

HSBC USA Inc. 11.05% per year, payable monthly if ConocoPhillips shares close at or above downside threshold level on determination date for that month due 5/9/2017

HSBC USA Inc. 0.00% due 10/9/2018

HSBC USA Inc. 0.00% due 11/5/2018

HSBC USA Inc. 0.00% due 11/5/2019

HSBC USA Inc. 0.00% due 11/4/2019

HSBC USA Inc. 0.00% due 11/2/2021

HSBC USA Inc. 0.00% due 11/15/2017

HSBC USA Inc. 0.00% due 12/13/2017

HSBC USA Inc. 6.90% due 11/6/2017

HSBC USA Inc. 8.30% due 11/6/2017

HSBC USA Inc. 8.50% due 10/31/2023

HSBC USA Inc. 0.00% due 11/1/2018

HSBC USA Inc. 8.9%, payable quarterly if indexes close at or above downside thresholds on observation date for that quarter due 10/31/2019

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 5.00% due 4/30/2018

HSBC USA Inc. 6.50% due 4/30/2018

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/26/2021

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 5.25% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 10/31/2023

HSBC USA Inc. 7.75% if each basket stock closes at or above initial share price on valuation date or 0.5% otherwise; payable annually due 10/31/2023

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 11/10/2017

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/29/2019

HSBC USA Inc. 0.00% due 1/25/2018

HSBC USA Inc. 0.00% due 10/28/2021

HSBC USA Inc. 2% for the first two years, stepping up to 2.25% on Oct. 26, 2018, to 2.625% on Oct. 26, 2019 and to 3% on Oct. 26, 2020; payable quarterly due 10/26/2021

HSBC USA Inc. 0.00% due 1/24/2018

HSBC USA Inc. 0.00% due 11/8/2017

HSBC USA Inc. 6.8% annualized, payable each quarter that both indexes close at or above coupon barrier levels on determination date for that quarter; Coupon barrier levels: 913.572 for Russell and 1,605.87 for S&P; 75% of initial levels due 10/26/2021

HSBC USA Inc. 6.25% per year, payable each quarter that index closes at or above coupon trigger on applicable quarterly review date; Coupon trigger/barrier: 852.6672, 70% of initial level due 10/28/2022

HSBC USA Inc. 0.00% due 10/28/2022

HSBC USA Inc. 11.5% per year, payable each quarter that Bank of America shares close at or above coupon barrier on applicable quarterly observation date; Coupon barrier/trigger level: $12.50, 75% of initial price due 11/8/2017

HSBC USA Inc. 0.00% due 9/25/2018

HSBC USA Inc. 0.00% due 7/9/2018

HSBC USA Inc. 2.25% for first five years, stepping up to 3% on Oct. 20, 2021, to 4% on Oct. 20, 2024 and to 5% on Oct. 20, 2025; payable quarterly due 10/20/2026

HSBC USA Inc. 11.3% per year, payable quarterly if General Motors shares close at or above downside threshold level on determination date for that quarter due 10/19/2017

HSBC USA Inc. 9.05% annualized for each quarter that both indexes close at or above barrier levels on determination date for that quarter; Coupon/downside thresholds: 969.9264 for Russell and 1,706.384 for S&P, 80% of initial levels due 10/17/2019

HSBC USA Inc. 0.00% due 4/18/2018

HSBC USA Inc. 10.8% annualized if Bank of America shares close at or above barrier level on quarterly observation date due 11/1/2017

HSBC USA Inc. 7%, payable quarterly if stock close at or above 76.5% coupon barrier on quarterly observation date due 10/18/2019

HSBC USA Inc. 8%, payable quarterly if stock close at or above 71.5% coupon barrier on quarterly observation date due 10/18/2019

HSBC USA Inc. 7%, payable quarterly if stock close at or above 77% coupon barrier on quarterly observation date due 10/18/2019

HSBC USA Inc. 0.00% due 10/25/2019

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/25/2019

HSBC USA Inc. 0.00% due 4/6/2018

HSBC USA Inc. 0.00% due 11/17/2017

HSBC USA Inc. 0.00% due 10/19/2021

HSBC USA Inc. 9.75% due 10/15/2018

HSBC USA Inc. 6.25% due 10/15/2019

HSBC USA Inc. 12.7% per year, payable quarterly if Wynn Resorts shares close at or above downside threshold level on determination date for that quarter due 10/12/2017

HSBC USA Inc. 0.00% due 10/12/2018

HSBC USA Inc. 0.00% due 12/12/2018

HSBC USA Inc. 0.00% due 10/13/2021

HSBC USA Inc. 0.00% due 4/12/2018

HSBC USA Inc. 0.00% due 11/14/2018

HSBC USA Inc. 6.00% due 4/12/2018

HSBC USA Inc. 0.00% due 8/9/2018

HSBC USA Inc. 0.00% due 4/9/2018

HSBC USA Inc. 0.00% due 9/27/2019

HSBC USA Inc. 0.00% due 10/7/2019

HSBC USA Inc. 0.00% due 4/6/2018

HSBC USA Inc. 5.00% due 2/5/2018

HSBC USA Inc. 7.1% per year, payable each quarter that index closes at or above its coupon barrier on observation date for that quarter; Coupon barrier: 1,626.2025, 75% of initial level due 10/5/2026

HSBC USA Inc. 0.00% due 10/3/2019

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/27/2019

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 4.80% due 9/30/2022

HSBC USA Inc. 0.00% due 9/24/2021

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 6.90% due 10/5/2017

HSBC USA Inc. 8.40% due 10/5/2017

HSBC USA Inc. 8.50% due 10/5/2017

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 7.00% due 3/29/2018

HSBC USA Inc. 5.00% due 3/29/2018

HSBC USA Inc. 0.00% due 10/2/2023

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 8% if each basket stock closes at or above initial share price on relevant valuation date or 0.5% if one or more stocks close below initial share price; payable annually due 9/29/2023

HSBC USA Inc. 5.5% if each basket stock closes at or above initial share price on relevant valuation date or 1% if one or more stocks close below initial share price; payable annually due 9/29/2023

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 6%, payable semiannually if each index closes at or above its 60% barrier level on the observation date for that period due 5/4/2021

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 10/6/2017

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8% per year if shares close at or above downside threshold level on observation date for that quarter due 9/26/2019

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 7% per year if shares close at or above downside threshold level on observation date for that quarter due 9/26/2019

HSBC USA Inc. 0.00% due 9/27/2019

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 9/24/2021

HSBC USA Inc. 0.00% due 9/24/2018

HSBC USA Inc. 18.5%, payable quarterly if each stock closes at or above barrier level on determination date for that quarter; Barrier/trigger levels: $10.843 for BofA, $64.792 for Disney and $69.636 for Netflix, 70% of initial prices due 9/25/2017

HSBC USA Inc. 11%, payable semiannually if index closes at or above barrier on coupon observation date for that semiannual period due 9/21/2026

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 11/21/2017

HSBC USA Inc. 8.35% annualized for each quarter that both indexes close at or above barrier levels on determination date for that quarter; Coupon/downside thresholds: 979.8232 for Russell and 1,711.328 for S&P, 80% of initial levels due 9/19/2019

HSBC USA Inc. 0.00% due 9/21/2021

HSBC USA Inc. 14.6% annualized if Gilead Sciences shares close at or above barrier level on quarterly observation date due 10/4/2017

HSBC USA Inc. 0.00% due 9/20/2022

HSBC USA Inc. 0.00% due 9/16/2019

HSBC USA Inc. 0.00% due 9/14/2022

HSBC USA Inc. 0.00% due 4/12/2018

HSBC USA Inc. 0.00% due 3/8/2018

HSBC USA Inc. 3.70% due 9/8/2021

HSBC USA Inc. 1.05% for the first year, stepping up to 2% for year two and to 3% for year three; payable semiannually due 9/9/2019

HSBC USA Inc. 8.85% per year, payable quarterly if Facebook shares close at or above downside threshold level on determination date for that quarter due 9/6/2019

HSBC USA Inc. 0.00% due 3/7/2018

HSBC USA Inc. 0.00% due 9/12/2022

HSBC USA Inc. 8.85% per year, payable quarterly if Facebook shares close at or above downside threshold level on determination date for that quarter due 9/5/2019

HSBC USA Inc. 8.5%, payable quarterly if each index closes above 80% coupon barrier due 9/5/2019

HSBC USA Inc. 0.00% due 8/24/2018

HSBC USA Inc. 0.00% due 9/6/2018

HSBC USA Inc. 0.00% due 9/6/2022

HSBC USA Inc. 0.00% due 9/5/2019

HSBC USA Inc. 5.00% due 2/23/2018

HSBC USA Inc. 6.50% due 2/23/2018

HSBC USA Inc. 0.00% due 8/28/2023

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 3/2/2020

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 5% per annum if index closes at or above trigger level on each trading day during a quarterly observation period; otherwise, coupon calculated to and including that trading day and not further coupon will be paid due 8/31/2021

HSBC USA Inc. 13.9% per year, payable quarterly if Mobileye shares close at or above downside threshold level on determination date for that quarter due 8/31/2017

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 5.5% if each basket stock closes at or above initial share price on valuation date or 4.5% otherwise; payable annually due 8/31/2023

HSBC USA Inc. 8% if each basket stock closes at or above initial share price on valuation date or 0.5% otherwise; payable annually due 8/31/2023

HSBC USA Inc. 0.00% due 8/26/2021

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 10% per year, payable quarterly if Kroger stock closes at or above barrier price on observation date for that quarter due 9/13/2017

HSBC USA Inc. 6.3%, payable quarterly if indexes close at or above downside threshold levels on observation date for that quarter due 2/28/2019

HSBC USA Inc. 0.00% due 8/31/2021

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 10/27/2017

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 5.31% due 8/26/2022

HSBC USA Inc. 0.00% due 8/30/2018

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/27/2021

HSBC USA Inc. 0.00% due 8/25/2023

HSBC USA Inc. 0.00% due 8/27/2021

HSBC USA Inc. 0.00% due 1/10/2018

HSBC USA Inc. 0.00% due 8/26/2021

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 10.25% due 8/31/2017

HSBC USA Inc. 8.05%, payable quarterly if index closes above coupon barrier; Coupon barrier: 1,636.67, 75% of initial level due 8/20/2026

HSBC USA Inc. 0.00% due 9/6/2018

HSBC USA Inc. 7.15% per year, payable on a quarter if each index closes at or above its downside threshold level on the determination date for that quarter due 11/21/2018

HSBC USA Inc. 2.1% for first two years; after that, Libor plus 110 bps, subject to minimum of zero and maximum of 3.5% per year; payable quarterly due 8/19/2021

HSBC USA Inc. 0.00% due 2/19/2020

HSBC USA Inc. 0.00% due 4/17/2018

HSBC USA Inc. 0.00% due 8/19/2019

HSBC USA Inc. 2% through Aug. 17, 2018, 2.2% through Aug. 17, 2019, 2.4% through Aug. 17, 2020 and 2.6% through maturity; payable semiannually due 8/17/2021

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 8/26/2022

HSBC USA Inc. 11% per year, payable quarterly if ConocoPhillips shares close at or above downside threshold level on determination date for that quarter due 2/15/2017

HSBC USA Inc. 0.00% due 4/27/2018

HSBC USA Inc. 0.00% due 8/9/2018

HSBC USA Inc. 7.55% annualized if spot rate is at or below barrier on review date, payable quarterly; Trigger/coupon barrier: 4.4317, 140% of initial spot rate due 8/14/2017

HSBC USA Inc. 19.25%, payable quarterly if each stock closes at or above barrier level on determination date for that quarter due 8/6/2018

HSBC USA Inc. 4.80% due 2/5/2021

HSBC USA Inc. 0.00% due 2/5/2019

HSBC USA Inc. 1.68% due 8/3/2023

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8.7% per year if spot rate is less than or equal to barrier on observation date for that quarter due 8/7/2017

HSBC USA Inc. 5.50% due 1/31/2018

HSBC USA Inc. 7.00% due 1/31/2018

HSBC USA Inc. 5.50% due 1/31/2018

HSBC USA Inc. 7.00% due 1/31/2018

HSBC USA Inc. 0.00% due 7/31/2023

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 2% through Jan. 29, 2019, 2.25% through July 29, 2019, 2.5% through Jan. 29, 2020, 2.75% through July 29, 2020, 3% through Jan. 29, 2021 and 3.25% through maturity; payable semiannually due 7/29/2021

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 8% if each basket stock closes at or above initial share price on valuation date or 0.5% otherwise; payable annually due 7/31/2023

HSBC USA Inc. 5.5% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 7/31/2023

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/31/2026

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 7/29/2021

HSBC USA Inc. 9.1% per year, payable quarterly if salesforce.com shares close at or above downside threshold level on determination date for that quarter due 7/25/2019

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. 2.15% for first two years; after that, Libor plus 115 bps, subject to minimum of zero and maximum of 4% per year; payable quarterly due 7/27/2021

HSBC USA Inc. 0.00% due 7/27/2021

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 7% per year if AIG shares close at or above downside threshold level on observation date for that quarter due 7/25/2019

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8% per year if Facebook shares close at or above downside threshold level on observation date for that quarter due 7/25/2019

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 7% per year if JPMorgan shares close at or above downside threshold level on observation date for that quarter due 7/25/2019

HSBC USA Inc. 7.1%, payable quarterly if indexes close at or above coupon barriers on observation date for that quarter due 7/28/2026

HSBC USA Inc. 0.00% due 4/6/2018

HSBC USA Inc. 1.00% due 7/20/2021

HSBC USA Inc. 0.00% due 2/5/2019

HSBC USA Inc. 15.05% per year, payable monthly if Regeneron shares close at or above downside threshold level on determination date for that month due 1/20/2017

HSBC USA Inc. 0.00% due 8/3/2018

HSBC USA Inc. 0.00% due 6/27/2018

HSBC USA Inc. 0.00% due 1/17/2018

HSBC USA Inc. 0.00% due 1/8/2018

HSBC USA Inc. 0.00% due 7/18/2019

HSBC USA Inc. 8.5%, payable quarterly if indexes close at or above downside threshold levels on observation date for that quarter due 7/22/2019

HSBC USA Inc. 7.5%, payable quarterly if indexes close at or above downside threshold levels on observation date for that quarter due 7/19/2018

HSBC USA Inc. 10.00% due 7/28/2017

HSBC USA Inc. 0.00% due 1/15/2020

HSBC USA Inc. 0.00% due 7/15/2022

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 6/25/2021

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 10/12/2017

HSBC USA Inc. 0.00% due 7/25/2021

HSBC USA Inc. 0.00% due 6/30/2023

HSBC USA Inc. 0.00% due 7/21/2017

HSBC USA Inc. 0.00% due 7/14/2017

HSBC USA Inc. 17.9% per year, payable monthly if Netflix shares close at or above downside threshold level on determination date for that month due 1/6/2017

HSBC USA Inc. 0.00% due 7/7/2020

HSBC USA Inc. 0.00% due 7/5/2018

HSBC USA Inc. 0.00% due 7/3/2019

HSBC USA Inc. 2.15% initially; beginning July 6, 2018, Libor plus 115 bps, capped at 4%; payable quarterly due 7/6/2021

HSBC USA Inc. 0.00% due 7/6/2022

HSBC USA Inc. 0.00% due 6/25/2021

HSBC USA Inc. 0.00% due 7/1/2021

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 5.87% due 12/29/2017

HSBC USA Inc. 7.70% due 12/29/2017

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 6% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 6/30/2023

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 11/5/2019

HSBC USA Inc. 9% per year, payable quarterly if HCA Holdings shares close at or above downside threshold level on determination date for that quarter due 6/27/2019

HSBC USA Inc. 13.15% per year, payable quarterly if Wynn Resorts shares close at or above downside threshold level on determination date for that quarter due 6/29/2017

HSBC USA Inc. 0.00% due 8/27/2018

HSBC USA Inc. 0.00% due 6/24/2020

HSBC USA Inc. 0.00% due 12/22/2017

HSBC USA Inc. 0.00% due 6/22/2022

HSBC USA Inc. 0.00% due 6/24/2021

HSBC USA Inc. 1.5% in year one, 1.9% in year two, 2.3% in year three, 2.7% in year four and 3.1% in year five; payable semiannually due 6/22/2021

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 12/27/2022

HSBC USA Inc. 0.00% due 6/24/2022

HSBC USA Inc. 0.00% due 6/21/2018

HSBC USA Inc. 0.00% due 12/27/2017

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 7% per year if GE shares close at or above downside threshold level on observation date for that quarter due 6/21/2019

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 8% per year if Intel shares close at or above downside threshold level on observation date for that quarter due 6/21/2019

HSBC USA Inc. 0.00% due 6/21/2018

HSBC USA Inc. 0.00% due 10/4/2017

HSBC USA Inc. 0.00% due 6/19/2018

HSBC USA Inc. 14.65% per year, payable monthly if Netflix shares close at or above downside threshold level on determination date for that month due 12/15/2016

HSBC USA Inc. 6.00% due 6/13/2017

HSBC USA Inc. 0.00% due 4/12/2018

HSBC USA Inc. 7.70% due 6/9/2017

HSBC USA Inc. 7.15% due 6/9/2017

HSBC USA Inc. 2.25% initially; beginning June 8, 2018, Libor plus 100 bps, capped at 4%; payable quarterly due 6/8/2021

HSBC USA Inc. 0.00% due 6/3/2021

HSBC USA Inc. 0.00% due 6/5/2019

HSBC USA Inc. 15.8% annualized for each month that stock closes at or above downside threshold level on determination date for that month due 12/1/2016

HSBC USA Inc. 6.25% per annum, payable quarterly if ETF closes at or above coupon trigger on coupon determination date for that quarter; Coupon trigger/barrier price: $23.163, 70% of initial share price due 6/2/2022

HSBC USA Inc. 7.5% per annum, payable quarterly if ETF closes at or above coupon trigger on coupon determination date for that quarter; Coupon trigger/barrier price: $10.645, 50% of initial share price due 6/2/2022

HSBC USA Inc. 0.00% due 6/14/2017

HSBC USA Inc. 0.00% due 9/6/2017

HSBC USA Inc. 0.00% due 6/2/2020

HSBC USA Inc. 6.60% due 6/2/2017

HSBC USA Inc. 7.50% due 6/2/2017

HSBC USA Inc. 6.60% due 6/2/2017

HSBC USA Inc. 7.7%, payable quarterly if indexes close at or above coupon barrier, 70% of its initial level, on quarterly observation date due 5/31/2019

HSBC USA Inc. 0.00% due 5/24/2019

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/26/2023

HSBC USA Inc. 8.1%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Barrier/downside threshold: 1,463.07 for S&P, 797.828 for Russell, 70% of initial levels due 5/31/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 5.50% due 11/30/2017

HSBC USA Inc. 6.50% due 11/30/2017

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 6% if each basket stock closes at or above initial share price on valuation date or 1% otherwise; payable annually due 5/31/2023

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 0.00% due 7/27/2018

HSBC USA Inc. 3% if each basket stock closes at or above initial share price on relevant valuation date or 1.5% if one or more stocks close below initial share price; payable annually due 5/28/2021

HSBC USA Inc. 0.00% due 5/27/2020

HSBC USA Inc. 0.00% due 5/27/2021

HSBC USA Inc. 1.5% in year one, 1.75% in year two, 2.15% in year three, 2.65% in year four and 3.35% in year five; payable semiannually due 5/25/2021

HSBC USA Inc. 0.00% due 5/27/2022

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 5/23/2019

HSBC USA Inc. 0.00% due 8/24/2020

HSBC USA Inc. 11%, payable quarterly if each index closes above coupon barrier; Coupon barrier: 12,349.80 for Nikkei, 837.159 for Russell, 2,213.54 for Stoxx; 75% of initial levels due 5/19/2023

HSBC USA Inc. 0.00% due 9/6/2017

HSBC USA Inc. 0.00% due 5/17/2021

HSBC USA Inc. 0.00% due 10/5/2018

HSBC USA Inc. 2.25% initially; beginning May 11, 2018, Libor plus 105 bps, capped at 4%; payable quarterly due 5/11/2021

HSBC USA Inc. 0.00% due 4/11/2018

HSBC USA Inc. 0.00% due 5/13/2022

HSBC USA Inc. 0.00% due 5/9/2018

HSBC USA Inc. 4.65% due 5/4/2021

HSBC USA Inc. 11.85% per year, payable quarterly if United Continental shares close at or above downside threshold level on determination date for that quarter due 5/3/2017

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 10.7%, payable quarterly if each index closes above coupon barrier; Coupon barrier: 75% of initial levels due 5/4/2023

HSBC USA Inc. 3.00% due 5/4/2020

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 7.25%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon/downside threshold: 1,466.61 for S&P, 807.904 for Russell, 70% of initial levels due 4/30/2019

HSBC USA Inc. 7.25%, payable quarterly if each index closes at or above barrier on quarterly observation date; Barrier levels: 1,466.61 for S&P, 807.904 for Russell; 70% of initial levels due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 7.00% due 10/31/2017

HSBC USA Inc. 6.00% due 10/31/2017

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/29/2021

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 7% if each basket stock closes at or above initial share price on valuation date or otherwise 1%; payable annually due 4/28/2023

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/29/2020

HSBC USA Inc. 0.00% due 4/29/2021

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. 0.00% due 4/27/2018

HSBC USA Inc. 0.00% due 4/26/2018

HSBC USA Inc. 0.00% due 11/5/2018

HSBC USA Inc. 14.65% per year, payable monthly if Baidu shares close at or above downside threshold level on determination date for that month due 10/20/2016

HSBC USA Inc. 0.00% due 8/3/2017

HSBC USA Inc. 7.75%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 1,456.51 for S&P, 2,138.04 for Euro Stoxx, 70% of initial levels due 4/21/2026

HSBC USA Inc. 7.5%, payable quarterly if each index closes at or above coupon barrier on quarterly observation date; Coupon barriers: 1,456.51 for S&P, 791.646 for Russell, 70% of initial levels due 4/21/2026

HSBC USA Inc. 0.00% due 4/19/2021

HSBC USA Inc. 0.00% due 2/15/2018

HSBC USA Inc. 0.00% due 8/5/2019

HSBC USA Inc. 7%, payable monthly if each index closes at or above its 65% coupon trigger level on the observation date for that month due 4/13/2021

HSBC USA Inc. 11.1% per year, payable monthly if American shares close at or above downside threshold level on determination date for that month due 10/13/2016

HSBC USA Inc. 7.5%, payable quarterly if each index closes at or above coupon barrier on observation date; 1,431.62 for S&P, 767.098 for Russell, 70% of initial levels due 4/10/2026

HSBC USA Inc. 0.00% due 10/3/2018

HSBC USA Inc. 0.00% due 4/3/2019

HSBC USA Inc. 0.00% due 7/6/2017

HSBC USA Inc. 0.00% due 4/3/2020

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 6.50% due 10/2/2017

HSBC USA Inc. 8.00% due 10/2/2017

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 6.25% if each basket stock closes at or above initial share price on annual valuation date; otherwise 1%; payable annually due 3/31/2023

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 3/31/2026

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 3/26/2021

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 4/7/2017

HSBC USA Inc. 0.00% due 3/30/2020

HSBC USA Inc. 0.00% due 3/29/2021

HSBC USA Inc. 0.00% due 3/28/2022

HSBC USA Inc. Each quarter, notes will pay coupon at rate of 8.6% per year if index closes at or above coupon barrier level on observation date for that quarter; Coupon barrier level: 1,520.42, 75% of initial level due 3/19/2026

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 13% per year if Facebook stock closes at or above trigger price on determination date for that quarter due 3/15/2017

HSBC USA Inc. 0.00% due 9/10/2018

HSBC USA Inc. 13% per year, payable quarterly if Las Vegas Sands shares close at or above downside threshold level on determination date for that quarter due 3/10/2017

HSBC USA Inc. 0.00% due 3/7/2018

HSBC USA Inc. 0.00% due 3/5/2019

HSBC USA Inc. 9.1% per year, payable quarterly if the index closes at or above the barrier level on the observation date for that quarter; Barrier level: 1,449.17, 75% of initial level due 3/4/2026

HSBC USA Inc. 0.00% due 3/5/2018

HSBC USA Inc. 0.00% due 4/30/2017

HSBC USA Inc. 0.00% due 3/11/2022

HSBC USA Inc. 12.25%, payable semiannually if index closes at or above coupon trigger on coupon observation date for that semiannual period; Coupon trigger: 829.746, 80% of initial level due 3/2/2021

HSBC USA Inc. 11% per year, payable quarterly if Cisco shares close at or above downside threshold level on determination date for that quarter due 3/1/2019

HSBC USA Inc. 10.9% per year, payable quarterly if Facebook shares close at or above downside threshold level on determination date for that quarter due 3/3/2017

HSBC USA Inc. 0.00% due 2/22/2019

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 4.5% if at least 14 of the 20 stocks close at or above their respective initial share prices on the relevant valuation date; otherwise, 0.5%; payable annually due 2/28/2022

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/24/2023

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 7.00% due 3/10/2017

HSBC USA Inc. 0.00% due 3/10/2017

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 6.50% due 8/29/2017

HSBC USA Inc. 8.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2018

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 8/29/2018

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 8/29/2018

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 6.25% if each basket stock closes at or above initial share price on valuation date or otherwise 1%; payable annually due 2/28/2023

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 3/29/2017

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/26/2020

HSBC USA Inc. 9.05% per year, payable quarterly if Alphabet shares close at or above downside threshold level on determination date for that quarter due 2/27/2017

HSBC USA Inc. 11.2% per year, payable quarterly if Microsoft shares close at or above downside threshold level on determination date for that quarter due 2/27/2017

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 6.00% due 2/28/2017

HSBC USA Inc. 10.75% payable semiannually if index closes at or above 75% of initial level on observation date due 2/10/2021

HSBC USA Inc. 0.00% due 8/12/2019

HSBC USA Inc. 0.00% due 8/9/2017

HSBC USA Inc. 7.75% due 8/9/2017

HSBC USA Inc. 1% in year one, 1.5% in year two, 2% in year three; payable quarterly due 2/5/2019

HSBC USA Inc. 0.00% due 2/7/2019

HSBC USA Inc. 0.00% due 2/1/2019

HSBC USA Inc. 9.65% per year, payable quarterly if each index closes at or above its coupon barrier level on determination date for that quarter; Coupon barrier levels: 776.536 for Russell 2000 and 2,283.82 for Euro Stoxx 50; 75% of initial levels due 2/2/2023

HSBC USA Inc. 10.3% per year, payable quarterly if shares close at or above downside threshold level on determination date for that quarter due 2/6/2017

HSBC USA Inc. 17% per year, payable monthly if shares close at or above coupon barrier level on determination date for that month; Trigger/coupon barrier: $112.12, 75% of initial price due 8/3/2016

HSBC USA Inc. 0.00% due 2/3/2022

HSBC USA Inc. 0.00% due 1/24/2019

HSBC USA Inc. 0.00% due 1/25/2019

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 1/28/2022

HSBC USA Inc. 0.00% due 8/2/2017

HSBC USA Inc. 0.00% due 2/10/2017

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 1/29/2019

HSBC USA Inc. 0.00% due 1/29/2020

HSBC USA Inc. 8.90% due 5/1/2017

HSBC USA Inc. 0.00% due 1/29/2019

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 1/29/2019

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 7% if each basket stock closes at or above initial share price on valuation date or otherwise 1%; payable annually due 1/30/2023

HSBC USA Inc. 0.00% due 7/29/2020

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 1/29/2020

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. 10% annualized if Home Depot shares close at or above barrier level on quarterly observation date; Trigger/coupon barrier price: $92.38, 75.25% of initial share price due 2/15/2017

HSBC USA Inc. 0.00% due 1/26/2018

HSBC USA Inc. 0.00% due 7/25/2018

HSBC USA Inc. 11.05% annualized for each quarter that each index closes at or above barrier level on determination date for that quarter; Coupon barriers: 12,786.28 for Nikkei; 746.152 for Russell and 2,235.37 for Euro Stoxx, 75% of initial levels due 1/24/2023

