Based on the Worst Performing of the Russell 2000^®Index, the S&P 500^® Index and the Nasdaq-100 Index^®

The Contingent Income Callable Securities, which we refer to as the securities, do not guarantee the payment of interest or the repayment of the stated principal amount. Instead, the securities offer the opportunity for investors to earn a contingent quarterly payment at an annual rate of at least 12.00% (to be determined on the pricing date) of the stated principal amount, but only if the closing level of each underlying index on every scheduled trading day during the relevant quarterly observation period is greater than or equal to 75% of its initial index level, which we refer to as the coupon barrier level. The securities may be redeemed early at our discretion on any early redemption notice date, for an amount equal to the sum of the stated principal amount and the contingent quarterly payment, if any, for the related quarterly observation period. An early redemption will be at our discretion and will not automatically occur based on the performance of any underlying index. If the securities have not been previously redeemed and the final index level of each underlying index is greater than or equal to 65% of its initial index level, which we refer to as the principal barrier level, the payment at maturity will be the stated principal amount and, if applicable, the final contingent quarterly payment. If the securities have not been previously redeemed and the final level of the worst performing underlying is less than its coupon barrier level, but greater than or equal to its principal barrier level, the payment at maturity will be the principal amount. However, if the securities have not been previously redeemed and the final index level of any underlying index is less than its principal barrier level, you will be exposed to the decline in the closing level of the worst performing underlying index, as compared to its initial index level, on a 1 to 1 basis and will receive a payment at maturity that is less than 65% of the stated principal amount of the securities and could be zero. As a result, investors must be willing to accept the risk of losing their entire principal and also the risk of not receiving any contingent quarterly payments. Accordingly, the securities do not guarantee any return of principal at maturity. Because payments on the securities are based on the performance of each underlying index, a decline beyond the respective coupon barrier level and/or respective principal barrier level, as applicable, of any underlying index will result in few or no contingent quarterly payments and/or a significant loss of your investment, as applicable, even if any other underlying index has appreciated or has not declined as much. The securities are intended for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risks of principal loss and receiving few or no contingent quarterly payments over the term of the securities. Investors will not participate in any appreciation of any of the underlying indices. All payments on the securities are subject to the credit risk of HSBC.

* The pricing date, original issue date and the other dates set forth above are subject to change, and will be set forth in the pricing supplement relating to the securities.

The estimated initial value of the securities on the pricing date is expected to be between $910 and $970 per security, which will be less than the price to public. The market value of the securities at any time will reflect many factors and cannot be predicted with accuracy. See “Estimated initial value” below and “Risk Factors” beginning on page 11 of this document for additional information.

An investment in the securities involves certain risks. See “Risk Factors” beginning on page 11 of this free writing prospectus, page S-1 of the Equity Index Underlying Supplement and page S-1 of the prospectus supplement.

Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved the securities, or determined that this free writing prospectus or the accompanying Equity Index Underlying Supplement, prospectus supplement or prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

HSBC has filed a registration statement (including a prospectus, a prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and this 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 this offering will arrange to send you the prospectus, prospectus supplement and Equity Index Underlying Supplement if you request them by calling toll-free 1-866-811-8049.

You should read this document together with the related Equity Index Underlying Supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below.

The securities are not deposit liabilities or other obligations of a bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction, and involve investment risks including possible loss of the principal amount invested due to the credit risk of HSBC.

The Contingent Income Callable Securities due September 19, 2025 Based on the Worst Performing of the Russell 2000^® Index, the S&P 500^® Index and the Nasdaq-100 Index^®, which we refer to as the securities, provide an opportunity for investors to earn a contingent quarterly payment at an annual rate of at least 12.00% of the stated principal amount but only if the closing level of each underlying index on every scheduled trading day during the relevant quarterly observation period is greater than or equal to 75% of its initial index level, which we refer to as the coupon barrier level. The actual contingent quarterly payment will be determined on the pricing date. The contingent quarterly payment will be payable quarterly on the contingent payment date or the maturity date, as applicable. It is possible that the closing level of one or more underlying indices could remain below their respective coupon barrier levels for extended periods of time or even throughout the term of the securities so that you may receive few or no contingent quarterly payments.

