General terms and conditions

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The returns on HSBC structured investments are linked to the performance of various market measure underliers. Investing in a structured investment is not equivalent to investing directly in the underlier. Before investing, clients should carefully read the offering documents for the specific issuance, which will explain the terms of the issuance as well as the risks related to the issuance. An investment in structured investments involves risks. These risks will depend on the terms of the specific issuance and the nature of the underlying market measure and could include: fluctuations in the price, level or yield of the underlier, changes in interest rates, currency values or credit quality, substantial or complete loss of principal, limits on participation in appreciation of the underlying instrument, limited liquidity, exposure to HSBC credit risk and certain conflicts of interest.

HSBC operates in various jurisdictions through its affiliates, including, but not limited to, HSBC Bank USA, N.A. and HSBC Securities (USA) Inc., member of NYSE, FINRA and SIPC.

HSBC has filed a registration statement (including a prospectus, a prospectus supplement and an equity index underlying supplement) with the SEC for the securities offerings to which this document relates. Before you invest, you should read these documents in that registration statement and other documents HSBC has filed with the SEC for more complete information about HSBC and those offerings. 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 these documents if you request them by calling toll-free 1-866-811-8049.

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.

The Index is an excess return index, which reflects the Index return less the cost of funds, an index maintenance fee of 0.85% per annum, subtracted daily, and a transaction cost of 0.02%, deducted daily.

The strategy tracked by AiMAX5 and the views implicit in AiMAX5 are not guaranteed to succeed. The strategies tracked by AiMAX5 are not guaranteed to be successful. It is impossible to predict whether and the extent to which AiMAX5 or its underlying notional portfolio of exchange-traded funds and cash (the “Portfolio” and the “ETFs”, respectively) will yield positive or negative results. AiMAX5 adjusts its exposure to the Portfolio based on historical economic relationships, which may not hold true in the future, and artificial intelligence (“AI”) return forecasting. You should seek your own advice as necessary to assess AiMAX5 and its strategy.

AiMAX5 was recently launched and has limited operating history. AiMAX5 was launched on March 5, 2021 and therefore has limited historical performance. As a result, limited actual historical performance information is available for you to consider in making an independent investigation of AiMAX5, which may make it more difficult for you to evaluate the historical performance of AiMAX5 and make an informed investment decision than would be the case if AiMAX5 had a longer trading history.

Hypothetical back-tested performance prior to the launch of AiMAX5 provided in this website refers to simulated performance data created by applying AiMAX5’s calculation methodologies to the secured overnight financing rate (“SOFR”) levels plus a spread of 0.24% (or, prior to April 2, 2018, the federal funds rate plus a spread of 0.28%) and, depending on the extent of the back-testing, historical prices of the ETFs that comprise the Portfolio; historical levels of the ETFs’ respective underlying indices if certain ETFs were not in existence prior to the back-tested date (adjusted to account for the expense ratio of the relevant ETF); or historical levels of a proxy index if the respective underlying index of the relevant ETF was not available prior to the back-tested date (adjusted to account for the expense ratio of the relevant ETF). Such simulated performance data has been produced by the retroactive application of a back-tested methodology in hindsight, and may give more preference towards ETFs that have performed well in the past. Hypothetical back-tested results are neither an indicator nor a guarantor of future results.

The hypothetical back-tested performance of AiMAX5 prior to March 5, 2021 cannot fully reflect the actual results that would have occurred had AiMAX5 actually been calculated during that period, and should not be relied upon as an indication of AiMAX5’s future performance. A longer history of actual performance could be helpful in providing more reliable information on which to assess AiMAX5.

AiMAX5 may not approximate the Target Volatility. No assurance can be given that AiMAX5 will maintain a realized volatility that approximates the Target Volatility, and the actual realized volatility of AiMAX5 may be greater or less than the Target Volatility. AiMAX5 seeks to maintain a realized volatility approximately equal to the Target Volatility of 5% by rebalancing its exposures to the Portfolio on each day based on two measures of realized volatility. However, there is no guarantee that trends exhibited by any such measures will continue in the future.