HSBC USA Inc. 0.00% due 1/22/2019

HSBC USA Inc. 0.00% due 1/18/2019

HSBC USA Inc. 0.00% due 1/22/2021

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 11.62% per year if Apple stock closes at or above trigger price on determination date for that quarter due 1/20/2017

HSBC USA Inc. 0.00% due 1/24/2019

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 1/14/2022

HSBC USA Inc. 0.00% due 7/14/2016

HSBC USA Inc. 0.00% due 2/16/2017

HSBC USA Inc. 0.00% due 7/5/2019

HSBC USA Inc. 0.00% due 1/3/2020

HSBC USA Inc. 0.00% due 1/4/2019

HSBC USA Inc. 0.00% due 1/4/2022

HSBC USA Inc. 0.00% due 1/4/2019

HSBC USA Inc. 0.00% due 12/31/2020

HSBC USA Inc. 0.00% due 1/15/2021

HSBC USA Inc. 0.00% due 12/31/2020

HSBC USA Inc. 6.00% due 3/29/2017

HSBC USA Inc. 7.00% due 3/29/2017

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 0.00% due 12/29/2020

HSBC USA Inc. 6.25% due 12/29/2022

HSBC USA Inc. 0.00% due 6/29/2020

HSBC USA Inc. 0.00% due 12/29/2020

HSBC USA Inc. 0.00% due 1/2/2024

HSBC USA Inc. 0.00% due 12/28/2020

HSBC USA Inc. 0.00% due 12/21/2018

HSBC USA Inc. 0.00% due 12/28/2020

HSBC USA Inc. 0.00% due 12/21/2018

HSBC USA Inc. 0.00% due 12/23/2022

HSBC USA Inc. 0.00% due 12/24/2020

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/28/2021

HSBC USA Inc. 1% in year one, 2% in year two, 3.05% in year three, 4.1% in year four and 5.2% in year five; payable semiannually due 12/23/2020

HSBC USA Inc. 0.00% due 12/21/2018

HSBC USA Inc. 0.00% due 6/24/2019

HSBC USA Inc. 0.00% due 12/21/2017

HSBC USA Inc. 6%, payable quarterly if ETF closes at or above coupon trigger on coupon determination date for that quarter; Coupon trigger: $202.44, 60% of initial share price due 12/21/2018

HSBC USA Inc. 6.15%, payable quarterly if ETF closes at or above coupon trigger on coupon determination date for that quarter; Coupon trigger: $68.68, 60% of initial share price due 12/16/2021

HSBC USA Inc. 5.25% per year, payable quarterly if the fund stock closes at or above coupon trigger level on determination date for that quarter; Coupon trigger: $154.41, 60% of initial share price due 12/21/2021

HSBC USA Inc. 0.00% due 12/18/2020

HSBC USA Inc. 0.00% due 12/18/2017

HSBC USA Inc. 0.00% due 6/19/2017

HSBC USA Inc. 5.50% due 6/19/2017

HSBC USA Inc. 0.00% due 12/17/2020

HSBC USA Inc. 0.00% due 12/4/2017

HSBC USA Inc. 0.00% due 12/5/2018

HSBC USA Inc. 19.4% annualized, payable monthly, if the stock closes at or above its downside threshold level on the observation date for that month due 6/3/2016

HSBC USA Inc. 0.00% due 12/3/2021

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 9.5%, payable quarterly if stock closes at or above trigger price on observation date for that quarter due 11/30/2017

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 6.00% due 3/1/2017

HSBC USA Inc. 7.00% due 3/1/2017

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/30/2018

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 5/30/2018

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 5/30/2018

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 12/2/2019

HSBC USA Inc. 1.25% for the first year, stepping up to 2% in year two, to 3% in year three, to 4% in year four and to 5.05% in year five; payable semiannually due 11/30/2020

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 6.25% if each basket stock closes at or above initial share price on relevant valuation date or 1% otherwise; payable annually due 11/30/2022

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 0.00% due 11/27/2020

HSBC USA Inc. 0.00% due 12/9/2016

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 12/2/2019

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 11/30/2021

HSBC USA Inc. 9% annual rate payable quarterly if the ETF closes at or above its initial price on the determination date for that quarter due 11/25/2019

HSBC USA Inc. 5.20% due 5/19/2017

HSBC USA Inc. 0.00% due 5/19/2017

HSBC USA Inc. 0.00% due 11/20/2017

HSBC USA Inc. 3% in years one through five, 3.625% in years six through 10 and 5% in years 11 through 15; payable quarterly due 11/18/2030

HSBC USA Inc. 0.00% due 5/18/2017

HSBC USA Inc. 0.00% due 11/19/2020

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/30/2020

HSBC USA Inc. 0.00% due 11/17/2020

HSBC USA Inc. 0.00% due 11/16/2018

HSBC USA Inc. 0.00% due 11/16/2020

HSBC USA Inc. 13.35% annualized, payable quarterly, if the stock closes at or above its barrier level on the observation date for that quarter due 11/14/2016

HSBC USA Inc. 0.00% due 11/6/2017

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 1/4/2021

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 6.00% due 1/30/2017

HSBC USA Inc. 7.00% due 1/30/2017

HSBC USA Inc. 0.00% due 10/30/2018

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 10/30/2018

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 10/30/2019

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 6.25% if each basket stock closes at or above initial share price on relevant valuation date or 1% otherwise; payable annually due 10/31/2022

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 10/29/2020

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 10/30/2019

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 10/27/2021

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. 11.8% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 10/31/2016

HSBC USA Inc. 0.00% due 4/26/2017

HSBC USA Inc. 0.00% due 10/21/2025

HSBC USA Inc. 0.00% due 1/20/2017

HSBC USA Inc. 0.00% due 10/26/2018

HSBC USA Inc. 9.50% due 10/28/2016

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 11.5% per year if Facebook stock closes at or above trigger price on determination date for that quarter due 10/11/2016

HSBC USA Inc. 0.00% due 10/5/2017

HSBC USA Inc. 0.00% due 1/5/2017

HSBC USA Inc. 0.00% due 10/4/2018

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 7.25% due 12/30/2016

HSBC USA Inc. 6.25% due 12/30/2016

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 4/2/2018

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 18% per year, payable quarterly if Netflix shares close at or above downside threshold level on determination date for that quarter due 10/4/2016

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 7.25% due 9/30/2022

HSBC USA Inc. 0.00% due 7/1/2019

HSBC USA Inc. 0.00% due 3/30/2020

HSBC USA Inc. 0.00% due 9/30/2020

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/25/2020

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 4.05% due 9/28/2022

HSBC USA Inc. 10.05% annualized for each quarter that each index closes at or above barrier level on determination date for that quarter; Coupon barriers: 75% of initial levels due 9/26/2022

HSBC USA Inc. 0.00% due 3/3/2016

HSBC USA Inc. 0.00% due 3/24/2016

HSBC USA Inc. 0.00% due 3/25/2019

HSBC USA Inc. 0.00% due 9/27/2021

HSBC USA Inc. 10.6% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 9/26/2016

HSBC USA Inc. 0.00% due 3/25/2019

HSBC USA Inc. 0.00% due 3/29/2017

HSBC USA Inc. 0.00% due 3/21/2018

HSBC USA Inc. 0.00% due 9/20/2017

HSBC USA Inc. 0.00% due 9/20/2021

HSBC USA Inc. 8.00% due 9/16/2016

HSBC USA Inc. 15.5% annualized for each month that stock closes at or above barrier level on determination date for that month due 9/14/2018

HSBC USA Inc. 8.2% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 9/14/2018

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/14/2020

HSBC USA Inc. 4.25% due 9/12/2022

HSBC USA Inc. 4.55% due 9/10/2025

HSBC USA Inc. 8.15% per year, payable quarterly if Prudential shares close at or above downside threshold level on determination date for that quarter due 9/7/2018

HSBC USA Inc. 0.00% due 9/10/2020

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 11% per year if Gilead Sciences stock closes at or above barrier level on determination date for that quarter due 9/8/2016

HSBC USA Inc. 0.00% due 9/6/2018

HSBC USA Inc. 8.5% per year, payable quarterly if stock closes at or above barrier level on observation date for that quarter due 8/31/2018

HSBC USA Inc. 10.25% per year, payable quarterly if stock closes at or above barrier level on observation date for that quarter due 8/31/2018

HSBC USA Inc. 0.00% due 10/28/2016

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 8.25% due 12/1/2016

HSBC USA Inc. 6.25% due 12/1/2016

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 3/1/2018

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 3/1/2018

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 3/1/2018

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 3/1/2018

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 9/3/2019

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 8.25% if each basket stock closes at or above its initial share price on the valuation date for that year; otherwise 1%; payable annually due 8/31/2022

HSBC USA Inc. 0.00% due 3/2/2020

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 8/31/2020

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/26/2020

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 8/28/2020

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 11.25% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 8/29/2016

HSBC USA Inc. 9.3% annualized for each quarter that each index closes at or above barrier level on determination date for that quarter; Coupon barriers: 75% of initial levels due 8/25/2022

HSBC USA Inc. 10.75% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 8/29/2016

HSBC USA Inc. 0.00% due 8/26/2020

HSBC USA Inc. 0.00% due 8/27/2020

HSBC USA Inc. 16.5% annualized if Tesla Motors stock closes at or above downside threshold level on quarterly determination date due 8/15/2016

HSBC USA Inc. 14.2% annualized if Valeant shares close at or above barrier level on quarterly observation date due 8/24/2016

HSBC USA Inc. 0.00% due 8/24/2016

HSBC USA Inc. 0.00% due 8/14/2017

HSBC USA Inc. 0.00% due 8/13/2020

HSBC USA Inc. 0.00% due 2/6/2017

HSBC USA Inc. Each quarter, notes pay contingent coupon at rate of 10.25% per year if Halliburton stock closes at or above barrier level on determination date for that quarter due 8/5/2016

HSBC USA Inc. 0.00% due 8/3/2018

HSBC USA Inc. 8.8% per year, payable quarterly if Blackstone units close at or above downside threshold level on determination date for that quarter due 8/3/2018

HSBC USA Inc. 9% per year, payable quarterly if each index closes at or above its coupon barrier level on determination date for that quarter; Coupon barriers: 2,700.52 for Euro Stoxx 50, 15,438.93 for Nikkei 225 and 929.01 for Russell 2000; 75% of initial index levels due 8/4/2022

HSBC USA Inc. 12.5% annualized if Tesla Motors stock closes at or above downside threshold level on quarterly determination date due 8/8/2016

HSBC USA Inc. 0.00% due 11/3/2016

HSBC USA Inc. 0.00% due 8/3/2018

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 6.25% due 10/31/2016

HSBC USA Inc. 5.25% due 10/31/2016

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 1/30/2018

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 5/1/2019

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 8.25% if each basket stock closes at or above its initial share price on the valuation date for that year; otherwise 1%; payable annually due 8/1/2022

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 7/28/2020

HSBC USA Inc. 0.00% due 8/31/2016

HSBC USA Inc. 0.00% due 7/31/2020

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 8/2/2021

HSBC USA Inc. 10.2%, payable quarterly if stock closes at or above downside threshold level on determination date for that quarter due 7/29/2016

HSBC USA Inc. 0.00% due 7/27/2018

HSBC USA Inc. 0.00% due 7/24/2018

HSBC USA Inc. 9.00% due 7/25/2016

HSBC USA Inc. 0.00% due 7/22/2020

HSBC USA Inc. 11.25% annualized for each quarter that stock closes at or above downside threshold level on determination date for that quarter due 7/21/2016

HSBC USA Inc. 1% initially, stepping up to 2% on Jan. 17, 2017; payable semiannually due 7/17/2018

HSBC USA Inc. 9.2% annualized for each quarter that stock closes at or above barrier level on determination date for that quarter due 7/15/2016

HSBC USA Inc. 14% per year, payable quarterly if each stock closes at or above trigger level on observation date for that quarter due 7/15/2016

HSBC USA Inc. 5.60% due 1/17/2017

HSBC USA Inc. 10.00% due 7/22/2016

HSBC USA Inc. 12.25% annualized for quarter if stock closes at or above barrier level on determination date for that quarter due 7/8/2016

HSBC USA Inc. 1.5% for first year; after that, Libor plus 80 bps, capped at 3.5% in second year, 3.75% in third year, 4.5% in fourth year and 5.5% in fifth year; payable quarterly with floor of zero due 7/20/2020

HSBC USA Inc. 0.00% due 10/7/2015

HSBC USA Inc. 0.00% due 1/7/2016

HSBC USA Inc. 0.00% due 10/5/2016

HSBC USA Inc. 0.00% due 8/4/2016

HSBC USA Inc. 10.85% per year, payable quarterly if Regeneron shares close at or above downside threshold level on determination date for that quarter due 6/30/2016

HSBC USA Inc. 0.00% due 7/1/2020

HSBC USA Inc. 0.00% due 8/26/2016

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 0.00% due 6/30/2017

HSBC USA Inc. 0.00% due 4/1/2019

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 7/1/2019

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 7.50% due 7/11/2016

HSBC USA Inc. 0.00% due 7/8/2016

HSBC USA Inc. 0.00% due 6/30/2021

HSBC USA Inc. 0.00% due 6/30/2025

HSBC USA Inc. 0.00% due 6/30/2020

HSBC USA Inc. 0.00% due 7/12/2016

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 12/26/2018

HSBC USA Inc. 0.00% due 6/26/2020

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 9.1% per year, payable quarterly if both stocks close at or above downside threshold levels on determination date for that quarter due 6/22/2018

HSBC USA Inc. 0.00% due 6/24/2021

HSBC USA Inc. 0.00% due 7/1/2016

HSBC USA Inc. 0.00% due 7/5/2016

HSBC USA Inc. 7.75% due 6/17/2016

HSBC USA Inc. 8.10% due 6/17/2016

HSBC USA Inc. Libor plus 72 bps, subject to floor of zero and cap of 5.75% per year; payable quarterly due 6/17/2022

HSBC USA Inc. 11.35% per year, payable quarterly if Mobileye shares close at or above downside threshold level on determination date for that quarter due 6/16/2016

HSBC USA Inc. 7.50% due 6/24/2016

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 11.25% due 6/13/2016

HSBC USA Inc. 11.45% for quarter if stock closes at or above barrier level on determination date for that quarter due 6/9/2016

HSBC USA Inc. 8.75% for quarter if Valero stock closes at or above barrier level on determination date for that quarter due 6/9/2016

HSBC USA Inc. Libor, subject to coupon floor of 1.25% per year and coupon cap of 3.25% per year; payable quarterly due 6/5/2019

HSBC USA Inc. 7.25% for quarter if Williams stock closes at or above downside threshold level on determination date for that quarter due 6/3/2016

HSBC USA Inc. 0.00% due 9/6/2016

HSBC USA Inc. 0.00% due 6/3/2021

HSBC USA Inc. 0.00% due 5/26/2017

HSBC USA Inc. 1.92% for first three years; after that, Libor plus 125 bps, capped at 3%; payable quarterly with floor of zero due 6/11/2020

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 5/26/2017

HSBC USA Inc. 0.00% due 6/6/2016

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 5.50% due 8/29/2016

HSBC USA Inc. 6.50% due 8/29/2016

HSBC USA Inc. 0.00% due 5/29/2019

HSBC USA Inc. 0.00% due 11/29/2017

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 11/29/2017

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 11/29/2017

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 11/29/2017

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 5/29/2018

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 5/29/2018

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 5/29/2019

HSBC USA Inc. 7% if each basket stock closes at or above initial share price on relevant valuation date or 1% otherwise; payable annually due 5/31/2022

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/29/2020

HSBC USA Inc. 0.00% due 12/3/2018

HSBC USA Inc. 0.00% due 6/1/2020

HSBC USA Inc. 0.00% due 6/8/2016

HSBC USA Inc. 0.00% due 11/27/2018

HSBC USA Inc. 17.2% per year, payable quarterly if Seadrill shares close at or above barrier level on determination date for that quarter due 5/26/2016

HSBC USA Inc. 0.00% due 6/13/2016

HSBC USA Inc. Libor, subject to coupon floor of 1.5% per year and coupon cap of 3.5% per year; payable quarterly due 5/22/2020

HSBC USA Inc. 6.00% due 11/21/2016

HSBC USA Inc. 10% per year, payable quarterly if LinkedIn shares close at or above downside threshold level on determination date for that quarter due 5/19/2016

HSBC USA Inc. 12% per year, payable quarterly if Netflix shares close at or above downside threshold level on determination date for that quarter due 5/19/2016

HSBC USA Inc. 0.00% due 5/13/2020

HSBC USA Inc. 0.00% due 4/27/2018

HSBC USA Inc. 2.5% for one year; after that 10-year CMS rate, capped at 7%; payable quarterly due 5/8/2025

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 0.00% due 8/3/2016

HSBC USA Inc. 0.00% due 5/3/2018

HSBC USA Inc. 0.00% due 5/6/2019

HSBC USA Inc. 0.00% due 11/5/2018

HSBC USA Inc. 0.75% for first 18 months and 2% for final 18 months; payable semiannually due 5/4/2018

HSBC USA Inc. 7.00% due 4/29/2016

HSBC USA Inc. 7.10% due 4/29/2016

HSBC USA Inc. 7.00% due 4/29/2016

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 11/1/2018

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 5/1/2020

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 8/1/2016

HSBC USA Inc. 5.00% due 8/1/2016

HSBC USA Inc. 6.00% due 8/1/2016

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 10/30/2018

HSBC USA Inc. 0.00% due 10/30/2019

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 4/30/2020

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2025

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 4/29/2020

HSBC USA Inc. 8.55% per year, payable quarterly if Blackstone shares close at or above barrier level on determination date for that quarter due 4/27/2018

HSBC USA Inc. 6% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 4/29/2022

HSBC USA Inc. 16.6% annualized if Valeant shares close at or above barrier level on quarterly observation date due 5/11/2016

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/29/2016

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 0.000% due 4/28/2017

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. 0.00% due 4/28/2017

HSBC USA Inc. 0.000% due 4/24/2020

HSBC USA Inc. 0.00% due 5/2/2022

HSBC USA Inc. 0.000% due 4/28/2017

HSBC USA Inc. 0.00% due 1/28/2019

HSBC USA Inc. 7.70% due 4/22/2016

HSBC USA Inc. 7.00% due 4/22/2016

HSBC USA Inc. 7.80% due 4/22/2016

HSBC USA Inc. 7.00% due 4/22/2016

HSBC USA Inc. 0.00% due 10/24/2018

HSBC USA Inc. 0.00% due 4/26/2021

HSBC USA Inc. 0.00% due 4/25/2016

HSBC USA Inc. 16% per year, payable quarterly if First Solar shares close at or above downside threshold level on determination date for that quarter due 4/21/2016

HSBC USA Inc. 0.00% due 5/9/2016

HSBC USA Inc. 0.00% due 4/23/2018

HSBC USA Inc. 0.00% due 4/22/2020

HSBC USA Inc. 0.00% due 4/21/2017

HSBC USA Inc. 9.9% per year, payable quarterly if Halliburton shares close at or above downside threshold level on determination date for that quarter due 4/14/2016

HSBC USA Inc. 0.00% due 4/13/2018

HSBC USA Inc. 0.00% due 4/10/2018

HSBC USA Inc. 15.35% per year, payable quarterly if fund closes at or above downside threshold level on determination date for that quarter due 4/11/2016

HSBC USA Inc. 0.00% due 4/8/2020

HSBC USA Inc. 0.00% due 4/6/2021

HSBC USA Inc. 0.00% due 7/6/2016

HSBC USA Inc. 0.00% due 4/6/2021

HSBC USA Inc. 0.00% due 1/8/2021

HSBC USA Inc. 0% due 4/18/2016

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 14% per year, payable quarterly if SunEdison shares close at or above downside threshold level on determination date for that quarter due 3/31/2016

HSBC USA Inc. 10.95% per year, payable quarterly if Valero shares close at or above downside threshold level on determination date for that quarter due 3/31/2016

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 4/29/2016

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. 0.00% due 3/31/2025

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 0.00% due 5/27/2016

HSBC USA Inc. 0% due 4/14/2016

HSBC USA Inc. 0.00% due 3/27/2020

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 4/29/2016

HSBC USA Inc. 0.00% due 3/31/2020

HSBC USA Inc. Libor plus 500 bps, with floor of 0%; payable quarterly due 4/8/2020

HSBC USA Inc. 0.00% due 3/27/2020

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 6.00% due 6/27/2016

HSBC USA Inc. 7.00% due 6/27/2016

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/26/2020

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 3/26/2020

HSBC USA Inc. 0.00% due 3/26/2019

HSBC USA Inc. 0.00% due 3/27/2020

HSBC USA Inc. 6.5% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 3/28/2022

HSBC USA Inc. 0.00% due 9/26/2018

HSBC USA Inc. 0.00% due 3/26/2020

HSBC USA Inc. 0.00% due 9/27/2018

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 8.6% per year if Dow Chemical stock closes at or above downside threshold level on determination date for that quarter due 3/24/2016

HSBC USA Inc. 0.00% due 4/8/2016

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/26/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 2.4% initially, stepping up to 4.4% on March 27, 2020; payable semiannually due 3/27/2025

HSBC USA Inc. 0% due 4/6/2016

HSBC USA Inc. 0.00% due 9/24/2019

HSBC USA Inc. 0.00% due 3/21/2022

HSBC USA Inc. 1.5% for first two years; after that, Libor plus 75 bps, capped at 4%; payable quarterly with floor of zero due 3/18/2020

HSBC USA Inc. 0.00% due 3/20/2017

HSBC USA Inc. 0.00% due 9/18/2019

HSBC USA Inc. 0.00% due 3/13/2018

HSBC USA Inc. 0.00% due 3/12/2018

HSBC USA Inc. Libor plus 250 bps, with floor of 0%; payable monthly due 3/11/2020

HSBC USA Inc. Libor, subject to coupon floor of 1.7% per year and coupon cap of 4% per year; payable quarterly due 3/11/2020

HSBC USA Inc. 8.95% per year, payable quarterly if Valero shares close at or above barrier level on determination date for that quarter due 3/10/2016

HSBC USA Inc. 0.00% due 3/23/2016

HSBC USA Inc. 0.00% due 9/12/2019

HSBC USA Inc. 0.00% due 3/6/2018

HSBC USA Inc. Paid quarterly at rate of 14.21% per year if MGM stock closes at or above barrier price on observation date for that quarter due 3/16/2016

HSBC USA Inc. 11.5% per year, payable quarterly if Baidu shares close at or above downside threshold level on determination date for that quarter due 3/3/2016

HSBC USA Inc. 16% per year, payable quarterly if lululemon shares close at or above downside threshold level on determination date for that quarter due 3/3/2016

HSBC USA Inc. 0.00% due 3/4/2020

HSBC USA Inc. 0.00% due 6/2/2016

HSBC USA Inc. 7.00% due 3/11/2016

HSBC USA Inc. 0.00% due 4/22/2016

HSBC USA Inc. 0.00% due 4/29/2016

HSBC USA Inc. 0.00% due 2/24/2017

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 2/24/2017

HSBC USA Inc. 0.00% due 3/11/2016

HSBC USA Inc. 0.00% due 2/28/2020

HSBC USA Inc. 0.00% due 2/28/2025

HSBC USA Inc. 0.00% due 8/27/2018

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 5/25/2016

HSBC USA Inc. 6.00% due 5/25/2016

HSBC USA Inc. 7.00% due 5/25/2016

HSBC USA Inc. 0.00% due 8/27/2018

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 8/25/2017

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 2/26/2018

HSBC USA Inc. 0.00% due 8/27/2018

HSBC USA Inc. 0.00% due 8/26/2019

HSBC USA Inc. 0.00% due 2/26/2018

HSBC USA Inc. 0.00% due 2/25/2020

HSBC USA Inc. 0.00% due 2/25/2019

HSBC USA Inc. 0.00% due 2/25/2020

HSBC USA Inc. 15% per year, payable quarterly if Qihoo 360 shares close at or above downside threshold level on determination date for that quarter due 2/25/2016

HSBC USA Inc. 17.3% per year, payable quarterly if Twitter shares close at or above downside threshold level on determination date for that quarter due 2/25/2016

HSBC USA Inc. 6.6%, payable quarterly if index closes above trigger level on determination date for that quarter; Trigger level: 862.252, 70% of initial level due 3/1/2021

HSBC USA Inc. 0.00% due 3/1/2021

HSBC USA Inc. 6% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 2/25/2022

HSBC USA Inc. 0.00% due 3/10/2016

HSBC USA Inc. 0.00% due 2/25/2020

HSBC USA Inc. 0.00% due 2/26/2018

HSBC USA Inc. 0.00% due 2/24/2016

HSBC USA Inc. 0.00% due 2/26/2018

HSBC USA Inc. 0.00% due 2/24/2016

HSBC USA Inc. 0.00% due 2/26/2018

HSBC USA Inc. 0.00% due 2/24/2016

HSBC USA Inc. 9.50% due 2/19/2016

HSBC USA Inc. 8.1% annualized for quarter if Macy's stock closes at or above downside threshold level on determination date for that quarter due 2/19/2016

HSBC USA Inc. 0.00% due 8/17/2016

HSBC USA Inc. 0.00% due 3/2/2016

HSBC USA Inc. 8.50% due 2/19/2016

HSBC USA Inc. 0.00% due 2/6/2020

HSBC USA Inc. 1.5% initially; beginning on Feb. 18, 2017, Libor plus 70 bps, capped at 4%; payable quarterly with floor of zero due 2/18/2020

HSBC USA Inc. 0.00% due 5/4/2016

HSBC USA Inc. 0.00% due 2/3/2021

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 0.00% due 1/30/2020

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 7.5% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 1/31/2022

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 6.00% due 1/28/2016

HSBC USA Inc. 7.40% due 1/28/2016

HSBC USA Inc. 6.24% due 1/28/2016

HSBC USA Inc. 7.25% due 4/28/2016

HSBC USA Inc. 6.25% due 4/28/2016

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 1/28/2020

HSBC USA Inc. 0.00% due 1/28/2019

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/28/2019

HSBC USA Inc. 6.3%, payable quarterly if index closes above trigger level on determination date for that quarter due 2/1/2021

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 1/28/2020

HSBC USA Inc. 12% per year, payable quarterly if AbbVie shares close at or above barrier price on quarterly observation date due 2/10/2016

HSBC USA Inc. 0.00% due 1/27/2016

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/27/2016

HSBC USA Inc. 0.00% due 1/27/2020

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/27/2016

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/27/2016

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/27/2020

HSBC USA Inc. 11%, payable quarterly if fund closes at or above trigger level on determination date for that quarter due 4/25/2016

HSBC USA Inc. 15.1% per year (3.775% per quarter) if due 2/3/2016

HSBC USA Inc. 0.00% due 1/21/2020

HSBC USA Inc. 9.50% due 1/29/2016

HSBC USA Inc. 8.00% due 1/14/2016

HSBC USA Inc. 7.20% due 1/14/2016

HSBC USA Inc. 0.00% due 12/31/2020

HSBC USA Inc. 0.00% due 1/4/2018

HSBC USA Inc. 0.00% due 10/2/2019

HSBC USA Inc. 21.00% due 12/31/2015

HSBC USA Inc. 15.00% due 12/31/2015

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 15.35% annualized for each quarter that shares close at or above barrier level on quarterly determination date due 12/31/2015

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.00% due 2/26/2016

HSBC USA Inc. 0.00% due 12/28/2018

HSBC USA Inc. 0.00% due 6/29/2015

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 7.50% due 1/15/2016

HSBC USA Inc. 0.00% due 1/15/2016

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 3/24/2016

HSBC USA Inc. 6.50% due 12/24/2015

HSBC USA Inc. 8.25% due 12/24/2015

HSBC USA Inc. 7.50% due 12/24/2015

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 12.1% per year, payable quarterly if Valero shares close at or above barrier level on determination date for that quarter due 12/24/2015

HSBC USA Inc. 6.5%, payable quarterly if index closes above trigger level on determination date for that quarter due 12/29/2020