The securities may be redeemed at our discretion on any early redemption notice date, for the principal amount plus the contingent quarterly payment, if any, for the related quarterly observation period. An early redemption will be at our discretion and will not automatically occur based on the performance of any underlying index. If the securities have not been previously redeemed and the final index level of each underlying index is greater than or equal to 65% of its initial index level, which we refer to as the principal barrier level, the payment at maturity will be the stated principal amount and, if applicable, the final contingent quarterly payment. If the securities have not been previously redeemed and the final level of the worst performing underlying is less than its coupon barrier level, but greater than or equal to its principal barrier level, the payment at maturity will be the principal amount. However, if the securities have not been previously redeemed and the final index level of any underlying index is less than its principal barrier level, you will be exposed to the decline in the closing level of the worst performing underlying index, as compared to its initial index level, on a 1 to 1 basis and will receive a payment at maturity that is less than 65% of the stated principal amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of not receiving any contingent quarterly payments. In addition, investors will not participate in any appreciation of any of the underlying indices.

The securities do not guarantee the payment of interest or any repayment of the stated principal amount. Instead, the securities offer investors an opportunity to earn a contingent quarterly payment at an annual rate of at least 12.00% of the stated principal amount, but only if the closing level of each underlying index on every scheduled trading day during the relevant quarterly observation period is greater than or equal to 75% of its initial index level, which we refer to as the coupon barrier level. The actual contingent quarterly payment will be determined on the pricing date. The securities may be redeemed at our discretion on any early redemption notice date prior to maturity for the stated principal amount per security plus the contingent quarterly payment, if any, with respect to the related quarterly observation period. If the securities are not redeemed prior to maturity, the payment at maturity will vary depending on the final index level of the worst performing underlying index, as follows:

The following diagrams illustrate the potential outcomes for the securities depending on (1) the official closing level for each underlying index on every scheduled trading day during the relevant quarterly observation period and (2) if the Issuer chooses to redeem the securities early, at our discretion on any early redemption notice date.

For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” beginning on page 8.

How to determine whether a contingent quarterly coupon is payable with respect to a quarterly coupon observation period:

stated principal amount + contingent quarterly payment = $1,000.00 + $30.00 = $1,030.00

In this example, the early redemption feature limits the term of your investment to approximately 15 months and you may not be able to reinvest at comparable terms or returns. If the securities are redeemed early, you will not receive any additional contingent quarterly payments.

How to calculate the payment at maturity (if the securities have not been redeemed):

*In addition, the final contingent quarterly coupon will be payable if the official closing level on every scheduled trading day of each underlying index is at or above its coupon barrier level during the final quarterly observation period.

If the final index value of any underlying index is below its principal barrier level, you will be exposed to the downside performance of the worst performing underlying index at maturity, and your payment at maturity will be less than 65% of the stated principal amount and could be zero.

The securities may be suitable for you if:

You believe that the closing levels on every scheduled trading day of the relevant quarterly observation periods of each underlying index will be equal to or greater than its coupon barrier level, and not below its principal barrier level on the valuation date.

You are willing to make an investment that is potentially exposed to downside performance of the worst performing underlying index on a 1-to-1 basis.

You understand that you may not receive any contingent quarterly payments.

You are willing to hold the securities that may be called at our discretion on any early redemption notice date.

You are willing to invest in securities, the maximum potential return of which is limited to any contingent quarterly payments payable on the securities.

You are willing to forgo distributions paid on the stocks included in the underlying indices.

You are willing to hold the securities to maturity.

You do not seek an investment for which there will be an active secondary market.

You are willing to accept the risk and return profile of the securities versus a conventional debt security with a comparable maturity issued by HSBC or another issuer with a similar credit rating.

You are comfortable with the creditworthiness of HSBC, as Issuer of the securities.

The securities may not be suitable for you if:

You believe that the closing levels of any underlying index on any scheduled trading day of the relevant quarterly observation periods will be less than its coupon barrier level, and/or below its principal barrier level on the valuation date.

You are unwilling to make an investment that is potentially exposed to the downside performance of the worst performing underlying index on a 1-to-1 basis.

You are unable or unwilling to hold the securities that may be called at our discretion on any early redemption notice date.

You are unwilling to invest in securities, the maximum potential return of which is limited to any contingent quarterly payments payable on the securities.

You are not willing to forgo distributions paid on the stocks included in the underlying indices.

You are unwilling to hold the securities to maturity.

You prefer to receive guaranteed periodic interest payments on your investment.

