July 202 6 Free Writing Pr o s pectu s Registrati o n Sta t ement N o . 333 - 2772 1 1 Dated J uly 16 , 2 02 6 Filed Pursu a nt t o Rule 4 3 3 S T R U C T U RED I NV E S T M E N T S O p po r t un i t ie s i n I n t e r na t io n a l E qu i t ies Buff e red C ont i n g ent In c ome A ut o - Ca ll ab l e S e c urities w i th Me m ory and Down si de Le v e r age due J u l y 21, 202 7 Bas e d o n th e P e r f o r ma n c e o f th e I n v e s c o Q QQ Tr u s t SM , S e r i e s 1 P r i n c i pa l a t R i s k S ec u r i t i e s Buffered C ontingen t Inco m e Au t o - Callabl e Securiti e s wit h Memor y an d Down s ide Le verage (t h e “se c urities” ) do n ot g u arante e the repay m ent o f th e state d princ i p al a m o unt. Inste a d, th e secu r ities offer th e oppor t unity f or inv e stors t o ea r n t he contin g ent c oup o n on each c oupo n p a yment dat e o n whic h th e securitie s ar e o u tstanding. I f th e closi n g pri c e o f th e under l ying shar e s i s equa l t o o r greater than the call t hreshold le v el on a n y determinat i on da t e (other than t he final determinat i on da t e), on the corr e spon d in g coupon payment d ate the securi t ies will be redeemed early f or a n amount per securit y e qual t o the sta t ed pr i ncipal amoun t plus t h e conti n gent co u pon with re s pect to suc h coupo n paymen t dat e plus any previous l y unpaid contingen t co u pons. If th e closin g pric e of the underly i ng share s is less t h an the c all threshold l e vel on a ny determi n ation d a te (other tha n the final determinat i on date ) and greater t han the coupon b arrier, on t he correspond i ng coup o n payment d ate t h e sec u rities w ill no t b e r e deemed e arl y a n d inv e stors w ill rec e ive t h e conting e nt co u pon p lus a ny pre v iously unpaid c o ntingen t coupon s . I f the securit i es ar e not r e d eeme d ear ly and th e closin g pric e of t he u n derlyin g sh a res on the f i nal de t erminatio n dat e (th e “fi n al price” ) is e qual t o o r gre a te r tha n th e d o wnside thr e shold l evel, on th e matur i ty da t e investor s wil l receiv e a n amount pe r securit y equa l to t he sta t ed pr i ncipal amo u nt plu s th e continge n t cou p on with respec t to t he ma t urity da t e plu s a n y previously u npaid c ontingen t coupo n s. If , h owever, t h e securi t ies ar e not redeeme d early a nd the f i nal pric e is l ess than th e downsi d e thresho l d level, o n the maturit y date, i n vestors wil l recei v e t he stated pr i ncipal a m ount + [stat e d princ i pal amount x (Refere n ce Return + 10.00%) x Dow n side Lever a ge F actor]. According l y, the securit i es do n ot guarante e any r e turn of princi p al at maturity. Investo r s may lose up to 10 0 % of the state d princ i pal amount o f the s e curities. T he securitie s are senior u ns e cured deb t securities o f HSB C USA Inc. ( “HSBC” ) , a n d all pa y ments on the s e curities ar e subject to t he credit risk of HSBC . SU M M A R Y T ER M S Issuer : HSBC USA Inc. ( “ HSBC” ) Underlying sha r es: The Inve s co Q Q Q Trus t S M , Ser i es 1 (Blo o mberg symbol: Q QQ U Q ) Aggregate p rinc i pal amount : $ Stated princi p al amount : $1,000 per se c urit y Issue price : $1,000 per se c urit y Pricing date: July 15, 20 2 6 T rade date*: July 16, 20 2 6 Original issue d ate* : July 21, 20 2 6 ( 3 business d ays after t h e t r ade dat e ) Maturity date* : July 21, 20 2 7, s ubject to a djustment a s d e scribed in the a c companyi n g ETF Und e rly i ng Suppl e ment . Early redempti o n : If, on any deter m ination da t e (other t h an t he final determi n ation date ) , the closi n g pr i ce of the under l ying shares is equal to or g reater than t he c all threshold level, t he securiti e s will be re d e e med early and w e will pay y ou on the a ppl i cable Coupon P a y ment D a t e (whic h wil l a l so b e the “Call Settlement Date ” ) a cash p a yment per N o t e equal to your Principal A m ount plus t he Contingent Co u pon other w ise due o n su c h da t e together with any previous l y u npaid Cont i ngent Co u po n s with r espect to any prior O bserva t ion Da tes. No further p a yments w il l be mad e o n the se c urities once they h a ve been rede e med . Early redempti o n amount: The early r e de m ption am o u nt will be a n a mount e q ual to ( i) the sta t e d principal a m o unt plus (ii) the C onti n gent Coup o n o t her w ise d u e on suc h date together w i th any prev i ously un p aid Contingent Co u pons with r espect to a ny p rior Ob s ervation Dates . Contingent coupo n payment: On each coup o n payment date on wh i ch t he closing price of the un d erlying sha r es i s equal to or gr e ater than t he coupon barr i e r, we wil l pay a coupon p a yme n t of at leas t approxima t ely $13.716 7 per m onth (equi v alent to a t l eas t 16.46% p er a n num of the state d prin c ipal amount) (to b e determined on t he trade d ate) per se c urit y on the related c oupon p a yment date plus any previous l y u npaid cont i ngent co u pon s , unless the securities were p r eviously r e deemed e a rl y . The actu a l co u pon paym e nt will be d ete r mined on th e tr a de date. Y ou may not re c eive any cou p o n payments ove r t he term of t h e securit i e s . Determin a tion d a tes* : August 17, 20 2 6, Septem b er 16, 20 2 6, O c tober 16, 2026, November 16, 2026, Dec e mber 16, 2026, January 1 9 , 2027, F e brua r y 16, 2 027, Mar c h 16, 2027, Apri l 16, 2027, M ay 17, 20 2 7, J u ne 16, 2027 a n d July 16, 2027(the F i nal V aluation Date ) , each subje c t to adju s t m en t as described i n the accompanying E TF Under l y i ng Suppl e m e n t Coupon paym e nt dates* : August 20, 20 2 6, Septem b er 21, 20 2 6, O c tober 21, 2026, November 19, 2026, Dec e mber 21, 2026, January 2 2 , 2027, F e brua r y 19, 2 027, Mar c h 19, 2027, Apri l 21, 2027, M ay 20, 20 2 7, J u ne 22, 2027 a n d July 21, 2027 (the M aturi t y Date), ea c h s u bject to ad j ustment as d e scribed in the accompanying E TF Under l y i ng Suppl e m e nt. Contingent coupo n : If the official clo s ing price of t he Under l ying Shares on a ny Determ i nation Date or the final price is equal to o r greater t h an the C oupon Barrie r , HSBC w i ll pay you t he Contin g en t Coupon on th e correspo n ding Cou p on P a yment Date as w ell as any p r eviously u n p aid Continge n t Coupo n with re s pect t o a pr i or Determi n at i on Dat e . If the official clo s ing price of t he Under l ying Shares on a ny Determ i nation Date or the final price is less th a n the Coup o n B arrier , the Contin g ent Co u pon a ppli c able t o su c h da t e will no t be p a y able a nd H SBC will n o t m ake a n y paym e nt to you o n the r e lev a nt C oup o n Paymen t Date. I f a Co n ti n gent C o u p on is n ot p aid o n a Co u pon P a yment Da t e becau s e t h e o f ficial closi n g pri c e of t he u n derl y ing sh a re s on that Observation Da t e is less th a n the cou p on barrier, such Co n tingent C o upon will b e p aid on a later C oupon P a y ment Date if th e official closing p r ice or the fina l price , as applic a ble, is eq u al t o or greate r than t he coup o n barrie r on su c h later Obse r vat i on Date. F o r the av o i d an c e of dou b t, on c e a previous l y unpa i d Conting e nt Coupo n has been paid on a later Cou p o n Payme n t Da t e, it wi l l not be p aid again o n any sub s eq u ent Coupon Payment Date . The Conti n gent Coupon is at least a p prox i mately $1 3 .71 6 7 per Not e per each C ou p on Payme n t Da t e. The t ab l e below s e t s f o rth t h e expecte d Observation Da t es, Coupo n Payment D a t es and the pot e ntial Conti n gent Cou p ons . Contingent Coupo n Expecte d Obse r vation Dat e s Expecte d Cou p on Paymen t Date s Expected Cont i ngent Cou p on s August 17, 20 2 6 August 20, 20 2 6 Approximately $ 13.716 7 September 16, 202 6 September 21, 202 6 Approximately $ 13.716 7 October 16, 20 2 6 October 21, 20 2 6 Approximately $ 13.716 7 November 16, 2 02 6 November 19, 2 02 6 Approximately $ 13.716 7 December 16, 2 02 6 December 21, 2 02 6 Approximately $ 13.716 7 January 19, 2 0 2 7 January 22, 2 0 2 7 Approximately $ 13.716 7 February 1 6 , 2 0 2 7 February 1 9 , 2 0 2 7 Approximately $ 13.716 7 March 1 6, 2 0 2 7 March 1 9, 2 0 2 7 Approximately $ 13.716 7 April 16, 202 7 April 21, 202 7 Approximately $ 13.716 7 May 1 7 , 20 2 7 May 2 0 , 20 2 7 Approximately $ 13.716 7 June 16, 2 02 7 June 22, 2 02 7 Approximately $ 13.716 7 July 16, 20 2 7 ( t he Final Va l uation Da t e) July 21, 20 2 7 ( t he Maturity Date ) Approximately $ 13.716 7 Payment at mat u rity:  If the final price i s equal to o r greater t h a n the downside threshold level :  If the final price i s less than t he downs i de threshold level : HSBC will p a y y o u a c a sh p ayment o n t h e Maturity Date e q ual to : (i) the stated princ i pal amount plus (ii) the c o ntingent coup o n otherwise due on such d a te togethe r with any p r evi o usly unpaid c on t ingent coupons with r e s pect to a n y prior Dete r m i nation Date s HSBC will p a y y o u a c a sh p ayment o n t h e Maturity Date e q ual to : the stated princip a l amount + [stated principal amount x (Refe r ence Return + 10.0 0 %) x D ownside L e verage F actor ] I f t h e s e c u r i t i e s a r e n o t r e d ee m e d e a r l y a n d t h e f i n a l p r i c e is le s s t h a n t h e do w n s i d e t h r es ho l d le v e l , y ou w i l l l o s e a p p r o x i m a t e l y 1 . 1 111 % o f t h e P r i n c i p a l A m o u n t f o r e a c h 1 % th a t t h e f i n a l p r i c e is b e l o w t h e d o w n s i d e t h r es h o l d l e v e l a n d , i n ex t r e m e s i t u a t i o n s , y ou c ou l d l o s e a l l o f y ou r i n i t i a l i n ves t m e n t . Referenc e retu r n: The qu o tient, e x pressed a s a perce n t age, calculate d as fol l ows : final price – initi a l pric e initial pri c e Downside l eve r age fa c tor: 100/90.00, whi c h is equal t o approxi m ate l y 1.1111 . Commissi o ns a n d issu e pr i ce : Price to publ i c Agent’s c o mmi s sion s Proceeds to is s ue r Per securit y $1 , 00 0 . 0 0 $0 . 50 ( 1 ) $0 . 50 ( 2 ) $9 9 9 . 0 0

