| Top 10 Sector Allocations 15.99% 7.02% 3.83% 10.70% 14.88% 4.45% 14.80% 3.79% 5.22% 3.32% 15.16% 7.01% 4.11% 12.36% 13.34% 5.55% 14.68%
3.70% 5.35% 3.20% 0 5 10 15 Technology Services Retail Trade Producer Manufacturing Health Technology Finance Energy Minerals Electronic
Technology Consumer Services Consumer Non-Durables Commercial Services Portfolio Solactive US Large & Mid Cap Index Contributions
to Return 1.46% 0.66% 0.21% -0.20% 0.97% 0.18% 1.45% 0.56% -0.07% 0.32% 1.36% 0.69% 0.26% -0.18% 1.15% 0.10% 1.40% 0.50% -0.07% 0.32%
−0.5 0 0.5 1 1.5 Technology Services Retail Trade Producer Manufacturing Health Technology Finance Energy Minerals Electronic Technology
Consumer Services Consumer Non-Durables Commercial Services Portfolio Solactive US Large & Mid Cap Index Risks Relating to the Index
HSBC USA Inc. and HSBC Bank USA, N.A. (together, “HSBC”), are members of the HSBC Group. Any member of the HSBC Group may
from time to time underwrite, make a market or otherwise buy and sell, as principal, structured investments, or together with their directors,
officers and employers may have either long or short positions in the structured investments, or stocks, commodities or currencies to
which the structured investments are linked, or may perform or seek to perform investment banking services for those linked assets mentioned
herein. These activities maybe in conflict with the interests of investors of debt obligations or certificates of deposit issued by members
of the HSBC Group. The Index may be partially uninvested. The strategy tracks the excess return of a notional dynamic basket of equities
and cash over a change in the ICE LIBOR USD 3 Month interest rate. The weight of a Cash Investment (if any) for a Monthly Reference Portfolio
at any given time represents the portion of the Monthly Reference Portfolio that is uninvested in the applicable equity basket at that
time. As such, any allocation to a Cash Investment within the Index, which also accrues at the ICE LIBOR USD 3 Month interest rate, will
not affect the level of the Index. The Index will reflect no return for any uninvested portion (i.e., any portion represented by a Cash
Investment). Accordingly, to the extent that the Index is allocated to the Cash Investment, it may not reflect the full increase of any
relevant equity component. Under certain circumstances, the Index may be 100% allocated to the Cash Investment. Important Disclaimer Information
This document is for informational purposes only and intended to provide a general overview of the AI Powered US Equity Index and does
not provide the terms of any specific issuance of structured investments. The material presented does not constitute and should not be
construed as a recommendation to enter into a securities or derivatives transaction. Prior to any decision to invest in a specific structured
investment, investors should carefully review the disclosure documents for such issuance which contains a detailed explanation of the
terms of the issuance as well as the risks, tax treatment and other relevant information. Investing in financial instruments linked to
the AI Powered US Equity Index is not equivalent to a direct investment in any part of the AI Powered US Equity Index. Investments linked
to the AI Powered US Equity Index require investors to assess several characteristics and risk factors that may not be present in other
types of transactions. In reaching a determination as to the appropriateness of any proposed transaction, clients should undertake a thorough
independent review of the legal, regulatory, credit, tax, accounting and economic consequences of such transaction in relation to their
particular circumstances. This brochure contains market data from various sources other than us and our affiliates, and, accordingly,
we make no representation or warranty as to the market data’s accuracy or completeness and we are not obligated to update any market
data presented in this document. All information is subject to change without notice. We or our affiliated companies may make a market
or deal as principal in the investments mentioned in this document or in options, futures or other derivatives based thereon. Solactive
AG Solactive AG is the administrator and calculation agent of the AI Powered US Equity Index. The financial instruments that are based
on the AI Powered US Equity Index are not sponsored, endorsed, promoted or sold by Solactive AG in any way and Solactive AG makes no express
or implied representation, guarantee or assurance with regard to: (a) the advisability in investing in the financial instruments; (b)
the quality, accuracy and/or completeness of the Index; and/or (c) the results obtained or to be obtained by any person or entity from
the use of the Index. Solactive AG does not guarantee the accuracy and/or the completeness of the AI Powered US Equity Index and shall
not have any liability for any errors or omissions with respect thereto. Solactive AG reserves the right to change the methods of calculation
or publication and Solactive AG shall not be liable for any miscalculation of or any incorrect, delayed or interrupted publication with
respect to the AI Powered US Equity Index. Solactive AG shall not be liable for any damages, including, without limitation, any loss of
profits or business, or any special, incidental, punitive, indirect or consequential damages suffered or incurred as a result of the use
(or inability to use) of the AI Powered US Equity Index. Use of Simulated Returns Any historical performance information included in this
document prior to August 9, 2019 represents only hypothetical historical results. No representation is being made that the AI Powered
US Equity Index 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 potential returns associated with an investment in a debt obligation or certificate of deposit linked to the AI Powered US Equity
Index use simulated analysis and hypothetical assumptions in order to illustrate the manner in which the AI Powered US Equity Index may
have performed in periods prior to the actual existence of the AI Powered US Equity Index. 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. The back-tested data was produced by applying the AI Powered US Equity Index methodology to historical data,
including information and sources available at each specific point of time in history. New information and sources were incorporated one
timestep at a time and only information with validated time stamps was considered. The results obtained from “back-testing”
information should not be considered indicative of actual results that might be obtained from an investment or participation in a financial
instrument or transaction referencing the AI Powered US Equity Index. You should not place undue reliance on the “back-testing”
information, which is provided for illustrative purposes only. HSBC provides no assurance or guarantee that the AI Powered US Equity Index
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 future returns. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical information. You should review and consider the hypothetical information only with the full AI Powered US Equity 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 if you request them by calling toll-free 1-866-811-8049. HSBC operates in various jurisdictions through its affiliates, including,
but not limited to, HSBC Securities (USA) Inc., member of NYSE, FINRA, and SIPC. ©2023 HSBC USA Inc. All rights reserved. Monthly
Performance Report - January 2023 ■ ■ ■ ■ |