You seek an investment for which there will be an active secondary market.

You prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable maturities issued by HSBC or another issuer with a similar credit rating.

You are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the securities.

We urge you to read the section “Risk Factors” on page S-1 in the accompanying prospectus supplement and on page S-1 of the Equity Index Underlying Supplement. Investing in the securities is not equivalent to investing directly in the securities included in the underlying indices. You should understand the risks of investing in the securities and should reach an investment decision only after careful consideration, with your advisors, of the suitability of the securities in light of your particular financial circumstances and the information set forth in this free writing prospectus and the accompanying Equity Index Underlying Supplement, prospectus supplement and prospectus.

In addition to the risks discussed below, you should review “Risk Factors” in the accompanying prospectus supplement and Equity Index Underlying Supplement, including the explanation of risks relating to the securities described in the following sections:

“— Risks Relating to All Note Issuances” in the prospectus supplement; and

“— General Risks Relating to Indices” in the Equity Index Underlying Supplement.

You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.

The Russell 2000^® Index ("RTY") is designed to track the performance of the small capitalization segment of the U.S. equity market. All 2,000 stocks are traded on a major U.S. exchange, and the RTY consists of the smallest 2,000 companies included in the Russell 3000^® Index. The Russell 3000^® Index is composed of the 3,000 largest U.S. companies as determined by market capitalization.

For more information about the RTY, see “The Russell 2000^® Index” beginning on page S-45 of the accompanying Equity Index Underlying Supplement.

The following graph sets forth the historical performance of the RTY based on its daily historical official closing level from September 7, 2012 through September 7, 2022. We obtained the official closing levels below from the Bloomberg Professional^® service. We have not independently verified the accuracy or completeness of the information obtained from the Bloomberg Professional^® service. The historical performance of the RTY should not be taken as an indication of its future performance, and no assurance can be given as to the level of the RTY at any time, including on the determination dates.

* The blue solid line indicates the downside threshold level and the black solid line indicates the principal barrier level.

The S&P 500^® Index ("SPX") is a market capitalization-weighted index intended to provide a performance benchmark for the large-cap U.S. equity markets. The SPX includes a representative sample of 500 companies in leading industries of the U.S. economy.

For more information about the underlying index, see “The S&P 500^® Index” beginning on page S-55 of the accompanying Equity Index Underlying Supplement.

The following graph sets forth the historical performance of the SPX based on its daily historical official closing level from September 7, 2012 through September 7, 2022. We obtained the official closing levels below from the Bloomberg Professional^® service. We have not independently verified the accuracy or completeness of the information obtained from the Bloomberg Professional^® service. The historical performance of the SPX should not be taken as an indication of its future performance, and no assurance can be given as to the level of the SPX at any time, including on the determination dates.

* The blue solid line indicates the downside threshold level and the black solid line indicates the principal barrier level.

The Nasdaq-100 Index^® ("NDX") is a modified market capitalization-weighted index of 100 of the largest non-financial companies listed on the Nasdaq Stock Market based on market capitalization. It does not contain securities of financial companies (based on the Financials industry classification according to the Industry Classification Benchmark). Each underlying stock's influence on the level of the NDX is directly proportional to the value of its share weight.

For more information about the NDX, see "The Nasdaq-100 Index^®" beginning on page S-31 of the accompanying Equity Index Underlying Supplement.

The following graph sets forth the historical performance of the NDX based on its daily historical official closing level from September 7, 2012 through September 7, 2022. We obtained the official closing levels below from the Bloomberg Professional^® service. We have not independently verified the accuracy or completeness of the information obtained from the Bloomberg Professional^® service. The historical performance of the NDX should not be taken as an indication of its future performance, and no assurance can be given as to the level of the NDX at any time, including on the determination dates.

* The blue solid line indicates the downside threshold level and the black solid line indicates the principal barrier level.

Please read this information in conjunction with the summary terms on the front cover and page 2 of this document.