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2019

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 12/24/2019

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2019

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2019

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 6/23/2017

HSBC USA Inc. 0.00% due 12/23/2016

HSBC USA Inc. 0.00% due 6/23/2017

HSBC USA Inc. 0.00% due 12/23/2016

HSBC USA Inc. 0.00% due 6/23/2017

HSBC USA Inc. 0.00% due 12/23/2016

HSBC USA Inc. 0.00% due 12/23/2019

HSBC USA Inc. 0.00% due 12/24/2018

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/24/2018

HSBC USA Inc. 8% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 12/23/2021

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 12/23/2019

HSBC USA Inc. 7.00% due 3/17/2016

HSBC USA Inc. 6.00% due 3/17/2016

HSBC USA Inc. 0.00% due 6/17/2019

HSBC USA Inc. 0.00% due 12/11/2017

HSBC USA Inc. 10.2% per year (2.55% per quarter) if Bristol-Myers Squibb shares close at or above barrier price on quarterly observation date due 12/23/2015

HSBC USA Inc. 0.00% due 6/3/2016

HSBC USA Inc. 0.00% due 3/3/2016

HSBC USA Inc. 0.00% due 12/3/2020

HSBC USA Inc. 0.00% due 12/4/2023

HSBC USA Inc. 0.00% due 12/11/2015

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 6.00% due 11/30/2015

HSBC USA Inc. 7.00% due 11/30/2015

HSBC USA Inc. 9.50% due 11/30/2015

HSBC USA Inc. 9.23% due 11/30/2015

HSBC USA Inc. 9.00% due 11/30/2015

HSBC USA Inc. 0.00% due 11/27/2019

HSBC USA Inc. 0.00% due 11/23/2018

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 6/1/2018

HSBC USA Inc. 6.5%, payable quarterly if index closes above trigger level on determination date for that quarter due 12/1/2020

HSBC USA Inc. 0.00% due 12/1/2020

HSBC USA Inc. 11.75% per year (2.9375% per quarter) if Biogen Idec shares close at or above barrier price on quarterly observation date due 12/9/2015

HSBC USA Inc. 7.00% due 2/25/2016

HSBC USA Inc. 6.00% due 2/25/2016

HSBC USA Inc. 0.00% due 5/25/2017

HSBC USA Inc. 0.00% due 11/25/2016

HSBC USA Inc. 0.00% due 5/25/2017

HSBC USA Inc. 0.00% due 11/25/2016

HSBC USA Inc. 0.00% due 5/25/2017

HSBC USA Inc. 0.00% due 11/25/2016

HSBC USA Inc. 0.00% due 5/25/2017

HSBC USA Inc. 0.00% due 11/25/2016

HSBC USA Inc. 0.00% due 11/26/2021

HSBC USA Inc. 0.00% due 11/26/2018

HSBC USA Inc. 0.00% due 11/25/2019

HSBC USA Inc. 0.00% due 11/26/2018

HSBC USA Inc. 0.00% due 11/25/2019

HSBC USA Inc. 8% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 11/26/2021

HSBC USA Inc. 0.00% due 11/27/2017

HSBC USA Inc. 0.00% due 11/25/2019

HSBC USA Inc. 0.00% due 1/26/2015

HSBC USA Inc. 0.00% due 2/24/2016

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/24/2015

HSBC USA Inc. 0.00% due 11/20/2019

HSBC USA Inc. 0.00% due 11/20/2017

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/24/2015

HSBC USA Inc. 0.00% due 11/20/2017

HSBC USA Inc. 0.00% due 11/24/2015

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/20/2017

HSBC USA Inc. 0.00% due 11/25/2019

HSBC USA Inc. 0.00% due 11/24/2015

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/24/2015

HSBC USA Inc. 0.00% due 11/24/2017

HSBC USA Inc. 0.00% due 11/20/2017

HSBC USA Inc. 0.00% due 11/20/2019

HSBC USA Inc. 1.25% initially, stepping up to 3.15% on May 19, 2017; payable semiannually due 11/19/2019

HSBC USA Inc. 10.00% due 11/27/2015

HSBC USA Inc. 12.50% due 11/24/2015

HSBC USA Inc. 0.00% due 11/14/2016

HSBC USA Inc. 0.00% due 11/13/2018

HSBC USA Inc. 14.5% per year, payable quarterly if Micron shares close at or above downside threshold level on determination date for that quarter due 11/13/2015

HSBC USA Inc. 0.00% due 11/6/2017

HSBC USA Inc. 6.50% due 5/5/2016

HSBC USA Inc. 8% per year, payable quarterly if Bank of America shares close at or above downside threshold level on determination date for that quarter due 11/5/2015

HSBC USA Inc. 0.000% due 2/5/2016

HSBC USA Inc. 0.000% due 12/7/2015

HSBC USA Inc. 0.00% due 11/6/2017

HSBC USA Inc. 7.44% due 10/30/2015

HSBC USA Inc. 8.76% due 10/30/2015

HSBC USA Inc. 7.56% due 10/30/2015

HSBC USA Inc. 8.64% due 10/30/2015

HSBC USA Inc. 0.00% due 10/31/2024

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 2/1/2016

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0%; payable annually due 10/29/2021

HSBC USA Inc. 6.50% due 1/29/2016

HSBC USA Inc. 7.50% due 1/29/2016

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. 0.00% due 10/29/2019

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. Libor, subject to coupon floor of 2% per year and coupon cap of 4% per year; payable quarterly due 10/29/2020

HSBC USA Inc. 10.45% per year, payable quarterly if Facebook shares close at or above downside threshold level on determination date for that quarter due 10/29/2015

HSBC USA Inc. 8.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/29/2019

HSBC USA Inc. 0.00% due 10/27/2017

HSBC USA Inc. 0.00% due 10/28/2016

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 10/31/2019

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/28/2019

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/28/2019

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2019

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/28/2019

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/27/2017

HSBC USA Inc. 0.00% due 1/25/2016

HSBC USA Inc. 0.00% due 10/23/2017

HSBC USA Inc. 10.00% due 10/31/2016

HSBC USA Inc. 12.00% due 10/30/2015

HSBC USA Inc. 2.5% for the first five years, steps up to 4.25% on Oct. 22, 2019; payable semiannually due 10/22/2024

HSBC USA Inc. 10.1% per year, payable quarterly if LyondellBasell shares close at or above downside threshold level on determination date for that quarter due 10/22/2015

HSBC USA Inc. 15.15% per year, payable quarterly if United Continental shares close at or above downside threshold level on determination date for that quarter due 10/19/2015

HSBC USA Inc. 14.1% annualized for each quarter that stock closes at or above barrier price due 10/20/2015

HSBC USA Inc. 11.2% per year, payable quarterly if Qlik shares close at or above downside threshold level on determination date for that quarter due 10/16/2015

HSBC USA Inc. 13.90% due 10/26/2015

HSBC USA Inc. 0.00% due 11/10/2015

HSBC USA Inc. 0.00% due 10/16/2017

HSBC USA Inc. 13.5% annualized for each quarter that U.S. Steel stock closes at or above downside threshold level on determination date for that quarter due 10/8/2015

HSBC USA Inc. 6.1% for first five years; during last five years, notes pay contingent coupon each quarter at annual rate of 6.1% only if the index closes at or above barrier level on determination date for that quarter due 10/8/2024

HSBC USA Inc. If every underlying stock finishes at or above initial level, 4%; otherwise, 1%; payable annually due 10/8/2020

HSBC USA Inc. 0.00% due 1/4/2016

HSBC USA Inc. 0.00% due 10/5/2020

HSBC USA Inc. 0.00% due 9/28/2017

HSBC USA Inc. 6.00% due 12/30/2015

HSBC USA Inc. 5.50% due 12/30/2015

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 0.00% due 3/30/2016

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 0.00% due 9/30/2021

HSBC USA Inc. 0.00% due 9/30/2018

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 8% if each basket stock closes at or above its initial share price on the valuation date for that year or 1% otherwise; payable annually due 9/30/2021

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/27/2019

HSBC USA Inc. 0.00% due 10/2/2015

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/29/2017

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 9/29/2017

HSBC USA Inc. 0.00% due 9/30/2019

HSBC USA Inc. 0.00% due 6/26/2019

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/27/2024

HSBC USA Inc. Each quarter, notes pay contingent coupon at annual rate of 15.4% if SunEdison shares close at or above interest barrier on determination date for that quarter due 9/24/2015

HSBC USA Inc. 0.00% due 9/24/2018

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. Each quarter, notes pay contingent coupon at annual rate of 11.9% if Baidu shares close at or above downside threshold level on determination date for that quarter due 9/24/2015

HSBC USA Inc. 6.2%, payable quarterly if index closes above trigger level on determination date for that quarter due 9/28/2020

HSBC USA Inc. 0.00% due 9/28/2020

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/26/2019

HSBC USA Inc. 0.00% due 9/26/2017

HSBC USA Inc. 0.00% due 9/28/2020

HSBC USA Inc. 0.00% due 9/23/2024

HSBC USA Inc. 15%, payable quarterly if stock closes at or above trigger price on review date for that quarter due 3/22/2016

HSBC USA Inc. 0.00% due 12/18/2015

HSBC USA Inc. Each quarter, notes pay contingent coupon at annual rate of 15.5% if 3D Systems shares close at or above interest barrier on determination date for that quarter due 9/17/2015

HSBC USA Inc. 5.50% due 12/17/2015

HSBC USA Inc. 6.00% due 12/17/2015

HSBC USA Inc. 5.00% due 9/17/2024

HSBC USA Inc. 0.00% due 9/25/2020

HSBC USA Inc. 11.95% per year, payable quarterly if Qihoo 360 shares close at or above downside threshold level on determination date for that quarter due 9/10/2015

HSBC USA Inc. 0.00% due 9/12/2016

HSBC USA Inc. 5.00% due 12/9/2015

HSBC USA Inc. 0.00% due 9/4/2018

HSBC USA Inc. 9% per year, payable quarterly if Anadarko shares close at or above downside threshold level on determination date for that quarter due 9/5/2017

HSBC USA Inc. 2% per quarter, payable if the fund closes at or above downside threshold level on determination date for that quarter due 9/4/2015

HSBC USA Inc. 0.00% due 3/4/2020

HSBC USA Inc. 0.00% due 9/4/2019

HSBC USA Inc. 0.00% due 8/26/2016

HSBC USA Inc. 0.00% due 3/16/2016

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 0.00% due 9/8/2015

HSBC USA Inc. 0.00% due 8/30/2024

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 2/29/2016

HSBC USA Inc. 5.50% due 11/30/2015

HSBC USA Inc. 6.00% due 11/30/2015

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 8/30/2021

HSBC USA Inc. 0.00% due 8/29/2018

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 0.00% due 8/29/2018

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. If every underlying stock finishes at or above initial level, 7%; otherwise, 1%; payable annually due 8/30/2021

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 10.7% per year, payable quarterly if Tesoro shares close at or above downside threshold level on determination date for that quarter due 8/27/2015

HSBC USA Inc. 0.00% due 2/27/2020

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/27/2019

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/27/2019

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2019

HSBC USA Inc. 0.00% due 8/29/2019

HSBC USA Inc. 0.00% due 8/29/2017

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/27/2019

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/25/2016

HSBC USA Inc. 10.48% per year, payable quarterly if Hewlett-Packard shares close at or above downside threshold level on determination date for that quarter due 8/20/2015

HSBC USA Inc. 0.00% due 8/20/2019

HSBC USA Inc. 6.25% due 11/16/2015

HSBC USA Inc. 5.75% due 11/16/2015

HSBC USA Inc. 7.00% due 8/13/2015

HSBC USA Inc. 9.4% per year, payable quarterly if Biogen Idec shares close at or above downside threshold level on determination date for that quarter due 8/13/2015

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/26/2016

HSBC USA Inc. 0.00% due 8/28/2015

HSBC USA Inc. 11.45% per year, payable monthly if Hertz shares close at or above downside threshold level on determination date for that month due 8/14/2015

HSBC USA Inc. 5.75% due 11/9/2015

HSBC USA Inc. 0.00% due 8/20/2015

HSBC USA Inc. 0.00% due 9/8/2015

HSBC USA Inc. 12.65% per year, payable quarterly if United Continental shares close at or above downside threshold level on determination date for that quarter due 7/31/2015

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 7/31/2018

HSBC USA Inc. 0.00% due 8/1/2016

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 8/1/2016

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 8/1/2016

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 2.2375% per quarter, payable if Freeport-McMoRan stock closes at or above downside threshold level on determination date for that quarter due 7/30/2015

HSBC USA Inc. 2.4375% per quarter, payable if the fund closes at or above downside threshold level on determination date for that quarter due 7/30/2015

HSBC USA Inc. 0.00% due 1/30/2015

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 0.00% due 7/29/2016

HSBC USA Inc. 0.00% due 9/25/2015

HSBC USA Inc. 0.00% due 8/7/2015

HSBC USA Inc. 5.50% due 10/29/2015

HSBC USA Inc. 6.00% due 10/29/2015

HSBC USA Inc. 0.00% due 7/29/2021

HSBC USA Inc. 0.00% due 7/30/2018

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/29/2018

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/26/2019

HSBC USA Inc. 0.00% due 7/30/2021

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 10.00% due 8/7/2015

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/25/2016

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/29/2019

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 7/24/2019

HSBC USA Inc. 0.00% due 7/25/2016

HSBC USA Inc. 5.5%, payable quarterly if index closes above trigger level on determination date for that quarter due 7/27/2020

HSBC USA Inc. 0.00% due 1/27/2020

HSBC USA Inc. 0.00% due 7/25/2018

HSBC USA Inc. 0.00% due 7/25/2016

HSBC USA Inc. 0.00% due 7/27/2020

HSBC USA Inc. 0.00% due 7/25/2016

HSBC USA Inc. 0.00% due 7/25/2018

HSBC USA Inc. 0.00% due 7/27/2020

HSBC USA Inc. 0.00% due 7/25/2018

HSBC USA Inc. 0.00% due 7/25/2016

HSBC USA Inc. 0.00% due 7/24/2017

HSBC USA Inc. 5.50% due 10/19/2015

HSBC USA Inc. 6.00% due 10/19/2015

HSBC USA Inc. 0.65% initially, stepping up to 1.4% on Jan. 17, 2016; payable semiannually due 7/17/2017

HSBC USA Inc. 2.625% per quarter, payable if Alexion stock closes at or above downside threshold level on determination date for that quarter due 7/16/2015

HSBC USA Inc. 0.00% due 1/21/2015

HSBC USA Inc. 0.00% due 7/6/2020

HSBC USA Inc. 0.00% due 1/3/2018

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 0.000% due 6/24/2016

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 8.000% due 7/13/2015

HSBC USA Inc. 4%, payable quarterly if fund closes at or above trigger level on observation date for that quarter due 7/11/2017

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 7% for first year; after that, 4.5 times spread of 10-year CMS rate over two-year CMS rate; cap of 7%, floor of 0%; payable quarterly due 6/27/2029

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. If every underlying stock finishes at or above initial level, 8.5%; otherwise, 1% due 6/28/2021

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 0.00% due 6/27/2018

HSBC USA Inc. 0.00% due 6/26/2017

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/26/2017

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/26/2017

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/26/2017

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/26/2018

HSBC USA Inc. 0.00% due 12/26/2017

HSBC USA Inc. 0.00% due 6/26/2019

HSBC USA Inc. 7% annualized for each Freeport-McMoRan stock closes at or above barrier level on determination date for that quarter due 6/25/2015

HSBC USA Inc. 10% annualized for each Transocean stock closes at or above barrier level on determination date for that quarter due 6/25/2015

HSBC USA Inc. 5.6%, payable quarterly if index closes above barrier level on determination date for that quarter due 6/29/2020

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/27/2018

HSBC USA Inc. 0.00% due 6/29/2020

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/29/2020

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 6/27/2018

HSBC USA Inc. 0.00% due 9/23/2014

HSBC USA Inc. 0.00% due 12/19/2017

HSBC USA Inc. Each year, the notes will pay a 5.56% coupon if at least 14 of the 20 basket stocks have not decreased in value from the pricing date as measured on the coupon determination date for that year; otherwise, the coupon for that year will be 1% due 6/26/2020

HSBC USA Inc. 5.50% due 9/18/2015

HSBC USA Inc. 6.00% due 9/18/2015

HSBC USA Inc. 9.3% per year, payable quarterly if Valero shares close at or above downside threshold level on determination date for that quarter due 6/18/2015

HSBC USA Inc. 9.85% per year, payable quarterly if Western Digital shares close at or above downside threshold level on determination date for that quarter due 6/18/2015

HSBC USA Inc. 10-year CMS rate times 61.5%, floor of 3%; payable quarterly due 6/18/2024

HSBC USA Inc. 10-year CMS rate times 66%, floor of 2%; payable quarterly due 6/18/2021

HSBC USA Inc. 0.00% due 12/16/2022

HSBC USA Inc. 0.00% due 6/13/2019

HSBC USA Inc. 0.00% due 12/11/2015

HSBC USA Inc. 0.000% due 12/9/2015

HSBC USA Inc. 0.00% due 6/10/2019

HSBC USA Inc. 0.00% due 6/6/2019

HSBC USA Inc. 0.00% due 6/7/2017

HSBC USA Inc. 0.00% due 6/4/2018

HSBC USA Inc. 0.00% due 5/24/2019

HSBC USA Inc. 0.00% due 5/28/2021

HSBC USA Inc. 7.00% due 6/12/2015

HSBC USA Inc. 0.00% due 5/31/2024

HSBC USA Inc. 0.00% due 12/2/2016

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 6/1/2018

HSBC USA Inc. 5.50% due 8/31/2015

HSBC USA Inc. 6.00% due 8/31/2015

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 5/31/2019

HSBC USA Inc. 0.00% due 11/29/2017

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 6.25%, payable quarterly if index closes above barrier level on determination date for that quarter due 6/2/2020

HSBC USA Inc. 9% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 6/1/2021

HSBC USA Inc. 0.00% due 5/29/2018

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 6/4/2018

HSBC USA Inc. 0.00% due 6/2/2016

HSBC USA Inc. 0.00% due 6/2/2020

HSBC USA Inc. 0.00% due 6/4/2018

HSBC USA Inc. 0.00% due 6/2/2016

HSBC USA Inc. 0.00% due 6/2/2020

HSBC USA Inc. 0.00% due 6/2/2016

HSBC USA Inc. 0.00% due 6/2/2020

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 0.00% due 5/28/2024

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 5/30/2017

HSBC USA Inc. 0.00% due 11/28/2016

HSBC USA Inc. 0.00% due 5/29/2018

HSBC USA Inc. 0.00% due 11/28/2017

HSBC USA Inc. 0.00% due 5/28/2019

HSBC USA Inc. 0.00% due 5/27/2021

HSBC USA Inc. 8% for first year; after that, 6.25 times spread of 30-year CMS rate over five-year CMS rate; cap of 8%, floor of 0%; payable quarterly due 5/21/2029

HSBC USA Inc. 11.75% annualized for each quarter that fund closes at or above barrier level on determination date for that quarter due 5/21/2015

HSBC USA Inc. 0.00% due 6/3/2015

HSBC USA Inc. 0.00% due 5/23/2016

HSBC USA Inc. 5.50% due 8/17/2015

HSBC USA Inc. 6.00% due 8/17/2015

HSBC USA Inc. 13.75% per year, payable quarterly if Netflix shares close at or above downside threshold level on determination date for that quarter due 5/14/2015

HSBC USA Inc. 0.00% due 5/28/2015

HSBC USA Inc. 0.00% due 11/14/2016

HSBC USA Inc. 12% per year, payable quarterly if Baidu ADSs close at or above downside threshold level on review date for that quarter due 5/8/2017

HSBC USA Inc. 0.00% due 11/9/2015

HSBC USA Inc. 0.00% due 11/5/2019

HSBC USA Inc. 0.00% due 6/5/2015

HSBC USA Inc. 0.00% due 6/3/2015

HSBC USA Inc. 11.00% due 5/4/2015

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 10-year CMS rate times 70%, floor of 2%; payable quarterly due 4/30/2021

HSBC USA Inc. 0.00% due 4/30/2021

HSBC USA Inc. 0.00% due 4/30/2019

HSBC USA Inc. 0.00% due 6/26/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/29/2019

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/29/2019

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/29/2019

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/29/2019

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. If every underlying stock finishes at or above initial level, 9%; otherwise, 1% due 4/28/2021

HSBC USA Inc. 0.00% due 4/28/2017

HSBC USA Inc. 0.00% due 10/26/2015

HSBC USA Inc. 5.50% due 7/27/2015

HSBC USA Inc. 6.00% due 7/27/2015

HSBC USA Inc. 0.00% due 4/25/2018

HSBC USA Inc. 0.00% due 4/25/2019

HSBC USA Inc. 0.00% due 10/25/2017

HSBC USA Inc. 0.00% due 4/25/2019

HSBC USA Inc. 11.25% annualized for each U.S. Steel stock closes at or above barrier level on determination date for that quarter due 4/24/2015

HSBC USA Inc. 0.00% due 4/24/2017

HSBC USA Inc. 0.00% due 4/25/2018

HSBC USA Inc. 0.00% due 4/25/2016

HSBC USA Inc. 0.00% due 4/27/2020

HSBC USA Inc. 0.00% due 4/25/2018

HSBC USA Inc. 0.00% due 4/25/2016

HSBC USA Inc. 0.00% due 4/27/2020

HSBC USA Inc. 0.00% due 4/25/2018

HSBC USA Inc. 0.00% due 4/25/2016

HSBC USA Inc. 0.00% due 4/27/2020

HSBC USA Inc. 6.00% due 7/21/2015

HSBC USA Inc. 5.50% due 7/21/2015

HSBC USA Inc. Libor plus 12.5 bps, subject to minimum of 3% per year and maximum of 6% per year; payable quarterly due 4/17/2024

HSBC USA Inc. 0.00% due 4/16/2018

HSBC USA Inc. 0.00% due 4/17/2017

HSBC USA Inc. 0.00% due 10/16/2015

HSBC USA Inc. 7.00% due 4/17/2024

HSBC USA Inc. 0.00% due 1/13/2015

HSBC USA Inc. 81% of 30-year CMS rate, subject to minimum of 2% per year; payable quarterly due 4/10/2024

HSBC USA Inc. 0.00% due 4/14/2021

HSBC USA Inc. 12.9% annualized for each Qlik Technologies stock closes at or above barrier level on determination date for that quarter due 4/9/2015

HSBC USA Inc. 0.00% due 4/12/2017

HSBC USA Inc. 0.00% due 5/4/2015

HSBC USA Inc. 0.00% due 3/3/2017

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0%; payable annually due 3/31/2021

HSBC USA Inc. 0.00% due 3/26/2021

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 9.00% due 4/10/2015

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 0.00% due 3/31/2021

HSBC USA Inc. 0.00% due 3/31/2016

HSBC USA Inc. 0.00% due 4/15/2015

HSBC USA Inc. 0.00% due 10/2/2017

HSBC USA Inc. 0.00% due 3/28/2024

HSBC USA Inc. 0.00% due 3/29/2019

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 5.50% due 6/29/2015

HSBC USA Inc. 6.00% due 6/29/2015

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/28/2018

HSBC USA Inc. 0.00% due 3/28/2019

HSBC USA Inc. 0.00% due 9/28/2017

HSBC USA Inc. 0.00% due 3/28/2019

HSBC USA Inc. 0.00% due 3/27/2019

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/27/2019

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2019

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 5.25% if index closes above initial level; otherwise, 2%; payable annually due 3/26/2019

HSBC USA Inc. 0.00% due 3/28/2019

HSBC USA Inc. 9.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 3/26/2021

HSBC USA Inc. 0.00% due 4/8/2015

HSBC USA Inc. 0.00% due 3/23/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/30/2020

HSBC USA Inc. 0.00% due 3/23/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 3/30/2020

HSBC USA Inc. 0.00% due 3/23/2018

HSBC USA Inc. 0.00% due 3/28/2016

HSBC USA Inc. 0.00% due 9/22/2014

HSBC USA Inc. 1.4% initially, stepping up to 4% on Sept. 19, 2017; payable semiannually due 3/19/2019

HSBC USA Inc. 10.5% annualized for each Transocean stock closes at or above barrier level on determination date for that quarter due 3/19/2015

HSBC USA Inc. 0.00% due 9/21/2015

HSBC USA Inc. 5.50% due 6/17/2015

HSBC USA Inc. 6.00% due 6/17/2015

HSBC USA Inc. 0.00% due 9/14/2017

HSBC USA Inc. 0.000% due 3/13/2019

HSBC USA Inc. 0.00% due 3/13/2017

HSBC USA Inc. 10.5% annualized for each Coach stock closes at or above barrier level on determination date for that quarter due 3/5/2015

HSBC USA Inc. 0.00% due 3/1/2017

HSBC USA Inc. 0.00% due 3/5/2020

HSBC USA Inc. 0.00% due 4/24/2015

HSBC USA Inc. 0.00% due 2/22/2019

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 12.60% due 3/3/2015

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 8/28/2015

HSBC USA Inc. 0.00% due 2/29/2016

HSBC USA Inc. 0.00% due 3/31/2015

HSBC USA Inc. 0.00% due 3/9/2015

HSBC USA Inc. 0.00% due 2/29/2024

HSBC USA Inc. 0.00% due 2/27/2018

HSBC USA Inc. 0.00% due 8/28/2017

HSBC USA Inc. 0.00% due 2/27/2019

HSBC USA Inc. 0.00% due 8/26/2015

HSBC USA Inc. 6.25% due 5/26/2015

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 2/28/2016

HSBC USA Inc. 0.00% due 2/26/2016

HSBC USA Inc. 0.00% due 2/28/2016

HSBC USA Inc. 0.00% due 2/26/2016

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 2/28/2016

HSBC USA Inc. 0.00% due 2/26/2016

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 2/28/2016

HSBC USA Inc. 0.00% due 2/26/2016

HSBC USA Inc. 5.00% due 2/26/2019

HSBC USA Inc. 2.1875% per quarter, payable if Bristol-Myers stock closes at or above downside threshold level on determination date for that quarter due 2/26/2015

HSBC USA Inc. 2.875% per quarter, payable if Coach stock closes at or above downside threshold level on determination date for that quarter due 2/26/2015

HSBC USA Inc. 0.00% due 2/28/2019

HSBC USA Inc. If every underlying stock finishes at or above initial level, 9.5%; otherwise, 1% due 2/26/2021

HSBC USA Inc. 0.000% due 2/23/2017

HSBC USA Inc. 0.00% due 8/26/2016

HSBC USA Inc. 0.00% due 2/26/2021

HSBC USA Inc. 0.00% due 2/22/2019

HSBC USA Inc. 1% initially; beginning Feb. 24, 2015, Libor plus 25 bps, capped at 2.5%; payable quarterly due 2/24/2017

HSBC USA Inc. Libor plus 500 bps, payable quarterly due 2/20/2019

HSBC USA Inc. 12.65% per year, payable quarterly if stock closes at or above downside threshold level on a quarterly determination date due 2/20/2015

HSBC USA Inc. 0.00% due 2/25/2019

HSBC USA Inc. 0.00% due 2/22/2016

HSBC USA Inc. 0.00% due 2/15/2017

HSBC USA Inc. 0.00% due 2/21/2019

HSBC USA Inc. 0.00% due 2/19/2016

HSBC USA Inc. 0.00% due 4/10/2015

HSBC USA Inc. 0.00% due 8/5/2016

HSBC USA Inc. 0.00% due 8/5/2019

HSBC USA Inc. 0.00% due 8/5/2015

HSBC USA Inc. 0.00% due 3/5/2015

HSBC USA Inc. 0.00% due 2/19/2015

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 0.00% due 2/3/2017

HSBC USA Inc. 0.00% due 1/29/2021

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 1/31/2017

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 1/31/2024

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 2/2/2015

HSBC USA Inc. 5.50% due 4/29/2015

HSBC USA Inc. 5.00% due 4/29/2015

HSBC USA Inc. 0.00% due 1/31/2017

HSBC USA Inc. 0.00% due 1/29/2018

HSBC USA Inc. 0.00% due 1/29/2019

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 1/31/2019

HSBC USA Inc. 0.00% due 1/31/2020

HSBC USA Inc. 9.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 1/29/2021

HSBC USA Inc. 6.5% if each basket stock closes at or above its initial share price on the valuation date or 1.5% otherwise; payable annually due 1/29/2021