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 2 T ota l $ $ $ (1) HSBC Sec u rities ( USA) Inc . , acting as a g e nt for H S BC, will r eceive a f e e of $ 1.00 p e r $1,0 0 0 stat e d principal a m ount a nd wil l p ay Morgan St a n l ey Wealth M anagem e nt a fixed sales commission of $ 0 .50 for ea c h security t h e y sell. See “Ad d i t ional Infor m ation A b o ut t he Securities — Suppleme n tal plan of dis t ribution (conf l icts of interest). ” (2) Of the $1.00 pe r $1,000 s t ated princi p al a mount received by HSBC S e curities (U S A ) Inc., acting as a gent for H S BC, HSBC S ecur i ties (USA) I n c. will pay M organ Sta n l ey Wealth Mana g ement a struct u ring f ee o f $0. 5 0 fo r eac h securi t y . * T h e t r a d e d a t e , o r i g i n a l i s s u e d a t e a n d t h e o t h e r d a t es s e t f o r t h ab o v e a r e s u b j e c t t o c h a n g e , a n d w i l l b e se t f o r t h i n t h e p r i c i ng s u p p l e m e n t r e l a t i ng t o t h e s e c u r i t i e s . T he estimated initia l value of the se c urities on the trade date i s expected to be between $94 7 .50 and $9 9 7.50 per s e c u r i ty, w hich will b e less th a n the price to p ublic. T he mark e t value of the securities at any time will reflect many factors and cannot be predicte d with accura c y. See “Estimated initial value” below and “Risk Factors” begi n ning on page 10 of this document for addition a l info r mation. I n vestment in th e securiti e s i n volves c er t ain risk s . See “Ri s k Factor s ” beginnin g on pa g e 10 of t h is free wri t ing prospe c tus, page S - 1 of t h e E T F Underlying Supp l ement and p age S - 1 o f the prospectus supplement . Neither the U.S. Securit i es and Excha n ge Commissi o n, or SEC, nor any state securit i es commis s i on has approved o r disappro v ed the securities, or determ i ned that this free wr i ting prospectus or th e acco m panyin g E T F Underlying S u pplement , prosp e ctus s up plement o r prosp e ctus i s truthfu l or c o mplete. An y r e pr e sentatio n to t h e cont r ary is a cri m inal of f ense . Ca l l t h r e s h o l d l e v e l: $ , wh i c h i s 1 0 0 . 00 % o f t he i n itial p r i c e D o w n s i d e t h r e s h o l d l e ve l : , wh i c h i s 9 0 . 0 0 % o f t h e i n it i a l p r ic e C o up o n b a rr i e r : , wh i c h i s 9 0 . 0 0 % o f t h e i n it i a l p r ic e I n i t i a l p r i ce : $ , wh i c h w a s t he o f f ic i a l c l o si n g p r ice o f th e u n d e r ly i n g s ha r e s on t h e p r i cin g d a t e F i n a l p r i c e : T he o f ficial c l o si n g p r i c e o f t h e u n d e r ly i ng s h a r e s o n t h e f i n a l d e t e r m in a ti o n d a t e . E s t i m a t e d i n i t i a l v a l u e : T he e s ti m a t e d i n it i a l v a lu e o f t h e s e c u r ities is e x p e c t ed t o be l e ss t h a n t he p r i c e y o u p a y t o p u r c h a s e t h e s e c u r it i e s. T he e sti m a t ed initi a l v a l u e d oe s n o t r e p r e s en t a m ini m u m p r i c e a t whi c h w e o r a n y o f ou r a f f i l i a t e s wo u l d be wi l l i ng t o pu r c h a s e y o u r s e c u r itie s i n t h e s e c o n d a r y m a r k e t , if a n y, a t a n y t i m e . T he e sti m a t ed i n itial v a l u e wi l l be c a l c u l a t e d on t h e t r a d e d a t e a nd wi l l be s e t f o r t h in t h e p r ic i n g s u p p le m e n t t o w h i c h t h is f r e e w r itin g p r o s p e ct u s r e la t e s. S ee “ R i sk F a c t o r s — T h e e sti m a t e d i n it i a l v a l ue o f t h e s e c u r iti e s, whic h wi l l b e d e t e r m in e d b y u s on t h e t r ad e d a t e , is e x p e ct e d t o b e l e s s t h an t h e p r ice t o p u b l i c a nd m a y d i f f e r f r o m t h e m a r k e t v a l u e o f t he s e c u r iti e s i n t h e s e c o n d a r y m a r k e t , if a n y. ” C US I P / I S I N : 40 4 47 E W 77 / U S 4 0 4 47 EW 7 7 9 L i s t i n g : T he s e c u r i ti e s wi l l n o t b e lis t ed o r d isp l a y e d o n a n y s e c u r itie s e x c h a n g e o r a n y e le c t r o n ic c o mm un i c a ti o n s n e t w o r k . Ca l c u l a t i o n A g e n t : H S B C S e c u r itie s ( U S A ) In c . , an a f f i l i a t e o f H S B C . S e e “ R i s k F a c t o r s — G e n e r a l R i sk F a c t o r s — T he c a lcu l a ti o n ag e n t , w h ich i s H SB C o r on e o f i ts a f f i l ia t e s, w i l l m a k e d e t e r m in a t i on s w i t h r e s pe c t t o t h e s e c u r itie s . ” HSBC has filed a registrat i on state m e n t (including a pr o spectus, a prospect us supplement an d E T F Underlying Supp l ement) with the SEC for th e offering to which this free writin g prospectus relates. Bef o re you invest, you should read the prospectus, pros p ec t us supplement and E T F Underlying Supplement in that registration sta t em e nt and other document s HSBC has f i led w ith the S E C f or more c omplete i nformat i on about H S BC and t his offeri n g . You may ge t these d ocuments for free by visiting E DGAR on the SEC’ s web s i te at www.s e c.gov . Al t ernatively , HSB C Securities ( USA) Inc . or any dealer p a r t icipating in th i s offeri ng will arrange to s end you the prospectu s , prospectus su p plement an d E T F Underlying Supplem e nt if you req u est them by calling ( 212) 525 - 8010 . You should read this doc u ment toget h er with the related E T F Underlying Su p plement, prospect u s supplement a nd prospectus, eac h of w h ich can be ac c essed via the hyperli n k s below . The ETF Un d erly i ng Su p pl e ment dat e d F e bruary 21 , 202 4 at: https:/ / www.se c .go v /A r chives/edga r /d a ta/83246/ 0 001104 6 5924 0 25949/tm2449 5 9d4_42 4 b2.ht m The pros p ectus suppleme n t dated Fe b ru a ry 21, 2 0 24 at: h ttps://www. s ec.gov/Arc h i v es/edgar/d a ta/ 8 3246/00 0 110465 9 2 4025 8 78/tm2449 5 9d 1 _424b2. h t m The pros p ectus dated F e b r uary 21, 2 0 24 at: https://ww w .s e c.gov/Arch i ves/edgar / d a ta/83246/000 1 1046592 4 025864/t m 2449 5 9d13_424b3. h t m T he securities are not deposit liabilit i e s or other obligations of a b a nk and a r e not insured or guaran t eed by the Fe d eral D e posit Insura n ce Corporati o n or any other governm e ntal agency of t he Un i ted Sta t es or any o t h e r jurisdic t ion, an d involve i n vestmen t r i sks including p o ssible loss of the stat e d principal amo u nt invested due to the credit risk of H S BC .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 3 In v e s tment S um m ar y B uf f ered C o n t i n g e n t In c o m e A u t o - C a l l a b l e S e c uri t i e s w i th M e m o r y a n d D o w n s i d e L e v er a g e P r i n c i p a l a t R i sk S e c uri t i e s T he B uffered In c o m e A ut o - C a l l ab l e S e c uri t i e s w i th M e m o r y an d Down s i de L e v erage du e J u l y 21, 202 7 ba s ed o n t h e perfo r m a n c e of the I n v e s c o Q Q Q T r u s t S M , S eri e s 1, wh i c h we refer to a s the s e c uri t i e s , pro v i de a n o p portun i t y for i n v e s tor s to r e c e i v e a c oup o n p a y m e nt, wh ic h i s an a m o unt e qu a l to at l ea s t ap p r o x i m a te l y $1 3 . 7 167 per mon t h (equ iv a l ent t o at l ea s t 16. 4 6% pe r an n u m of t h e s t a ted p r i n c i pa l a m oun t ) ( to b e det e r m i ned on t h e trade d a t e ) per s e c uri t y , w i th re s pe c t t o ea c h m ont h ly v a l uat i on d ate o n wh i c h t h e c l o s i ng p r i c e of the u nder l yi n g s hare s is greater than or equa l to 9 0.0 0 % of the i n i t i a l pr i c e, wh i c h we r efer to a s the down s i de t h r e s ho l d l e v e l . The m o nth l y c o n t i nge n t c oup o n p a y m e nt, i f a n y , w ill be p a y ab l e m ont h l y o n th e r e l e v ant c ont i nge n t c oup o n p a y m e nt dat e . The a c tua l c oup o n p a y m e nt w i ll be d eterm i ned on t he trade d ate. If th e s e c uri t i e s ha v e n o t bee n pre v i ou s ly r ede e m e d, t he c oup o n p a y m e nt w i l l be p a y ab l e o n the r e l e v ant c oup o n p a y m e nt d a te, wh i c h i s th e th i r d b u si ne s s da y aft e r the r e l ate d det e r m i nat i on d ate, e x c ept t hat t he c oup o n p a y m e nt d a te f o r the f i na l det e r m i nat i on d ate w i ll b e th e m a tur i t y date. If the c l o s i ng pri c e of the un d e r l y i ng s ha r e s i s l e ss than t h e c oupon b a rr i e r on an ob s e r v at i on date, th e c ont i ngent c oupon app l ic ab l e to s u c h o b s er v at i o n d a te w i ll not be p a y a b l e to y ou o n th e r e l e v ant c oup o n p a y m e nt d a te. I n ad d i t i on, i f a c ont i n g ent c o u pon is not pa i d o n a c ou p on p a y m e nt d a te b e c au s e t h e c l o s i ng p r ic e of the u nder l y i ng s hare s on t hat o b s er v at i o n d a te i s l e s s than the c oupon b a rr i e r , s u c h c ont i ngent c oupon w i ll be p a i d on a l ate r c oupon p a y m e nt date i f the c l o s i ng pri c e of the unde r lyi ng s hare s is eq u a l to o r greater than th e c oup o n tr i gger on s u c h l ater ob s er v at i on d ate, u p to and i n c l ud i ng t h e f i na l v a l uat i o n date. O n c e a p r e v i ou s ly un p a i d c o nt i nge n t c oup o n h a s be e n p a i d o n a l ater c oup o n p a y m e n t dat e , i t w ill not be p a i d a g a i n on a n y s ub s equ e nt c oup o n p a y m e n t dat e . Y ou m a y not r e c e i v e a n y Cont i nge n t Cou p on p a y m e nt s o v er the term of t he s e c uri t i e s . If the c l o s i ng pri c e of the un d e r l y i ng s ha r e s i s eq u al t o or g r eater t h a n the c a l l thre s h o l d l e v e l on a n y of t h e d e term i nat i on d ate s oth e r tha n the f i na l det e r m i nat i on d ate, the s e c uri t i e s w i l l be a uto m at i c a l l y r ede e m e d for an e a r ly r ede m pt i on a m o unt e qua l t o ( i ) the s tate d pr i n c i pa l a m oun t p l u s ( ii ) the c oup o n p a y m e nt w i th re s pe c t to t he re l ate d c o upo n pa y m e nt d a te t o get h er wi t h a n y pre v i ou s l y un p a i d c on t i nge n t c oup o n s w i th re s pe c t to a n y pr i or Dete r m i nat i on Da t e s . If the s e c u r i t i e s ha v e not pre v i ou s l y been redeemed e a r l y and the f i na l p r i c e i s eq u al t o or greate r t h a n 90. 0 0 % o f the i n i t i a l pri c e, wh i c h we refer to a s the down s i de t h r e s ho l d l e v e l , t he p a y m e nt a t m a tur i t y w i l l b e th e s u m of ( i ) the s tate d pr i n c i pa l a m oun t and ( ii ) the c ont i nge n t c oup o n ot h er w is e d u e o n s u c h d a t e to g eth e r w i th a n y pre v i ou s l y un p a i d c ont i n gen t c oup o n s w i th re s pe c t to a n y pr i or Dete r m i nat i on Da t e s . If, howe v e r , the s e c u r i t i e s a r e not redeemed ear l y and the f i na l p r i c e i s les s th a n the down s i de thre s ho l d l e v e l , th e pa y ment a t m a tur i t y w i l l be t he s tate d pr i n c i pa l a m oun t + [ s tate d pr i n c i pa l a m oun t x ( Referen c e Ret u r n + 10. 0 0 % ) x Down s i de L e v erage F a c tor]. In th i s c a s e, i n v e s to r s w ill l o s e a p pro x i m a te l y 1. 1 111% of t h e P r i n c i pa l A m o u n t for ea c h 1% that the f i na l pr i c e i s be l ow the down s i de thre s ho l d l e v e l , and i n e x t r eme s i tuat i o n s , i n v e s to r s c o u l d l o s e a ll of the i r i n i t i a l i n v e s tment. I n add i t i on , i n v e s t or s w i ll not part i c i pat e i n a n y ap p r e c i at i on o f th e un d erl y i ng s h are s .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 4 Ke y In v e s tment R a t i ona l e T he s e c uri t i e s off e r the opp o r tun i t y for i n v e s tor s to re c e i v e th e c ont i nge n t c oup o n e q u a l to a t l ea s t ap p r o x i m a t e ly $ 13. 7 167 per m o nth (equ i v a l ent t o at l ea s t 16. 