SUMMARY TERMS
Issuer:	HSBC USA Inc. (“HSBC”)
Underlying indices:	Russell 2000^® Index (Bloomberg symbol: RTY) (the “RTY”), S&P 500^® Index (Bloomberg symbol: SPX) (the “SPX”) and Nasdaq-100 Index^® (Bloomberg symbol: NDX) (the “NDX”) (each, an “underlying index”)
Aggregate principal amount:	$
Stated principal amount:	$1,000 per security
Issue price:	$1,000 per security
*Pricing date:**	September 16, 2022
*Original issue date:**	September 21, 2022 (3 business days after the pricing date)
*Valuation date:**	September 16, 2025, subject to adjustment as described in the accompanying Equity Index Underlying Supplement
*Maturity date:**	September 19, 2025, subject to adjustment as described in the accompanying Equity Index Underlying Supplement
Observation Dates:	Quarterly, on December 16, 2022, March 16, 2023, June 16, 2023, September 18, 2023, December 18, 2023, March 18, 2024, June 17, 2024, September 16, 2024, December 16, 2024, March 17, 2025, June 16, 2025 and September 16, 2025 (the valuation date).
Early redemption notice dates:	The observation dates, beginning on December 16, 2022.
Contingent payment dates:	Quarterly, on December 21, 2022, March 21, 2023, June 22, 2023, September 21, 2023, December 21, 2023, March 21, 2024, June 21, 2024, September 19, 2024, December 19, 2024, March 20, 2025, June 20, 2025 and September 19, 2025 (the maturity date).
Early redemption:	The securities may be redeemed at our discretion on any early redemption notice date, for the principal amount plus the contingent quarterly payment for the related quarterly observation period, if any. In order to redeem the securities, we or the calculation agent will distribute written notice to The Depository Trust Company of our intent to call the securities on or prior to the applicable early redemption notice date. We or the calculation agent will have no independent obligation to notify you directly and you should expect to receive such notifications from your broker.
Early redemption price:	The sum of the stated principal amount and the contingent quarterly payment, if any, for the related quarterly observation period. This amount will be paid on the contingent payment date following the applicable early redemption notice date.
Observation periods:	There are 12 quarterly observation periods. The first observation period will be from but excluding the pricing date to and including the first observation date. Each subsequent observation period will be from but excluding an observation date to and including the next following observation date. The final quarterly observation period will be the quarterly observation period ending on the valuation date.
Contingent quarterly payment:	·      Subject to early redemption, if the official closing level for each underlying index on every scheduled trading day during the relevant quarterly observation period is greater than or equal to its coupon barrier level, we will pay a contingent quarterly payment at an annual rate of at least 12.00% of the stated principal amount per security (corresponding to $30.00 (or 3.00%) per quarter per security) on the related contingent payment date. The actual contingent quarterly payment will be determined on the pricing date. ·      If the official closing level of any underlying index on any scheduled trading day during the relevant quarterly observation period is less than its coupon barrier level, no contingent quarterly payment will be made with respect to that quarterly observation period. It is possible that one or more underlying indices will remain below their respective coupon barrier levels for extended periods of time or even throughout the entire term of the securities, so that you will receive few or no contingent quarterly payments during the term of the securities.
Payment at maturity:	If the securities have not been previously redeemed, investors will receive a payment at maturity as follows:
	·  If the final index level of each underlying index is greater than or equal to its coupon barrier level: ·  If the final level of the worst performing underlying is less than its coupon barrier level but greater than or equal to its principal barrier level: ·  If the final index level of any underlying index is less than its principal barrier level:		the stated principal amount plus, if applicable, the final contingent quarterly payment. the stated principal amount (i) the stated principal amount multiplied by (ii) the index performance factor of the worst performing underlying index. In this case, the payment at maturity will be less than 65% of the stated principal amount of the securities and could be zero.
Commissions and issue price:	Price to public	Agent’s commissions		Proceeds to issuer
Per security	$1,000.00	$17.50⁽¹⁾ $5.00⁽²⁾		$977.50
Total	$	$		$

Index performance factor:	With respect to each underlying index, final index level / initial index level
Listing:	The securities will not be listed on any securities exchange.
Agent:	HSBC Securities (USA) Inc., an affiliate of HSBC. See “Additional Information About the Securities — Supplemental plan of distribution (conflicts of interest).”
Coupon barrier level:	With respect to each underlying index, 75% of its initial index level
Principal barrier level:	With respect to each underlying index, 65% of its initial index level
Initial index level:	With respect to each underlying index, its official closing level on the pricing date.
Final index level:	With respect to each underlying index, its official closing level on the valuation date.
Worst performing underlying index:	The underlying index with the largest percentage decrease from its initial index level to its final index level.
Estimated initial value:	The estimated initial value of the securities will be less than the price you pay to purchase the securities. The estimated initial value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your securities in the secondary market, if any, at any time. The estimated initial value will be calculated on the pricing date and will be set forth in the pricing supplement to which this free writing prospectus relates. See “Risk Factors—The estimated initial value of the securities, which will be determined by us on the pricing date, will be less than the price to public and may differ from the market value of the securities in the secondary market, if any.”
CUSIP / ISIN:	40441XLF5 / US40441XLF59