HSBC USA Inc. 9.15% per year (2.2875% per quarter) if Citigroup shares close at or above barrier price on quarterly observation date due 2/11/2015

HSBC USA Inc. 0.00% due 7/28/2015

HSBC USA Inc. 0.00% due 1/28/2016

HSBC USA Inc. 5.25% if index closes above initial level; otherwise, 2%; payable annually due 1/28/2019

HSBC USA Inc. 0.00% due 1/28/2019

HSBC USA Inc. 0.00% due 1/22/2016

HSBC USA Inc. 0.00% due 1/21/2016

HSBC USA Inc. 0.00% due 1/16/2019

HSBC USA Inc. 0.00% due 1/17/2017

HSBC USA Inc. Libor plus 450 bps, payable quarterly due 1/10/2019

HSBC USA Inc. 8.6% annualized for each quarter that Broadcom shares close at or above downside threshold level on quarterly review date due 1/8/2015

HSBC USA Inc. 0.00% due 7/8/2016

HSBC USA Inc. 0.00% due 12/29/2023

HSBC USA Inc. 0.00% due 12/31/2019

HSBC USA Inc. 0.00% due 1/2/2018

HSBC USA Inc. 0.00% due 7/1/2015

HSBC USA Inc. 0.00% due 1/12/2015

HSBC USA Inc. 5.00% due 3/31/2015

HSBC USA Inc. 5.50% due 3/31/2015

HSBC USA Inc. 0.00% due 7/1/2019

HSBC USA Inc. 5.25% due 12/31/2018

HSBC USA Inc. 0.000% due 1/3/2017

HSBC USA Inc. 0.00% due 7/3/2017

HSBC USA Inc. 0.00% due 12/31/2018

HSBC USA Inc. 5.75% each quarter that InterOil stock closes at or above downside threshold level on determination date for that quarter due 12/30/2016

HSBC USA Inc. 9.8% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 12/31/2020

HSBC USA Inc. 6.75% if each basket stock closes at or above its initial share price on the valuation date or 1.5% otherwise; payable annually due 12/31/2020

HSBC USA Inc. 0.000% due 12/29/2023

HSBC USA Inc. 0.00% due 12/27/2018

HSBC USA Inc. 0.00% due 12/27/2016

HSBC USA Inc. 0.00% due 1/7/2019

HSBC USA Inc. 0.00% due 1/4/2021

HSBC USA Inc. 0.00% due 6/26/2015

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 6.6%, payable quarterly if index closes above barrier level on determination date for that quarter due 12/30/2019

HSBC USA Inc. 0.00% due 12/30/2019

HSBC USA Inc. 0.00% due 6/28/2021

HSBC USA Inc. 0.00% due 12/28/2018

HSBC USA Inc. 0.00% due 12/24/2019

HSBC USA Inc. 0.00% due 3/21/2016

HSBC USA Inc. 16% annualized for each quarter that shares close at or above downside threshold level on quarterly determination date due 12/18/2014

HSBC USA Inc. 9.00% due 12/29/2014

HSBC USA Inc. 0.00% due 3/16/2018

HSBC USA Inc. 0.00% due 12/6/2018

HSBC USA Inc. 9.6% annualized for each quarter that shares close at or above downside threshold level on quarterly determination date due 12/5/2016

HSBC USA Inc. 0.00% due 6/5/2017

HSBC USA Inc. 10 for first year; after that, 4.6 times spread of 30-year CMS rate over five-year CMS rate, subject to minimum of zero and maximum of 10% per year; payable quarterly due 12/4/2028

HSBC USA Inc. 0.00% due 6/3/2015

HSBC USA Inc. 12.50% due 2/13/2015

HSBC USA Inc. 5.25% due 11/29/2018

HSBC USA Inc. 7.05% due 12/12/2014

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 11/29/2019

HSBC USA Inc. 0.00% due 5/26/2015

HSBC USA Inc. 0.00% due 11/25/2020

HSBC USA Inc. 0.00% due 11/27/2015

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 0.00% due 11/30/2018

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 11/30/2023

HSBC USA Inc. 5.00% due 2/27/2015

HSBC USA Inc. 5.50% due 2/27/2015

HSBC USA Inc. 0.00% due 12/2/2016

HSBC USA Inc. 13% annualized for each quarter that shares close at or above barrier level on quarterly determination date due 11/28/2014

HSBC USA Inc. 6.5%, payable quarterly if index closes above barrier level on determination date for that quarter due 12/2/2019

HSBC USA Inc. 0.00% due 12/3/2018

HSBC USA Inc. 0.00% due 11/27/2018

HSBC USA Inc. 0.00% due 11/28/2016

HSBC USA Inc. 0.00% due 11/27/2015

HSBC USA Inc. 0.00% due 11/28/2016

HSBC USA Inc. 0.00% due 11/27/2017

HSBC USA Inc. 0.00% due 5/26/2017

HSBC USA Inc. 0.00% due 5/23/2017

HSBC USA Inc. 0.00% due 11/26/2018

HSBC USA Inc. 9.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 11/27/2020

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1.5% otherwise; payable annually due 11/27/2020

HSBC USA Inc. 0.00% due 5/26/2015

HSBC USA Inc. 0.00% due 11/25/2015

HSBC USA Inc. Notes pay coupon at rate of 5.5% per year if index closes at or above downside threshold level on determination date for that quarter due 11/20/2023

HSBC USA Inc. 0.00% due 11/16/2023

HSBC USA Inc. 0.00% due 11/14/2017

HSBC USA Inc. Libor plus 150 bps, capped at 4.25% initially, 4.75% beginning Nov. 14, 2015, 5.25% beginning Nov. 14, 2017, 5.75% beginning Nov. 14, 2019 and 6.25% beginning Nov. 14, 2021; floor of 0%; payable quarterly due 11/14/2023

HSBC USA Inc. 0.00% due 11/14/2018

HSBC USA Inc. 18.8% annualized for each quarter that shares close at or above barrier level on quarterly determination date due 11/6/2014

HSBC USA Inc. 0.00% due 5/6/2019

HSBC USA Inc. 0.00% due 11/5/2018

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 5.50% due 10/31/2018

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 0.00% due 10/31/2023

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 10/30/2015

HSBC USA Inc. 5.00% due 1/30/2015

HSBC USA Inc. 5.50% due 1/30/2015

HSBC USA Inc. 12% annualized for each quarter that shares close at or above barrier level on quarterly determination date due 10/30/2014

HSBC USA Inc. 0.00% due 10/30/2018

HSBC USA Inc. 0.00% due 10/26/2016

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/29/2018

HSBC USA Inc. 0.00% due 5/1/2017

HSBC USA Inc. 10% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 10/29/2020

HSBC USA Inc. 6% if each basket stock closes at or above its initial share price on the valuation date or 1.5% otherwise; payable annually due 10/29/2020

HSBC USA Inc. 0.00% due 10/30/2017

HSBC USA Inc. 0.00% due 10/26/2018

HSBC USA Inc. 0.00% due 10/30/2020

HSBC USA Inc. 0.00% due 10/28/2016

HSBC USA Inc. 0.00% due 4/28/2015

HSBC USA Inc. 0.00% due 10/28/2015

HSBC USA Inc. 0.00% due 10/25/2018

HSBC USA Inc. 0.00% due 10/25/2016

HSBC USA Inc. 6.6%, payable quarterly if index closes above trigger level on determination date for that quarter due 10/25/2019

HSBC USA Inc. 0.00% due 10/25/2018

HSBC USA Inc. 0.00% due 10/23/2018

HSBC USA Inc. 1% initially; beginning Oct. 17, 2014, Libor plus 35 bps, capped at 2.5%; payable quarterly due 10/17/2016

HSBC USA Inc. 0.00% due 10/17/2016

HSBC USA Inc. 0.00% due 11/16/2015

HSBC USA Inc. 0.00% due 10/16/2018

HSBC USA Inc. 0.00% due 10/9/2018

HSBC USA Inc. 0.00% due 10/14/2014

HSBC USA Inc. 9% annualized for each quarter that shares close at or above downside threshold on quarterly determination date due 10/3/2016

HSBC USA Inc. 0.00% due 4/4/2017

HSBC USA Inc. 5.15% due 10/2/2023

HSBC USA Inc. 0.00% due 10/16/2014

HSBC USA Inc. 0.00% due 10/2/2018

HSBC USA Inc. 11.00% due 10/17/2014

HSBC USA Inc. 0.00% due 10/6/2014

HSBC USA Inc. 0.00% due 9/29/2023

HSBC USA Inc. 0.00% due 9/30/2015

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 5.00% due 12/30/2014

HSBC USA Inc. 5.50% due 12/30/2014

HSBC USA Inc. 4% initially; beginning on Sept. 30, 2014, Libor plus 100 bps, capped at 6.1%; payable quarterly due 10/2/2023

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 0.00% due 10/1/2018

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 9/27/2016

HSBC USA Inc. 0.00% due 9/27/2017

HSBC USA Inc. 0.00% due 9/27/2018

HSBC USA Inc. 0.00% due 3/27/2017

HSBC USA Inc. 10% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 9/28/2020

HSBC USA Inc. 6% if each basket stock closes at or above its initial share price on the valuation date or 1.5% otherwise; payable annually due 9/28/2020

HSBC USA Inc. 0.00% due 3/26/2015

HSBC USA Inc. 0.00% due 9/28/2015

HSBC USA Inc. 4.5% for first year; after Sept. 26, 2014, annual inflation rate plus 125 bps, subject to minimum rate of zero and maximum rate of 7% per year; payable monthly due 9/26/2023

HSBC USA Inc. 0.00% due 9/27/2016

HSBC USA Inc. 9.4% annualized for each quarter that shares close at or above downside threshold on quarterly determination date due 9/26/2016

HSBC USA Inc. 0.00% due 9/27/2018

HSBC USA Inc. 0.00% due 9/19/2016

HSBC USA Inc. 0.00% due 9/18/2023

HSBC USA Inc. 0.00% due 9/18/2017

HSBC USA Inc. 0.00% due 9/12/2016

HSBC USA Inc. 4% initially; beginning on Sept. 12, 2014, Libor plus 100 bps, capped at 6.3%; payable quarterly due 9/12/2023

HSBC USA Inc. 0.00% due 9/10/2015

HSBC USA Inc. 0.00% due 9/17/2014

HSBC USA Inc. 11.2% annualized for each quarter that shares close at or above downside threshold on quarterly determination date due 9/6/2016

HSBC USA Inc. 0.00% due 10/31/2014

HSBC USA Inc. 0.00% due 9/6/2016

HSBC USA Inc. 0.00% due 3/4/2015

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 9/4/2018

HSBC USA Inc. 0.00% due 8/31/2023

HSBC USA Inc. 0.00% due 8/30/2019

HSBC USA Inc. 0.00% due 3/4/2015

HSBC USA Inc. 0.00% due 9/1/2015

HSBC USA Inc. 0.00% due 3/4/2015

HSBC USA Inc. 0.00% due 8/31/2018

HSBC USA Inc. 6.00% due 3/3/2015

HSBC USA Inc. 5.00% due 12/1/2014

HSBC USA Inc. 5.75% due 12/1/2014

HSBC USA Inc. 0.00% due 8/30/2018

HSBC USA Inc. 0.00% due 9/1/2016

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 1.2%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 8%; otherwise, greater of stock return and negative 15% due 8/31/2020

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. 0.00% due 8/31/2016

HSBC USA Inc. 0.00% due 3/2/2017

HSBC USA Inc. 13% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 8/31/2020

HSBC USA Inc. 10% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 8/31/2020

HSBC USA Inc. 0.00% due 8/30/2018

HSBC USA Inc. 0.00% due 8/30/2016

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/30/2016

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 8/30/2016

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 4% initially; beginning Aug. 23, 2014, Libor plus 100 bps, capped at 6.25%; payable quarterly due 8/23/2023

HSBC USA Inc. 0.00% due 8/22/2018

HSBC USA Inc. 9.50% due 8/29/2014

HSBC USA Inc. 0.00% due 8/14/2023

HSBC USA Inc. 0.00% due 9/5/2014

HSBC USA Inc. 0.875% initially; beginning Aug. 2, 2014, Libor plus 37.5 bps, subject to floor of 0% and cap of 2.5% per year; payable quarterly due 8/2/2016

HSBC USA Inc. 0.00% due 7/31/2019

HSBC USA Inc. 0.000% due 1/29/2015

HSBC USA Inc. 0.00% due 7/30/2015

HSBC USA Inc. 0.000% due 7/30/2015

HSBC USA Inc. 0.00% due 7/30/2015

HSBC USA Inc. 0.000% due 7/30/2015

HSBC USA Inc. 0.00% due 7/29/2016

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 1/31/2017

HSBC USA Inc. 0.00% due 7/31/2015

HSBC USA Inc. 0.00% due 7/29/2016

HSBC USA Inc. 0.00% due 9/26/2014

HSBC USA Inc. 0.00% due 7/31/2015

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 1%; payable annually; A stock�s performance will be equal to the auto cap rate, 8%, if its return is greater than or equal to zero. If a stock�s return is negative, its performance will be the greater of its return and negative 15%. due 7/30/2020

HSBC USA Inc. If every underlying stock finishes above initial level, 9%; otherwise, 1%; payable annually due 7/30/2020

HSBC USA Inc. If every underlying stock finishes above initial level, 12%; otherwise, 0.5%; payable annually due 7/30/2020

HSBC USA Inc. 0.00% due 7/31/2015

HSBC USA Inc. 8.00% due 8/8/2014

HSBC USA Inc. 0.00% due 8/4/2014

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 5.00% due 10/29/2014

HSBC USA Inc. 6.00% due 10/29/2014

HSBC USA Inc. 0.00% due 7/28/2016

HSBC USA Inc. 0.00% due 8/15/2014

HSBC USA Inc. 3.3% initially; after 18 months, Libor plus 100 bps, subject to floor of zero and cap of 7% per year; payable quarterly due 7/26/2023

HSBC USA Inc. 0.00% due 8/14/2014

HSBC USA Inc. 0.00% due 7/26/2016

HSBC USA Inc. 0.00% due 1/23/2015

HSBC USA Inc. 0.00% due 7/26/2018

HSBC USA Inc. 0.00% due 8/6/2014

HSBC USA Inc. 0.00% due 8/22/2014

HSBC USA Inc. Libor plus 500 bps, payable quarterly due 7/23/2018

HSBC USA Inc. 0.00% due 7/23/2018

HSBC USA Inc. 0.00% due 1/23/2014

HSBC USA Inc. 0.00% due 7/18/2018

HSBC USA Inc. 3% initially; after one year, Libor plus 80 bps, floor of 0.8% and capped at 5%; payable quarterly due 7/8/2020

HSBC USA Inc. 0.00% due 1/7/2015

HSBC USA Inc. 0.00% due 7/5/2018

HSBC USA Inc. 0.00% due 8/4/2014

HSBC USA Inc. 0.00% due 6/26/2015

HSBC USA Inc. 0.00% due 7/2/2018

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 0.00% due 6/26/2015

HSBC USA Inc. 0.00% due 6/28/2019

HSBC USA Inc. 0.00% due 12/31/2014

HSBC USA Inc. Libor plus 480 bps, payable quarterly due 6/28/2018

HSBC USA Inc. 0.00% due 6/30/2015

HSBC USA Inc. 0.00% due 6/30/2016

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 7%, payable monthly if index closes at or above trigger level on determination date for that month due 6/28/2023

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 0.00% due 6/29/2018

HSBC USA Inc. If index closes at or above barrier level on quarterly observation date, contingent quarterly coupon of 5% per year; otherwise, no coupon will be paid that quarter due 6/30/2016

HSBC USA Inc. 0.00% due 6/30/2016

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 8%; otherwise, greater of stock return and negative 15% due 6/29/2020

HSBC USA Inc. 0.00% due 6/26/2019

HSBC USA Inc. 12.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 6/29/2020

HSBC USA Inc. 8% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 6/29/2020

HSBC USA Inc. 0.00% due 6/28/2018

HSBC USA Inc. 0.00% due 6/24/2016

HSBC USA Inc. 8.02%, payable quarterly if index closes at or above trigger level on determination date for that quarter due 6/20/2028

HSBC USA Inc. 6.00% due 12/18/2014

HSBC USA Inc. 6.25% due 12/18/2014

HSBC USA Inc. 6.5% per year multiplied by proportion of days on which basket level is greater than or equal to accrual level, 80% of initial basket level; payable quarterly due 6/18/2018

HSBC USA Inc. Libor plus 475 bps, payable quarterly due 6/14/2018

HSBC USA Inc. 1.5% initially; after one year, Libor plus 50 bps, floor of 0.5% and capped at 4%; payable quarterly due 12/12/2018

HSBC USA Inc. If eBay shares close at or above trigger level on quarterly observation date, issuer will pay 15.2% annualized contingent coupon for that quarter due 6/23/2014

HSBC USA Inc. Libor plus 470 bps, payable quarterly due 6/6/2018

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 0.00% due 6/2/2017

HSBC USA Inc. 0.00% due 6/4/2019

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 12/3/2014

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 12/3/2014

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 6/2/2015

HSBC USA Inc. 5.20% due 8/29/2014

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. 0.00% due 5/31/2017

HSBC USA Inc. 0.00% due 12/1/2016

HSBC USA Inc. 0.00% due 6/30/2014

HSBC USA Inc. 0.00% due 5/31/2023

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.75%; payable annually; A stock�s performance will be equal to the auto cap rate, 7%, if its return is greater than or equal to zero. If a stock�s return is negative, its performance will be the greater of its return and negative 15%. due 6/1/2020

HSBC USA Inc. 0.00% due 6/3/2015

HSBC USA Inc. 5.25% due 12/1/2014

HSBC USA Inc. 5.50% due 12/1/2014

HSBC USA Inc. 0.00% due 6/1/2016

HSBC USA Inc. 0.00% due 8/29/2014

HSBC USA Inc. 0.00% due 6/1/2017

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 6/1/2020

HSBC USA Inc. 1% plus (a) 4.5% if each basket stock closes at or above its initial share price on the valuation date or (b) 0% otherwise. due 6/1/2020

HSBC USA Inc. 0.00% due 11/30/2016

HSBC USA Inc. 0.00% due 11/28/2018

HSBC USA Inc. 0.00% due 5/31/2016

HSBC USA Inc. One-month Libor, floor of 0.65% and capped at 2%; payable monthly due 5/24/2016

HSBC USA Inc. 14% annualized for each quarter that stock closes at or above barrier price due 11/21/2014

HSBC USA Inc. 10.9% annualized for each quarter that stock closes at or above barrier price due 11/21/2014

HSBC USA Inc. 7.00% due 2/13/2015

HSBC USA Inc. 0.00% due 5/29/2014

HSBC USA Inc. 5.00% due 11/17/2014

HSBC USA Inc. 5.25% due 11/17/2014

HSBC USA Inc. 8% per year, payable monthly if stock closes at or above barrier price on monthly observation date; otherwise, no coupon will be paid that month due 5/16/2018

HSBC USA Inc. 8.5% per year, payable monthly if shares close at or above barrier price on monthly observation date; otherwise, no coupon will be paid that month due 5/16/2018

HSBC USA Inc. 0.00% due 11/10/2014

HSBC USA Inc. 0.00% due 5/9/2017

HSBC USA Inc. 0.00% due 5/5/2015

HSBC USA Inc. 0.00% due 11/3/2014

HSBC USA Inc. 7.80% due 7/31/2014

HSBC USA Inc. 0.00% due 5/12/2014

HSBC USA Inc. 0.00% due 10/30/2014

HSBC USA Inc. 0.00% due 6/27/2014

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/28/2017

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 0.00% due 10/28/2016

HSBC USA Inc. 0.00% due 4/24/2015

HSBC USA Inc. 0.00% due 4/27/2015

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 5/30/2014

HSBC USA Inc. 0.00% due 4/28/2023

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. 5.50% due 10/29/2014

HSBC USA Inc. 5.00% due 10/29/2014

HSBC USA Inc. 3% initially; after one year, Libor plus 100 bps, floor of 1% and capped at 6%; payable quarterly due 5/15/2023

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 4/29/2020

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 4/29/2020

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 4/29/2020

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.5%; payable annually Stock performance: 7% if stock�s return is greater than or equal to zero; otherwise, greater of stock return and negative 15% due 4/29/2020

HSBC USA Inc. 0.00% due 10/26/2018

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 0.00% due 10/28/2014

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.5%; payable annually; a stock�s performance will be equal to the auto cap rate, 5.75%, if its return is greater than or equal to zero. If a stock�s return is negative, its performance will be the greater of its return and negative 25% due 4/24/2019

HSBC USA Inc. 0.00% due 4/26/2016

HSBC USA Inc. 0.00% due 4/26/2017

HSBC USA Inc. 9.50% due 10/22/2014

HSBC USA Inc. 0.00% due 10/22/2014

HSBC USA Inc. 5.25% due 10/17/2014

HSBC USA Inc. 5.00% due 10/17/2014

HSBC USA Inc. 0.00% due 10/21/2014

HSBC USA Inc. 0.00% due 4/18/2018

HSBC USA Inc. 5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 4/15/2019

HSBC USA Inc. 0% due 4/21/2014

HSBC USA Inc. 0.00% due 4/23/2014

HSBC USA Inc. 0.00% due 10/14/2014

HSBC USA Inc. 0.00% due 5/29/2014

HSBC USA Inc. 5.25% due 10/3/2014

HSBC USA Inc. 0.00% due 4/3/2017

HSBC USA Inc. 0.00% due 3/27/2015

HSBC USA Inc. 0.00% due 5/5/2014

HSBC USA Inc. 0.00% due 4/14/2014

HSBC USA Inc. 0.00% due 3/27/2015

HSBC USA Inc. 0.00% due 4/3/2018

HSBC USA Inc. 0.00% due 4/16/2014

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. 0.00% due 9/28/2018

HSBC USA Inc. 0.00% due 3/28/2019

HSBC USA Inc. 0.00% due 3/30/2017

HSBC USA Inc. 0.00% due 3/31/2016

HSBC USA Inc. 0.00% due 8/31/2016

HSBC USA Inc. 0.00% due 3/31/2023

HSBC USA Inc. 0.00% due 3/29/2018

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.5%; payable annually; a stock�s performance will be equal to the auto cap rate, 7%, if its return is greater than or equal to zero. If a stock�s return is negative, its performance will be the greater of its return and negative 15%. due 3/27/2020

HSBC USA Inc. 0.00% due 9/25/2014

HSBC USA Inc. 0.00% due 3/26/2015

HSBC USA Inc. 0.00% due 9/25/2014

HSBC USA Inc. 2.25% if closing price is at least 70% of initial price on quarterly determination date; otherwise, none due 3/28/2016

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 3/27/2019

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 3/27/2020

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 3/27/2020

HSBC USA Inc. 5.00% due 9/26/2014

HSBC USA Inc. 5.50% due 3/26/2014

HSBC USA Inc. 0.00% due 3/24/2017

HSBC USA Inc. 0.00% due 3/24/2016

HSBC USA Inc. Libor plus 75 bps, subject to minimum interest rate of 1.35% per year; payable quarterly due 4/4/2023

HSBC USA Inc. 0.00% due 3/23/2018

HSBC USA Inc. 0.000% due 3/31/2014

HSBC USA Inc. 0.000% due 3/22/2016

HSBC USA Inc. 0.00% due 3/22/2017

HSBC USA Inc. 0.00% due 9/22/2014

HSBC USA Inc. 0.00% due 3/20/2018

HSBC USA Inc. 0.00% due 3/21/2018

HSBC USA Inc. 0.00% due 3/27/2015

HSBC USA Inc. 0.00% due 3/27/2014

HSBC USA Inc. 5.00% due 9/15/2014

HSBC USA Inc. 0.00% due 9/15/2014

HSBC USA Inc. 0.00% due 9/10/2014

HSBC USA Inc. 0.00% due 3/13/2018

HSBC USA Inc. 0.00% due 3/13/2017

HSBC USA Inc. 0.00% due 3/21/2014

HSBC USA Inc. 2% initially; after one year, Libor plus 75 bps, floor of 0.75% and capped at 6%; payable quarterly due 3/20/2020

HSBC USA Inc. 0.00% due 9/9/2014

HSBC USA Inc. 0.000% due 3/19/2014

HSBC USA Inc. 0.000% due 9/8/2014

HSBC USA Inc. 5.00% due 3/5/2014

HSBC USA Inc. 5.00% due 9/5/2014

HSBC USA Inc. 0.00% due 3/3/2014

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 3/2/2020

HSBC USA Inc. 0.00% due 2/29/2016

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/28/2018

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.5%; payable annually; A stock�s performance will be equal to the auto cap rate, 7%, if its return is greater than or equal to zero. If a stock�s return is negative, its performance will be the greater of its return and negative 15%. due 2/28/2020

HSBC USA Inc. 0.00% due 8/28/2014

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 2/29/2016

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 8/29/2016

HSBC USA Inc. 0.00% due 2/28/2023

HSBC USA Inc. 0.00% due 8/28/2018

HSBC USA Inc. Contingent quarterly coupon paid only if index closes at or above barrier level on determination date for that quarter; coupon initially is 5.5%, stepping up to 6.5% on Feb. 28, 2018 and to 10% on Feb. 28, 2023 due 2/28/2028

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 2/27/2020

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 2/27/2020

HSBC USA Inc. 0.00% due 2/26/2015

HSBC USA Inc. 0.00% due 4/25/2014

HSBC USA Inc. 0.00% due 2/27/2019

HSBC USA Inc. 0.00% due 2/26/2019

HSBC USA Inc. 0.00% due 2/27/2017

HSBC USA Inc. 0.00% due 2/27/2015

HSBC USA Inc. 0.00% due 2/25/2015

HSBC USA Inc. 5.00% due 8/21/2014

HSBC USA Inc. 5.00% due 2/21/2014

HSBC USA Inc. 0.00% due 8/24/2015

HSBC USA Inc. 0.00% due 3/4/2014

HSBC USA Inc. 0.00% due 2/19/2016

HSBC USA Inc. 0.00% due 2/13/2014

HSBC USA Inc. 0.00% due 2/13/2018

HSBC USA Inc. 0.00% due 2/26/2014

HSBC USA Inc. 0.00% due 2/15/2017

HSBC USA Inc. 0.00% due 2/9/2015

HSBC USA Inc. 0.00% due 2/18/2014

HSBC USA Inc. 0.00% due 2/9/2015

HSBC USA Inc. 1.6% if closing price is at least 80% of initial price on quarterly determination date; otherwise, none due 2/5/2014

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 0.00% due 8/2/2018

HSBC USA Inc. 0.00% due 2/3/2014

HSBC USA Inc. 0.00% due 1/31/2023

HSBC USA Inc. 0.00% due 4/30/2018

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.75%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 25% due 1/31/2020

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.6%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 30% due 1/31/2020

HSBC USA Inc. 0.00% due 2/2/2016

HSBC USA Inc. 0.00% due 8/1/2016

HSBC USA Inc. 0.00% due 1/29/2016

HSBC USA Inc. 0.00% due 7/30/2014

HSBC USA Inc. 0.00% due 2/12/2014

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 1/30/2020

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 1/30/2020

HSBC USA Inc. 8.5% if each basket stock closes at or above its initial share price on the valuation date or 0.5% otherwise; payable annually due 1/30/2020

HSBC USA Inc. 5.5% if each basket stock closes at or above its initial share price on the valuation date or 1% otherwise; payable annually due 1/30/2020