4 6% pe r an n u m of t h e s t a ted p r i n c i pa l a m oun t ) per s e c uri t y on e a c h c oup o n p a y m e nt d a te o n wh i c h th e s e c uri t i e s are out s t and i ng. The a c tua l c ont i nge n t c oup o n w i ll be d eterm i ned on t h e trade d a te. P a y m e nt s on t he s e c uri t i e s w i l l v ar y de p end i n g o n the cl o s i ng p r i c e or f i na l pr i c e of the u nder l yi ng s har e s on e a c h d e term i nat i on d at e an d /o r the f i na l de t erm i nat i on d ate, r e s p e c t iv e ly , re l at i v e to the c a l l t h r e s ho l d l e v e l an d the down s i de t h r e s ho l d l e v e l , a s fo l l ow s : S cenar i o 1 O n any d eterm i n ati o n d a t e o t h e r t h an t h e f i n al de t e r m i n ati o n d ate, t h e clos i ng p r ice i s eq u al t o or grea t e r th a n t h e c a ll t h r esh o ld level . T he s e c uri t i e s w i ll be a uto m a t ic a l ly r ede e m e d e a r ly for an ear l y r ede m pt i on a m o unt e qua l to ( i ) the s tate d pr i n c i pa l a m ou n t p l u s ( ii ) the c on t i nge n t c ou p on o therw i s e d u e o n s u c h d a te together with a n y p r e v i ou s l y unpa i d c ont i ngent c oupo n s w i th r e s pe c t to a n y pr i or O b s er v at i on Date s . In v e s tor s w i l l not part i c i pat e i n a n y ap p r e c i at i on o f th e un d erl y i ng s hare s from th e i n i t i a l pr i c e . S cenar i o 2 T h e s e curities a r e n o t a u to ma t ical l y r ede e me d ea r ly a nd th e f inal p r ice i s eq u al t o or g r eater t h a n t h e do w n side t h r esh o l d lev e l . T he p a y m e nt d u e at m a tur i t y w ill be ( i ) the s tate d pr i n c i pa l a m oun t p l u s ( ii ) the c ont i ng e nt c oup o n d u e o n M a tur i t y Date t oge t her w i th a n y pre v i ou s l y un p a i d c ont i nge n t c oup o n s w i th r e s pe c t to a n y pr i or O b s er v at i on Da t e s . In v e s tor s w i l l not part i c i pat e i n a n y ap p r e c i at i on o f th e un d erl y i ng s hare s from th e i n i t i a l pr i c e . S cenar i o 3 T h e s e curities a r e n o t a u to ma t ical l y r ede e me d ea r ly a nd th e f inal p r ice i s le s s t h an t h e do w n side t h r esh o l d lev e l . T he p a y m e nt d u e at m a tur i t y w ill be t he s tate d pr i n ci pa l a m o unt + [ s tate d pr i n c i pa l a m oun t x ( Referen c e Ret u r n + 10.0 0 % ) x Down s i de L e v erage Fa c tor] . If the s e c u r i t i e s a r e not redeemed ear l y and the f i na l p r i c e is l e ss than the d o wn si de t h r e s ho l d l e v e l , y ou w i l l l o s e a p pro x i m ate l y 1.1 1 11% of th e P r i n c i p a l A m o unt f or ea c h 1% that the f i na l pri c e i s b e l ow th e down s i de t hre s ho l d l e v e l an d , i n e x t r e m e s i tu a t i on s , y ou c o u l d l o s e a ll of y our i n i t i a l i n v e s tm e nt .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 5 How the S e c u rit i e s W or k T he f o ll ow i ng d i agram s i ll u s t r ate t he p ote n t i a l out c o m e s f o r the s e c uri t i e s de p end i ng o n ( 1) the c l o s i ng p r ic e a n d (2 ) the f i na l pri c e, re l at i v e to the i n i t i a l pr i c e a n d th e down s i de t h r e s h o l d l e v e l . F or more i nformat i on a bou t t he p a y out u pon an e arl y r ede m pt i on o r at m atur i t y i n d i ff e r ent h y pot h et i c a l s c enar i o s , s ee “ H y pot h et i c a l E x a m p l e s ” be g i nn i ng o n th e fo l l o w i ng p ag e . D e t e r mi na t i o n D a t e s I n i t i a l P r i c e Th e c l o s in g p r i c e i s e qua l t o or gr ea t e r t ha n t h e c a l l t h r e s ho ld l e v e l . Th e c l o s in g p r i c e i s l ess t han t he c a l l t h r e s ho ld l e v e E a r l y R e d e m p t i on Y ou wi l l r e c e ive ( i ) t h e s ta t ed p r i n cip a l a m oun t p lus ( i i ) t h e c o n ti n g en t c o u pon o t he r w i s e d ue on s u c h da t e tog e t h e r wit h a n y p r e vio u sly u n pa id c o n ti ngen t c o u pon s wit h r e s pe ct t o a n y p r io r D e t e r m in a ti on Da tes. N o f ur t he r pa y m e n t w i l l be m a d e on t h e sec ur i t i es o nc e t he y ha v e be e n r e de e m e d . C o m pare t he c l o s i n g pr i c e o f t h e u nder l y i n g s hare s aga i n s t t h e c a l l t hre s ho l d l e v e l un t il t he f i n a l d e t er mi n a t i o n d a t e o r an y ea r l i e r r ede m p t io n . H S B C w i l l pa y y ou an i n t e r e s t p a y me n t o n ea c h i n t e r e s t p a y me n t da t e un l e s s t h e s e c u r i t ie s w e r e p r e v io u s l y r ed e e m ed ea r l y . N o E a r l y R e d e m p t i o n I f the f in a l p r ice is less t h an th e d o wnsi de t hr e s ho ld lev e l, y o u wi l l r e c e ive a c o n ti nge n t c ou p on wit h r e s pe ct t o the r e lev a n t po t e n ti a l r ed e m p ti on d a t e o n ly if t h e cl o sin g p r ice o f t he u n d e r ly i ng s ha r e s is g r ea t e r than o r e q ua l t o t he d o wnsi d e th r e s ho l d lev e l. I f the f in a l p r ice is g r ea t e r than o r e q ua l t o t he do wnsi de th r e s ho ld le v e l, a nd if a C on ti n g en t Co u pon is n o t p aid o n a C o u p o n P ay m e n t D at e b eca u s e t h e o ffi c ia l c l os i n g p r i c e o f t h e u n d e r l y i n g sh a r es o n t h at O b s e r v a ti o n D a t e is l e ss t h an th e c o upo n b a rr i e r , s u c h C o n ti ngen t C o upon wi l l be pa id o n t h e M a t u r it y Da te . F o r the a v o id a n c e o f do u b t , o n c e a p r e v io u sly unpa id Co n ti ngen t C oupon ha s b e e n p a id on a la te r C oup o n P a y m en t D a t e , it wi l l no t b e p a i d a ga in on an y s u b s e quen t C o upon P a y m en t D a t e .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 6 H y pothet i c a l E x amp l e s T h e b e l o w e x a m p l e s a s s u m e t he f o ll o w i ng a nd a r e p u r e l y h y po t h e t i c a l ( t he a c t u a l te r m s o f y ou r s e c u r i t y w i l l b e d e t e r m i n e d o n t he t r ade da t e ; a m o un t s m a y ha v e b e e n r o un d ed f o r e a s e o f a n a l y s i s ) : H y p o t he t i c a l I n i t i a l P r i c e : $ 1 0 0 . 0 0 H y p o t he t i c a l C a l l T h r e s h o l d L ev e l : $ 1 0 0 . 0 0 , w h i c h i s e q u a l t o 1 0 0 . 0 0 % o f t h e h y p o t h e t i c a l i n i t i a l p r i c e H y p o t he t i c a l D o w n s i d e T h r e s h o l d L e v e l : $ 9 0 . 0 0 , w h i c h i s 9 0 . 0 0 % o f t he h y p o t h e t i c a l i n i t i a l p r i c e H y p o t he t i c a l C o u p o n B a r r i e r : $ 9 0 . 0 0 , w h i c h i s 9 0 . 0 0 % o f t he h y p o t h e t i c a l i n i t i a l p r i c e H y p o t he t i c a l C o n t i n ge n t C o u p on : A pp r o x i m a t e l y $ 1 3 . 7 1 6 7 ( e q u i va l e n t t o 1 6 . 4 6 % p e r a n n u m o f t he s t a t e d p r i nc i p a l a m o u n t ) ( t o b e d e t e r m i n e d o n t h e t r a d e d a t e ) p e r s e c u r i t y f o r ea c h a p p li ca b l e C o u p o n P ay m e n t D a t e O b s e r v a t i o n D a t e s : M o n t h l y S t a t e d P r i nc i p a l A m o u n t : $ 1 , 0 0 0 p e r s e c u r i t y D o w n s i d e L ev e r a g e F ac t o r : 1 0 0 / 9 0 . 0 0 , w h i c h i s e q u a l t o a pp r o x i m a t e l y 1 . 1 1 1 1 E xam p l e 1 — T h e S e c urit i e s a re ca l l e d o n t h e F ir s t Ob se r va ti o n Da t e D a t e O f f i c i a l c l o s i n g pr i c e P ay m e n t ( pe r N o te ) Fir s t O b s e r v a t io n D a t e $130 . 00 ( a t o r ab o v e in i t ia l p r i c e) $1 , 013 . 7167 ( P a y me n t a t R ede m p t io n ) Total P a y me n t : $1 , 01 3 . 7167 ( 1 . 3 7 17 % r e t u r n ) S in c e the s e c u r i t i e s a r e c a ll e d on th e f i r s t O b s e r v a t i o n D a t e , HSB C w ill p a y y ou on t h e a p p l i c a b l e C a ll S e t t l e m e n t Da te a t o t a l o f $1 , 0 1 3 . 7 1 67 p e r $ 1 , 0 0 0 N o t e , r e f l e c t i n g y ou r Pr i n c i pa l A m ou n t p l u s t he C o n t i n gen t C oup on o f $ 1 3 . 7 1 67 . T he t o t a l r e t u r n on th e s e c u r i t i e s w o u l d b e 1 . 3 7 17% . No f u rt h e r a m oun t w il l b e o w e d to y ou unde r the s e c u r i t i e s . E xam p l e 2 — T h e S e c urit i e s a re ca l l e d o n t h e T h i rd Ob s e rv a ti o n Da t e a n d th e Offi c i a l Clo s i n g Pri c e is b e l o w t h e C o u p o n Barri e r o n t h e f ir s t two Ob s e rv a ti o n Da t e s D a t e s O f f i c i a l c l o s i n g pr i c e P ay m e n t ( pe r N o te ) Fir s t O b s e r v a t io n D a t e $35 . 00 ( be lo w c oupon ba rr ie r ; be l o w ini t ia l p r i c e ) $0 . 00 (C on t in g en t C oupo n N o t P a i d ) S e c ond O b s e r v a t io n D a t e $45 . 00 ( be lo w c oupon ba rr ie r ; be l o w ini t ia l p r i c e ) $0 . 00 (C on t in g en t C oupo n N o t P a i d ) Thi r d O b s e r v a t io n D a t e $130 . 00 ( a t o r ab o v e in i t ia l p r i c e) $41 . 15 (C on t in g en t C oupon ) Total P a y me n t : $1 , 04 1 . 15 ( 4 . 11 5 % r e t u r n ) ( P a y me n t a t R ede m p t i o n ) E v en t ho u gh t h e Off i c i a l C l o s i ng Pr i c e o f th e u n d e r l y i n g s h a r e s i s b e l o w t he c ou p on b a rr i e r on th e f i r s t tw o O b s e r v a t i on D a t e s , s i n c e th e s e c u r i t i e s a r e c a l l ed on t h e t h i r d Ob s e r v a t i on D a t e a nd t h e O f f ic i a l C l o s i ng Pr i c e o f t h e u n d e r l y i n g s ha r e s i s a bo v e t h e i n i t i a l p r i c e on t he t h i r d O b s e r v a t i on D a t e , HSB C wi l l p a y y ou a t o t a l o f $ 1 , 0 4 1 . 1 5 p e r $ 1 , 0 00 N o t e , r e f l e c t i n g y ou r Pr i n c i p a l A m o u n t p l u s the Co n t i n g en t Co u pon o f $ 13 . 7 167 p l u s t h e t wo p r e v i o u s l y u n pa i d C on t i ng e n t Co u p on s o f $ 27 . 4 333 . Th e t o t a l r e t u r n on t he s e c u r i t i e s w o u l d b e 4 . 1 1 5 % . E xam p l e 3 — T h e S e c urit i e s a re N O T ca l l e d o n a n y of th e Ob se rv a ti o n Dat e s , th e of f i c i a l c l o s i n g pri c e i s be l o w th e Co u p o n Barri e r o n t h e f ir s t e l eve n O b s e rv a t i o n D a t e s a n d t h e F i n a l Pri c e of th e U n d e rl y i n g S h a re s i s g re a t e r t h a n or e q u a l to th e Do w n s i d e t h r e s h o l d l e v e l D a t e s O f f i c i a l c l o s i n g pr i c e / F i na l pr i c e P ay m e n t ( pe r N o te ) Fir s t O b s e r v a t io n D a t e $67 . 00 ( be lo w c oupon ba rr ie r ; be l o w ini t ia l p r i c e ) $0 . 00 (C on t in g en t C oupon N o t P a i d ) S e c ond O b s e r v a t io n D a t e $65 . 00 ( be lo w c oupon ba rr ie r ; be l o w ini t ia l p r i c e ) $0 . 00 (C on t in g en t C oupon N o t P a i d ) Thi r d t o E l e v en t h O b s e r v a t io n D a t e s V a r io u s ( be lo w c oupon ba rr ie r ; be l o w ini t ia l p r i c e ) $0 . 00 (C on t in g en t C oupon N o t P a i d ) Fin a l V a lu a t io n D a t e $91 . 00 ( a t o r abo v e do w n s id e t h r e s ho ld l e v e l and c oupo n ba rr ie r ; be lo w I n i t ial p r i c e ) $1 , 164 . 60 ( P a y me n t a t M a t u r i t y ) Total P a y me n t : $1 , 16 4 . 60 ( 16 . 4 6 % r e t u r n ) E v en t ho u gh t h e o f f i c i a l c l o s in g p r i c e o f th e u n d e r l y i n g s h a r e s i s b e l o w t h e c oup o n b a r r i e r o n the f i r s t e l e v e n Ob s e r v a t i o n D a t e s , s i n c e t h e s e c u r i t i e s a r e n o t c a l l ed a n d the f i n a l p r i c e o f t he u nde r l y i ng s ha r e s i s a b o v e the do w n s i de th r e s h o l d l e v e l and c o u pon ba rr i e r , HSBC wi l l p a y y ou a t o t a l o f $ 1 , 1 6 4 . 6 0 a t m a t u r i t y pe r $1 , 0 00 N o t e , r e f l e c t i n g y ou r Pr i n c i pa l A m ou n t p l u s t he C o n t i n gen t C oup on o f $ 1 3 . 7 1 67 p l u s the e l e v e n p r e v i o u s l y u n p a i d C o n t i n gen t C oup o n s o f $1 50 . 8 8 33 . T he t o t a l r e t u r n o n t h e s e c u r i t i e s wo u l d b e 1 6 . 46% .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 7 E xam p l e 4 — T h e S e c urit i e s a re N O T ca l l e d o n a n y of th e Ob se rv a ti o n Dat e s a n d t h e F i n a l Pri c e o f t h e Un d e r l y i n g S ha re s i s b e l o w t h e d o w n s i d e t h re s ho l d le v e l D a t e s O f f i c i a l c l o s i n g pr i c e / F i n a l p r i c e P ay m e n t ( pe r N o te ) Fir s t O b s e r v a t io n D a t e $90 . 00 ( a t o r ab o v e c oupon ba rr i e r ; be lo w in i t ia l p r i c e ) $13 . 7167 (C on t in g en t C oupon ) S e c ond O b s e r v a t io n D a t e $92 . 00 ( a t o r ab o v e c oupon ba rr i e r ; be lo w in i t ia l p r i c e ) $13 . 