The volatility-targeting feature may cause AiMAX5 to perform poorly during certain market conditions. AiMAX5 allocates exposure to the Portfolio based on two measures of realized volatility. Realized volatility is not the same as implied volatility, which is an estimation of future volatility, and may better reflect market volatility expectation. Because exposure is adjusted based on historic levels and trends, AiMAX5 may not meaningfully reduce its exposure to the Portfolio until a down-turn has already occurred, and by the time reduced exposure does take effect, the recovery may have already begun.

AiMAX5 varies its exposure to the Portfolio. As a result, exposure to the Portfolio may be limited and the performance of AiMAX5 may be adversely affected. AiMAX5, on each day on which it is calculated, adjusts its exposure to the Portfolio in an attempt to maintain a historical volatility approximately equal to the Target Volatility. If the exposure to the Portfolio is less than 100%, AiMAX5 will include an uninvested position that does not earn interest or any other return. AiMAX5 may include an uninvested position even when the Portfolio is performing favorably. As a result, AiMAX5 may underperform a similar index that does not include an uninvested position.

The performance of AiMAX5 will be reduced by the performance of the reference rate and the embedded fees. AiMAX5 is an excess return index. The return of AiMAX5 is determined by reference to the performance of the Portfolio (as adjusted based on the applicable exposure) in excess of the performance of a reference rate (SOFR, plus a spread of 0.24%). The level of AiMAX5 also reflects an embedded index fee of 0.85% per annum, deducted daily, and a transaction cost of 0.02% of the relevant change in the composition of the Portfolio and/or exposure of AiMAX5 to the Portfolio, as applicable, deducted every time such composition or exposure is adjusted, which is expected to occur daily. The performance of the reference rate, the embedded fees and the transaction cost will offset, in whole or in part, any positive performance and increase any negative performance of AiMAX5. As a result, any return on AiMAX5 may be reduced or eliminated. When AiMAX5 is uninvested (i.e. the exposure to the Portfolio is less than 100%), the negative effect of the embedded fees and the transaction cost will be magnified, and the return on AiMAX5 may be negative even while the level of the Portfolio increases.

SOFR has a very limited history, and its historical performance is not indicative of its future performance. The Federal Reserve Bank of New York (“FRBNY”) began to publish SOFR in April 2018. Although the FRBNY also publishes historical indicative SOFR going back to 2014, such historical indicative data inherently involves assumptions, estimates and approximations. Therefore, SOFR has limited performance history and no actual investment based on the performance of SOFR was possible before April 2018.

The level of SOFR over the term of any investment linked to AiMAX5 may bear little or no relation to the historical level of SOFR. The future performance of SOFR is impossible to predict and therefore no future performance of SOFR or AiMAX5 may be inferred from any hypothetical or actual historical performance data.

Any failure of SOFR to gain market acceptance could adversely affect AiMAX5.SOFR may fail to gain market acceptance. SOFR was developed for use in certain U.S. dollar derivatives and other financial contracts as an alternative to U.S. dollar LIBOR in part because it is considered a good representation of general funding conditions in the overnight U.S. Treasury repurchase agreement (repo) market. However, as a rate based on transactions secured by U.S. Treasury securities, it does not measure bank-specific credit risk and, as a result, is less likely to correlate with the unsecured short-term funding costs of banks. This may mean that market participants would not consider SOFR a suitable substitute or successor for all of the purposes for which U.S. dollar LIBOR historically has been used (including, without limitation, as a representation of the unsecured short-term funding costs of banks), which may, in turn, lessen market acceptance of SOFR. Any failure of SOFR to gain market acceptance could adversely affect the level of AiMAX5.

SOFR may be modified or discontinued, and AiMAX5 may be calculated by reference to a rate other than SOFR, which could adversely affect the levels of AiMAX5. The FRBNY may make methodological or other changes that could change the value of SOFR, including changes related to the method by which SOFR is calculated, eligibility criteria applicable to the transactions used to calculate SOFR, or timing related to the publication of SOFR. In addition, the FRBNY may alter, discontinue or suspend calculation or dissemination of SOFR (in which case an industry-accepted substitute for SOFR would be used). The FRBNY has no obligation to consider your interests in calculating, adjusting, converting, revising or discontinuing the use of SOFR.

The Portfolio composition and weighting is based on AI models; the strategies and views implicit in such models and in AiMAX5 are not guaranteed to succeed. The strategy of the AI models and return forecasting, and therefore AiMAX5, is not guaranteed to be successful. It is impossible to predict whether and the extent to which any ETFs comprising the Portfolio will yield positive or negative results.