HSBC USA Inc. 0.00% due 2/12/2014

HSBC USA Inc. 0.00% due 1/30/2019

HSBC USA Inc. 0.00% due 1/29/2019

HSBC USA Inc. 0.00% due 7/29/2015

HSBC USA Inc. 0.00% due 1/27/2017

HSBC USA Inc. 0.00% due 1/28/2016

HSBC USA Inc. 0.00% due 1/30/2015

HSBC USA Inc. 0.00% due 1/26/2015

HSBC USA Inc. 0.00% due 1/30/2015

HSBC USA Inc. 0.00% due 7/25/2014

HSBC USA Inc. 0.00% due 1/30/2017

HSBC USA Inc. 0.00% due 7/24/2014

HSBC USA Inc. 0.000% due 2/3/2014

HSBC USA Inc. 0.00% due 1/23/2015

HSBC USA Inc. 0.00% due 1/31/2014

HSBC USA Inc. 0.00% due 1/21/2014

HSBC USA Inc. 6.50% due 7/18/2014

HSBC USA Inc. 7.00% due 1/21/2014

HSBC USA Inc. 0.000% due 1/28/2014

HSBC USA Inc. 0.00% due 1/28/2014

HSBC USA Inc. 0.00% due 1/27/2014

HSBC USA Inc. 0.00% due 1/24/2014

HSBC USA Inc. 0.00% due 2/3/2015

HSBC USA Inc. 0.00% due 1/9/2015

HSBC USA Inc. 0.000% due 1/9/2015

HSBC USA Inc. 0.00% due 1/10/2018

HSBC USA Inc. Average of performances of basket stocks, subject to minimum interest rate of 0.5%; payable annually due 12/26/2019

HSBC USA Inc. 0.00% due 12/24/2018

HSBC USA Inc. 0.00% due 6/26/2014

HSBC USA Inc. If every underlying stock finishes above initial level, 8.5%; otherwise, 0.5%; payable annually due 12/26/2019

HSBC USA Inc. 0.00% due 1/15/2014

HSBC USA Inc. 0.00% due 7/2/2014

HSBC USA Inc. 0.00% due 1/14/2014

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.00% due 12/30/2022

HSBC USA Inc. 0.00% due 12/29/2017

HSBC USA Inc. 0.000% due 12/29/2017

HSBC USA Inc. 0.00% due 12/31/2014

HSBC USA Inc. 0.00% due 6/26/2014

HSBC USA Inc. 0.00% due 12/31/2014

HSBC USA Inc. 0.00% due 6/26/2014

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 0.00% due 6/26/2014

HSBC USA Inc. 0.00% due 12/30/2016

HSBC USA Inc. 0.00% due 6/27/2016

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 0.00% due 6/25/2018

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0.5%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 30% due 12/26/2019

HSBC USA Inc. 0.00% due 12/26/2018

HSBC USA Inc. 0.00% due 12/23/2016

HSBC USA Inc. 0.00% due 6/25/2015

HSBC USA Inc. 0.00% due 12/28/2015

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. If every underlying stock finishes above initial level, 8.5%; otherwise, 0.5%; payable annually due 12/26/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 5.5%; otherwise, 1%; payable annually due 12/26/2019

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 6.00% due 6/24/2014

HSBC USA Inc. 6.50% due 12/2/2013

HSBC USA Inc. 0.00% due 12/24/2018

HSBC USA Inc. 0.00% due 6/24/2014

HSBC USA Inc. 0.00% due 6/20/2014

HSBC USA Inc. 0.00% due 12/30/2013

HSBC USA Inc. 3% initially; beginning on Dec. 21, 2014, Libor plus 62 bps, cap of 7%; payable quarterly due 12/21/2022

HSBC USA Inc. 0.00% due 12/30/2013

HSBC USA Inc. 0.00% due 1/21/2014

HSBC USA Inc. 0.000% due 6/11/2013

HSBC USA Inc. 0.000% due 12/7/2017

HSBC USA Inc. 0.00% due 12/16/2013

HSBC USA Inc. 0.00% due 12/5/2014

HSBC USA Inc. 0.00% due 11/26/2014

HSBC USA Inc. 0.00% due 12/5/2014

HSBC USA Inc. 0.00% due 12/1/2014

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 5/31/2018

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 3/5/2018

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0.5%; payable annually due 12/2/2019

HSBC USA Inc. 6.00% due 12/2/2013

HSBC USA Inc. 0.00% due 11/28/2014

HSBC USA Inc. If every underlying stock finishes above initial level, 5.5%; otherwise, 1%; payable annually due 12/2/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 8.5%; otherwise, 0.5%; payable annually due 12/2/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 5.5%; otherwise, 1%; payable annually due 12/2/2019

HSBC USA Inc. 0.00% due 11/27/2015

HSBC USA Inc. 0.00% due 11/30/2015

HSBC USA Inc. 0.00% due 11/30/2022

HSBC USA Inc. 0.00% due 11/30/2017

HSBC USA Inc. 0.00% due 5/30/2014

HSBC USA Inc. 2.5% or, if the index level on the coupon valuation date is at or above initial level, 6%; payable annually due 11/30/2016

HSBC USA Inc. 0.00% due 11/27/2018

HSBC USA Inc. 0.000% due 12/6/2013

HSBC USA Inc. 0.00% due 5/27/2015

HSBC USA Inc. 0.00% due 11/28/2016

HSBC USA Inc. 0.00% due 11/27/2015

HSBC USA Inc. 0.00% due 11/28/2014

HSBC USA Inc. 0.00% due 11/29/2016

HSBC USA Inc. 6.00% due 5/21/2014

HSBC USA Inc. 0.000% due 12/3/2013

HSBC USA Inc. 0.00% due 5/21/2014

HSBC USA Inc. 0.00% due 5/23/2014

HSBC USA Inc. 0.00% due 5/20/2014

HSBC USA Inc. 6.00% due 11/18/2013

HSBC USA Inc. 0.00% due 5/14/2014

HSBC USA Inc. 6.40% due 11/13/2013

HSBC USA Inc. 14%, payable semiannually if stock closes at or above trigger price on observation date due 11/27/2013

HSBC USA Inc. 0.000% due 11/18/2013

HSBC USA Inc. 0.00% due 5/5/2016

HSBC USA Inc. 0.00% due 11/7/2016

HSBC USA Inc. 0.00% due 11/18/2013

HSBC USA Inc. 0.00% due 11/2/2017

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 1/31/2018

HSBC USA Inc. 0.00% due 10/31/2022

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0.8%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 25% due 10/31/2019

HSBC USA Inc. 6.50% due 10/31/2013

HSBC USA Inc. 6.00% due 10/31/2013

HSBC USA Inc. 0.00% due 10/31/2018

HSBC USA Inc. 0.00% due 11/12/2013

HSBC USA Inc. 0.00% due 10/31/2014

HSBC USA Inc. 0.00% due 11/4/2014

HSBC USA Inc. 0.00% due 10/31/2014

HSBC USA Inc. 0.00% due 11/12/2013

HSBC USA Inc. If every underlying stock finishes above initial level, 9.5%; otherwise, 0.5% due 10/31/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 6%; otherwise, 1% due 10/31/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 4.25%; otherwise, 1.25% due 10/31/2019

HSBC USA Inc. 0.00% due 10/29/2015

HSBC USA Inc. 0.00% due 10/31/2017

HSBC USA Inc. 0.00% due 1/3/2014

HSBC USA Inc. 0.00% due 4/30/2014

HSBC USA Inc. 2.5% or, if the index level on the coupon valuation date is at or above initial level, 6%; payable annually due 10/31/2016

HSBC USA Inc. 0.00% due 10/31/2013

HSBC USA Inc. 0.00% due 10/31/2014

HSBC USA Inc. 0.00% due 4/29/2015

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 10/29/2015

HSBC USA Inc. 0.00% due 10/26/2015

HSBC USA Inc. 7.00% due 4/25/2014

HSBC USA Inc. 0.00% due 10/27/2014

HSBC USA Inc. 0.00% due 10/26/2016

HSBC USA Inc. 0.00% due 4/28/2014

HSBC USA Inc. 0.00% due 10/22/2015

HSBC USA Inc. 0.00% due 10/28/2013

HSBC USA Inc. 0.00% due 4/16/2014

HSBC USA Inc. 0.00% due 4/21/2014

HSBC USA Inc. 6.35% due 10/20/2014

HSBC USA Inc. 6.50% due 10/20/2014

HSBC USA Inc. 6.50% due 10/16/2013

HSBC USA Inc. Contingent quarterly payment of 2.2% if stock closes at or above downside threshold level on a quarterly determination date; otherwise, no payment that quarter due 10/15/2013

HSBC USA Inc. 0.00% due 1/13/2014

HSBC USA Inc. 0.000% due 10/23/2013

HSBC USA Inc. 0.00% due 10/22/2013

HSBC USA Inc. 0.00% due 4/9/2014

HSBC USA Inc. 0.000% due 4/15/2014

HSBC USA Inc. 0.000% due 10/12/2017

HSBC USA Inc. 8.70% due 10/11/2013

HSBC USA Inc. 8.00% due 10/11/2013

HSBC USA Inc. 9.80% due 10/11/2013

HSBC USA Inc. 0.00% due 10/24/2013

HSBC USA Inc. 0.00% due 10/2/2014

HSBC USA Inc. 0.00% due 10/15/2013

HSBC USA Inc. 0.00% due 10/3/2016

HSBC USA Inc. 0.00% due 11/27/2013

HSBC USA Inc. 0.00% due 9/26/2014

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 0.00% due 9/29/2017

HSBC USA Inc. 0.00% due 9/28/2017

HSBC USA Inc. Average of the performances of basket stocks, subject to a minimum interest rate of 0.5%; payable annually due 9/30/2019

HSBC USA Inc. 0.000% due 9/25/2018

HSBC USA Inc. 0.000% due 9/28/2018

HSBC USA Inc. 3% or, if the index level on the coupon valuation date is equal to or greater than the initial level, 6%; payable annually due 9/28/2016

HSBC USA Inc. 0.000% due 9/30/2015

HSBC USA Inc. 0.00% due 9/30/2022

HSBC USA Inc. 7.00% due 9/30/2013

HSBC USA Inc. 0.00% due 3/27/2014

HSBC USA Inc. 0.00% due 10/3/2017

HSBC USA Inc. 0.00% due 9/28/2016

HSBC USA Inc. 0.00% due 3/26/2016

HSBC USA Inc. 0.00% due 9/24/2015

HSBC USA Inc. 0.00% due 9/28/2016

HSBC USA Inc. 0.00% due 10/7/2013

HSBC USA Inc. 0.00% due 9/26/2016

HSBC USA Inc. 7.45% due 9/29/2014

HSBC USA Inc. 7.12% due 9/29/2014

HSBC USA Inc. 6.60% due 9/29/2014

HSBC USA Inc. 0.00% due 3/24/2014

HSBC USA Inc. 0.00% due 10/3/2013

HSBC USA Inc. 0.00% due 9/30/2013

HSBC USA Inc. 7.00% due 9/18/2013

HSBC USA Inc. 0.000% due 3/12/2014

HSBC USA Inc. 0.00% due 9/4/2015

HSBC USA Inc. 0.00% due 9/13/2013

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 25% due 9/3/2019

HSBC USA Inc. 0.00% due 8/31/2015

HSBC USA Inc. 0.00% due 8/29/2014

HSBC USA Inc. Average of performances of the basket stocks, subject to a minimum interest rate of 0.25%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 7%; otherwise, greater of stock return and negative 25% due 8/31/2018

HSBC USA Inc. If every underlying stock finishes above initial level, 4%; otherwise, 1.5% due 9/3/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 7%; otherwise, 1% due 9/3/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 10.5%; otherwise, 0.5% due 9/3/2019

HSBC USA Inc. 0.00% due 8/31/2017

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0.5%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 8%; otherwise, greater of stock return and negative 30% due 8/30/2019

HSBC USA Inc. 0.00% due 8/30/2018

HSBC USA Inc. 0.00% due 2/28/2018

HSBC USA Inc. 0.00% due 3/4/2014

HSBC USA Inc. 0.00% due 2/27/2014

HSBC USA Inc. 0.00% due 3/4/2014

HSBC USA Inc. 0.00% due 2/27/2014

HSBC USA Inc. 0.00% due 3/4/2014

HSBC USA Inc. 0.00% due 2/27/2014

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0.5%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 30% due 8/29/2019

HSBC USA Inc. 9.000% due 8/30/2013

HSBC USA Inc. 7.000% due 8/30/2013

HSBC USA Inc. 0.000% due 2/27/2015

HSBC USA Inc. 0.000% due 8/29/2016

HSBC USA Inc. 0.000% due 9/11/2013

HSBC USA Inc. 0.000% due 8/27/2015

HSBC USA Inc. 0.000% due 8/31/2016

HSBC USA Inc. 0.000% due 1/8/2013

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 2.8% initially, stepping up to 3.8% on Aug. 30, 2017 and then to 4.8% on Aug. 30, 2022; payable semiannually due 8/30/2027

HSBC USA Inc. 0.00% due 9/6/2013

HSBC USA Inc. 0.00% due 3/3/2014

HSBC USA Inc. 2.4375% if closing price is at least 75% of initial price on quarterly determination date; otherwise, none due 8/22/2013

HSBC USA Inc. 7.10% due 8/22/2014

HSBC USA Inc. 7.50% due 8/30/2013

HSBC USA Inc. 7.00% due 8/30/2013

HSBC USA Inc. 6.48% due 8/20/2014

HSBC USA Inc. 7.06% due 8/20/2014

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0.5%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 4.75%; otherwise, greater of stock return and negative 30% due 8/17/2017

HSBC USA Inc. 0.00% due 8/28/2013

HSBC USA Inc. 0.00% due 8/11/2015

HSBC USA Inc. 0.00% due 8/19/2013

HSBC USA Inc. 0.00% due 8/8/2017

HSBC USA Inc. 10.00% due 8/6/2013

HSBC USA Inc. 7.00% due 8/6/2013

HSBC USA Inc. 0.00% due 8/3/2016

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 8.11% due 7/31/2014

HSBC USA Inc. 5.83% due 7/31/2014

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 0.00% due 7/29/2022

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 8%; otherwise, greater of stock return and negative 25% due 7/31/2019

HSBC USA Inc. 0.00% due 7/31/2014

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of zero; payable annually; Stock performance: If stock�s return is greater than or equal to negative 10%, 6%; otherwise, greater of stock return and negative 25% due 7/31/2017

HSBC USA Inc. 0.00% due 7/31/2017

HSBC USA Inc. 10.00% due 7/31/2013

HSBC USA Inc. 7.00% due 7/31/2013

HSBC USA Inc. 0.00% due 1/30/2014

HSBC USA Inc. 0.00% due 7/28/2017

HSBC USA Inc. 0.00% due 8/8/2019

HSBC USA Inc. 0.000% due 1/29/2015

HSBC USA Inc. 0.000% due 7/28/2016

HSBC USA Inc. 0.000% due 7/29/2015

HSBC USA Inc. 0.00% due 1/8/2013

HSBC USA Inc. 11.00% due 7/26/2013

HSBC USA Inc. 0.1 due 7/26/2013

HSBC USA Inc. 0.00% due 1/17/2014

HSBC USA Inc. 0.00% due 7/19/2017

HSBC USA Inc. 0.000% due 7/16/2014

HSBC USA Inc. 0.00% due 1/9/2014

HSBC USA Inc. 0.00% due 7/16/2013

HSBC USA Inc. 0.00% due 9/4/2013

HSBC USA Inc. 0.00% due 8/30/2013

HSBC USA Inc. 0.00% due 7/16/2013

HSBC USA Inc. 0.00% due 6/27/2014

HSBC USA Inc. 0.00% due 6/30/2017

HSBC USA Inc. 10% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 6/30/2017

HSBC USA Inc. 0.00% due 6/30/2017

HSBC USA Inc. 0.00% due 6/30/2014

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of zero; payable annually; Stock performance: If stock�s return is negative 10% or greater, 6%; otherwise, greater of stock return and negative 25% due 6/29/2017

HSBC USA Inc. 0.00% due 7/11/2013

HSBC USA Inc. 0.00% due 6/30/2022

HSBC USA Inc. 0.00% due 6/30/2015

HSBC USA Inc. 0.00% due 6/30/2016

HSBC USA Inc. 0.00% due 6/30/2015

HSBC USA Inc. 10.00% due 6/28/2013

HSBC USA Inc. 7.00% due 6/28/2013

HSBC USA Inc. 0.00% due 12/27/2013

HSBC USA Inc. 8.74% due 12/29/2014

HSBC USA Inc. If every underlying stock finishes above initial level, 11.25%; otherwise, 0.5% due 6/27/2019

HSBC USA Inc. If every underlying stock finishes above initial level, 7.25%; otherwise, 1% due 6/27/2019

HSBC USA Inc. 0.00% due 6/26/2017

HSBC USA Inc. 0.00% due 6/25/2015

HSBC USA Inc. 10.41% per year, payable quarterly if shares close at or above trigger price on observation date for that quarter due 12/31/2013

HSBC USA Inc. 7.4% per year, payable quarterly if shares close at or above trigger price on observation date for that quarter due 12/31/2013

HSBC USA Inc. 7.33% per year, payable quarterly if shares close at or above trigger price on observation date for that quarter due 12/31/2013

HSBC USA Inc. 9.20% due 6/28/2013

HSBC USA Inc. 0.000% due 7/9/2013

HSBC USA Inc. 0.000% due 7/1/2013

HSBC USA Inc. 0.000% due 7/3/2013

HSBC USA Inc. 7.500% due 6/28/2013

HSBC USA Inc. 0.00% due 6/24/2013

HSBC USA Inc. 0.000% due 6/13/2017

HSBC USA Inc. 0.00% due 6/19/2013

HSBC USA Inc. 0.00% due 6/17/2013

HSBC USA Inc. If Caterpillar shares close at or above trigger level on quarterly observation date, issuer will pay 18% annualized contingent coupon for that quarter due 6/19/2013

HSBC USA Inc. 1.5% for two years; after that, Libor plus 45 bps, with floor of 0.45% and cap of 5%; payable semiannually due 6/7/2017

HSBC USA Inc. 0.00% due 5/31/2017

HSBC USA Inc. 9.20% due 5/31/2013

HSBC USA Inc. 9.60% due 5/31/2013

HSBC USA Inc. 8.200% due 5/31/2013

HSBC USA Inc. 0.000% due 5/30/2014

HSBC USA Inc. 0.000% due 6/11/2013

HSBC USA Inc. 0.000% due 6/14/2013

HSBC USA Inc. 0.000% due 5/31/2017

HSBC USA Inc. 0.00% due 8/1/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually due 5/30/2019

HSBC USA Inc. 0.00% due 5/30/2014

HSBC USA Inc. 0.00% due 5/27/2016

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 5/30/2014

HSBC USA Inc. Initially 3.81%; beginning June 1, 2013, Libor plus 50 bps; floor of 0.5%; payable quarterly due 6/1/2017

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 6.25%; otherwise, greater of stock return and negative 25% due 5/30/2017

HSBC USA Inc. 0.00% due 6/10/2013

HSBC USA Inc. 8.50% due 6/7/2013

HSBC USA Inc. 0.00% due 6/10/2013

HSBC USA Inc. 0.00% due 5/26/2017

HSBC USA Inc. 0.00% due 5/29/2015

HSBC USA Inc. 0.00% due 11/28/2018

HSBC USA Inc. 8.50% due 5/28/2013

HSBC USA Inc. 11.50% due 5/28/2013

HSBC USA Inc. 0.00% due 11/27/2013

HSBC USA Inc. 0.00% due 6/5/2013

HSBC USA Inc. 11.90% due 5/24/2013

HSBC USA Inc. 11.10% due 5/24/2013

HSBC USA Inc. 6.30% due 5/22/2013

HSBC USA Inc. 3% for first year; after that, Libor plus 100 bps, maximum rate of 6% and minimum rate of 1%; payable quarterly due 5/25/2017

HSBC USA Inc. 0.00% due 5/20/2014

HSBC USA Inc. 0.000% due 6/14/2013

HSBC USA Inc. 3% for first year; after that, Libor plus 115 bps, floored at 1.15% per year, capped at 6% per year; payable quarterly due 5/16/2017

HSBC USA Inc. 0.000% due 5/16/2017

HSBC USA Inc. 0.000% due 5/12/2017

HSBC USA Inc. 0.000% due 5/15/2014

HSBC USA Inc. 10.500% due 5/10/2013

HSBC USA Inc. 7.500% due 5/10/2013

HSBC USA Inc. 0.000% due 11/12/2013

HSBC USA Inc. 0.00% due 5/2/2014

HSBC USA Inc. 5% for first two years; after that, Libor plus 115 bps, up to maximum rate of 7% per year; payable quarterly due 5/2/2022

HSBC USA Inc. 0.000% due 6/28/2013

HSBC USA Inc. 0.000% due 4/25/2014

HSBC USA Inc. 0.000% due 5/10/2013

HSBC USA Inc. 0.000% due 4/24/2014

HSBC USA Inc. 0.000% due 5/10/2013

HSBC USA Inc. 0.000% due 4/28/2017

HSBC USA Inc. 0.00% due 4/30/2015

HSBC USA Inc. 0.00% due 4/30/2014

HSBC USA Inc. 0.00% due 4/29/2022

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually due 4/29/2019

HSBC USA Inc. 0.00% due 4/29/2015

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 0.00% due 4/29/2015

HSBC USA Inc. 0.00% due 4/28/2016

HSBC USA Inc. 0.000% due 4/27/2017

HSBC USA Inc. 0.000% due 4/28/2015

HSBC USA Inc. 0.000% due 10/26/2018

HSBC USA Inc. 0.000% due 4/27/2017

HSBC USA Inc. 0.000% due 5/8/2013

HSBC USA Inc. 10.500% due 4/26/2013

HSBC USA Inc. 7.000% due 4/26/2013

HSBC USA Inc. 0.000% due 10/24/2013

HSBC USA Inc. 8.100% due 10/23/2014

HSBC USA Inc. 0.00% due 5/3/2013

HSBC USA Inc. 0.00% due 4/29/2016

HSBC USA Inc. 0.00% due 5/23/2013

HSBC USA Inc. 0.00% due 4/29/2013

HSBC USA Inc. 0.00% due 5/1/2013

HSBC USA Inc. 10.05% due 4/19/2013

HSBC USA Inc. 10.45% due 4/19/2013

HSBC USA Inc. 10.20% due 4/19/2013

HSBC USA Inc. 8.00% due 4/26/2013

HSBC USA Inc. 0.000% due 4/24/2013

HSBC USA Inc. 10.00% due 4/12/2013

HSBC USA Inc. 7.00% due 4/12/2013

HSBC USA Inc. 0.00% due 4/24/2013

HSBC USA Inc. 0.00% due 4/11/2017

HSBC USA Inc. 0.00% due 10/1/2013

HSBC USA Inc. 5.5% per year multiplied by proportion of days on which index closes at or above barrier level; payable quarterly due 4/5/2018

HSBC USA Inc. 5.6% per year multiplied by proportion of days on which index closes at or above barrier level; payable quarterly due 4/5/2018

HSBC USA Inc. 5.55% per year multiplied by proportion of days on which index closes at or above barrier level; payable quarterly due 4/5/2018

HSBC USA Inc. If shares close at or above 75% of initial share price on quarterly determination date, $0.20 for each $10.00 note; otherwise, none that quarter due 4/4/2013

HSBC USA Inc. 0.00% due 4/17/2013

HSBC USA Inc. 0.00% due 4/16/2013

HSBC USA Inc. 0.00% due 4/5/2018

HSBC USA Inc. 0.00% due 4/4/2018

HSBC USA Inc. 0.00% due 5/31/2013

HSBC USA Inc. 10.25% due 4/3/2013

HSBC USA Inc. 0.00% due 4/3/2014

HSBC USA Inc. 0.00% due 3/28/2014

HSBC USA Inc. Libor plus 135 bps, floor of 1.35% for one quarter and no cap; after that, coupon floor will be rate for immediately preceding coupon payment period, and the coupon cap will be rate for the immediately preceding coupon payment period plus 50 bps; payable quarterly due 4/4/2022

HSBC USA Inc. 0.00% due 3/27/2015

HSBC USA Inc. 0.00% due 3/28/2014

HSBC USA Inc. 0.00% due 4/8/2013

HSBC USA Inc. 0.00% due 4/30/2013

HSBC USA Inc. 0.00% due 3/30/2017

HSBC USA Inc. 10.00% due 4/3/2013

HSBC USA Inc. 7.00% due 4/3/2013

HSBC USA Inc. 6.5% for each day that index closes at or above coupon barrier level; payable quarterly; Coupon barrier level: 1,130.02, 80% of initial level due 3/27/2017

HSBC USA Inc. 0.00% due 3/31/2014

HSBC USA Inc. 0.00% due 4/1/2015

HSBC USA Inc. 0.00% due 3/30/2017

HSBC USA Inc. 0.00% due 3/31/2015

HSBC USA Inc. 0.000% due 3/31/2014

HSBC USA Inc. 0.000% due 10/1/2013

HSBC USA Inc. 0.000% due 4/2/2019

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 5%; otherwise, greater of stock return and negative 25% due 3/30/2015

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 9%; otherwise, greater of stock return and negative 25% due 3/28/2019

HSBC USA Inc. 0.00% due 3/30/2015

HSBC USA Inc. 0.00% due 3/26/2015

HSBC USA Inc. 0.00% due 3/29/2016

HSBC USA Inc. 0.00% due 3/26/2015

HSBC USA Inc. 0.00% due 3/29/2016

HSBC USA Inc. 6.30% due 4/1/2013

HSBC USA Inc. 0.00% due 4/10/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 6.5%; otherwise, greater of stock return and negative 25% due 3/28/2017

HSBC USA Inc. 0.00% due 4/8/2013

HSBC USA Inc. 0.00% due 9/30/2013

HSBC USA Inc. 0.000% due 3/27/2019

HSBC USA Inc. 0.00% due 4/4/2013

HSBC USA Inc. 0.000% due 9/18/2015

HSBC USA Inc. 7.00% due 4/1/2013

HSBC USA Inc. 0.00% due 4/3/2013

HSBC USA Inc. 9.500% due 3/15/2013

HSBC USA Inc. 0.00% due 3/13/2014

HSBC USA Inc. 0.00% due 3/27/2013

HSBC USA Inc. 8.90% due 3/15/2013

HSBC USA Inc. 10.04% due 3/15/2013

HSBC USA Inc. 9.10% due 3/15/2013

HSBC USA Inc. 11.10% due 3/15/2013

HSBC USA Inc. 0.000% due 12/13/2012

HSBC USA Inc. 14% per year if coupon step-down event does not occur on the first coupon observation date; 3.5% per year if coupon step-down event does not occur on the second and final coupon observation date; zero if a coupon step-down event occurs; payable quarterly due 6/14/2013

HSBC USA Inc. 7.50% due 3/13/2013

HSBC USA Inc. 10.50% due 3/13/2013

HSBC USA Inc. 0.00% due 12/13/2013

HSBC USA Inc. 0.00% due 9/13/2013

HSBC USA Inc. 0.000% due 6/10/2013

HSBC USA Inc. 0.000% due 9/10/2013

HSBC USA Inc. 0.00% due 3/6/2014

HSBC USA Inc. 0.00% due 3/20/2013

HSBC USA Inc. 7.400% due 5/24/2013

HSBC USA Inc. 0.00% due 5/24/2013

HSBC USA Inc. 0.00% due 3/20/2013

HSBC USA Inc. 0.00% due 9/9/2013

HSBC USA Inc. 0.00% due 3/20/2013

HSBC USA Inc. 0.00% due 3/8/2017

HSBC USA Inc. 0.000% due 9/6/2013

HSBC USA Inc. 0.00% due 9/3/2013

HSBC USA Inc. 0.00% due 8/29/2013

HSBC USA Inc. 0.00% due 8/27/2015

HSBC USA Inc. 0.00% due 3/28/2013

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.00% due 3/1/2017

HSBC USA Inc. 11.00% due 3/1/2013

HSBC USA Inc. 8.00% due 3/1/2013

HSBC USA Inc. 0.00% due 2/28/2014

HSBC USA Inc. 0.00% due 9/3/2013

HSBC USA Inc. 0.00% due 3/13/2013

HSBC USA Inc. 0.00% due 3/1/2019

HSBC USA Inc. 0.00% due 3/1/2017

HSBC USA Inc. 0.00% due 3/1/2018

HSBC USA Inc. 0.00% due 2/28/2022

HSBC USA Inc. 0.00% due 2/28/2017

HSBC USA Inc. 0.000% due 8/28/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 6%; otherwise, greater of stock return and negative 25% due 2/26/2016