7167 (C on t in g en t C oupon ) Thi r d t o E l e v en t h O b s e r v a t io n D a t e s V a r io u s ( a t o r ab o v e c oupon ba rr ie r ; be lo w in i t ial p r i c e ) $123 . 453 (C on t in g en t C oupo n s ) Fin a l V a lu a t io n D a t e $40 . 00 ( be lo w do w n s id e t h r e s h o ld le v e l and c oupo n ba rr ie r ) $1 , 000 + [ ( $1 , 000 x (R e f e r en c e R e t u r n + 10 . 0 0 % ) x D o w n s id e Le v e r age F a c t o r ] = $1 , 000 + ( $1 , 000 x ( - 60 % + 1 0 % ) x 100 / 90 . 0 0 = $1 , 000 + ( $1 , 000 x - 50 % ) x 1 . 1 1 1 1 = $1 , 000 – $55 5 . 55 6 = $444 . 444 ( P a y me n t a t M a t u r i t y ) Total P a y me n t : $595 . 328 ( - 40 . 46 7 2 % r e t u r n ) S in c e the s e c u r i t i e s a r e n o t c al l ed a nd t he f i na l p r i c e i s b e l o w the d o wn s i de t h r e s ho l d l e v e l , HSB C w ill p a y y ou a t m a t u r i t y $444 . 444 pe r s e c u r i t y . I n a d d i t i o n , t he f i na l c on t i n gen t c o upo n w il l n o t b e p a y a b l e b e c a u s e th e f i n a l p r i c e i s a l s o b e l o w t h e c o up o n b a r r i e r. W h e n adde d to t he c on t i n g en t c ou po n p a ym e n t o f $ 1 5 0 . 8 8 33 r e c ei v ed i n r e s p e c t o f t h e f i r s t e l e v e n o b s e r v a t i o n d a t e s , HSB C w i l l h a v e p a i d y ou $59 5 . 3 2 8 p e r N o t e , f o r a - 40 . 4 6 72% t o t a l r e t u r n o n th e s e c u r i t i e s . I nves t i n g i n t h e s ec urit i es i n v o lve s s i g n if ic a nt ri s k s . T h e sec urit i e s d if f e r fro m o rd i n a ry d e bt s ec urit i es i n t h a t H S B C is n ot n e ce s sa ril y o b l i g a t e d t o r e p ay t h e f u l l a m o u nt of y o u r i n it ia l i n ves t m e nt . I f t h e sec ur i ti e s a re n o t a u t o m a t i ca l l y r e d e em e d e a r l y a n d t h e f i na l pri c e i s l e ss t h a n th e d o w n s i d e t h re s h o l d l eve l , i n ex t r eme s it u a t i o n s y o u c o u l d l o s e a l l o f y o ur i n i t i a l i n v e s t m e nt . An y pa y me nt t o be m a d e o n th e s e c urit ie s , i n c l u d i n g a n y r e p a y m e nt of pri nc i p a l , d e p e n d s o n t h e a b i l i t y o f HSB C to sa ti s f y i t s o b l i g a t i o n s a s t h e y c o me d u e . If HS B C w e re to d e f a u l t o n it s o b l i g a ti o n s u n d e r th e s ec urit ie s , y o u c o u l d l o s e a l l of y o u r i n i ti a l i nves t me nt.

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 8 In v e s tor Su i tab i li t y T h e s e curities may b e s u i t able f o r y o u if: T h e s e curities may n o t be sui t able f o r yo u i f : Y ou f u lly un d er s tan d the r i s k s of a n i n v e s tm e nt i n th e s e c uri t i e s , i n c l ud i ng t h e r i s k of l o s s of a ll of y our i n i t i a l i n v e s tm e nt. Y ou a r e w i lli ng t o m a k e a n i n v e s tm e nt t h at i s e x po s ed t o the Down s i de L e v erage Fa c tor of appro xi m a te l y 1.1 1 11 x for e a c h p e r c ent a ge p o i nt that the Referen c e Retu r n is be l ow - 10. 0 0% and y ou und e r s tan d tha t the Down s i de L e v erage Fa c tor ma y m a gn i f y y our l o ss e s up to a 100 % l o ss of y ou r i n v e s tm e nt . Y ou b e l i e v e th a t th e f i na l pr i c e of the u nder l yi ng s hare s w ill be e qu a l to o r greater than th e down s i de thre s ho l d l e v e l . Y ou u nder s tan d tha t y ou m a y not r e c e i v e a n y c ont i nge n t c oup o n p a y m e n t s o v er the term of t he s e c uri t i e s . Y ou b e l i e v e th a t th e of f ici a l c l o s i ng p r i c e of the und e r lyi ng s hare s on s o m e o r a l l of t h e O b s er v at i on Date s an d the f i na l pr i c e w i ll not b e b e l ow th e c oup o n b a rr i er . Y ou u nder s tan d an d a c c ept t hat y ou w i ll not part i ci pat e i n a n y ap p r e c i at i o n i n th e pr i c e of the und e r lyi ng s hare s an d tha t a n y po s i t iv e retu r n i s li m i ted t o th e c ont i nge n t c o u pon s r e c e i v ed, w h i c h w i l l depend on the appl i c ab l e n u mbe r of c oupon pa y m e nt d a te s on wh i c h th e s e c uri t i e s r e m a i n out s tan d i ng . Y ou c an t o l erate f l u c tua t i on s i n th e pr i c e of the s e c uri t i e s pr i or to ma t uri t y t h at m a y be s i m il ar to o r e x c eed the d own s i de p r i c e f l u c tuat i on s of t h e und e r lyi ng s hare s . Y ou a r e w i lli ng t o i n v e s t i n t h e s e c uri t i e s ba s ed o n the c ont i nge n t c oup o n, t h e d own s i de t h r e s ho l d l e v e l and the c a ll th r e s ho l d l e v e l i n d ic ated on the co v e r hereof . Y ou a r e w i lli ng t o forgo an y d ivi den d s pa i d o n i n th e und e r lyi ng s hare s . Y ou a r e w i lli ng t o i n v e s t i n s e c uri t i e s tha t m a y be r ede e m e d pr i or to the m atur i t y dat e an d y ou a r e oth e r w i s e w i l l i ng t o ho l d s u c h s e c uri t i e s to m atur i t y , a term of a ppro x i m a te l y 12 m o nth s , an d a c c ept t hat there m a y be l i tt l e or no s e c o ndar y m a r k et . Y ou d o n o t fu l ly un d er s tan d t he r i sks of a n i n v e s tm e nt i n th e s e c uri t i e s , i n cl ud i ng t h e r i sk of l o ss of a l l of y our i n i t i a l i n v e s tm e nt . Y ou requ i r e a n i n v e s tm e nt d e s i gne d to p r o v i de a fu l l r eturn of pr i n c i pa l at m atur i t y . Y ou a r e u n w i lli ng t o m a k e a n i n v e s tm e nt t h at is e x po s ed t o the Down s i de L e v erage Fa c tor of appro xi m a te l y 1.1 1 11 x for e a c h p e r c ent a ge p o i nt t h at the Refe r en c e Retu r n is be l ow - 10. 0 0%, up to a 1 0 0 % l o s s of y our i n v e s tm e nt . Y ou b e l i e v e th a t th e f i na l pr i c e of the u nder l yi ng s hare s is lik e ly to b e l e s s th a n th e down s i de t h r e s ho l d l e v e l . Y ou b e l i e v e th a t th e of f ici a l c l o s i ng p r i c e of the und e r lyi ng s hare s on s o m e o r a l l of t h e O b s er v at i on Date s or the f i na l pr i c e w i ll b e b e l ow th e c oup o n bar r i er . Y ou s ee k an i n v e s tm e nt t h at part i ci pat e s i n th e appre ci at i on i n th e pr i c e of t h e u n der l yi ng s hare s or that ha s un l i m i ted r etu r n potent i a l . Y ou c ann o t to l erate f l u c tuat i on s i n th e pr i c e of the s e c uri t i e s pr i or to ma t uri t y t h at m a y be s i m il ar to o r e x c eed the d own s i de p r i c e f l u c tuat i on s of t h e und e r lyi ng s hare s . Y ou a r e u n w i lli ng t o i n v e s t i n the s e c uri t i e s ba s ed o n the c ont i nge n t c oup o n, t h e d own s i de t h r e s ho l d l e v e l or the c a l l thre s ho l d l e v e l i nd i c ate d on t he c o v er hereof. Y ou p r efer to re c e i v e a n y d i v i den d s pa i d o n the und e r lyi ng s hare s . Y ou a r e u n ab l e or unw illi ng t o h o l d s e c uri t i e s tha t m a y be redee m ed p r i or to the m a t uri t y dat e , or y ou a r e oth e r w i s e u n ab l e or unw illi n g to h o l d s u c h s e c uri t i e s to m atur i t y , a t e r m o f ap p r o x i m a te l y 12 m ont h s , or y o u s ee k an i n v e s tm e nt f o r wh i c h there w ill be an a c t i v e s e c ond a r y m a r k et . Y ou p r efer the l ower r isk , an d therefore a cc ept t he pot e nt i a l ly l ower r eturn s , of c on v ent i ona l de b t s e c uri t i e s w i th c o m parab l e m atur i t i e s i ss ued b y H S B C or another i ss uer w i th a si m i l ar c r ed i t rat i ng .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 9 Y ou d o n o t s ee k an i n v e s tm e nt f o r wh i c h th e r e w i ll be an a c t i v e s e c onda r y ma r k et . Y ou a r e w i lli ng t o a c c ept t he r isk an d r eturn prof i l e of the s e c uri t i e s v er s u s a c on v e nt i ona l de b t s e c uri t y w i th a c o m parab l e m atur i t y i ss ued b y H SB C or ano t her i ss uer w i th a si m il ar c r ed i t rat i ng . Y ou a r e c o m fortab l e w i th t h e c r ed i tworth i ne s s of H S B C, a s I s s uer of the s e c uri t i e s . Y ou s ee k an i n v e s tm e nt f o r wh ic h th e r e w i ll be a n a c t iv e s e c ond a r y m a r k et. Y ou p r efer the l ower r isk , an d therefore a cc ept t he pot e nt i a l ly l ower r eturn s , of c on v ent i ona l de b t s e c uri t i e s w i th c o m parab l e m atur i t i e s i ss ued b y H S B C or another i ss uer w i th a si m i l ar c r ed i t rat i ng . Y ou a r e n o t w illi ng o r are unab l e to a s s u m e th e c r ed i t r isk a s s o c i ate d w i th H S B C, a s I s s uer of the s e c uri t i e s .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 0 R i sk Factor s W e urge y ou t o r ead the s e c t i on “R i sk Fa c tor s ” be g i nn i ng on p age S - 1 of the ac c ompan y i ng p r o s pe c tu s s upp l eme n t and page S - 1 of the ac c ompan y i ng ET F Unde r lyi ng Supp l ement. In v e s t i ng i n the s e c u r i t i e s i s not equ i v a l ent to i n v e s t i ng d i r e c t l y i n the und e r lyi n g s hare s . Y ou s hou l d u n der s tan d the r isks of i n v e s t i ng i n th e s e c uri t i e s an d s hou l d rea c h a n i n v e s tm e nt d e c i s i on o n l y after c arefu l c on s i derat i on, w i th y our ad v i s or s , of t he s u i t a b i li t y of t h e s e c uri t i e s i n l i ght of y our pa r t ic u l ar f i nan c i a l c i r c u m s tan c e s and the i nfo r mat i on s et fo r th i n th i s d o c ument and the a c c ompan y i ng ET F Unde r lyi ng Supp l ement, p r o s pe c tu s s u p p l ement and pro s pe c tu s . In a d d i t i on t o the r is k s d i sc u s s ed b e l ow, y ou s ho u l d re v i e w “ R i sk Fa c tor s ” i n th e a c c o m p an y i ng p r o s pe c tu s s upp l e m e nt a n d E TF Under l yi ng S upp l e m ent i n cl u d i ng t h e e x p l ana t i on o f r i s k s r e l at i ng t o the s e c uri t i e s de s c r i bed i n th e fo l l o w i ng s e c t i o n s : “ — R i sks Re l a t i ng t o A ll Note I s s uan c e s ” i n th e pro s pe c tu s s upp l e m ent; an d “ — G en e r a l R isks Re l ate d to Ind e x Fund s ” i n th e E TF Un d erl y i ng S upp l e m ent . Y ou w i ll be s ub j e c t to si gn i f i c ant r i sks not a ss o c i ate d w i th c on v ent i ona l f ix e d - r ate o r f l oat i n g - r ate d ebt s e c uri t i e s . Risks Relati n g to t h e S t r u c t u r e or Fe a t u r es o f t h e S e c u r i t ie s T h e s e curities d o no t gu a r an t ee t h e r et u r n o f any p r i n cipal a n d yo u r in v est m e n t in t h e secur i t ies may r e s u l t in a loss . T he t e r m s of t h e s e c uri t i e s d i ffer f r o m tho s e of ord i n ar y de b t s e c uri t i e s i n th a t th e s e c uri t i e s do n ot g u arantee t h e retu r n of a n y of t h e s tate d pr i n c i p a l a m oun t at m atur i t y . The r etu r n o n the s e c uri t i e s is li n k ed t o th e perfo r m a n c e of the u n d erl y i n g s h a r e s , an d w ill de p end on w het h er the off i ci a l c l o s i ng p r i c e of the u nder l yi ng s hare s o n the O b s er v at i on Da t e s or the f i na l pri c e, a s ap p l i c ab l e, is at o r abo v e th e c oup o n b a rr i er o r c a l l thre s h o l d l e v e l . If t h e s e c uri t i e s are not c a l l ed, H S B C w i ll on l y pa y y ou t h e P r i n c i pa l A m o u n t of y our s e c uri t i e s ( p l u s the f i na l Cont i nge n t Cou p on a nd a n y pre v i ou s ly un p a i d Cou p o n P a y m e nt s w i th re s p e c t to p r i or O b s er v at i on Da t e s ) i f th e f i na l