Hypothetical Initial Index Level:	With respect to each underlying index, 100.00
Hypothetical Coupon Barrier Level:	With respect to each underlying index, 75.00, which is 75% of its hypothetical initial index level
Hypothetical Principal Barrier Level:	With respect to each underlying index, 65.00, which is 65% of its hypothetical initial index level
Hypothetical Contingent Quarterly Payment:	12.00% per annum (corresponding to $30.00 (or 3.00%) per quarter per security)
Stated Principal Amount:	$1,000.00 per security

Early Redemption Example
	Lowest Index Closing Value on an Index Business Day During the Applicable Quarterly Observation Period
Hypothetical Quarterly Observation Periods	NDX	RTY	SPX	Contingent Quarterly Payment
#1	45.00 (below the coupon barrier level)	40.00 (below the coupon barrier level)	90.00 (at or above the coupon barrier level)	N/A
#2	45.00 (below the coupon barrier level)	40.00 (below the coupon barrier level)	90.00 (at or above the coupon barrier level)	N/A
#3	90.00 (at or above the coupon barrier level)	85.00 (at or above the coupon barrier level)	105.00 (at or above the coupon barrier level)	$30.00
#4	45.00 (below the coupon barrier level)	40.00 (below the coupon barrier level)	90.00 (at or above the coupon barrier level)	N/A
#5	90.00 (at or above the coupon barrier level)	85.00 (at or above the coupon barrier level)	105.00 (at or above the coupon barrier level)	$30.00

	trading in the market. In other words, we will be more likely to redeem the securities when the securities are paying an above-market coupon.

	On the other hand, we will be less likely to exercise our redemption right when the official closing level of any underlying index is below its respective coupon barrier level and/or when the final index level of the worst performing underlying index is expected to be below its principal barrier level, such that you will receive no contingent quarterly payments and/or that you will suffer a significant loss on your initial investment in the securities at maturity. Therefore, if we do not exercise our redemption right, it is more likely that you will receive few or no contingent quarterly payments and suffer a significant loss at maturity.

§	You are exposed to the market risk of all underlying indices, with respect to both the contingent quarterly payments, if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of the 3 underlying indices. Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is potentially mitigated and diversified among all the components of the basket, you will be exposed to the risks related to all of the underlying indices. Poor performance by any underlying index over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying indices. To receive any contingent quarterly payments, all of the underlying indices must close at or above their respective coupon barrier levels on every scheduled trading day during the relevant quarterly observation period. In addition, if any underlying index has decreased to below its respective principal barrier level as of the valuation date, you will be fully exposed to the decrease in the worst performing underlying index on a 1 to 1 basis, even if the other underlying indices have appreciated. Under this scenario, the payment at maturity will be less than 65% of the stated principal amount and could be zero. Accordingly, your investment is subject to the market risk of each of the underlying indices.

	expected risk of loss on the securities. This greater expected risk will generally be reflected in a higher contingent quarterly payment than the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower principal barrier level or a higher contingent quarterly payment) than for similar securities linked to the performance of the underlying indices with a lower expected volatility as of the pricing date. You should therefore understand that a relatively higher contingent quarterly payment may indicate an increased risk of loss. Further, a relatively lower principal barrier level may not necessarily indicate that the securities have a greater likelihood of a repayment of principal at maturity. The volatility of the underlying indices can change significantly over the term of the securities. The levels of the underlying indices for your securities could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market risk of the underlying indices and the potential to lose some or all of your principal at maturity.