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 9%; otherwise, greater of stock return and negative 25% due 2/28/2019

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum rate of 0%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 5.5%; otherwise, greater of stock return and negative 25% due 3/2/2015

HSBC USA Inc. 0.000% due 8/28/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 7%; otherwise, greater of stock return and negative 25% due 2/28/2017

HSBC USA Inc. 0.00% due 2/25/2015

HSBC USA Inc. 0.00% due 2/25/2016

HSBC USA Inc. 0.00% due 2/26/2015

HSBC USA Inc. 0.00% due 8/24/2015

HSBC USA Inc. 0.00% due 2/26/2015

HSBC USA Inc. 0.000% due 8/27/2012

HSBC USA Inc. 0.000% due 3/6/2013

HSBC USA Inc. 0.000% due 8/27/2013

HSBC USA Inc. 0.000% due 3/6/2013

HSBC USA Inc. 10.600% due 2/25/2013

HSBC USA Inc. 8.100% due 2/25/2013

HSBC USA Inc. 11.380% due 2/25/2013

HSBC USA Inc. 0.00% due 8/20/2013

HSBC USA Inc. 0.00% due 5/17/2013

HSBC USA Inc. 0.000% due 5/17/2013

HSBC USA Inc. 9.10% due 2/14/2013

HSBC USA Inc. 0.00% due 2/27/2013

HSBC USA Inc. 9.500% due 2/25/2013

HSBC USA Inc. 8.000% due 2/25/2013

HSBC USA Inc. 8.000% due 2/11/2013

HSBC USA Inc. 11.000% due 2/11/2013

HSBC USA Inc. 0.000% due 8/8/2013

HSBC USA Inc. 8.32% per year, payable quarterly only if the fund closes at or above trigger price on observation date for that quarter due 2/9/2015

HSBC USA Inc. 0.000% due 2/7/2017

HSBC USA Inc. 2.125% for the first three years, stepping up to 43.25% on Feb. 16, 2015; payable semiannually due 2/16/2017

HSBC USA Inc. 3.21% for the first five years, stepping up to 4.71% for years six through 10 and to 6.71% thereafter; payable semiannually due 2/2/2024

HSBC USA Inc. 4% for first five years; for second five years, Libor plus 150 bps, up to maximum rate of 7% per year; payable quarterly due 2/3/2022

HSBC USA Inc. 0.00% due 2/13/2013

HSBC USA Inc. 0.00% due 2/11/2013

HSBC USA Inc. 0.00% due 2/13/2013

HSBC USA Inc. 10.19% due 1/31/2013

HSBC USA Inc. 10.60% due 1/31/2013

HSBC USA Inc. 11.10% due 1/31/2013

HSBC USA Inc. 0.00% due 4/1/2013

HSBC USA Inc. 0.00% due 1/30/2015

HSBC USA Inc. 0.00% due 2/7/2013

HSBC USA Inc. 0.00% due 1/31/2014

HSBC USA Inc. 0.00% due 2/5/2013

HSBC USA Inc. 0.00% due 1/31/2017

HSBC USA Inc. 0.00% due 1/30/2015

HSBC USA Inc. 0.00% due 1/31/2022

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 7%; otherwise, greater of stock return and negative 30% due 2/1/2016

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 10%; otherwise, greater of stock return and negative 30% due 1/30/2019

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 2%; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 6%; otherwise, greater of stock return and negative 30% due 1/30/2018

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of zero; payable annually; Stock performance: If stock�s return is greater than or equal to zero, 5.5%; otherwise, greater of stock return and negative 30% due 1/30/2015

HSBC USA Inc. 0.000% due 7/30/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 7%; otherwise, greater of stock return and negative 30% due 1/30/2017

HSBC USA Inc. 0.000% due 1/27/2014

HSBC USA Inc. 12.50% due 1/23/2013

HSBC USA Inc. 9.50% due 1/23/2013

HSBC USA Inc. 0.00% due 7/29/2013

HSBC USA Inc. 0.00% due 1/28/2016

HSBC USA Inc. 0.00% due 1/29/2015

HSBC USA Inc. 0.000% due 7/29/2015

HSBC USA Inc. 0.000% due 1/29/2015

HSBC USA Inc. 7.50% due 7/25/2012

HSBC USA Inc. 0.00% due 1/24/2014

HSBC USA Inc. 3.25% initially, stepping up to 4% on Feb. 6, 2014 and to 5.5% on Feb. 6, 2019; payable semiannually due 2/6/2024

HSBC USA Inc. 0.00% due 2/4/2013

HSBC USA Inc. 0.00% due 7/25/2013

HSBC USA Inc. 0.00% due 2/6/2013

HSBC USA Inc. 0.00% due 1/23/2014

HSBC USA Inc. 0.00% due 1/30/2013

HSBC USA Inc. 2.5 times Libor, subject to floor of zero due 1/23/2014

HSBC USA Inc. 3.5% initially, stepping up to 5% on Jan. 23, 2017 and to 7% on Jan. 23, 2022; payable semi-annually due 1/23/2024

HSBC USA Inc. 0.000% due 1/30/2013

HSBC USA Inc. 0.000% due 1/20/2017

HSBC USA Inc. 3.5% initially, stepping up to 4% on Jan. 17, 2015, 4.5% on Jan. 17, 2018 and to 5% on Jan. 17, 2021; payable semiannually due 1/17/2024

HSBC USA Inc. 0.000% due 7/22/2013

HSBC USA Inc. 0.00% due 1/12/2017

HSBC USA Inc. 0.000% due 2/22/2013

HSBC USA Inc. 0.000% due 2/25/2013

HSBC USA Inc. 0.000% due 2/22/2013

HSBC USA Inc. 3.5% initially, stepping up to 5% on Jan. 19, 2017 and to 7% on Jan. 19, 2022; payable semiannually due 1/19/2024

HSBC USA Inc. 0.000% due 1/29/2013

HSBC USA Inc. 8.75% due 12/31/2012

HSBC USA Inc. 10.45% due 12/31/2012

HSBC USA Inc. 13.00% due 1/2/2013

HSBC USA Inc. 10.00% due 1/2/2013

HSBC USA Inc. 0.00% due 12/31/2013

HSBC USA Inc. 0.00% due 1/31/2013

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of zero; payable annually due 12/29/2014

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of zero; payable annually due 12/29/2015

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually due 12/31/2018

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually due 12/29/2016

HSBC USA Inc. 0.000% due 12/30/2021

HSBC USA Inc. 0.00% due 6/27/2013

HSBC USA Inc. 3.58% quarterly payment if closing price is at least 75% of initial price on quarterly determination date; otherwise, none due 12/28/2012

HSBC USA Inc. 0.00% due 12/26/2014

HSBC USA Inc. 0.00% due 12/24/2015

HSBC USA Inc. 0.00% due 6/25/2015

HSBC USA Inc. 0.00% due 12/26/2014

HSBC USA Inc. 0.00% due 6/25/2013

HSBC USA Inc. 8.000% due 6/22/2012

HSBC USA Inc. 0.00% due 12/22/2014

HSBC USA Inc. 0.00% due 12/31/2012

HSBC USA Inc. 11.1% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 12/22/2014

HSBC USA Inc. 8.26% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 12/22/2014

HSBC USA Inc. 11.90% due 12/21/2012

HSBC USA Inc. 10.20% due 12/21/2012

HSBC USA Inc. 9.50% due 12/21/2012

HSBC USA Inc. 9.70% due 12/21/2012

HSBC USA Inc. 10.000% due 12/31/2012

HSBC USA Inc. Initially 2%; after two years, Libor plus 95 bps, with a maximum rate of 5% and minimum rate of 0.95%; payable semiannually due 12/21/2016

HSBC USA Inc. 4% initially, stepping up to 5% on Dec. 19, 2016; payable monthly due 12/19/2023

HSBC USA Inc. 3% for one year; then Libor plus 100 bps, subject to cap of 6% and floor of 1%; payable quarterly due 12/15/2014

HSBC USA Inc. 0.00% due 12/24/2012

HSBC USA Inc. 4% initially, stepping up to 5% on Dec. 19, 2016; payable monthly due 12/19/2023

HSBC USA Inc. 7.25% for one year; then 4.5 times spread of 10-year CMS rate over two-year CMS rate, capped at 7.25%, floor of zero; payable quarterly due 12/20/2021

HSBC USA Inc. 4% initially, stepping up to 5% on Dec. 19, 2016; payable monthly due 12/19/2023

HSBC USA Inc. 0.000% due 12/19/2012

HSBC USA Inc. 9.200% due 12/7/2012

HSBC USA Inc. 10.150% due 12/7/2012

HSBC USA Inc. 0.000% due 6/6/2013

HSBC USA Inc. 0.000% due 1/4/2013

HSBC USA Inc. 4% initially, stepping up to 5% on Dec. 19, 2016; payable monthly due 12/19/2023

HSBC USA Inc. 7.25% for one year; then 4.5 times spread of 10-year CMS rate over two-year CMS rate, capped at 7.25%, floor of zero; payable quarterly due 12/20/2021

HSBC USA Inc. 11.8% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 11/30/2012

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 1%; payable annually due 11/29/2018

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually due 11/30/2015

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually due 12/1/2014

HSBC USA Inc. 0.000% due 11/30/2016

HSBC USA Inc. 0.000% due 11/30/2021

HSBC USA Inc. 0.000% due 11/28/2014

HSBC USA Inc. 0.00% due 11/27/2013

HSBC USA Inc. 0.00% due 5/22/2013

HSBC USA Inc. 0.00% due 5/28/2015

HSBC USA Inc. 0.00% due 11/28/2014

HSBC USA Inc. 4.775% quarterly payment if closing price is at least 75% of initial price on quarterly determination date; otherwise, none due 11/28/2012

HSBC USA Inc. Initially 3.15%; beginning after 18 months, Libor plus 150 bps, with a maximum rate of 7% and minimum rate of 1.5%; payable quarterly due 11/28/2016

HSBC USA Inc. Average of the performances of the basket stocks, subject to a minimum interest rate of 0%; payable annually; Stock performance: If stock�s return is negative 10% or greater, 10%; otherwise, greater of stock return and negative 20% due 11/28/2018

HSBC USA Inc. 8.000% due 12/6/2012

HSBC USA Inc. 1% per year if either index closes below its trigger level on applicable observation date, otherwise 13.4% per year; payable quarterly due 11/28/2012

HSBC USA Inc. 15.000% due 11/21/2012

HSBC USA Inc. 12.000% due 11/27/2012

HSBC USA Inc. 0.000% due 5/24/2013

HSBC USA Inc. 0.00% due 5/21/2013

HSBC USA Inc. 0.00% due 5/24/2013

HSBC USA Inc. 0.00% due 5/21/2013

HSBC USA Inc. 0.00% due 5/24/2013

HSBC USA Inc. 7.75% due 11/27/2012

HSBC USA Inc. 0.00% due 11/27/2015

HSBC USA Inc. 0.00% due 10/30/2014

HSBC USA Inc. 8% for one year; then 4.5 times spread of 10-year CMS rate over two-year CMS rate less 25 bps, capped at 8%, floor of zero; payable quarterly due 11/30/2021

HSBC USA Inc. 0.00% due 11/21/2013

HSBC USA Inc. 0.00% due 11/25/2014

HSBC USA Inc. 0.00% due 12/5/2012

HSBC USA Inc. 0.00% due 11/24/2014

HSBC USA Inc. 0.00% due 11/30/2012

HSBC USA Inc. 0.000% due 11/29/2012

HSBC USA Inc. 15.75% per year, payable quarterly, if stock closes at or above trigger price on observation date for that quarter due 11/16/2012

HSBC USA Inc. 14.11% per year, payable quarterly, if stock closes at or above trigger price on observation date for that quarter due 11/16/2012

HSBC USA Inc. 12.3% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 11/16/2012

HSBC USA Inc. 15.38% per year, payable quarterly, if stock closes at or above trigger price on observation date for that quarter due 11/16/2012

HSBC USA Inc. 3% for the first 18 months; then, Libor plus 100 bps, floor of 1% and capped at 6%; payable quarterly due 11/16/2015

HSBC USA Inc. 0.000% due 11/28/2012

HSBC USA Inc. 10.20% due 11/15/2012

HSBC USA Inc. 0.00% due 5/9/2013

HSBC USA Inc. 4% for two years; then, Libor plus 150 bps, floor of 2.25% and capped at 7%; payable quarterly due 11/18/2021

HSBC USA Inc. 0.000% due 11/21/2012

HSBC USA Inc. 0.000% due 11/9/2017

HSBC USA Inc. 0.000% due 11/21/2012

HSBC USA Inc. 0.000% due 11/10/2016

HSBC USA Inc. 4% initially, stepping up to 4.5% on Nov. 15, 2015 and to 5% on Nov. 15, 2019; payable semiannually due 11/15/2023

HSBC USA Inc. 0.000% due 11/16/2012

HSBC USA Inc. 0.000% due 11/15/2012

HSBC USA Inc. 0.000% due 11/13/2012

HSBC USA Inc. 0.00% due 11/15/2012

HSBC USA Inc. 10.000% due 11/9/2012

HSBC USA Inc. 0.000% due 10/31/2016

HSBC USA Inc. 7.57% per year, payable quarterly if ETF�s shares close at or above trigger price on observation date for that quarter due 10/31/2014

HSBC USA Inc. Average of performances of basket stocks, subject to floor of zero; basket stock performance is 5.5% if return is zero or positive and greater of return and negative 30% if return is negative; payable annually due 10/31/2014

HSBC USA Inc. 0.00% due 10/31/2013

HSBC USA Inc. 0.00% due 11/9/2012

HSBC USA Inc. 0.00% due 10/29/2021

HSBC USA Inc. 0.00% due 10/31/2016

HSBC USA Inc. 0.00% due 10/30/2014

HSBC USA Inc. 2% for one year; then, Libor plus 100 bps, floor of 1% and capped at 5%; payable quarterly due 10/28/2014

HSBC USA Inc. 0.00% due 4/30/2013

HSBC USA Inc. 0.00% due 4/29/2013

HSBC USA Inc. Average of performances of basket stocks, subject to floor of 1%; basket stock performance is 10.5% if return is zero or positive and greater of return and negative 30% if return is negative; payable annually due 10/29/2018

HSBC USA Inc. Average of performances of basket stocks, subject to floor of 0%; basket stock performance is 7% if return is zero or positive and greater of return and negative 30% if return is negative; payable annually due 10/27/2015

HSBC USA Inc. 0.000% due 4/29/2013

HSBC USA Inc. 0.000% due 10/29/2015

HSBC USA Inc. 0.000% due 10/29/2014

HSBC USA Inc. 12.00% due 10/31/2012

HSBC USA Inc. 15.00% due 10/31/2012

HSBC USA Inc. 0.00% due 4/28/2014

HSBC USA Inc. 0.00% due 11/5/2012

HSBC USA Inc. 10.1% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 10/27/2014

HSBC USA Inc. 8.2% per year, payable quarterly if ETF's shares close at or above trigger price on observation date for that quarter due 10/27/2014

HSBC USA Inc. 0.000% due 11/5/2012

HSBC USA Inc. 0.00% due 11/7/2012

HSBC USA Inc. $63 per note, payable at maturity due 10/24/2012

HSBC USA Inc. 3.5% initially, stepping up to 4.25% on Nov. 1, 2015 and to 5.5% on Nov. 1, 2019; payable quarterly due 11/1/2023

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 10/21/2013

HSBC USA Inc. 3.290% due 4/23/2015

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 10/29/2012

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 10/29/2012

HSBC USA Inc. 14% if stock closes at or above trigger price on observation date for that interest period; payable quarterly due 10/19/2012

HSBC USA Inc. 0.000% due 4/18/2013

HSBC USA Inc. 3.25% for 18 months; then, Libor plus 100 bps, floor of 1% and cap of 7%; payable quarterly due 10/17/2016

HSBC USA Inc. 0.000% due 4/15/2013

HSBC USA Inc. 14.1% per year, payable quarterly if stock closes at or above trigger price on observation date for that quarter due 10/12/2012

HSBC USA Inc. 16.35% per year, payable quarterly if stock closes at or above trigger price on observation date for that quarter due 10/12/2012

HSBC USA Inc. 0.000% due 10/18/2012

HSBC USA Inc. 0.000% due 10/17/2012

HSBC USA Inc. 0.000% due 10/15/2013

HSBC USA Inc. 0.00% due 4/9/2015

HSBC USA Inc. 0.00% due 9/30/2016

HSBC USA Inc. 13.08% per year, payable quarterly only if fund closes at or above trigger price on observation date for that quarter due 9/28/2012

HSBC USA Inc. The average of the performances of the basket stocks, subject to a floor of zero; if the return of a stock is zero or positive, its performance will be 5%; otherwise, its performance will be the greater of its return and negative 30%; payable annually due 10/2/2014

HSBC USA Inc. 0.000% due 3/30/2015

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 9/30/2014

HSBC USA Inc. 4.25% for first four years; after that, Libor plus 100 bps, with a minimum rate of 1% and a maximum rate of 7%; payable quarterly due 9/29/2023

HSBC USA Inc. 4.25% for four years; afterward, Libor plus 100 bps, floor of 1% and cap of 7%; payable quarterly due 9/29/2023

HSBC USA Inc. 12.000% due 9/27/2012

HSBC USA Inc. 15.000% due 9/27/2012

HSBC USA Inc. 0.000% due 3/28/2013

HSBC USA Inc. 0.000% due 9/26/2014

HSBC USA Inc. 0.000% due 9/28/2015

HSBC USA Inc. 0.00% due 3/27/2013

HSBC USA Inc. 0.00% due 3/22/2013

HSBC USA Inc. 0.00% due 3/27/2013

HSBC USA Inc. 9.3% per year, payable quarterly only if fund closes at or above trigger price on observation date for that quarter due 9/23/2014

HSBC USA Inc. 0.000% due 9/22/2016

HSBC USA Inc. Initially 4%; after that, Libor plus 100 bps, with a maximum rate of 7%; payable quarterly due 9/16/2021

HSBC USA Inc. Greater of 2% and Libor; payable quarterly due 9/15/2016

HSBC USA Inc. 0.000% due 9/26/2012

HSBC USA Inc. 0.000% due 3/18/2013

HSBC USA Inc. 17.200% due 3/14/2012

HSBC USA Inc. 3% initially, steps up to 4% on Sept. 26, 2015 and to 5% on Sept. 26, 2019; payable monthly due 9/26/2023

HSBC USA Inc. 16.600% due 3/13/2012

HSBC USA Inc. 10.25% due 3/12/2012

HSBC USA Inc. 0.000% due 9/19/2012

HSBC USA Inc. 0.000% due 9/13/2012

HSBC USA Inc. 10.650% due 8/30/2013

HSBC USA Inc. 9.400% due 8/30/2013

HSBC USA Inc. 8.00% due 8/30/2013

HSBC USA Inc. 0.000% due 8/30/2013

HSBC USA Inc. Initially 2.5%; after that, Libor plus 100 bps, with a maximum rate of 7%; payable quarterly due 8/31/2018

HSBC USA Inc. 0.000% due 10/1/2012

HSBC USA Inc. 0.000% due 8/31/2021

HSBC USA Inc. 0.000% due 8/31/2016

HSBC USA Inc. 0.00% due 2/22/2013

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 0.000% due 8/29/2013

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 0.000% due 8/29/2013

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 9.000% due 8/21/2012

HSBC USA Inc. 0.000% due 2/26/2015

HSBC USA Inc. 0.000% due 2/26/2013

HSBC USA Inc. 0.000% due 2/25/2015

HSBC USA Inc. 13.000% due 8/24/2012

HSBC USA Inc. 0.000% due 2/19/2013

HSBC USA Inc. 0.000% due 1/16/2015

HSBC USA Inc. Initially 2.5%; after that, Libor plus 62.5 bps; maximum of 6%, minimum of 0%; payable quarterly due 8/12/2016

HSBC USA Inc. 10.600% due 8/13/2012

HSBC USA Inc. The average of the performances of the basket stocks, subject to a floor of zero; if the return of a stock is zero or positive, its performance will be 7%; otherwise, its performance will be the greater of its return and negative 30%; payable annually due 8/12/2016

HSBC USA Inc. 0.000% due 2/11/2013

HSBC USA Inc. 0.000% due 7/31/2013

HSBC USA Inc. 0.000% due 8/1/2012

HSBC USA Inc. 0.000% due 7/30/2021

HSBC USA Inc. 3.5% initially, steps up to 5.5% on July 28, 2015; payable semiannually due 7/28/2023

HSBC USA Inc. 0.000% due 8/28/2012

HSBC USA Inc. 6.500% due 7/19/2012

HSBC USA Inc. 9.000% due 7/19/2012

HSBC USA Inc. 0.000% due 1/25/2013

HSBC USA Inc. 4% for one year; then Libor plus 100 bps, capped at 7%; payable quarterly due 7/27/2018

HSBC USA Inc. 0.000% due 7/31/2017

HSBC USA Inc. 0.000% due 1/25/2013

HSBC USA Inc. 0.000% due 7/25/2013

HSBC USA Inc. 0.000% due 1/25/2013

HSBC USA Inc. 0.000% due 7/25/2013

HSBC USA Inc. 0.000% due 1/26/2015

HSBC USA Inc. Libor plus 50 bps, floor of 2% and cap of 5%; payable quarterly due 1/22/2016

HSBC USA Inc. 0.000% due 8/1/2012

HSBC USA Inc. 0.000% due 7/23/2012

HSBC USA Inc. 7.950% due 1/23/2012

HSBC USA Inc. 10.700% due 1/23/2012

HSBC USA Inc. 7.500% due 10/19/2012

HSBC USA Inc. 3% for one year; then Libor plus 115 bps, capped at 6.5%; payable quarterly due 7/27/2017

HSBC USA Inc. 0.000% due 1/8/2015

HSBC USA Inc. 0.000% due 1/11/2013

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. Libor plus 50 bps, subject to floor of 1.65% and cap of 5% due 7/6/2015

HSBC USA Inc. 10.550% due 12/30/2011

HSBC USA Inc. 9.200% due 12/30/2011

HSBC USA Inc. 0.000% due 6/30/2016

HSBC USA Inc. 0.000% due 6/30/2021

HSBC USA Inc. 0.000% due 7/11/2012

HSBC USA Inc. 0.000% due 12/31/2012

HSBC USA Inc. 0.000% due 7/11/2012

HSBC USA Inc. 9.500% due 6/21/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 12/24/2012

HSBC USA Inc. 0.000% due 9/17/2013

HSBC USA Inc. 0.000% due 12/24/2012

HSBC USA Inc. 7.000% due 6/13/2012

HSBC USA Inc. 0.000% due 6/20/2013

HSBC USA Inc. 4% initially, steps up to 4.5% on June 30, 2015 and to 5% on June 30, 2019, payable quarterly due 6/30/2023

HSBC USA Inc. Libor plus 50 bps, subject to floor of 1.4% and cap of 5% due 12/17/2014

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 6/18/2012

HSBC USA Inc. 5.25% for one year; then 1.25% unless every stock closes at or above its initial share price on the coupon valuation date, in which case the rate will be 10.25%; payable due 6/13/2018

HSBC USA Inc. 0.000% due 12/13/2012

HSBC USA Inc. Initially 4%; beginning June 10, 2012, the year-over-year change in the Consumer Price Index plus 125 bps, floor of 0%, cap of 7%, payable monthly due 6/10/2019

HSBC USA Inc. 9.930% due 6/7/2012

HSBC USA Inc. 10.000% due 6/7/2012

HSBC USA Inc. 0.000% due 6/13/2012

HSBC USA Inc. 0.000% due 11/30/2012

HSBC USA Inc. Two-year Constant Maturity Treasury rate, floor of 2% and cap of 6%; payable quarterly due 5/31/2016

HSBC USA Inc. 0.000% due 5/31/2016

HSBC USA Inc. 0.000% due 5/30/2014

HSBC USA Inc. 9.000% due 5/22/2012

HSBC USA Inc. 0.000% due 5/30/2013

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 11/26/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 11/26/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 11/26/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 11/26/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 5/23/2013

HSBC USA Inc. Libor plus 50 bps, cap of 5% and floor of 1.25%; payable quarterly due 5/20/2014

HSBC USA Inc. 7.500% due 5/10/2012

HSBC USA Inc. 0.000% due 5/31/2012

HSBC USA Inc. 10.300% due 5/18/2012

HSBC USA Inc. 9.200% due 5/18/2012

HSBC USA Inc. 0.000% due 5/14/2015

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 10/22/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. Average of performances of basket stocks, subject to floor of 0.5%; for each stock, if return is zero or positive, performance fixed at 7.5%, if return is negative, performance is greater of stock return and negative 30% due 5/6/2016

HSBC USA Inc. Two-year Constant Maturity Swap rate, subject to floor of 2% and cap of 6%; payable quarterly due 5/4/2016

HSBC USA Inc. 4% for first year, then equal to year-over-year change in index plus 150 bps, subject to floor of zero and cap of 6%; payable monthly due 5/4/2018

HSBC USA Inc. 0.000% due 4/30/2013

HSBC USA Inc. 0.000% due 5/1/2013

HSBC USA Inc. 9.000% due 4/18/2012

HSBC USA Inc. 9.000% due 4/23/2012

HSBC USA Inc. 12.500% due 4/30/2012

HSBC USA Inc. 0.000% due 5/3/2012

HSBC USA Inc. 9.070% due 4/30/2012

HSBC USA Inc. 7.400% due 4/30/2012

HSBC USA Inc. 11.000% due 4/30/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 7/25/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 7/25/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 7/25/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 7/25/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 7/25/2012

HSBC USA Inc. 0.000% due 10/25/2012

HSBC USA Inc. 0.000% due 10/19/2011

HSBC USA Inc. 8.000% due 4/12/2012

HSBC USA Inc. 0.000% due 4/17/2015

HSBC USA Inc. 3.25% for first two years; thereafter, Libor plus 100 bps, capped at 6.5%; payable quarterly due 4/18/2018

HSBC USA Inc. 0.000% due 4/25/2012

HSBC USA Inc. 0.000% due 10/2/2012

HSBC USA Inc. Libor plus 50 basis points, with a minimum coupon of 2% and a maximum of 5.5%; payable quarterly due 4/1/2016

HSBC USA Inc. 0.000% due 4/5/2012

HSBC USA Inc. 0.000% due 3/28/2013

HSBC USA Inc. 0.000% due 3/31/2014

HSBC USA Inc. 0.000% due 9/30/2014

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 3/25/2013

HSBC USA Inc. 9.000% due 3/22/2012

HSBC USA Inc. 11.500% due 3/22/2012

HSBC USA Inc. 10.000% due 3/22/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 3/28/2012

HSBC USA Inc. 0.000% due 6/28/2012

HSBC USA Inc. 0.000% due 9/27/2012

HSBC USA Inc. 0.000% due 3/28/2013

HSBC USA Inc. 0.000% due 4/4/2012

HSBC USA Inc. 0.000% due 4/23/2012

HSBC USA Inc. Libor plus 75 bps, floor of 2.5%, capped at 6.5%; payable quarterly due 3/15/2018

HSBC USA Inc. 3.75% for one year; thereafter, year-over-year change in CPI plus 150 bps, with cap of 7% and floor of zero; payable monthly due 3/24/2018