pr i c e is greater than or equa l to t h e d o wn s i de t h r e s h o l d l e v e l and c oup o n b a rr i er and w ill on l y m a k e s u c h p a y m e nt a t m atur i t y . Y ou w i l l not part i ci pa t e i n a n y ap p r e c i at i on o f th e u nder l yi n g s hare s . If t h e s e c uri t i e s ar e not c a l l ed a nd t h e f i n a l pr i c e i s l e s s tha n the down s i de t h r e s ho l d l e v e l , th e Down s i de L e v erage F a c tor ma y m a gn i f y y our l o s s e s up t o a 1 00% l o s s of y o u r i n v e s tm e nt . T h e co nt i n g en t r e p ayme n t o f princ i p al ap p lies on ly i f yo u h o l d t h e s e curities t o ma t u r i t y . Y ou s hou l d b e w ill i ng t o ho l d y our s e c uri t i e s to m atur i t y . If y ou a r e a b l e to s e l l y our s e c uri t i e s pr i or to an e a r ly r ede m pt i on o r m a tur i t y i n th e s e c ond a r y m a r k et, y ou m a y ha v e to s e l l the m at a l o s s r e l a t iv e to y o ur i n i t i a l i n v e s tm e nt e v en i f t h e pr i c e of the unde r lyi ng s ha r e s at s u c h t i m e is eq u a l to o r greater than th e down s i de t h r e s ho l d l e v e l . Hi gh e r C o n t i n g en t C o u po n s or lo w e r d o w n side t h r e s ho ld levels a r e g e n e r ally a ssociate d w i t h u n d e r lyin g share s w i th greater expe c t ed v o l a t ility a nd t h e r ef o r e c a n in d i cate a greate r r isk o f loss . " V o l at i l i t y " r efer s to t h e frequen c y an d m a gn i tud e of c han g e s i n th e pri c e of the u nder l yi ng s har e s . The greate r the e x pe c ted v o l at i li t y w i th re s pe c t to t he u nder l yi n g s hare s on t he p r ici ng d ate, t h e h i gher the e x pe c tat i on a s o f th e pr i ci ng d ate t hat t he pri c e of the u nder l yi ng s hare s c o u l d cl o s e b e l ow i t s down s i de t h r e s ho l d l e v e l on t he f i n a l det e r m i nat i on d ate, i nd i c a t i ng a h i gher e x pe c ted r i s k of l o s s o n th e s e c uri t i e s . Th i s greater e x p e c ted r i sk w i ll ge n era l ly be ref l e c ted i n a h i gher c ont i nge n t c oup o n th a n th e y i e l d p a y ab l e o n o u r c on v ent i ona l de b t s e c uri t i e s w i t h a s i m i l ar matur i t y , or i n m o r e fa v orab l e term s ( s u c h a s a l ower down s i de t h r e s ho l d l e v e l or a h i gher c ont i nge n t c oup o n) than for si m i l ar s e c uri t i e s li n k e d to the p erfo r m a n c e of the u nder l yi ng s hare s w i th a l ower e x pe c t e d v o l at i li t y a s of t h e pr i c i ng d ate . Y ou s hou l d th e r efore und e r s tan d tha t a re l at i v e l y h i gher c ont i nge n t c oup o n m a y i nd i c ate a n i n c r ea s ed r i s k of l o s s . Fu r ther, a re l at i v e l y l ower down s i d e thre s ho l d l e v e l m a y not ne c e s s ari l y i nd i c ate t hat t he s e c uri t i e s ha v e a g r eat e r lik e l i hoo d of a r epa y m e nt of p r i n ci pa l at m a tu r i t y . T he v o l at i li t y of the u n de r lyi ng s ha r e s c an c hange si gn i f ic ant l y o v er the term of t he s e c uri t i e s . The pri c e of the u nder l yi ng s hare s for y our s e c uri t i e s c ou l d f a ll s harp l y , wh i c h c ou l d re s u l t i n a s i g n i f ic ant l o ss of p r i n c i pa l . Y ou s hou l d b e w i lli ng t o a cc ept t he d own s i de m ar k et r i sk of t h e u n der l y i ng s hare s an d the pot e nt i a l to l o s e s o m e or a ll of y our p r i n c i p a l at m atur i t y . T h e s e curities may b e c a l l ed p r ior t o t h e ma t u r i t y da t e . If the s e c u r i t i e s a r e c a l l ed ea r l y , the ho l d i ng peri o d o v e r wh i c h y ou w i ll r e c e iv e c oup o n p a y m e nt s c ou l d b e a s li t t l e a s 1 m o nth. If th e s e c uri t i e s are r ede e m e d pr i or to the m atur i t y dat e , y o u

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 1 w i ll r e c e i v e n o m o r e c oup o n pa y m e nt s . The r e i s no g uarantee t hat y ou wo u l d b e ab l e t o re i n v e s t th e pro c eed s fro m an i n v e s tm e nt i n th e s e c uri t i e s a t a c o m parab l e retu r n for a s i m i l ar l e v e l of r i sk fo l l ow i ng a n a u to m at i c c a ll . Inves t o r s w ill n o t partic i p a t e in a n y a pp r eci a t i on in t h e pric e o f t h e u n d e r lyin g s h a r es a nd w ill n o t have t h e same r ig h t s d u r in g t h e te r m o f t h e s e curities as h o lders o f t h e u n d e r lyin g shar e s . In v e s tor s w ill not part i ci pat e i n a n y appre ci at i on i n th e pr i c e of t h e u n der l yi ng s hare s from th e In i t i a l P r i c e a n d th e r eturn on t h e s e c uri t i e s w i l l be l i m i t e d t o the c oup o n p a y m e nt s r e c e i v ed, wh ic h w i l l de p end on t h e n u m b er of c oup o n p a y m e nt d a te s on w h ic h th e s e c uri t i e s r e m a i n out s tan d i ng. I t i s p o s s i b l e th a t th e s e c uri t i e s c ou l d b e s ub j e c t to a n e a r ly r ede m pt i on s o tha t y ou w i ll r e c e iv e few c o u pon pa y m e nt s . If y ou d o n o t ear n s uff i c i ent c oup o n p a y m e n t s on t h e s e c uri t i e s , th e o v era l l r eturn on t h e s e c uri t i e s m a y be l e s s than the a m ount that wou l d be pa i d on a c on v e nt i on a l de b t s e c uri t y of t h e iss uer of c o m p arab l e m atur i t y . Fu r ther, i n v e s tor s i n the s e c uri t i e s w i l l not ha v e v ot i ng r i ght s or r i ght s to re c e iv e d i vi den d s or other d i s t r i bu t i on s or an y oth e r r i ght s dur i ng t he t e r m of the s e c u r i t i e s with respe c t to the un d erl y i ng s hare s , an d an y s u c h d i vi den d s or d i s t r i b ut i on s w i l l not be f a c tored i n t o th e c a l c u l at i on o f th e pa y m e nt a t m a tur i t y . Risks Relati n g to t h e U nd e r lyin g S h a r e s Inves t i n g in t h e s e curities i s n o t e qu ival e n t to i n vest i n g in t h e u n d e r lyin g s h a r es . In v e s t i ng i n th e s e c uri t i e s i s not equ i v a l ent t o i n v e s t i ng i n th e und e r lyi ng s hare s . In v e s tor s i n th e s e c uri t i e s w i ll not ha v e v ot i ng r i ght s or r i ght s to re c e i v e d i vi den d s or other d i s t r i bu t i o n s or an y oth e r r i ght s w i th re s pe c t to t he u nder l yi ng s hare s . T h e perf o r ma n ce a nd m a r ket value o f th e und e r ly i ng share s d u r i n g perio d s o f m a r ket v o latili t y may n o t co r r elate w i th th e pe r f o r m a n ce o f i t s u n d e r lyi n g in d ex a s w ell a s t h e n e t as s et val u e p e r s h a r e o f t h e u n d e r lyin g s h a r es . Du r i ng p eri o d s of m ar k et v o l at i li t y , s e c uri t i e s un d er l yi ng t he u nder l yi ng s hare s m a y b e un a v a i l ab l e i n th e s e c ond a r y m a r k et, m a r k et p a r t ici pan t s m a y be u nab l e to c a l c u l ate a c c urate l y the n et a s s et v a l ue p er s har e of t h e u n der l yi ng s hare s an d the li qu i d i t y of the unde r l y i ng s h a r e s ma y be ad v er s e l y aff e c t e d. Th i s k i nd o f m ar k et v o l at i li t y m a y a l s o d i s r upt t he a b i li t y of m a r k et p a r t ici pan t s to c r eat e an d r ede e m s hare s of t h e u n der l yi ng s hare s . Fu r ther, mar k et v o l a t ili t y m a y a d v er s e l y a ffe c t, s o m et i m e s m a ter i a lly , th e pr i c e s at wh i c h m ar k et p art i ci p a nt s are w i lli ng t o b u y an d s e l l s hare s of t h e u n der l yi ng s h a r e s . A s a r e s u l t, u n der the s e c i r c u m s t a n c e s , th e m a r k et v a l ue o f s h are s of t h e u n der l yi ng s hare s m a y v ar y s u b s tant i a l ly from the n et a s s et v a l ue p er s hare of th e un d erl y i ng s hare s . Fo r a l l of t he f o r ego i ng rea s on s , th e perfo r m a n c e of the u nder l yi ng s hare s m a y not c or r e l ate w i th t h e p e r forman c e of the u nder l yi ng i nde x a s we l l a s the net a ss e t v a l ue p er s hare of th e un d erl y i ng s hare s , wh i c h c o u l d m ater i a l l y an d ad v er s e l y aff e c t th e v a l ue o f t he s e c uri t i e s i n th e s e c ond a r y m a r k et a n d/or r edu c e y our pa y m e nt a t m a tur i t y , i f a n y . T h e r e is limi t ed a n t i - d i l u t i o n pro t e c t io n . F or c erta i n e v ent s aff e c t i ng t h e u n der l y i ng s hare s , s u c h a s s to c k s p li t s or e x t r aord i nar y d i vi den d s , th e c a l c u l at i on a gen t m a y m a k e ad j u s tm e nt s to t h e a m oun t p a y ab l e at m a tur i t y . Howe v er , the c a l c u l at i on a gen t i s not r equ i r ed t o m a k e a n ad j u s tm e nt f or e v e r y c orpo r ate a c t i on wh i c h af f e c t s the und e r l y i ng s h a r e s . If a n e v ent o cc ur s tha t do e s not r e qu i r e th e c a l c u l a t i on a gen t t o ad j u s t th e a m oun t pa y ab l e a t m atur i t y , th e m a r k et pr i c e o f th e s e c uri t i e s m a y be m ater i a l l y and ad v er s e l y aff e c ted . N o n - U. S . S ecur i t ies Ri s k . S o m e of the e qu i t y s e c uri t i e s he l d b y the QQQ a r e i ss ued b y no n - U. S . c o m pan i e s . In v e s tm e nt s i n s e c uri t i e s l i n k ed t o the v a l ue o f s u c h n o n - U. S . eq u i t y s e c uri t i e s , s u c h a s the Note s , i n v o l v e r i s k s a s s o c i ate d w i th the h o m e c oun t r i e s of the i s s ue r s of t h o s e no n - U. S . eq u i t y s e c uri t i e s . The pri c e s of s e c uri t i e s i n no n - U. S . m ar k et s m a y be a ffe c ted b y po l i t i c a l , e c ono m ic , f i nan c i a l and s o c i a l f a c tor s i n th o s e c o untr i e s , or g l oba l r eg i on s , i n c l ud i ng c han g e s i n g o v ernm e nt, e c ono m ic an d f i sc a l po l i ci e s and c ur r en c y e x c han g e l a w s . G enera l Risk F a ct o r s Cr e d i t r isk o f H S BC USA I n c . T he s e c uri t i e s are s en i or u n s e c ured debt ob l i gat i o n s of the i ss uer, HS B C, an d are not, e i ther d i r e c t ly or i n d i r e c t ly , an o b li g at i on o f an y th i r d p a r t y . A s f u r ther de s c r i bed i n th e a c c o m pan y i ng p r o s pe c tu s s upp l e m ent a nd pro s pe c tu s , th e s e c uri t i e s w i l l r an k on p ar wi t h a l l of t h e o t her un s e c ured and u n s ubord i nat e d d e bt o b li gat i o n s of H S B C, e x c ept s u c h o b li ga t i on s a s m a y be p r efer r ed b y op e r at i on of l aw. A n y pa y m e nt t o be m ade on t h e s e c uri t i e s de p en d s on t he ab i li t y of H S B C to s a t i s f y i t s ob l i gat i on s a s the y c o m e d u e. As a re s u l t, th e a c tu a l an d per c e i v ed c r ed i tworth i ne s s of H S B C

