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Important Information Any 1nformat1on relating to pertormance contained in these materials prior to March 15, 2017 1s illustrative only. No assurance 1s given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. Any specific terms or methodology remains subject to change, and HSBC undertakes no duty to update this information. This document may be amended, superseded or replaced in its entirety by a subsequent term sheet, disclosure or prospectus supplement, and/or offering circular or similar document and the documents referred to therein. In the event of any inconsistency betvveen the information presented herein and any such term sheet, disclosure or prospectus supplement, and/or offering circular or similar document, such term sheet, disclosure or prospectus supplement, and/or offering circular or similar document shall govern Use of simulated returns Any historical performance information included in this document prior to March 15, 2017 represents only hypothetical historical results . You should note that the index constituents have not traded toget her in the manner shown in the composite hypothetical historical results. No representation 1s being made that the indices will achieve a performance record similar to that shown. In fact, there may often be sharp differences between hypothetical performance and actual performance. Back-testing and other statistical analysis material provided to you in connection with the explanations of the potentialreturns associated with an investment 1n the Index use simulated analysis and hypothetical assumptions in order to illustrate the manner in which the Index may have performed in periods prior to the actual existence of the Index. The hypothetical back-tested annualized performance and annualized volatility of the Index have inherent limitations. These performance and volat1l1ty results were achieved by means of a retroactive application of a back-tested volatility model designed with the benef it of hindsight. All hypothetical levels shown have inherent limitations. Alternative modelling techniques or assumptions may produce different hypothetical information that might prove to be more appropriate and that might differ significantly from the hypothetical information set forth above. Actua l annualized performance and volat1l1t1es may vary materially from the information shown. The results obtained from "back-testing" information should not be considered indicative of actualresults that might be obtained from an investment or participation in a financial instrument or tra nsaction referencing the Index. You should not place undue reliance on the "back-testing" informat ion, which is provided for il ustrative purposes only. HSBC provides no assurance or guarantee that the I ndex will operate or would have operated in the past in a manner consistent with the results presented in these materials. Hypothetical back-tested results are neither an indicator nor a guarantee of f uture returns . Actual results will va ry, perhaps materially, from the analysis implied in the hypothetica l information. You should review and consider the hypothetical information only with the full Index methodology. HSBC has filed a registration statement (including a prospectus and prospectus supplement) with the Securities and Exchange Commission for any offering to which this free writing prospectus may relate. Before you invest, you should read the prospectus and prospectus supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and any related offering. You may get these documents for free by visiting EDGAR on the SEC's web site at www.sec.gov. Alternatively, HSBC Securities (USA) Inc. or any dealer participating in the related offering will arrange to send you the prospectus and prospectus supplement 1f you request them by calling toll-free 1-866-811-8049. Data sourced
and calculated by Bloomberg and HSBC. HSBC Vantage5 Index (the "Index") is the exclusive property of HSBC Bank pie and its aff 1l1ates, which has contracted with S&P Opco, LLC {a subsidiary of S&P Dow Jones Indices LLCI to administer , maintain and calculate the Index. The Index is not endorsed by S&P or its affiliates or its thi rd-party licensors, includ ng Standard & Poor's Financial Services LLC and Dow Jones Trademark Holdings LLC (collectively "S&P Dow Jones Indices") "Calculated by S&P Custom Indices" and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been licensed for use by HSBC Bank pie and its affiliates. S&P® is a registered trademark of Standard & Poor's Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. S&P Dow Jones nd ces shall have no liability for any errors or omissions in calculating the Index HSBC Bank pie, as the index owner, makes no express or implied representations or warra nties as to (a) the advisability of purchasing or assuming any risk in connection with any transaction or investment linked to the Index, (b) the levels at which the Index stands at any particular time on any particular date, (c) the results to be obtained by any party from the use of the Index or any data included in it for the purposes of issuing any financial instruments or carrying out any financia l tra nsaction linked to the Index or (d) any other matter. Calculations may be based on 1nformat1on obtained from various publicly available sources. The index calculation agent has relied on these sources and has not independently verified the information extracted from these sources and accept no responsibility or liability in respect thereof. 1 This cap can increase 1n increments of 10% (subj ect to a maximum weight of 100%) as described further in the offering document. IDHSBC ISSUER FREE WR ITING PROSPECTUS Filed Pursuant to Rule 433 Registration Statement No. 333-223208 February 4, 202 1 |