HSBC USA Inc. 0.000% due 3/21/2012

HSBC USA Inc. 0.000% due 3/14/2012

HSBC USA Inc. 0.000% due 6/7/2011

HSBC USA Inc. 0.000% due 3/20/2012

HSBC USA Inc. The average of the performances of the basket stocks, subject to a floor of zero; if a stock�s return is zero or positive, its performance will be 8%; otherwise, its performance will be the greater of its return and negative 30%; payable annually due 3/3/2016

HSBC USA Inc. 0.000% due 3/14/2012

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 0.000% due 2/29/2016

HSBC USA Inc. 0.000% due 2/28/2014

HSBC USA Inc. 10.500% due 2/27/2012

HSBC USA Inc. 0.000% due 3/26/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 5/23/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 10.000% due 2/24/2012

HSBC USA Inc. 8.000% due 2/24/2012

HSBC USA Inc. 9.000% due 2/24/2012

HSBC USA Inc. 0.000% due 5/23/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 5/23/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. 0.000% due 5/23/2012

HSBC USA Inc. 0.000% due 8/23/2012

HSBC USA Inc. Libor plus 25 bps, floor of 2.3%, capped at 5.5%; payable quarterly due 2/23/2016

HSBC USA Inc. 0.000% due 2/17/2015

HSBC USA Inc. 8.760% due 8/19/2011

HSBC USA Inc. 10.040% due 8/19/2011

HSBC USA Inc. 8.580% due 8/19/2011

HSBC USA Inc. 8.210% due 8/19/2011

HSBC USA Inc. 0.000% due 8/16/2012

HSBC USA Inc. 8.000% due 2/16/2012

HSBC USA Inc. 0.000% due 2/11/2013

HSBC USA Inc. 0.000% due 2/23/2012

HSBC USA Inc. Libor plus 25 bps, floor of 2.25%, capped at 5.25%; payable quarterly due 2/9/2016

HSBC USA Inc. 0.000% due 2/10/2012

HSBC USA Inc. 0.000% due 2/14/2012

HSBC USA Inc. 11.000% due 2/2/2012

HSBC USA Inc. 0.000% due 2/15/2012

HSBC USA Inc. 0.000% due 8/1/2012

HSBC USA Inc. 10.400% due 1/31/2012

HSBC USA Inc. 0.000% due 1/31/2013

HSBC USA Inc. 0.000% due 2/2/2012

HSBC USA Inc. 0.000% due 3/1/2012

HSBC USA Inc. 0.000% due 1/30/2014

HSBC USA Inc. 2.250% due 2/5/2018

HSBC USA Inc. 0.000% due 7/27/2012

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 0.000% due 7/27/2012

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 8.000% due 1/27/2012

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 0.000% due 7/27/2012

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 0.000% due 7/27/2012

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 0.000% due 7/27/2012

HSBC USA Inc. 0.000% due 1/27/2012

HSBC USA Inc. 0.000% due 1/24/2018

HSBC USA Inc. 0.000% due 4/23/2012

HSBC USA Inc. 0.000% due 1/17/2013

HSBC USA Inc. 0.000% due 1/10/2012

HSBC USA Inc. 0.000% due 1/13/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 3/31/2015

HSBC USA Inc. 8.000% due 12/30/2011

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 12/28/2012

HSBC USA Inc. 0.000% due 1/26/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 1/26/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 3/27/2012

HSBC USA Inc. 0.000% due 6/27/2012

HSBC USA Inc. 0.000% due 12/31/2012

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 6/21/2012

HSBC USA Inc. 9.100% due 6/22/2011

HSBC USA Inc. 9.500% due 6/22/2011

HSBC USA Inc. 10.750% due 6/22/2011

HSBC USA Inc. 9.600% due 6/22/2011

HSBC USA Inc. 9.900% due 6/22/2011

HSBC USA Inc. 0.000% due 12/6/2011

HSBC USA Inc. 10.000% due 12/5/2011

HSBC USA Inc. 0.000% due 12/5/2011

HSBC USA Inc. 17.5% if coupon step-down event does not occur; otherwise 6%; payable quarterly due 12/5/2011

HSBC USA Inc. 0.000% due 11/29/2012

HSBC USA Inc. 0.000% due 11/30/2012

HSBC USA Inc. 9.400% due 11/30/2012

HSBC USA Inc. 10.550% due 11/30/2012

HSBC USA Inc. 9.000% due 11/30/2012

HSBC USA Inc. 0.000% due 11/28/2012

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 5/25/2012

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 5/25/2012

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 5/25/2012

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 0.000% due 11/22/2013

HSBC USA Inc. 0.000% due 5/25/2012

HSBC USA Inc. 0.000% due 2/27/2012

HSBC USA Inc. 10.000% due 11/25/2011

HSBC USA Inc. 0.000% due 11/25/2015

HSBC USA Inc. 0.000% due 11/2/2011

HSBC USA Inc. The average of the performances of the basket stocks, subject to a floor of 0.5%; if a stock�s return is zero or positive, its performance will be 6%; otherwise, its performance will be the greater of its return and negative 30%; payable annually due 11/19/2015

HSBC USA Inc. 0.000% due 11/19/2012

HSBC USA Inc. 10.120% due 11/21/2011

HSBC USA Inc. 11.060% due 11/21/2011

HSBC USA Inc. 9.510% due 11/21/2011

HSBC USA Inc. 0.000% due 11/14/2011

HSBC USA Inc. 0.000% due 10/29/2012

HSBC USA Inc. 0.000% due 11/1/2011

HSBC USA Inc. 0.000% due 1/30/2015

HSBC USA Inc. 0.000% due 5/2/2012

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 4/30/2012

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 8.000% due 10/27/2011

HSBC USA Inc. 0.000% due 10/25/2013

HSBC USA Inc. 0.000% due 10/24/2011

HSBC USA Inc. 0.000% due 4/27/2012

HSBC USA Inc. 0.000% due 11/2/2011

HSBC USA Inc. 11.670% due 4/21/2011

HSBC USA Inc. 10.600% due 4/21/2011

HSBC USA Inc. 0.000% due 10/21/2011

HSBC USA Inc. 20.000% due 4/13/2011

HSBC USA Inc. 0.000% due 4/19/2012

HSBC USA Inc. 0.000% due 10/4/2012

HSBC USA Inc. 0.000% due 4/13/2012

HSBC USA Inc. 10.000% due 9/28/2012

HSBC USA Inc. 10.550% due 9/28/2012

HSBC USA Inc. 10.000% due 12/30/2011

HSBC USA Inc. 0.000% due 3/30/2012

HSBC USA Inc. 0.000% due 9/28/2012

HSBC USA Inc. 0.000% due 3/30/2012

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 10/27/2011

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 10/27/2011

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 10/27/2011

HSBC USA Inc. 10.000% due 9/28/2011

HSBC USA Inc. 12.000% due 9/28/2011

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 3/28/2012

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 3/28/2012

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 3/28/2012

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 3/28/2012

HSBC USA Inc. 10.340% due 9/30/2011

HSBC USA Inc. 12.000% due 10/4/2011

HSBC USA Inc. 0.000% due 5/4/2012

HSBC USA Inc. 0.000% due 10/6/2011

HSBC USA Inc. 0.000% due 12/28/2010

HSBC USA Inc. 9.220% due 9/14/2012

HSBC USA Inc. 10.000% due 9/14/2012

HSBC USA Inc. 0.000% due 9/5/2013

HSBC USA Inc. average of the performances of the basket stocks, subject to a floor of 0%; if the return of stock is positive, its performance will be 5%; otherwise, its performance will be the greater of its return and negative 30%; payable annually due 8/29/2013

HSBC USA Inc. 0.000% due 9/2/2011

HSBC USA Inc. 0.000% due 8/31/2012

HSBC USA Inc. 0.000% due 8/30/2011

HSBC USA Inc. 0.000% due 11/25/2011

HSBC USA Inc. 0.000% due 9/29/2011

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 9/29/2011

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 2/29/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 2/29/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 2/29/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 2/29/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 9/12/2011

HSBC USA Inc. 0.000% due 12/22/2010

HSBC USA Inc. 0.000% due 8/24/2011

HSBC USA Inc. 11.640% due 8/22/2012

HSBC USA Inc. 9.720% due 8/22/2012

HSBC USA Inc. 11.000% due 8/18/2011

HSBC USA Inc. 0.000% due 8/29/2011

HSBC USA Inc. Average of the performances of the basket ADSs, subject to a floor of 0%; if the ADS return is positive, its performance will be 8.75%; otherwise, its performance will be the ADS return; payable annually due 8/17/2016

HSBC USA Inc. 0.000% due 8/16/2013

HSBC USA Inc. 0.000% due 8/5/2013

HSBC USA Inc. 0.000% due 8/22/2011

HSBC USA Inc. 0.000% due 8/4/2011

HSBC USA Inc. The average of the performances of the basket stocks and ADSs, subject to a floor of 0%; if the return of stock or ADS is positive, its performance will be 5.5%; otherwise, its performance will be the greater of its return and negative 30% due 8/1/2013

HSBC USA Inc. The average of the performances of the basket stocks, subject to a floor of 0.5%; if the return of stock is positive, its performance will be 6.5%; otherwise, its performance will be the greater of its return and negative 20%; payable annually due 7/30/2015

HSBC USA Inc. 0.000% due 8/2/2011

HSBC USA Inc. 0.000% due 7/31/2015

HSBC USA Inc. 0.000% due 8/29/2011

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 8/29/2011

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 8/10/2011

HSBC USA Inc. 10.000% due 1/21/2011

HSBC USA Inc. 9.250% due 1/21/2011

HSBC USA Inc. 0.000% due 7/5/2013

HSBC USA Inc. 0.000% due 1/11/2012

HSBC USA Inc. 0.000% due 6/3/2013

HSBC USA Inc. 9.600% due 6/29/2012

HSBC USA Inc. 11.520% due 6/29/2012

HSBC USA Inc. 0.000% due 7/1/2011

HSBC USA Inc. 0.000% due 6/28/2013

HSBC USA Inc. 0.000% due 6/30/2011

HSBC USA Inc. 0.000% due 1/26/2011

HSBC USA Inc. 0.000% due 6/29/2012

HSBC USA Inc. 0.000% due 9/28/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 9/28/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 9/28/2011

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 9/28/2011

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 9/28/2011

HSBC USA Inc. 0.000% due 12/28/2011

HSBC USA Inc. 0.000% due 6/26/2014

HSBC USA Inc. 0.000% due 12/8/2011

HSBC USA Inc. 0.000% due 6/3/2013

HSBC USA Inc. 0.000% due 6/17/2011

HSBC USA Inc. 0.000% due 6/1/2011

HSBC USA Inc. 0.000% due 5/29/2015

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 5/27/2016

HSBC USA Inc. 0.000% due 6/27/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 6/27/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 6/27/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 11/28/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 11/28/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 12/10/2010

HSBC USA Inc. 0.000% due 6/10/2011

HSBC USA Inc. 0.000% due 5/24/2014

HSBC USA Inc. 13.150% due 5/31/2011

HSBC USA Inc. 0.000% due 6/3/2011

HSBC USA Inc. 0.000% due 5/17/2011

HSBC USA Inc. 0.000% due 5/26/2011

HSBC USA Inc. 0.000% due 8/11/2010

HSBC USA Inc. 0.000% due 8/25/2010

HSBC USA Inc. 0.000% due 11/14/2011

HSBC USA Inc. 0.000% due 1/11/2012

HSBC USA Inc. 0.000% due 5/6/2013

HSBC USA Inc. 0.000% due 5/19/2011

HSBC USA Inc. 0.000% due 5/2/2011

HSBC USA Inc. 0.000% due 4/30/2013

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 5/31/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 5/31/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 5/31/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 10/28/2011

HSBC USA Inc. 9.000% due 4/28/2011

HSBC USA Inc. 0.000% due 5/12/2011

HSBC USA Inc. 0.000% due 10/31/2011

HSBC USA Inc. 0.000% due 4/22/2014

HSBC USA Inc. 0.000% due 5/5/2011

HSBC USA Inc. 0.000% due 4/14/2011

HSBC USA Inc. 0.000% due 10/11/2011

HSBC USA Inc. 0.000% due 4/1/2013

HSBC USA Inc. 0.000% due 3/31/2015

HSBC USA Inc. 8.800% due 3/30/2012

HSBC USA Inc. 8.900% due 3/30/2012

HSBC USA Inc. 0.000% due 3/31/2015

HSBC USA Inc. 0.000% due 4/5/2013

HSBC USA Inc. 0.000% due 4/12/2011

HSBC USA Inc. 0.000% due 4/29/2011

HSBC USA Inc. 0.000% due 6/29/2011

HSBC USA Inc. 0.000% due 9/29/2011

HSBC USA Inc. 0.000% due 6/29/2011

HSBC USA Inc. 0.000% due 9/29/2011

HSBC USA Inc. 0.000% due 6/29/2011

HSBC USA Inc. 8.000% due 3/29/2011

HSBC USA Inc. 0.000% due 3/25/2013

HSBC USA Inc. 0.000% due 3/25/2015

HSBC USA Inc. 19.000% due 3/28/2011

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 0.000% due 11/18/2014

HSBC USA Inc. 0.000% due 8/31/2011

HSBC USA Inc. 0.000% due 8/30/2011

HSBC USA Inc. 12.250% due 2/28/2011

HSBC USA Inc. 10.150% due 2/28/2011

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 0.000% due 3/24/2011

HSBC USA Inc. 0.000% due 5/24/2011

HSBC USA Inc. 0.000% due 3/24/2011

HSBC USA Inc. 0.000% due 5/24/2011

HSBC USA Inc. 0.000% due 3/24/2011

HSBC USA Inc. 0.000% due 8/24/2011

HSBC USA Inc. 0.000% due 5/24/2011

HSBC USA Inc. 0.000% due 8/24/2011

HSBC USA Inc. 0.000% due 5/24/2011

HSBC USA Inc. 0.000% due 8/24/2011

HSBC USA Inc. 0.000% due 5/24/2011

HSBC USA Inc. 13.500% due 2/28/2011

HSBC USA Inc. 8.500% due 2/28/2011

HSBC USA Inc. 0.000% due 8/25/2011

HSBC USA Inc. 0.000% due 8/18/2011

HSBC USA Inc. 0.000% due 8/11/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 8/11/2011

HSBC USA Inc. Year-over-year change in index plus 125 bps, capped at 7% beginning March 26, 2015; payable monthly due 2/26/2020

HSBC USA Inc. 0.000% due 8/12/2010

HSBC USA Inc. 0.000% due 2/22/2011

HSBC USA Inc. 0.000% due 2/17/2011

HSBC USA Inc. 0.000% due 2/3/2012

HSBC USA Inc. 0.000% due 8/4/2011

HSBC USA Inc. 0.000% due 7/29/2011

HSBC USA Inc. 0.000% due 1/31/2013

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 2/28/2011

HSBC USA Inc. 0.000% due 7/27/2011

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 2/28/2011

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 2/28/2011

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 7/27/2011

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 7/27/2011

HSBC USA Inc. 0.000% due 2/10/2011

HSBC USA Inc. 9.500% due 1/27/2011

HSBC USA Inc. 14.000% due 1/27/2011

HSBC USA Inc. 0.000% due 7/28/2011

HSBC USA Inc. 0.000% due 2/3/2011

HSBC USA Inc. 0.000% due 7/13/2011

HSBC USA Inc. 0.000% due 1/27/2011

HSBC USA Inc. 0.000% due 2/17/2011

HSBC USA Inc. 0.000% due 12/31/2014

HSBC USA Inc. 0.00% due 12/31/2012

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 1/28/2011

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 1/28/2011

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 1/28/2011

HSBC USA Inc. 0.000% due 6/28/2011

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 6/28/2011

HSBC USA Inc. 0.000% due 3/28/2011

HSBC USA Inc. 0.000% due 6/28/2011

HSBC USA Inc. 0.000% due 12/22/2011

HSBC USA Inc. 0.000% due 1/14/2011

HSBC USA Inc. 0.000% due 12/22/2010

HSBC USA Inc. 10.500% due 11/30/2011

HSBC USA Inc. 11.600% due 11/30/2011

HSBC USA Inc. 0.000% due 12/30/2010

HSBC USA Inc. 0.000% due 3/2/2011

HSBC USA Inc. 0.000% due 11/30/2012

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 5/25/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 5/25/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 5/25/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 12/8/2010

HSBC USA Inc. 0.000% due 11/21/2011

HSBC USA Inc. 0.000% due 11/18/2014

HSBC USA Inc. 0.000% due 11/24/2010

HSBC USA Inc. If any basket ETF closes below its trigger price on the coupon valuation date, 1%; otherwise, 6%; payable annually due 11/6/2015