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 2 m a y aff e c t th e m a r k et v a l ue of t h e s e c uri t i e s an d , i n th e e v ent H S B C we r e to def a u l t on i t s ob l i gat i on s , y ou m a y no t r e c e i v e the a m o unt s owed to y ou u nder the t e r m s of t h e s e c uri t i e s an d c ou l d l o s e y our ent i r e i n v e s tm e nt . T h e e s t ima t ed i n i t ial v a l u e o f th e secur i t ies, w h i c h w ill be d eterm i n ed b y us o n t h e trade d a t e, i s expe c t ed t o be less t h an t h e pric e t o p ub lic a n d may d i ff e r f r o m t h e mar k et val u e o f th e s e c u r i t ies i n th e s e c o nd a r y mar k et, i f a n y . T he e s t i m a ted i n i t i a l v a l ue o f th e s e c uri t i e s w i l l be c a l c u l ate d b y u s on t he trade d ate a nd i s e x pe c ted t o b e l e s s tha n the pri c e to pub l ic . The e s t i m a ted i n i t i a l v a l ue w i ll r ef l e c t our and o ur aff i li at e s’ i nterna l fun d i ng rate, wh i c h i s the bor r ow i ng r a te p a i d to iss ue m ar k e t - l i n k ed s e c uri t i e s , a s we l l a s the m i d - m a r k et v a l ue o f th e e m bed d ed d eri v at i v e s i n th e s e c uri t i e s . Th i s i nterna l fun d i ng rate i s t y p i c a l ly l owe r tha n the r ate w e wou l d u s e whe n we i ss ue c on v en t i ona l f ix ed o r f l oat i ng rate d e bt s e c uri t i e s . A s a re s u l t of t h e d i fferen c e b e t ween o ur i nterna l fun d i ng ra t e a n d th e r ate w e wou l d u s e whe n we i ss ue c on v en t i ona l f ix ed o r f l oat i ng rate d e bt s e c uri t i e s , t he e s t i m a ted i n i t i a l v a l ue o f t he s e c uri t i e s m a y be l ower i f i t were ba s ed o n th e pr i c e s a t w h i c h our f i x ed o r f l oa t i ng rate d e bt s e c uri t i e s trade i n th e s e c o n dar y m a r k et. I n ad d i t i on, i f w e were to u s e th e r ate w e u s e for our c on v ent i ona l f ix ed o r f l oa t i ng rate d e bt i ss uan c e s , we wo u l d e x pe c t th e e c ono m ic ter m s of t h e s e c uri t i e s to b e m ore fa v orab l e to y ou. W e w i l l de t erm i ne t h e v a l ue o f th e e m bed d ed d eri v at i v e s i n th e s e c uri t i e s b y r e f eren c e to our o r our aff i li ate s ' i nterna l pri c i ng m ode l s . The s e pr i ci n g m ode l s c o n si der c erta i n a s s u m pt i on s an d v ari a b l e s , wh i c h c an i n cl ude v o l at i l i t y an d i ntere s t r ate s . D i fferent pr i c i ng m ode l s an d a s s u m p t i on s c o u l d pro vi de v a l uat i on s for the s e c ur i t i e s tha t are d i fferent from o u r e s t i m a ted i n i t i a l v a l ue. The s e pr i ci ng m ode l s r e l y i n p a r t o n c erta i n fore c a s t s ab o ut f u t u r e e v ent s , wh i c h m a y pro v e t o b e i n c or r e c t. The e s t i m a ted i n i t i a l v a l ue d oe s not r epre s ent a m i n i m u m p r ic e at wh i c h we or an y of o ur aff i li ate s wou l d be w i lli ng to p u r c ha s e y our s e c uri t i e s i n th e s e c ond a r y m a r k et ( i f a n y e x i s t s ) at a n y t i m e . T h e pric e o f yo u r se c u r i t i e s in t h e s e c ond a r y mark e t , i f any, i m me d iately a ft e r th e trade d ate is e xpec t e d to b e le s s t h an t h e pric e t o p ub lic . T h e pr i c e to pub l ic t a k e s i nto a c c oun t c erta i n c o s t s . The s e c o s t s i n cl ude the u nderw r i t i n g d i sc oun t , our aff ili ate s ’ pro j e c ted h edg i ng p r of i t s ( wh ic h m a y or ma y not be rea liz ed) fo r a s s u m i n g r i sks i nherent i n h e dg i ng o ur ob l i gat i on s un d er the s e c uri t i e s a nd the c o s t s a ss o ci ated w i th s t r u c tu r i ng and hedg i ng ou r ob l i gat i on s unde r the s e c u r i t i e s . T he s e c o s t s , e xc ept f o r the und e r w r i t i ng d isc oun t , w i ll be u s ed o r r eta i ned b y u s or one of our aff ili ate s . If y ou were to s e l l y our s e c uri t i e s i n th e s e c on d ar y m a r k et, i f an y , th e pr i c e y ou wo u l d re c e i v e for y our s e c uri t i e s m a y be l e s s tha n th e pr i c e y ou pa i d for the m be c au s e s e c o n dar y m a r k et pr i c e s w i l l not t a k e i nto a c c oun t the s e c o s t s . T he p r ic e of y our s e c uri t i e s i n th e s e c ond a r y m a r k et, i f a n y , at an y t i m e aft e r i s s uan c e w i ll v ar y ba s ed o n m an y fa c tor s , i n c l ud i ng t h e pr i c e of the u n d erl y i ng s hare s an d c han g e s i n m ar k et c o n d i t i on s , an d c ann o t be pred i c ted w i th a c c ura c y . The s e c uri t i e s are not d e si gne d t o b e s hor t - term trad i ng i n s t r u m ent s , an d y ou s hou l d, t h erefo r e, b e ab l e a n d w i l l i ng t o ho l d t h e s e c uri t i e s to m atur i t y . A n y s a l e of the s e c uri t i e s pr i or to ma t uri t y c ou l d re s u l t i n a l o ss to y o u . N o af f ili a t io n w i t h th e i s s u e r o f th e und e r ly i ng shar e s. W e are not a ff i li ate d w i th t h e i ss uer of the und e r lyi ng s h are s . W e ha v e n o t m ade an y i nde p en d ent i n v e s t i gat i on o f th e ad e q ua c y or c o m p l ete n e s s of t h e i nformat i on a bou t the iss uer of t h e und e r lyi ng s hare s c ont a i ned i n th i s free w r i t i ng p r o s pe c t u s . Y ou s ho u l d m a k e y our own i n v e s t i gat i on i nto t he u nde r lyi ng s hare s an d the iss uer of the und e r lyi ng s hare s . W e are n ot re s pon s i b l e for the u nder l y i ng s hare s i ss uer ’ s pu b lic d i s cl o s ure o f i nformat i on, w h eth e r c ont a i ned i n S E C f i l i ng s or otherwi s e . I f H S BC S ecurities ( U S A ) I n c. w e r e t o r ep u r chase y o u r se c u r i t ies i m me d iately a ft e r th e o r igi n al i s s u e da t e , th e pric e yo u r ece i ve may b e hi g h e r th an t h e e s t i ma t ed i n i t ial v alue of t h e s e cur i t ies . A ss u m i ng t h at a l l r e l e v ant f a c tor s r e m a i n c on s tant after the o r i g i na l i s s ue d ate, the p r ic e at wh ic h H SB C S e c uri t i e s ( U S A ) In c . m a y i n i t i a l l y bu y or s e ll the s e c uri t i e s i n the s e c ond a r y m a r k et, i f an y , an d the v a l ue t h at m a y i n i t i a lly be u s ed f o r c u s to m e r a c c oun t s tate m ent s , i f an y , m a y e x c eed the e s t i m a ted i n i t i a l v a l ue o n the t r ade dat e for a te m por a r y per i od e x pe c ted t o b e ap p r o x i m a te l y 3 m ont h s aft e r the ori g i na l iss ue d ate. T h i s te m pora r y pr i c e d i fferen c e m a y e xis t b e c au s e, i n o u r d i sc r e t i on, w e m a y e l e c t to e ffe c t iv e ly r e i m b u r s e to i n v e s tor s a p o r t i on o f th e e s t i m a ted c o s t of h edg i ng o ur ob l i gat i on s un d er the s e c uri t i e s an d oth e r c o s t s i n c onn e c t i on w i th the s e c uri t i e s tha t we w i ll no l ong e r e x pe c t to i n c ur o v er t h e term o f the s e c uri t i e s . W e w i ll m a k e s u c h d isc r et i onar y e l e c t i on and dete r m i ne th i s tempo r a r y r e i m b ur s e m ent p eri o d o n the ba s is of a nu m ber of fa c t o r s , i n c l u d i ng t h e te n or of the s e c uri t i e s and an y agreem e nt we m a y ha v e w i th t h e d i s t r i but o r s of t he s e c uri t i e s . The a m oun t of o ur e s t i m a ted c o s t s wh i c h w e effe c t iv e ly r e i m b ur s e to i n v e s tor s i n th i s wa y m a y not be a l l o c ate d r ata b ly througho u t th e r e i m b ur s e m ent p eri o d, a n d we m a y d i sc on t i nue s u c h re i m b ur s e m e nt a t an y t i m e or r e v is e t h e d u r at i on o f th e r e i m b ur s e m ent p eri o d af t er the or i g i na l i s s ue d ate of the s e c u r i t i e s ba s ed on c h ange s i n ma r k et c ond i t i on s a nd o ther fa c tor s tha t c ann o t be pred i c ted .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 3 Hed g i n g an d t r adi n g activ i t y by o u r a f f iliates c ou ld a d ve r sel y af f ect t h e v a lue o f t h e s e curities . O ne o r m o r e of o u r aff i li at e s an d /or th i r d - part y de a l er s e x pe c t to c ar r y out h e dg i ng a c t i v i t i e s r e l ate d to t h e s e c uri t i e s ( and po s si b ly to o t her i n s t r u m ent s l i n k ed t o the un d erl y i ng s hare s ) , i n cl ud i ng tr a d i ng i n th e un d erl y i ng s hare s . A s a re s u l t, th e s e e n t i t i e s m a y be unw i nd i ng o r ad j u s t i ng h ed g e p o si t i on s dur i ng t h e term o f the s e c uri t i e s , an d the hed g i ng s t r ate g y m a y i n v o l v e gre a ter and m o r e frequen t d y na m i c ad j u s tm e nt s to t h e h e dge a s the f i na l det e r m i nat i on d ate a pproa c he s . S o m e of our aff i l i ate s a l s o t r ade the u nder l yi ng s hare s and oth e r f i nan c i a l i n s t r u m ent s r e l ate d to t h e u n der l yi ng s hare s on a r egu l ar ba sis a s p art of t h e i r gen e r a l bro k e r - dea l er and o t her bu s i ne s s e s . A n y of t h e s e he d g i ng o r trad i ng a c t ivi t i e s on o r pr i or to the p r ici ng d ate c ou l d pot e nt i a l ly i n c r ea s e th e I n i t i a l P r ic e a n d, a s a re s u l t, th e d own s i de t h r e s ho l d l e v e l wh ic h i s the pri c e at or abo v e wh i c h t h e und e r lyi ng s hare s m u s t cl o s e o n the f i na l det e r m i nat i on d ate, i f th e s e c uri t i e s are not c a l l ed p r i or to ma t uri t y , i n or d er fo r y ou to a v o i d b e i ng e x p o s ed t o t h e n e gat i v e pr i c e p e r forman c e of the u nder l yi ng s hare s at m a tur i t y . A dd i t i on a l l y , s u c h h edg i ng o r t r ad i ng a c t i v i t i e s dur i ng t h e t e r m o f th e s e c uri t i e s c ou l d a d v er s e l y aff e c t th e pr i c e of t h e u n der l yi ng s hare s on t he det e r m i nat i on d ate s an d , a c c ord i ng l y , whet h er the s e c uri t i e s are auto m at i c a l l y c a ll ed p r i or to ma t uri t y an d , i f th e s e c uri t i e s are not c a l l ed p r i or to ma t uri t y , th e pa y o u t to y ou a t m atur i t y . T h e c a lcula t io n a g en t , w h i ch is H S BC o r o n e o f i t s a f f iliates, w ill make de t e r mi n a t io n s w i th r e s p ect t o t h e s e curities . A s c a l c u l a t i on a gen t , H SB C or one of i t s aff i l i ate s w i ll de t erm i ne t h e i n i t i a l pr i c e, t h e d own s i de t h r e s ho l d l e v e l , th e f i na l pri c e, wheth e r the s e c uri t i e s w i ll b e r ede e m e d fo l l ow i ng a n y de t erm i nat i on d ate, wheth e r a m ar k et d i s r upt i on e v ent h a s o c c ur r ed, wheth e r to m a k e a n y ad j u s t m e nt s to t h e c l o si ng p r ic e of the u nder l yi ng s hare s on a n y det e r m i nat i on d ate o r the f i na l pr i c e and the pa y me n t that y ou w i l l r e c e iv e upon a n auto m at i c ea r l y r ede m pt i on or at matu r i t y , i f an y . Moreo v e r , c e r ta i n det e r m i nat i on s m a de b y H S B C or one of i t s aff i l i ate s i n i t s c apa c i t y a s c a l c u l at i on a g e nt m a y r equ i r e i t to e x er c i s e d i sc r et i on and m a k e s ub j e c t iv e j udg m e n t s , s u c h a s w i th re s pe c t to t he o cc ur r en c e or no n - o c c ur r en c e of m a r k et d i s r upt i on e v ent s . T he s e d e term i nat i on s , wh i c h m a y be s ub j e c t iv e, m a y ad v er s e l y aff e c t th e pa y out t o y o u u p on a n a u to m at i c ear l y r e de m pt i on or at ma t uri t y , i f an y . S ee “ A dd i t i ona l Te r m s of the N ote s — S hare De lis t i ng, N a t i ona l i z at i on, I n s o l v e n cy ” , “ — M e r ger E v ent a nd T end e r O ff e r” an d “ — M a r k et D i s r upt i on Ev ent” i n th e E TF Under l yi ng S upp l e m ent . T h e s e curities a r e n o t i n s u r ed b y any g o ve r n m e n t al a g ency o f th e U n i t e d S t ates o r any o t h e r jurisdic t i on . T he s e c uri t i e s are not d e po s i t l i a b i li t i e s or other ob li gat i o n s o f a b a n k an d are not i n s ured b y the F edera l Depo s i t In s uran c e Co r porat i on o r an y oth e r go v ernment a l ag e n c y or p r ogr a m o f th e Un i ted S