The method by which AiMAX5 reweights the ETFs and the reallocation period may negatively affect the level of AiMAX5. The ETFs are reviewed and the Portfolio is rebalanced weekly. Each week, the AI models are used to recalculate the forecasted return for each ETF (which is such ETF’s expected change in price over a 1-month horizon, relative to its current price), and these scores are used by the index sponsor to select and weight the ETFs, subject to pre-determined constraints. The weight of each ETF and each group of ETFs (each “Group”) is subject to a cap. Such caps vary by ETF and by Group, and are stated in AiMAX5’s methodology. The allocation rules, including the caps, will be followed even where they limit the Portfolio’s exposure to positively performing ETFs or increase the Portfolio’s exposure to negatively performing ETFs, and may result in lower returns on AiMAX5.

AiMAX5 is exposed to equity risk, including from mid-capitalization companies. AiMAX5 is linked to the performance of the underlying constituent ETFs, which include U.S. large-capitalization and mid-capitalization stocks. The level of AiMAX5 can rise or fall sharply due to factors specific to the underlying constituents, such as stock price volatility, earnings and financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general market volatility and levels, interest rates and economic and political conditions.

Changes in U.S. Treasury rates and the perceived creditworthiness of the United States may affect the level of AiMAX5. Because the value of AiMAX5 is linked, in part, to ETFs which track the value of U.S. Treasury bonds, changes in U.S. Treasury rates may affect the level of AiMAX5.

Correlation of performances among the ETFs may reduce the performance of AiMAX5. Performances of the ETFs may become highly correlated from time to time, including, but not limited to, when there is a substantial decline in a particular sector or asset type represented by the ETFs. High correlation during periods of negative returns among ETFs representing any one sector or asset type, especially when such ETFs have a substantial percentage weighting in AiMAX5, could have an adverse effect on the levels of AiMAX5.

Changes in the value of the ETFs may offset each other. Because AiMAX5 is linked to the performance of ETFs representing a diverse range of asset classes and geographic regions, price movements between the ETFs may not correlate with each other. At a time when the value of an ETF representing a particular asset class or geographic region increases, the value of other ETFs may not increase as much or may decline. Declines in the value of ETFs that have a higher percentage weighting in AiMAX5 at any time will result in a greater loss in the level of AiMAX5.

An ETF may be replaced by another ETF in certain extraordinary events. Following an extraordinary event described in AiMAX5’s methodology, such as an ETF being delisted, liquidated or otherwise terminated, that ETF will be replaced by a successor ETF whose underlying commodities are same as those of the replaced ETF or whose underlying index is the same as used in the replaced ETF or an index using, in Solactive AG’s determination, the same or a substantially similar method of calculation as for the underlying index for the replaced ETF. There can be no assurance that such a replacement will not have a material adverse effect on the levels of AiMAX5.

AiMAX5 and the Portfolio are purely notional. The exposures to the ETFs are purely notional and will exist solely in the records maintained by or on behalf of Solactive AG. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. Consequently, you will not have any claim against any of the ETFs that are referenced by AiMAX5.

Solactive AG administers, calculates and publishes AiMAX5. Solactive AG has the authority to determine whether certain events affecting AiMAX5 have occurred including, but not limited to, events affecting the reference rate or the ETF constituents of the Portfolio.

Potential investors in any financial instrument of which AiMAX5 is an underlying need to be aware that any determination or calculation made by Solactive AG may affect the level of AiMAX5 and, as appropriate, the performance of any instruments linked to the performance of AiMAX5. Solactive AG has no obligation to consider the interest of investors in any such instruments when making any determination or calculation. Such discretion in the decisions taken by Solactive AG (in the absence of manifest or proven error) are binding on all investors and holders of such instruments.

AiMAX5’s level may be determined by reference to historical ETF total return levels if the AI models become unavailable. In the event that EquBot Inc., the provider of the AI models, no longer provides the applicable return forecasts with respect to the ETFs, the forecasted return of each affected ETF on any given day will be replaced by the percentage change in its current total return level compared to its total return level 126 index calculation days previously. In such an event, AiMAX5’s level will be determined by reference to such total return levels.