§	Credit risk of HSBC USA Inc. The securities are senior unsecured debt obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the securities will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the securities depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the securities and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities and could lose your entire investment.

	there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

§	The estimated initial value of the securities, which will be determined by us on the pricing date, will be less than the price to public and may differ from the market value of the securities in the secondary market, if any. The estimated initial value of the securities will be calculated by us on the pricing date and will be less than the price to public. The estimated initial value will reflect our and our affiliates’ internal funding rate, which is the borrowing rate paid to issue market-linked securities, as well as the mid-market value of the embedded derivatives in the securities. This internal funding rate is typically lower than the rate we would pay when we issue conventional fixed or floating rate debt securities. As a result of the difference between our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the estimated initial value of the securities may be lower if it were based on the prices at which our fixed or floating rate debt securities trade in the secondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we would expect the economic terms of the securities to be more favorable to you. We will determine the value of the embedded derivatives in the securities by reference to our or our affiliates’ internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates. Different pricing models and assumptions could provide valuations for the securities that are different from our estimated initial value. These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. The estimated initial value does not represent a minimum price at which we or any of our affiliates would be willing to purchase your securities in the secondary market (if any exists) at any time.

	Underlying Indices” below. You may receive less, and possibly significantly less, than the stated principal amount if you try to sell your securities prior to maturity.

§	Investing in the securities is not equivalent to investing in the securities comprising the underlying indices. Investing in the securities is not equivalent to investing in the component securities of any underlying index. Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the securities comprising the underlying indices.

§	The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes.

	Please read the discussion under “Additional Information About the Securities – Additional Provisions – Tax considerations” in this document concerning the U.S. federal income tax consequences of an investment in the securities. Pursuant to the terms of the securities, you agree to treat a security for U.S. federal income tax purposes as a single financial contract that provides for a contingent quarterly payment that will be treated as ordinary income to you at the time received or accrued in accordance with your regular method of tax accounting. If the Internal Revenue Service (“IRS”) were successful in asserting an alternative treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described herein. Non-U.S. Holders should note that the entire amount of the contingent quarterly payments will be subject to U.S. federal income tax withholding at a 30% rate (or at a lower rate under an applicable income tax treaty), and we will not be required to pay any

	additional amounts with respect to amounts withheld. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein.

	In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that any U.S. Treasury Department regulations or other guidance issued after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. Both U.S. and Non-U.S. Holders should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdictions.

Additional Provisions
Listing:	The securities will not be listed on any securities exchange.
CUSIP:	40441XLF5
ISIN:	US40441XLF59
Minimum ticketing size:	$1,000 / 1 security
Events of default and acceleration:	If the securities have become immediately due and payable following an event of default (as defined in the accompanying prospectus) with respect to the securities, the calculation agent will determine the accelerated payment at maturity due and payable in the same general manner as described in “Summary Terms—Payment at maturity” in this free writing prospectus. In such a case, the third scheduled trading day for each underlying index immediately preceding the date of acceleration will be used as the final valuation date for purposes of determining the accelerated final levels, and the positive return, if any, will be calculated based on the time elapsed from the original issue date and the quarterly rate of return of at least 3.00% (at least 12.00% per annum), to be determined on the pricing date. If a market disruption event exists on that scheduled trading day, then the accelerated final valuation date will be postponed for up to five scheduled trading days (in the same general manner used for postponing the originally scheduled valuation date). The accelerated maturity date will be the fifth business day following such accelerated postponed valuation date. For the avoidance of doubt, if no market disruption event exists with respect to an underlying index on the scheduled trading day preceding the date of acceleration, the determination of such underlying index’s index performance factor will be made on such date, irrespective of the existence of a market disruption event with respect to the other underlying indices occurring on such date. For more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the accompanying prospectus.
Tax considerations:	Prospective investors should note that the discussion under the section called “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement does not apply to the securities issued under this document and is superseded by the following discussion. The following summary is a general discussion of the material U.S. federal tax consequences of ownership and disposition of the securities. This discussion applies only to initial investors in the securities who: •             purchase the securities at their “issue price”; and •             hold the securities as capital assets, within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”). This discussion does not describe all of the tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject to special rules, such as: •             certain financial institutions; •             insurance companies; •             certain dealers and traders in securities, commodities or foreign currencies; •             investors holding the securities as part of a “straddle,” conversion transaction, integrated transaction or constructive sale transaction; •             investors subject to special tax accounting rules under Section 451(b) of the Code; •             U.S. Holders, as defined below, whose functional currency is not the U.S. dollar; •             partnerships or other entities classified as partnerships for U.S. federal income tax purposes; •             regulated investment companies; •             real estate investment trusts;