tate s or an y oth e r j uri s d i c t i on. A n i n v e s t m e nt i n th e s e c uri t i e s is s ub j e c t to t he c r ed i t ri s k of H S B C, an d i n th e e v ent t hat H S B C is un a b l e t o pa y i t s o b li gat i o n s a s the y b e c o m e due , y ou m a y not r e c e i v e th e fu l l a m oun t s du e on t he s e c uri t i e s. T h e mar k et p r ice w ill be in f lue n ced b y ma n y unp r e d i c t able f a c t o r s . S e v era l fa c tor s w ill i nf l ue n c e th e v a l ue o f t he s e c uri t i e s i n th e s e c ond a r y m a r k et a n d th e pr i c e at wh i c h H S B C S e c uri t i e s ( U S A ) In c . m a y be w i l l i ng t o pur c ha s e or s e l l the s e c uri t i e s i n th e s e c ond a r y m a r k et, i n c l u d i ng: t he trad i ng p r ic e, v o l a t ili t y ( f r eq u en c y a nd m agn i tud e of c han g e s i n v a l ue), and d i vi den d y i e l d of the u nder l y i ng s hare s , i ntere s t an d y i e l d r ate s , t i m e r e m a i n i ng t o m a t uri t y , ge o po l i t ic a l c ond i t i o n s and e c ono m ic , f i nan c i a l , p o l i t ic a l and r egu l ator y or j ud i ci a l e v e nt s tha t aff e c t th e un d erl y i ng s hare s an d wh i c h m a y aff e c t the f i na l pri c e of the u nder l yi ng s har e s , th e o c c ur r en c e of c erta i n e v ent s aff e c t i ng t h e u n der l yi n g s hare s tha t m a y or ma y n o t requ i r e an a d j u s tm e nt t o the f i na l pr i c e a n d a n y a c tua l or ant i ci p a ted c han g e s i n o u r c r ed i t rat i ng s or c r ed i t s pread s . The pri c e of the und e r lyi ng s hare s m a y be, a nd h a s r e c ent l y be e n, v o l at i l e, a n d we c an g iv e y ou n o a ss uran c e th a t th e v o l a t i l i t y w i ll l e ss en. Y ou m a y r e c e i v e l e s s , an d po s si b ly s i gn i f ic ant l y l e ss , th a n th e s tate d pr i n c i pa l a m oun t per s e c uri t y i f y ou s e l l y our s e c uri t i e s pri o r to m atur i t y . T h e s e curities w ill n o t be l i ste d o n any secur i t ies e x c h an g e a nd se c o nd a r y tr a d i ng may b e limi t e d . T he s e c uri t i e s w i l l not be l is ted on an y s e c u r i t i e s e xc hange o r automated quotat i on s y s tem. T he r efo r e, t h e r e ma y be l i tt l e o r no s e c o n da r y m a r k et f o r the s e c uri t i e s . H S B C S e c uri t i e s ( U S A ) In c . m a y , bu t is not ob l i gat e d to , m a k e a m ar k et i n th e s e c uri t i e s . E v en i f there is a s e c ond a r y m a r k et, i t m a y not pro v i de e nou g h l i q u i d i t y to a ll ow y ou t o trade or s e l l the s e c uri t i e s ea s ily . B e c au s e we do not e x pe c t that o ther b r o k e r - dea l er s w ill part i ci pat e si g n i f ic an t ly i n th e s e c ond a r y m ar k et f o r the s e c uri t i e s , th e p r ic e at wh ic h y ou m a y be a b l e to t r ade y our s e c uri t i e s is l i k e l y to dep e nd o n th e pr i c e, i f an y , a t wh i c h H S B C S e c uri t i e s ( U S A ) In c . is w i lli ng t o tran s a c t . If, at an y t i me, H S B C Se c u r i t i e s ( US A ) In c . we r e to c ea s e ma k i ng a mar k et i n the s e c u r i t i e s , i t i s l i k e l y that there wou l d b e no s e c ond a r y m a r k et f o r the s e c uri t i e s . A c c ord i ng l y , y ou s hou l d b e w i l li ng t o ho l d y our s e c uri t i e s to m a tur i t y .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 4 T h e U. S . fe d e r al inc o me t a x co n se q u ences o f an i n v e st m e n t in t h e s e curities a r e u n ce r t ain . T here i s no d i r e c t l ega l aut h ori t y a s to t h e proper t r e at m ent o f th e s e c uri t i e s for U . S . fe d era l i n c o m e ta x purp o s e s . P l ea s e read th e d i s c u s s i on u nder “ A dd i t i ona l Inf o r m a t i on A bou t the S e c uri t i e s – A dd i t i ona l P r o v i s i on s – T a x c on s i d erat i on s ” i n th i s d o c u m ent c on c ern i ng the U. S . fe d era l i n c o m e ta x c on s equ e n c e s of a n i n v e s tm e nt i n th e s e c uri t i e s . P ur s uan t to t h e term s of t h e s e c uri t i e s , y ou a gree to treat a s e c uri t y for U.S. fed e r a l i n c o m e ta x purpo s e s a s a s i ng l e f i na n ci a l c ontra c t th a t pro v i de s for a c ont i nge n t m o nth l y pa y m e nt t h at w i ll be t r e ate d a s ord i nar y i n c o m e to y ou a t th e t i m e r e c e i v ed o r a c c r ued i n a c c ordan c e w i t h y our r egu l ar meth o d of ta x a c c oun t i ng. I f the I nterna l Re v enu e S er v ic e ( “ IR S ”) we r e s u c c e s s fu l i n a ss ert i ng an a l ternat iv e treatm e nt f o r the s e c uri t i e s , th e t i m i ng a nd c hara c ter of i n c o m e or l o s s o n th e s e c uri t i e s m i ght d i ffer si gn i f ic ant l y from th e ta x t r eat m ent d e s c r i bed here i n. N on - U. S . Hol d e r s s hou l d n o t e t h at t h e en t i r e a m o u n t o f t h e co n t i n g e n t m o n t h ly p aym e n t s w ill be su b j ect t o U. S . f edera l inc o me t ax w i t h ho l d in g at a 3 0 % rate ( o r at a l o w e r r ate und e r an a pp licab l e inc o m e tax t r eaty ) , a nd w e w ill n o t be re q u i r ed t o pay any a dd i t i o n al a m ou n t s w i th r e s p ect t o am o u n t s w i t h h eld . W e d o n ot p l an t o r equ e s t a ru l i ng from t he IR S r egard i ng t h e ta x treatme n t of t he s e c uri t i e s , a n d th e IR S or a c ourt ma y not agree w i th t h e ta x treatme n t de s c r i b e d h e r e i n . In 2007, th e U.S. T r ea s u r y D epartment and the IR S r e l e a s ed a not i c e r eque s t i ng c o m ment s on the U. S . federal i n c ome t a x t r eat m ent o f “p r epa i d fo r wa r d c ontra c t s ” an d s i m il ar i n s t r u m e nt s . W h i l e i t i s not cl ear w het h er the s e c uri t i e s wou l d b e v i ew e d a s s i m il a r to the prepa i d fo r wa r d c ont r a c t s de s c r i bed i n t h e not i c e, i t i s po s s i b l e that an y U.S. T r ea s u r y Depa r tment r egu l at i on s or other gu i dan c e i ss ued after c on s i derat i on of t h e s e i s s ue s c o u l d m ater i a l ly an d ad v er s e ly aff e c t th e ta x c on s equ e n c e s of a n i n v e s t m en t i n th e s e c uri t i e s , po s si b ly w i th ret r oa c t iv e ef f e c t. The n ot i c e fo c u s e s on a nu m ber of iss u e s , the m o s t re l e v ant o f wh i c h f o r ho l der s of t h e s e c uri t i e s ar e the c hara c ter and t i m i ng o f i n c o m e or l o s s an d the degr e e, i f a n y , to wh i c h i n c o m e rea l iz ed b y no n - U. S . i n v e s tor s s hou l d b e s ub j e c t to w i thh o l d i ng t a x . B oth U. S . an d No n - U. S . Ho l d e r s s hou l d c on s u l t th e i r t a x ad v i s or s r egard i ng t h e U. S . fe d era l i n c o m e ta x c on s equ e n c e s of a n i n v e s tm e nt i n th e s e c uri t i e s , i n c l ud i ng po s si b l e a l ternat iv e treatm e n t s , th e i s s u e s pre s ent e d b y t h i s not i c e a n d a n y ta x c on s e que n c e s ar i s i ng u nder the l aw s of a n y s tate , l o c a l or no n - U. S . ta x i ng j uri s d i c t i on s .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 5 Informat i on a b o u t the Und e rl y i ng S hare s In v e s c o Q QQ T r u s t S M , S eri e s 1 In v e s c o Q QQ T r u s t S M , S eri e s 1 (" Q Q Q " ) is a u n i t i n v e s t m ent t r u s t. The Q QQ t r a c ks t h e Na s da q - 100 Inde x ® , wh i c h i n c l ud e s 10 0 of t h e l arge s t n o n - f i nan c i a l c o m pan i e s b y m ar k et c ap l i s ted o n Na s daq . T he Q QQ r ef l e c t s c o m pan i e s a c r o s s m a j or i nd u s t r y group s . S hare s of t h is Q QQ are l is ted a nd trade o n th e N AS D A Q un d er the s y m b o l “ Q Q Q . ” Fo r m o r e i n f o r m a t i o n ab o u t th e Q Q Q , se e " Th e I n ves c o Q QQ T r u s t S M , S e r ies 1 " b egi n n i n g o n pa g e S - 58 o f t h e acco mp a n yin g E TF U n d e r l yin g S u p p leme n t . Informat i on a s of m ar k et c l o s e o n J u l y 15, 202 6 : Blo o m b e rg T i c ke r S ym b o l : QQ Q 52 W e ek Hi g h ( o n 06 / 0 2 / 20 2 6 ) : $746 . 1 6 Cur r e nt Sh a re Pri c e : $717 . 7 4 52 W e ek L o w ( o n 08 / 0 1 / 20 2 5 ) : $553 . 8 8 52 W e eks Ag o : $556 . 7 2 T h is d o cu m e n t r elates on l y t o t h e s e curities o ff e r e d h e r eby a nd do es no t r ela t e to th e u n d e r lyin g s h a r es o r o t h e r se c u r i t ies o f t h e u n d e r lyin g shar e s is s u e r . W e h ave d e r ived all di s clos u r e s co nt a i n ed i n t h is d o c u m e n t r egardi n g t h e u nd e r lyi n g s h a r es fro m t h e p ub licl y a v ailable d o c u me n t s desc r i b ed i n t h e pre c edi n g parag r ap h . In c o n n ecti o n w i th t h e o f f e r in g o f t h e s e cur i t ies, n ei t h e r w e n o r th e ag e n t has p a r t icipa t ed i n th e p r eparat i o n o f suc h d o cu m e n t s or ma d e any d u e d ilige n ce i nqu i r y w i th r espec t t o th e u n d e r lyin g shar e s. Ne i t h e r w e n o r t h e age n t h as made a n y i n d e p en d e n t inves t i g ati o n as t o t h e a c curac y or c o m p l e t e n ess o f su c h p u b licl y av a il a b le do c u me n t s o r any o t h e r p u b licl y av a ilable i n f o r m a t io n r egardi n g t h e u nd e r lyi n g s h a r es. F u r t h e r m o r e, w e c a nno t g iv e any assur a n ce t h a t al l ev e n t s oc c u rr in g pr i o r to t h e da t e h e r eo f ( incl u d in g e ven t s t h at w ou l d af f e c t t h e accur a cy or c o m p lete n ess o f th e p u b licl y av a ilable d o cu m e n t s desc r ib e d in t h e p r ecedi ng p a r agra p h ) t h at w ou ld a f f e c t t h e pric e o f t h e u n d e r lyi n g shar e s ( a nd t h e r ef o r e t h e pric e o f th e u nd e r lyin g s h a r es a t t h e t i m e w e p r ice t h e s e cur i t ies) h ave b een p u b licl y discl o s e d . S u b seq u e n t disc l o sure o f a n y suc h ev e n t s or t h e discl o sure o f or fai l u r e t o d isclose m a t e r ial f u t u r e e v en t s c on ce r n in g t h e u nd e r lyi n g sh a r e s or t h e is s u e r o f u nd e r lyi n g share s co u ld a ff e c t th e v a l u e r ece i ved a t ma t u r i t y w i t h r espec t t o t h e s e curities an d t h e r ef o r e t h e v a lue o f t h e secur i t ies . Neit h e r t h e is s u e r n o r any o f its a ff iliates makes any r epres e n t at i on t o y o u as t o t h e per f o r ma n ce o f t h e und e r lyi n g shar e s .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 6 H i s tori c a l Informat i on T he g r aph be l ow i s ba s ed o n th e c l o s i ng p r ic e s of t h e u n d erl y i ng s hare s for ea c h d a y i n th e per i od from J u l y 15, 2 0 16 t o J u l y 15, 202 6 . W e o b t a i ned the i nformat i on i n th e tab l e b e l ow from B l oo m berg L P , w i tho u t i nde p end e nt v eri f ic a t i on. T he h i s tor i c a l perf o r m a n c e of the u nder l yi ng s hare s s ho u l d n o t be t a k en a s an i nd i c at i on o f the i r fut u r e p e r forman c e, a n d no a s s uran c e c an b e g i v en a s t o th e pr i c e of the u nder l yi ng s hare s at a n y t i m e , i n c l u d i n g on t he d eterm i nat i on d ate s . Hi s t o r i c a l P e r f o rm a n c e o f t h e I n v e sc o Q Q Q Tr u s t S M , S e r i e s 1 – D a i l y C l o s i n g P r i c e s J u l y 1 5 , 2 0 16 t o J u l y 1 5 , 2 0 2 6 * T he b la c k s o l i d li n e i n d ic a t e s t h e h y p o t he ti c a l d o wns i d e t h r e s ho l d l e v e l .