HSBC USA Inc. 0.000% due 9/9/2011

HSBC USA Inc. 0.000% due 1/21/2010

HSBC USA Inc. 9.650% due 10/31/2011

HSBC USA Inc. 9.050% due 10/31/2011

HSBC USA Inc. 0.000% due 1/31/2011

HSBC USA Inc. 0.000% due 10/31/2012

HSBC USA Inc. 0.000% due 4/28/2011

HSBC USA Inc. 0.000% due 11/29/2010

HSBC USA Inc. 0.000% due 1/28/2011

HSBC USA Inc. 0.000% due 11/29/2010

HSBC USA Inc. 0.000% due 4/28/2011

HSBC USA Inc. 0.000% due 10/29/2012

HSBC USA Inc. 0.000% due 4/27/2011

HSBC USA Inc. 0.000% due 4/26/2011

HSBC USA Inc. 0.000% due 4/16/2011

HSBC USA Inc. 0.000% due 10/24/2011

HSBC USA Inc. 0.000% due 10/21/2011

HSBC USA Inc. 0.000% due 11/3/2010

HSBC USA Inc. 0.000% due 11/22/2010

HSBC USA Inc. 0.000% due 10/14/2011

HSBC USA Inc. 0.000% due 4/14/2011

HSBC USA Inc. 0.000% due 11/2/2011

HSBC USA Inc. 0.000% due 10/20/2010

HSBC USA Inc. 11.700% due 9/30/2011

HSBC USA Inc. 11.200% due 9/30/2011

HSBC USA Inc. 0.000% due 12/30/2010

HSBC USA Inc. 0.000% due 10/14/2010

HSBC USA Inc. 0.000% due 9/30/2014

HSBC USA Inc. 0.000% due 3/30/2010

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 0.000% due 3/24/2011

HSBC USA Inc. 0.000% due 10/6/2010

HSBC USA Inc. 0.000% due 9/9/2011

HSBC USA Inc. 0.000% due 9/23/2010

HSBC USA Inc. 0.000% due 3/10/2011

HSBC USA Inc. 0.000% due 3/3/2011

HSBC USA Inc. 0.000% due 8/29/2014

HSBC USA Inc. 0.000% due 8/31/2011

HSBC USA Inc. 0.000% due 8/31/2012

HSBC USA Inc. 0.000% due 8/29/2011

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 0.000% due 8/26/2011

HSBC USA Inc. 0.000% due 5/26/2010

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 10.000% due 8/23/2012

HSBC USA Inc. 0.000% due 2/17/2011

HSBC USA Inc. 9.760% due 2/19/2010

HSBC USA Inc. 8.500% due 2/19/2010

HSBC USA Inc. 0.000% due 5/25/2010

HSBC USA Inc. 0.000% due 2/17/2011

HSBC USA Inc. 0.000% due 2/10/2011

HSBC USA Inc. 0.000% due 2/3/2011

HSBC USA Inc. 0.000% due 2/4/2010

HSBC USA Inc. 0.000% due 5/6/2010

HSBC USA Inc. 0.000% due 2/3/2011

HSBC USA Inc. 9.700% due 7/29/2011

HSBC USA Inc. 10.350% due 7/29/2011

HSBC USA Inc. 10.150% due 7/29/2011

HSBC USA Inc. 0.000% due 8/3/2010

HSBC USA Inc. 0.000% due 7/31/2014

HSBC USA Inc. 0.000% due 7/31/2012

HSBC USA Inc. 0.000% due 7/29/2011

HSBC USA Inc. 0.000% due 1/27/2011

HSBC USA Inc. 0.000% due 7/27/2011

HSBC USA Inc. 0.000% due 7/28/2014

HSBC USA Inc. 0.000% due 10/25/2010

HSBC USA Inc. 0.000% due 1/20/2011

HSBC USA Inc. 0.000% due 1/19/2011

HSBC USA Inc. 0.000% due 1/15/2010

HSBC USA Inc. 0.000% due 1/27/2010

HSBC USA Inc. 0.000% due 7/22/2010

HSBC USA Inc. 0.000% due 1/7/2010

HSBC USA Inc. 0.000% due 7/15/2010

HSBC USA Inc. 0.000% due 12/30/2010

HSBC USA Inc. 0.000% due 6/29/2012

HSBC USA Inc. 0.000% due 6/26/2014

HSBC USA Inc. 0.000% due 9/17/2010

HSBC USA Inc. 0.000% due 6/30/2010

HSBC USA Inc. 0.000% due 7/15/2010

HSBC USA Inc. 0.000% due 12/16/2010

HSBC USA Inc. 9.700% due 6/16/2011

HSBC USA Inc. 0.000% due 6/12/2013

HSBC USA Inc. 0.000% due 12/9/2010

HSBC USA Inc. 0.000% due 6/16/2010

HSBC USA Inc. 0.000% due 12/3/2010

HSBC USA Inc. 0.000% due 6/4/2010

HSBC USA Inc. 0.000% due 6/2/2010

HSBC USA Inc. 0.000% due 8/31/2010

HSBC USA Inc. 0.000% due 5/28/2014

HSBC USA Inc. 0.000% due 11/26/2010

HSBC USA Inc. 0.000% due 11/29/2010

HSBC USA Inc. 0.000% due 5/25/2012

HSBC USA Inc. 0.000% due 8/20/2010

HSBC USA Inc. 0.000% due 11/19/2010

HSBC USA Inc. 0.000% due 9/3/2010

HSBC USA Inc. 0.000% due 11/12/2010

HSBC USA Inc. 0.000% due 11/5/2010

HSBC USA Inc. 0.000% due 4/29/2011

HSBC USA Inc. 0.000% due 5/3/2010

HSBC USA Inc. 16.000% due 4/30/2010

HSBC USA Inc. 0.000% due 5/3/2010

HSBC USA Inc. 0.000% due 10/29/2010

HSBC USA Inc. 0.000% due 5/5/2014

HSBC USA Inc. 0.000% due 4/30/2010

HSBC USA Inc. 0.000% due 10/22/2010

HSBC USA Inc. 0.000% due 10/15/2010

HSBC USA Inc. 3.000% due 4/1/2010

HSBC USA Inc. 0.000% due 9/30/2010

HSBC USA Inc. 0.000% due 4/14/2010

HSBC USA Inc. 0.000% due 9/30/2014

HSBC USA Inc. 0.000% due 9/30/2010

HSBC USA Inc. 0.000% due 4/14/2011

HSBC USA Inc. 0.000% due 4/1/2014

HSBC USA Inc. 0.000% due 5/18/2011

HSBC USA Inc. 0.000% due 3/31/2010

HSBC USA Inc. 0.000% due 9/16/2010

HSBC USA Inc. 0.000% due 4/13/2010

HSBC USA Inc. 0.000% due 3/24/2010

HSBC USA Inc. 0.000% due 3/23/2011

HSBC USA Inc. 0.000% due 3/9/2011

HSBC USA Inc. 0.000% due 3/17/2010

HSBC USA Inc. 0.000% due 8/27/2009

HSBC USA Inc. 0.000% due 8/29/2014

HSBC USA Inc. 0.000% due 3/3/2010

HSBC USA Inc. 0.000% due 3/10/2010

HSBC USA Inc. 0.000% due 3/9/2010

HSBC USA Inc. 0.000% due 3/9/2011

HSBC USA Inc. 0.000% due 8/18/2010

HSBC USA Inc. 3.000% due 2/22/2010

HSBC USA Inc. 0.000% due 3/1/2011

HSBC USA Inc. 0.000% due 2/22/2010

HSBC USA Inc. 0.000% due 2/10/2011

HSBC USA Inc. 0.000% due 2/24/2011

HSBC USA Inc. 0.000% due 2/10/2011

HSBC USA Inc. 0.000% due 2/24/2011

HSBC USA Inc. 0.000% due 4/1/2010

HSBC USA Inc. 0.000% due 2/18/2010

HSBC USA Inc. 0.000% due 2/3/2011

HSBC USA Inc. 0.000% due 2/16/2011

HSBC USA Inc. 0.000% due 2/3/2010

HSBC USA Inc. 0.000% due 3/31/2010

HSBC USA Inc. 0.000% due 7/28/2010

HSBC USA Inc. 0.000% due 7/30/2010

HSBC USA Inc. 0.000% due 2/1/2011

HSBC USA Inc. 0.000% due 7/31/2014

HSBC USA Inc. 0.000% due 1/27/2011

HSBC USA Inc. 0.000% due 2/9/2011

HSBC USA Inc. 0.000% due 1/31/2012

HSBC USA Inc. 0.000% due 2/3/2010

HSBC USA Inc. 0.000% due 2/22/2010

HSBC USA Inc. 22.000% due 7/20/2009

HSBC USA Inc. 0.000% due 7/16/2010

HSBC USA Inc. 0.000% due 1/27/2010

HSBC USA Inc. 0.000% due 6/29/2010

HSBC USA Inc. 0.000% due 12/29/2011

HSBC USA Inc. 0.000% due 6/29/2010

HSBC USA Inc. 0.000% due 12/31/2013

HSBC USA Inc. 0.000% due 12/23/2010

HSBC USA Inc. 0.000% due 12/24/2010

HSBC USA Inc. 0.000% due 1/6/2010

HSBC USA Inc. 0.000% due 6/23/2009

HSBC USA Inc. 0.000% due 12/23/2009

HSBC USA Inc. 0.000% due 6/16/2009

HSBC USA Inc. 0.000% due 5/29/2009

HSBC USA Inc. 0.000% due 12/15/2009

HSBC USA Inc. 0.000% due 12/3/2009

HSBC USA Inc. 14.000% due 3/2/2009

HSBC USA Inc. 0.000% due 5/28/2010

HSBC USA Inc. 0.000% due 1/28/2010

HSBC USA Inc. 0.00% due 12/28/2009

HSBC USA Inc. 0.000% due 12/28/2009

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 0.000% due 11/29/2013

HSBC USA Inc. 0.000% due 1/4/2010

HSBC USA Inc. 0.000% due 5/17/2010

HSBC USA Inc. 0.000% due 12/31/2009

HSBC USA Inc. 0.000% due 10/29/2009

HSBC USA Inc. 0.000% due 11/30/2009

HSBC USA Inc. 0.000% due 12/31/2009

HSBC USA Inc. 0.000% due 9/30/2013

HSBC USA Inc. 0.000% due 3/31/2010

HSBC USA Inc. 14.250% due 12/30/2008

HSBC USA Inc. 13.200% due 9/30/2009

HSBC USA Inc. 10.800% due 3/30/2009

HSBC USA Inc. 0.000% due 9/21/2009

HSBC USA Inc. 0.000% due 2/26/2010

HSBC USA Inc. 0.000% due 10/29/2009

HSBC USA Inc. 0.000% due 11/30/2009

HSBC USA Inc. 0.000% due 8/31/2009

HSBC USA Inc. 13.250% due 8/31/2009

HSBC USA Inc. 14.000% due 12/1/2008

HSBC USA Inc. 13.500% due 12/1/2008

HSBC USA Inc. 10.150% due 8/31/2009

HSBC USA Inc. 19.000% due 12/1/2008

HSBC USA Inc. 12.000% due 12/1/2008

HSBC USA Inc. 11.500% due 3/2/2009

HSBC USA Inc. 13.000% due 3/2/2009

HSBC USA Inc. 16.000% due 3/2/2009

HSBC USA Inc. 0.000% due 9/18/2009

HSBC USA Inc. 22.300% due 2/13/2009

HSBC USA Inc. 23.150% due 2/11/2009

HSBC USA Inc. 6.340% due 2/9/2009

HSBC USA Inc. 9.260% due 2/9/2009

HSBC USA Inc. 0.000% due 7/29/2011

HSBC USA Inc. 0.000% due 1/29/2010

HSBC USA Inc. 0.000% due 9/30/2009

HSBC USA Inc. 14.000% due 10/30/2008

HSBC USA Inc. 10.000% due 1/30/2009

HSBC USA Inc. 15.500% due 10/30/2008

HSBC USA Inc. 10.600% due 7/30/2009

HSBC USA Inc. 11.000% due 1/30/2009

HSBC USA Inc. 13.500% due 1/30/2009

HSBC USA Inc. 11.500% due 7/30/2009

HSBC USA Inc. 16.000% due 10/30/2008

HSBC USA Inc. 0.000% due 1/25/2010

HSBC USA Inc. 0.000% due 7/24/2009

HSBC USA Inc. 12.000% due 7/23/2009

HSBC USA Inc. 0.000% due 7/23/2009

HSBC USA Inc. 0.000% due 7/15/2009

HSBC USA Inc. 0.000% due 7/17/2014

HSBC USA Inc. 0.000% due 7/17/2013

HSBC USA Inc. 0.000% due 7/16/2010

HSBC USA Inc. 20.000% due 10/10/2008

HSBC USA Inc. 13.000% due 10/10/2008

HSBC USA Inc. 15.000% due 10/10/2008

HSBC USA Inc. 0.000% due 7/10/2009

HSBC USA Inc. 0.000% due 7/8/2010

HSBC USA Inc. 0.000% due 11/30/2009

HSBC USA Inc. 0.000% due 8/31/2009

HSBC USA Inc. 0.000% due 6/30/2011

HSBC USA Inc. 0.000% due 12/31/2009

HSBC USA Inc. 17.000% due 9/30/2008

HSBC USA Inc. 14.300% due 9/30/2008

HSBC USA Inc. 9.150% due 6/30/2009

HSBC USA Inc. 18.000% due 9/30/2008

HSBC USA Inc. 24.000% due 12/30/2008

HSBC USA Inc. 22.500% due 12/30/2008

HSBC USA Inc. 17.500% due 9/30/2008

HSBC USA Inc. 16.000% due 9/30/2008

HSBC USA Inc. 13.000% due 12/30/2008

HSBC USA Inc. 14.000% due 9/30/2008

HSBC USA Inc. 11.000% due 9/30/2008

HSBC USA Inc. 20.000% due 12/30/2008

HSBC USA Inc. 0.000% due 6/23/2011

HSBC USA Inc. 18.000% due 12/30/2008

HSBC USA Inc. 0.000% due 6/18/2010

HSBC USA Inc. 0.000% due 6/16/2023

HSBC USA Inc. 17.700% due 9/11/2008

HSBC USA Inc. 13.000% due 12/11/2008

HSBC USA Inc. 14.000% due 12/11/2008

HSBC USA Inc. 16.300% due 9/11/2008

HSBC USA Inc. 8.380% due 12/4/2008

HSBC USA Inc. 9.180% due 12/4/2008

HSBC USA Inc. 0.000% due 7/6/2009

HSBC USA Inc. 10.000% due 9/8/2008

HSBC USA Inc. 0.000% due 6/4/2010

HSBC USA Inc. 0.000% due 11/30/2009

HSBC USA Inc. 10.750% due 12/1/2008

HSBC USA Inc. 13.000% due 12/1/2008

HSBC USA Inc. 15.000% due 12/1/2008

HSBC USA Inc. 14.000% due 9/2/2008

HSBC USA Inc. 20.500% due 9/2/2008

HSBC USA Inc. 17.500% due 12/1/2008

HSBC USA Inc. 10.500% due 12/1/2008

HSBC USA Inc. 16.500% due 9/2/2008

HSBC USA Inc. 15.000% due 9/2/2008

HSBC USA Inc. 14.000% due 12/1/2008

HSBC USA Inc. 15.300% due 9/2/2008

HSBC USA Inc. 11.750% due 12/1/2008

HSBC USA Inc. 20.400% due 12/1/2008

HSBC USA Inc. 10.000% due 8/29/2008

HSBC USA Inc. 0.000% due 6/1/2010

HSBC USA Inc. 0.000% due 7/23/2009

HSBC USA Inc. 10.000% due 8/22/2008

HSBC USA Inc. 0.000% due 5/24/2010

HSBC USA Inc. 0.000% due 11/18/2009

HSBC USA Inc. 15.200% due 11/12/2008

HSBC USA Inc. 13.000% due 11/7/2008

HSBC USA Inc. 14.000% due 11/7/2008

HSBC USA Inc. 16.300% due 11/7/2008

HSBC USA Inc. 0.000% due 4/28/2009

HSBC USA Inc. 0.000% due 6/30/2009

HSBC USA Inc. 0.000% due 4/30/2013

HSBC USA Inc. 0.000% due 10/30/2009

HSBC USA Inc. 13.000% due 10/30/2008

HSBC USA Inc. 13.650% due 10/30/2008

HSBC USA Inc. 24.000% due 7/30/2008

HSBC USA Inc. 11.400% due 10/30/2008

HSBC USA Inc. 14.000% due 10/30/2008

HSBC USA Inc. 11.400% due 10/30/2008

HSBC USA Inc. 11.800% due 10/30/2008

HSBC USA Inc. 13.000% due 10/30/2008

HSBC USA Inc. 19.000% due 7/30/2008

HSBC USA Inc. 15.250% due 7/30/2008

HSBC USA Inc. 14.30% due 10/30/2008

HSBC USA Inc. 11.80% due 10/30/2008

HSBC USA Inc. 25.000% due 10/30/2008

HSBC USA Inc. 0.000% due 1/29/2010

HSBC USA Inc. 10.300% due 10/30/2008

HSBC USA Inc. 0.000% due 10/26/2009

HSBC USA Inc. 18.000% due 10/23/2008

HSBC USA Inc. 10.250% due 4/22/2009

HSBC USA Inc. 0.000% due 5/22/2009

HSBC USA Inc. 10.600% due 7/17/2008

HSBC USA Inc. 14.600% due 10/15/2008

HSBC USA Inc. 17.000% due 10/14/2008

HSBC USA Inc. 0.000% due 4/30/2009

HSBC USA Inc. 28.600% due 10/14/2008

HSBC USA Inc. 15.200% due 7/9/2008

HSBC USA Inc. 26.600% due 7/9/2008

HSBC USA Inc. 10.500% due 10/9/2008

HSBC USA Inc. 0.000% due 4/7/2010

HSBC USA Inc. 10.210% due 3/31/2009

HSBC USA Inc. 0.000% due 9/30/2009

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 0.000% due 3/29/2013

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 9.600% due 10/1/2008

HSBC USA Inc. 12.100% due 10/1/2008

HSBC USA Inc. 30.000% due 7/1/2008

HSBC USA Inc. 12.250% due 10/1/2008

HSBC USA Inc. 10.600% due 10/1/2008

HSBC USA Inc. 11.000% due 10/1/2008

HSBC USA Inc. 15.000% due 7/1/2008

HSBC USA Inc. 15.000% due 10/1/2008

HSBC USA Inc. 17.100% due 7/1/2008

HSBC USA Inc. 0.000% due 5/29/2009

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 17.250% due 7/1/2008

HSBC USA Inc. 14.950% due 7/3/2008

HSBC USA Inc. 13.000% due 7/3/2008

HSBC USA Inc. 0.000% due 3/27/2009

HSBC USA Inc. 0.000% due 5/26/2009

HSBC USA Inc. 22.100% due 9/17/2008

HSBC USA Inc. 0.000% due 3/23/2009

HSBC USA Inc. 15.000% due 9/11/2008

HSBC USA Inc. 14.000% due 9/11/2008

HSBC USA Inc. 17.000% due 9/11/2008

HSBC USA Inc. 19.000% due 6/11/2008

HSBC USA Inc. 0.000% due 4/7/2009

HSBC USA Inc. 9.2% times proportion of days during the interest period that six-month Libor is between 0% and 6.5% due 3/6/2023

HSBC USA Inc. 0.000% due 6/8/2009

HSBC USA Inc. 14.500% due 3/3/2009

HSBC USA Inc. 0.000% due 2/28/2013

HSBC USA Inc. 14.500% due 5/30/2008

HSBC USA Inc. 11.300% due 8/29/2008

HSBC USA Inc. 10.250% due 8/29/2008

HSBC USA Inc. 15.890% due 8/29/2008

HSBC USA Inc. 10.250% due 5/30/2008

HSBC USA Inc. 9.500% due 8/29/2008

HSBC USA Inc. 10.000% due 8/29/2008

HSBC USA Inc. 18.000% due 5/30/2008

HSBC USA Inc. 14.300% due 5/30/2008

HSBC USA Inc. 14.000% due 8/29/2008

HSBC USA Inc. 18.000% due 8/29/2008

HSBC USA Inc. 14.000% due 5/30/2008

HSBC USA Inc. 15.400% due 8/28/2008

HSBC USA Inc. 0.000% due 2/25/2011

HSBC USA Inc. 8.660% due 8/25/2008

HSBC USA Inc. 9.520% due 8/25/2008

HSBC USA Inc. 10.060% due 8/25/2008

HSBC USA Inc. 8.860% due 8/25/2008

HSBC USA Inc. 8.820% due 8/25/2008

HSBC USA Inc. 13.100% due 8/26/2008

HSBC USA Inc. 10.350% due 8/26/2008

HSBC USA Inc. 11.700% due 8/26/2008

HSBC USA Inc. 0.000% due 3/19/2009

HSBC USA Inc. 0.000% due 11/17/2010

HSBC USA Inc. 23.300% due 8/19/2008

HSBC USA Inc. 12.700% due 8/13/2008

HSBC USA Inc. 20.000% due 8/13/2008

HSBC USA Inc. 13.600% due 8/13/2008

HSBC USA Inc. 15.000% due 5/13/2008

HSBC USA Inc. 19.500% due 5/13/2008

HSBC USA Inc. 16.250% due 7/31/2008

HSBC USA Inc. 0.000% due 1/30/2012

HSBC USA Inc. 20.000% due 4/28/2008

HSBC USA Inc. 16.000% due 7/28/2008

HSBC USA Inc. 26.000% due 4/28/2008

HSBC USA Inc. 16.400% due 7/28/2008

HSBC USA Inc. 13.000% due 4/28/2008

HSBC USA Inc. 12.000% due 7/28/2008

HSBC USA Inc. 14.250% due 7/28/2008

HSBC USA Inc. 20.000% due 7/28/2008

HSBC USA Inc. 22.750% due 7/31/2008

HSBC USA Inc. 15.000% due 7/28/2008

HSBC USA Inc. 0.000% due 1/31/2012

HSBC USA Inc. 14.500% due 7/31/2008

HSBC USA Inc. 12.000% due 4/30/2008

HSBC USA Inc. 10.000% due 7/30/2008

HSBC USA Inc. 0.000% due 1/30/2011

HSBC USA Inc. 10.650% due 7/22/2008

HSBC USA Inc. 0.000% due 2/17/2009

HSBC USA Inc. 21.450% due 7/16/2008

HSBC USA Inc. 0.000% due 1/28/2009

HSBC USA Inc. 21.000% due 4/9/2008

HSBC USA Inc. 16.050% due 6/25/2008

HSBC USA Inc. 0.000% due 1/5/2011

HSBC USA Inc. 27.200% due 6/30/2008

HSBC USA Inc. 0.000% due 12/31/2012

HSBC USA Inc. 25.000% due 6/25/2008

HSBC USA Inc. 11.750% due 12/24/2008

HSBC USA Inc. 20.000% due 6/25/2008

HSBC USA Inc. 14.000% due 3/26/2008

HSBC USA Inc. 16.500% due 6/25/2008

HSBC USA Inc. 11.500% due 6/25/2008

HSBC USA Inc. 17.500% due 6/25/2008

HSBC USA Inc. 30.000% due 3/26/2008

HSBC USA Inc. 20.000% due 3/26/2008

HSBC USA Inc. 14.000% due 3/26/2008

HSBC USA Inc. 16.100% due 3/27/2008

HSBC USA Inc. 18.500% due 6/25/2008

HSBC USA Inc. 17.500% due 6/25/2008

HSBC USA Inc. 10.250% due 6/26/2008

HSBC USA Inc. 11.050% due 6/24/2008

HSBC USA Inc. 16.300% due 4/3/2008

HSBC USA Inc. 15.500% due 6/18/2008

HSBC USA Inc. 9.100% due 12/17/2008

HSBC USA Inc. 13.500% due 6/12/2008

HSBC USA Inc. 22.000% due 3/12/2008

HSBC USA Inc. 18.200% due 3/12/2008

HSBC USA Inc. 14.300% due 3/12/2008

HSBC USA Inc. 16.700% due 3/12/2008

HSBC USA Inc. 27.000% due 5/30/2008

HSBC USA Inc. 0.000% due 11/30/2011

HSBC USA Inc. 15.850% due 3/3/2008

HSBC USA Inc. 12.280% due 5/26/2008

HSBC USA Inc. 15.000% due 2/27/2008

HSBC USA Inc. 11.300% due 5/26/2008

HSBC USA Inc. 14.700% due 5/26/2008

HSBC USA Inc. 8.450% due 5/26/2008

HSBC USA Inc. 8.000% due 5/26/2008

HSBC USA Inc. 10.000% due 5/21/2008

HSBC USA Inc. 12.000% due 5/30/2008

HSBC USA Inc. 18.000% due 5/30/2008

HSBC USA Inc. 20.000% due 3/3/2008

HSBC USA Inc. 27.500% due 5/30/2008

HSBC USA Inc. 15.000% due 5/30/2008

HSBC USA Inc. 17.500% due 2/25/2008

HSBC USA Inc. 38.000% due 3/3/2008

HSBC USA Inc. 10.800% due 5/23/2008

HSBC USA Inc. 16.250% due 3/3/2008

HSBC USA Inc. 13.500% due 5/30/2008

HSBC USA Inc. 16.500% due 3/3/2008

HSBC USA Inc. 16.000% due 3/3/2008

HSBC USA Inc. 21.000% due 3/3/2008

HSBC USA Inc. 0.000% due 11/21/2012

HSBC USA Inc. 17.000% due 5/16/2008

HSBC USA Inc. 12.250% due 5/15/2008

HSBC USA Inc. 0.000% due 11/14/2012

HSBC USA Inc. 10.000% due 11/13/2008

HSBC USA Inc. 9.000% due 5/12/2008

HSBC USA Inc. 40.000% due 2/14/2008

HSBC USA Inc. 32.300% due 11/3/2008

HSBC USA Inc. 21.000% due 10/31/2008

HSBC USA Inc. 0.000% due 11/3/2008

HSBC USA Inc. 0.000% due 4/30/2009

HSBC USA Inc. 0.000% due 10/31/2008

HSBC USA Inc. 0.000% due 4/30/2009

HSBC USA Inc. 22.000% due 1/31/2008

HSBC USA Inc. 13.000% due 4/30/2008

HSBC USA Inc. 16.000% due 1/31/2008

HSBC USA Inc. 11.500% due 4/30/2008

HSBC USA Inc. 13.500% due 4/30/2008

HSBC USA Inc. 29.300% due 4/30/2008

HSBC USA Inc. 33.000% due 1/31/2008

HSBC USA Inc. 14.500% due 4/30/2008

HSBC USA Inc. 15.000% due 4/30/2008

HSBC USA Inc. 11.500% due 4/30/2008

HSBC USA Inc. 16.000% due 4/30/2008

HSBC USA Inc. 12.000% due 4/30/2008

HSBC USA Inc. 21.000% due 4/30/2008

HSBC USA Inc. 10.500% due 9/26/2008

HSBC USA Inc. 16.450% due 1/31/2008

HSBC USA Inc. 16.750% due 1/29/2008

HSBC USA Inc. 16.750% due 1/28/2008

HSBC USA Inc. 12.000% due 4/23/2008

HSBC USA Inc. 15.300% due 1/23/2008

HSBC USA Inc. 10.500% due 4/23/2008

HSBC USA Inc. 26.250% due 4/23/2008

HSBC USA Inc. 21.000% due 4/22/2008

HSBC USA Inc. 15.000% due 4/16/2008

HSBC USA Inc. 12.000% due 4/16/2008

HSBC USA Inc. 13.250% due 4/17/2008

HSBC USA Inc. 23.000% due 1/11/2008

HSBC USA Inc. 11.250% due 4/11/2008

HSBC USA Inc. 25.000% due 4/11/2008

HSBC USA Inc. 10.000% due 4/11/2008

HSBC USA Inc. 27.000% due 4/9/2008

HSBC USA Inc. 20.000% due 1/7/2008

HSBC USA Inc. 22.000% due 1/7/2008

HSBC USA Inc. 17.500% due 10/3/2008

HSBC USA Inc. 0.000% due 9/30/2008

HSBC USA Inc. 0.000% due 9/28/2012

HSBC USA Inc. 0.000% due 3/31/2009

HSBC USA Inc. 21.000% due 12/31/2007

HSBC USA Inc. 21.500% due 12/31/2007

HSBC USA Inc. 19.000% due 12/31/2007

HSBC USA Inc. 21.000% due 3/28/2008

HSBC USA Inc. 25.000% due 3/28/2008

HSBC USA Inc. 17.000% due 12/31/2007

HSBC USA Inc. 16.000% due 12/31/2007

HSBC USA Inc. 32.200% due 12/31/2007

HSBC USA Inc. 12.250% due 12/31/2007

HSBC USA Inc. 15.650% due 3/28/2008

HSBC USA Inc. 18.500% due 12/31/2007

HSBC USA Inc. 22.500% due 9/26/2008

HSBC USA Inc. 20.000% due 9/26/2008

HSBC USA Inc. 10.100% due 3/27/2008

HSBC USA Inc. 18.050% due 12/27/2007

HSBC USA Inc. 17.850% due 3/27/2008

HSBC USA Inc. 20.250% due 12/27/2007

HSBC USA Inc. 18.550% due 12/27/2007

HSBC USA Inc. 9.500% due 3/27/2008

HSBC USA Inc. 24.125% due 9/19/2008

HSBC USA Inc. 0.000% due 1/13/2009

HSBC USA Inc. 14.000% due 3/12/2008

HSBC USA Inc. 13.250% due 3/12/2008

HSBC USA Inc. 15.000% due 12/12/2007

HSBC USA Inc. 12.300% due 3/13/2008

HSBC USA Inc. 0.000% due 8/31/2010

HSBC USA Inc. 20.000% due 12/3/2007

HSBC USA Inc. 14.250% due 9/3/2008

HSBC USA Inc. 20.000% due 12/3/2007

HSBC USA Inc. 11.000% due 3/4/2008

HSBC USA Inc. 20.250% due 12/3/2007

HSBC USA Inc. 13.250% due 3/4/2008

HSBC USA Inc. 14.500% due 3/4/2008

HSBC USA Inc. 0.000% due 10/30/2008

HSBC USA Inc. 20.000% due 8/28/2008

HSBC USA Inc. 17.000% due 2/28/2008

HSBC USA Inc. 20.250% due 2/28/2008

HSBC USA Inc. 18.250% due 2/27/2008

HSBC USA Inc. 40.750% due 11/26/2007

HSBC USA Inc. 12.150% due 2/14/2008

HSBC USA Inc. 19.000% due 11/20/2007

HSBC USA Inc. 15.500% due 2/13/2008

HSBC USA Inc. 25.000% due 2/13/2008

HSBC USA Inc. 17.500% due 7/30/2008

HSBC USA Inc. 32.000% due 1/30/2008

HSBC USA Inc. 22.500% due 1/30/2008

HSBC USA Inc. 14.000% due 1/29/2008

HSBC USA Inc. 20.600% due 1/29/2008

HSBC USA Inc. 20.200% due 1/29/2008

HSBC USA Inc. 24.000% due 10/29/2007

HSBC USA Inc. 20.500% due 10/29/2007

HSBC USA Inc. 19.800% due 1/29/2008

HSBC USA Inc. 12.750% due 1/29/2008

HSBC USA Inc. 19.300% due 10/29/2007

HSBC USA Inc. 12.000% due 7/29/2008

HSBC USA Inc. 21.000% due 10/29/2007

HSBC USA Inc. 20.000% due 10/29/2007

HSBC USA Inc. 17.000% due 10/29/2007

HSBC USA Inc. 16.000% due 1/29/2008

HSBC USA Inc. 0.000% due 8/25/2008

HSBC USA Inc. 15.500% due 10/22/2007

HSBC USA Inc. 0.000% due 7/21/2010

HSBC USA Inc. 0.000% due 7/20/2012

HSBC USA Inc. 14.000% due 1/10/2008

HSBC USA Inc. 16.550% due 10/3/2008

HSBC USA Inc. 14.400% due 10/3/2008

HSBC USA Inc. 23.300% due 10/3/2008

HSBC USA Inc. 16.500% due 10/3/2008

HSBC USA Inc. 17.300% due 1/3/2008

HSBC USA Inc. 22.500% due 10/1/2007

HSBC USA Inc. 15.500% due 12/31/2007

HSBC USA Inc. 0.000% due 6/30/2010

HSBC USA Inc. 0.000% due 12/31/2008

HSBC USA Inc. 26.100% due 10/2/2007

HSBC USA Inc. 17.700% due 9/27/2007

HSBC USA Inc. 20.000% due 9/27/2007

HSBC USA Inc. 12.350% due 9/27/2007

HSBC USA Inc. 30.900% due 9/27/2007

HSBC USA Inc. 11.350% due 12/28/2007

HSBC USA Inc. 10.700% due 12/28/2007

HSBC USA Inc. 0.000% due 5/28/2010

HSBC USA Inc. 17.100% due 11/29/2007

HSBC USA Inc. 8.000% due 5/30/2008

HSBC USA Inc. 11.450% due 11/29/2007

HSBC USA Inc. 25.000% due 8/29/2007

HSBC USA Inc. 12.850% due 8/29/2007

HSBC USA Inc. 25.000% due 8/29/2007

HSBC USA Inc. 20.000% due 8/29/2007

HSBC USA Inc. 10.000% due 11/21/2007

HSBC USA Inc. 10.150% due 11/21/2007

HSBC USA Inc. 34.750% due 8/22/2007

HSBC USA Inc. 12.000% due 11/21/2007

HSBC USA Inc. 19.750% due 8/22/2007

HSBC USA Inc. 15.000% due 11/13/2007

HSBC USA Inc. 13.000% due 7/30/2007

HSBC USA Inc. 10.000% due 4/30/2008

HSBC USA Inc. 11.500% due 10/30/2007

HSBC USA Inc. 8.250% due 7/30/2007

HSBC USA Inc. 11.500% due 10/30/2007

HSBC USA Inc. 12.200% due 7/30/2007

HSBC USA Inc. 25.250% due 7/30/2007

HSBC USA Inc. 11.200% due 4/30/2008

HSBC USA Inc. 11.000% due 4/30/2008

HSBC USA Inc. 8.000% due 7/30/2007

HSBC USA Inc. 10.000% due 4/30/2008

HSBC USA Inc. 10.250% due 4/30/2008

HSBC USA Inc. 13.150% due 10/30/2007

HSBC USA Inc. 14.000% due 10/30/2007

HSBC USA Inc. 14.000% due 7/30/2007

HSBC USA Inc. 29.000% due 7/30/2007

HSBC USA Inc. 14.800% due 7/30/2007

HSBC USA Inc. 0.000% due 3/31/2011

HSBC USA Inc. 12.550% due 9/27/2007

HSBC USA Inc. 11.750% due 3/27/2008

HSBC USA Inc. 22.000% due 6/28/2007

HSBC USA Inc. 13.200% due 9/27/2007

HSBC USA Inc. 18.750% due 6/28/2007

HSBC USA Inc. 12.800% due 9/27/2007

HSBC USA Inc. 29.250% due 6/28/2007

HSBC USA Inc. 14.750% due 9/27/2007

HSBC USA Inc. 13.300% due 9/20/2007

HSBC USA Inc. 15.000% due 9/10/2007

HSBC USA Inc. 13.000% due 9/4/2007

HSBC USA Inc. 13.000% due 8/28/2007

HSBC USA Inc. 0.000% due 8/26/2010

HSBC USA Inc. 8.400% due 2/28/2008

HSBC USA Inc. 10.000% due 2/28/2008

HSBC USA Inc. 8.500% due 2/28/2008

HSBC USA Inc. 13.000% due 5/29/2007

HSBC USA Inc. 13.500% due 8/28/2007

HSBC USA Inc. 9.000% due 8/28/2007

HSBC USA Inc. 22.600% due 8/28/2007

HSBC USA Inc. 9.650% due 2/28/2008

HSBC USA Inc. 20.500% due 5/29/2007

HSBC USA Inc. 16.200% due 7/31/2007

HSBC USA Inc. 16.000% due 4/30/2007

HSBC USA Inc. 15.000% due 7/31/2007

HSBC USA Inc. 17.500% due 7/31/2007

HSBC USA Inc. 17.000% due 5/3/2007

HSBC USA Inc. 19.500% due 4/30/2007

HSBC USA Inc. 19.000% due 7/31/2007

HSBC USA Inc. 32.250% due 5/3/2007

HSBC USA Inc. 13.000% due 1/31/2008

HSBC USA Inc. 15.750% due 7/31/2007

HSBC USA Inc. 13.250% due 4/30/2007

HSBC USA Inc. 13.250% due 1/28/2008

HSBC USA Inc. 8.250% due 1/28/2008

HSBC USA Inc. 12.250% due 1/28/2008

HSBC USA Inc. 18.250% due 4/27/2007

HSBC USA Inc. 9.500% due 12/26/2007

HSBC USA Inc. 9.500% due 6/26/2007

HSBC USA Inc. 10.200% due 6/26/2007

HSBC USA Inc. 13.000% due 12/26/2007

HSBC USA Inc. 14.000% due 6/26/2007

HSBC USA Inc. 14.400% due 6/26/2007

HSBC USA Inc. 17.300% due 6/26/2007

HSBC USA Inc. 25.800% due 3/26/2007

HSBC USA Inc. 15.250% due 11/30/2007

HSBC USA Inc. 9.250% due 11/30/2007

HSBC USA Inc. 8.500% due 11/30/2007

HSBC USA Inc. 12.000% due 11/30/2007

HSBC USA Inc. 0.000% due 2/28/2011

HSBC USA Inc. 9.000% due 11/27/2007

HSBC USA Inc. 11.250% due 5/24/2007

HSBC USA Inc. 14.000% due 5/24/2007

HSBC USA Inc. 12.350% due 5/25/2007

HSBC USA Inc. 15.600% due 5/29/2007

HSBC USA Inc. 9.000% due 10/31/2007

HSBC USA Inc. 18.000% due 10/31/2007

HSBC USA Inc. 14.000% due 10/31/2007

HSBC USA Inc. 13.250% due 10/31/2007

HSBC USA Inc. 11.500% due 10/31/2007

HSBC USA Inc. 15.000% due 1/26/2007

HSBC USA Inc. 12.500% due 10/28/2007

HSBC USA Inc. 15.000% due 1/26/2007

HSBC USA Inc. 12.000% due 9/28/2007

HSBC USA Inc. 11.000% due 9/28/2007

HSBC USA Inc. 10.500% due 9/28/2007

HSBC USA Inc. 15.000% due 9/28/2007

HSBC USA Inc. 14.000% due 9/28/2007

HSBC USA Inc. 17.750% due 12/29/2006

HSBC USA Inc. 17.000% due 3/29/2007

HSBC USA Inc. 20.250% due 12/29/2006

HSBC USA Inc. 16.250% due 3/29/2007

HSBC USA Inc. 30.000% due 12/29/2006

HSBC USA Inc. 9.000% due 9/21/2007

HSBC USA Inc. 18.000% due 11/30/2006

HSBC USA Inc. 22.800% due 11/30/2006

HSBC USA Inc. 21.000% due 2/28/2007

HSBC USA Inc. 18.000% due 11/30/2006

HSBC USA Inc. 16.800% due 11/30/2006

HSBC USA Inc. 9.500% due 8/31/2007

HSBC USA Inc. 9.500% due 8/17/2007

HSBC USA Inc. 0.000% due 1/27/2010

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