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 *YTD return for current year Yearly Average Monthly Allocation – Simulated & Historical Quarterly Average Monthly Allocation - Simulated & Historical

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Risks related to the index Please review carefully these risk factors, and any risk factors in an offering document for any security or financial instrument referencing the Index, before making any investment. S&P, the Index Calculation Agent, may adjus t the Index in a way that affects its level,and S&P has no obligation to consider your interests The Index may not be successfuland may not outperform any olternot1ve strotegy Hwt might be employed 1n respect of the ETFs or och1eve its target volatility. The Index hos o limited opernting history and moy perform in unnnticiputed ways. The ETFs composing the Index may be replaced by a substitute ETF in certain extraordinary events. The Index may perform poorly during periods character ized by short-term volatility. An investment linked to the Index carries the risks associated with the Index's momentum investment strategy. The Index may be partially uninvested. Correlation of performonces omong the ETFs m<Jy reduce the perform<Jnce of the Index. The Index is subject to market risks Changes in the value of the ETFs may off set each other. The level of the Index will include the deduction of a change in the ICE LIBOR USD 3 Month interest rate and a fee The Index comprises notional assets. Important Information Any i nformation relating to performance contained in these materials prior to March 15,2017 is illustrative only. No assurance is giventhat 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 This document may be amended, superseded or replaced in its entirety by a subsequent term sheet,disclosure or prospectus supplement, and/or offering circular or similar document and the documents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 between the 1nformat1on 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 similm document shiJll 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 const tuents have not traded together 1 n the manner shown 1 n the composite hypothetical historical results. No representation is being made that the indices will achieve a performance record similar to t11at shown. In fact, there may often be sharp differences between hypothetical performance and actual performance. Back-testing and other statisticalanalysis materialprovided to you in connection with the explanations of the potential returns assoc iated with an investment in the Index use simulated analysis and hypothetical assumptions 1n order to illustrate the manner 1n which the Index may have performed 1n periods prior to the actual existence of the Index . The hypothetical bock-tested annualized perfornwnce and annualized volatility of the Index hove inherent limitations. These performonce <ind voliltility results were achieved by means of a retroactive applicotion of a bock-tested volatility model designed w ith the benefit of hindsight. All hypothetical levels shown have inherent limitmions . Alternmive modelling techniques or assumptions may produce diff erent hypothetical information that might prove to be more appropr iate and that might differ significantly from the hypothetical information set forth above.Actualannualized performance and volatilities may vary materially from the information shown. The results obtained from "bock-testing" information should not be considered indicative of octunl results that might be obtained f rom nn investment or porticipiltion in D f1nnnciol instrument or transaction referencing the Index.You should not ploce undue reliance on the "buck-testing" information, which is provided for illustrntive purposes only. HSBC provides no assurance or guarantee that the Index will operate or would have operated in the past in a manner consistent with the results presented 1n these materials . Hypothetical back-tested results are neither an indicator nor a guarantee of future returns.Actual results will vary, perhaps materially, from the analysis implied 1n the hypothetical information. You should review nnd consider the hypothetic<JI informmion only with the full Index methodology. HSBC hos filed il registration stiltement (including a prospectus ond prospectus supplement) with the Securities nnd Exchange Commission for <Jny 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 f iled with the SEC for more comp lete 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 if you request them by calling to l-free l-866-811-804g. Data sourced and calculated by Bloomberg and HSBC. HSBC Vantage 5 Index (the "Index") is the exclusive property of HSBC Bank pie and its affiliates, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Ind ces LLC) to administer, maintain and calculate the Index. The Index is not endorsed by S&P or its affiliates or its third-party licensors,including Standard & Poor's Financial Services LLC and Dow Jones Trndemilrk Holdings LLC (collectively "S&P Dow Jones Indices") . "Cillculnted by S&P Custom Indices" nnd its related stylized mork(s! nre service mmks 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 Indices shall have no liab ility for any errors or omissions in calculating the Index. HSBC Bank pie, as the index owner, makes no express or 1mpl1ed representations or warranties 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 financial transaction linked to the Index or Id) any other matter. Calculations may be based on i nformation 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. ' This cap can increase 1n increments of 10% (subject to a maximum weight of 100%) as described further in the offering document. IDHSBC ISSUER FREE WRITING PROSPECTUS Filed Pursuont to Rule 433 Registration Statement No. 333-253385 July 15, 2021