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 7 Add i t i ona l Infor m at i on A bout the S e c urit i e s P l e a s e r e a d t h i s i n f o r m a t i o n i n c on j u n c t i o n w i t h t h e s u m m a r y t e r m s o n t h e f r o n t co v e r o f t h i s d oc u m e n t . A d d i t i on al P r o visi o n s L i s t i ng : T he s ec u r i t i e s w i ll n o t b e l i s t e d o r d i s p l a y e d o n a n y s e c u r i t i es ex c h an g e o r a n y e l e c t r o n i c co m m u n i c a t i o n s n e t w o r k . CU S I P : 4 0 4 4 7 E W 7 7 I S I N: U S 40 44 7 E W 7 7 9 Mi n i m u m t i c k e t i ng s i z e : $ 1 , 0 0 0 / 1 s ec u r i t y E ve n t s o f d e f a u l t a nd a c c e l e r a t i on : If t h e se c u r i t i e s h a v e b e c o m e i m m e d i a t e l y d u e a n d p a y a b l e f o l l o w i n g a n e ve n t o f d e f au l t ( a s de f i n e d i n t h e ac co m p an y i n g p r o s p e c t u s ) w i t h r es p e c t t o t he s e c u r i t i e s , t h e ca l c u l a t i o n a ge n t w il l d e t e r m i n e t h e a c c e l e r a t e d p a y m e n t du e an d p a y a b l e a t m a t u r i t y i n t h e sa m e g e n e r a l m a n n e r a s d e s c r i b e d i n “ S u m m a r y T e r m s - P a y m en t a t m a t u r i t y ” i n t h i s f r e e w r i t i n g p r o s p e c t u s e x ce p t t h a t t h e a cc e l e r a t e d c o n t i n ge n t c o u p o n w i ll b e c a l c u l a t ed o n t h e ba s i s o f a 3 6 0 - d a y y e a r c o n s i s t i n g o f t w e l v e 3 0 - d a y m o n t h s . I n t h a t ca se , t h e s c hed u l e d t r a d i n g d a y p r e ce d i n g t h e d a t e o f a c c e l e r a t i on w ill b e u s e d a s t h e f i n a l d e t e r m i n a t i on d a t e f o r p u r p o s e s o f de t e r m i n i n g t h e f i n a l p r i c e . If a m a r k e t d i s r u p t i o n e v e n t e x i s t s w i t h r es p e c t t o t he u n d e r l y i n g sh a r e s o n t h a t s ch e d u l e d t r a d i n g d a y , t h e n t h e a c c e l e r a t e d f i n a l d e t e r mi n a t i o n d a t e f o r t h e u n d e r l y i n g s h a r e s w i ll b e po s t p o n e d f o r u p t o 5 s c h ed u l e d t r a d i n g d ay s ( i n t h e s a m e m a n n e r u s e d f o r p o s t p on i n g t h e o r i g i na l l y s c he du l e d f i na l d e t e r m i n a t i o n d a t e ) . T h e a c c e l e r a t e d m a t u r i t y d a t e w i l l t h e n b e t h e t h i r d b us i n e s s d a y f o ll o w i n g t h e p o s t p on e d a c c e l e r a t e d f i n a l d e t e r mi n a t i o n d a t e . If t h e se c u r i t i e s h a v e b e c o m e i m m e d i a t e l y d u e a n d p a y a b l e f o l l o w i n g a n e ve n t o f d e f au l t, y ou w il l n o t b e e n t i t l e d t o a n y ad d i t i o na l pay m e n t s w i t h r e sp ec t t o t h e se c u r i t i e s . F o r m o r e i n f o r m a t i o n , s e e “ D e s c r i p t i o n o f D e b t S e c u r i t i e s — S en i o r D e b t S e c u r i t i e s — E v en t s o f D e f a u l t ” i n t h e p r os p e c t u s . T a x c on s i d e r a t i on s : P r o s p e c t i v e i n ve s t o r s s hou l d no t e t h a t t h e d i s c u s s i on und e r t h e se c t i on c a l l e d “ U . S . F e d e r a l I n c o m e T a x C on s i d e r a t i on s ” i n t h e a c c o m p a n y i ng p r o s p e c t u s s upp l e m e n t do e s no t a pp l y t o t h e s e c u r i t i e s i s s u e d und e r t h i s d o c u m e n t a nd i s s up e r s e d e d b y t h e f o l l o w i n g d i s c u s s i on . T he f o l l o w i n g su m m a r y i s a gen e r a l d i s c u s s i o n o f t h e m a t e r i a l U . S . f e d e r a l t a x c on se que n c e s o f o w n e r s h i p a n d d i s p o s i t i o n o f t he s e c u r i t i es . T h i s d i s c u s s i o n ap p l i e s o n l y t o i n i t i a l i n ve s t o r s i n t h e s e c u r i t i e s w ho :  p u r c h as e t h e se c u r i t i e s a t t h e i r “ i s su e p r i c e ” ; a n d  ho l d t h e s ec u r i t i e s a s ca p i t a l a s s e t s , w i t h i n t h e m e a n i n g o f S e c t i o n 1 2 2 1 o f t h e I n t e r na l R e v en u e C o d e o f 1 98 6 , a s a m e n d e d ( t h e “ C o d e ” ) . T h i s d i s c u s s i o n d o e s n o t d e s c r i b e a l l o f t h e t a x co n s e qu e n c e s t h a t m a y b e r e l e va n t t o a h o l d e r i n li g h t o f t h e h o l d e r ’ s p a r t i c u l a r c i r c u m s t a n c e s o r t o h o l d e r s s u b j e c t t o s p e c i a l r u l e s , s u c h a s :  c e r t a i n f i n an c i a l i n s t i t u t i o n s ;  i n s u r a n c e co m p an i e s ;  c e r t a i n de a l e r s a n d t r a d e r s i n se c u r i t i e s , co m m o d i t i e s o r f o r e i g n c u r r e n c i e s ;  i n ve s t o r s h o l d i n g t h e s e c u r i t i e s a s p a r t o f a “ s t r a d d l e , ” c o n v e r s i o n t r a n sa c t i o n , i n t e g r a t e d t r an s a c t i o n o r c on s t r u c t i ve s a l e t r a n s a c t i on ;  i n ve s t o r s su b j ec t t o s p e c i a l t a x a c c o u n t i n g r u l e s un d e r S e c t i o n 4 5 1 ( b ) o f t h e C od e ;  U . S . H o l d e r s , a s d e f i n e d b e l o w , w h o s e f un c t i o n a l c u r r e n c y i s n o t t h e U . S . d o l l a r ;  p a r t n e r s h i ps o r o t h e r e n t i t i e s c l a ss i f i e d a s p a r t n e r s h i p s f o r U . S . f e d e r a l i n co m e t a x p u r po s e s ;  r e g u l a t e d i n ve s t m e n t c o m p a n i e s ;  r e a l e s t a t e i nv es t m e n t t r u s t s ;  t a x - e x e m p t en t i t i e s , i n c l u d i n g an “ i nd i v i d ua l r e t i r e m e n t a c c ou n t ” o r “ R o t h I R A ” , a s d e f i n e d i n S ec t i o n 4 0 8 o r 4 08 A o f t he C od e , r e s pe c t i v e l y ; o r  p e r s o n s s u b j e c t t o t h e a l t e r n a t i v e m i n i m u m t a x . A s t he l a w a p p li ca b l e t o t h e U . S . f e d e r a l i n c o m e t a xa t i o n o f i n s t r u m e n t s s u c h a s t h e s e c u r i t i e s i s t e c h n i ca l an d c o m p l ex , t h e d i sc u s s i o n b e l o w ne c e s s a r il y r e p r es e n t s o n l y a ge n e r a l s u m m a r y . M o r e o v e r , t h e e f f e c t o f a n y a p p l i c a b l e s t a t e , l o c a l o r n o n - U . S . t a x l a w s i s n o t d i s c u s se d . T h i s d i s c u s s i o n i s b as e d o n t h e C o d e , ad m i n i s t r a t i v e p r o n ou n ce m e n t s , j ud i c i a l d e c i s i o n s a n d f i n a l , t e m p o r a r y a n d p r o p os ed U . S . T r e a s u r y D e p a r t m e n t r e g u l a t i o n s , a ll a s o f t h e d a t e h e r e o f, c ha n ge s t o a n y o f w h i c h s u bs e q u e n t t o t h e d a t e o f t h i s do cu m e n t m ay a f f ec t t he t a x c on se que n c e s de s c r i be d h e r e i n . P e r s o n s c on s i d e r i n g t h e p u r c h as e o f t h e s e c u r i t i e s s h o u l d c o n s u l t t h e i r t a x a d v i s o r s w i t h r e ga r d

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 8 t o t h e a p p l i c a t i o n o f t h e U . S . f ed e r a l i n co m e t a x l a w s t o t h e i r p a r t i c u l a r s i t u a t i o n s a s w e l l a s a ny t a x c o n s e qu e nc es a r i s i n g u nd e r t he l a w s o f a n y s t a t e , l o c a l o r n o n - U . S . t a x i n g j u r i s d i c t i o n . G e n e r a l T he r e i s n o d i r e c t l e g a l a u t h o r i t y a s t o t h e p r o p e r t a x t r e a t m e n t o f t he s e c u r i t i e s , a n d t h e r e f o r e s i g n i f i ca n t a sp e c t s o f t h e t ax t r e a t m en t o f t h e se c u r i t i e s a r e unc e r t a i n a s t o b o t h t h e t i m i n g a n d c h a r a c t e r o f a n y i n c l u s i o n i n i nc o m e i n r e s p e c t o f t h e se c u r i t i e s . U n d e r o n e a p p r oa ch , a s e c u r i t y c o u l d b e t r e a t e d a s a s i n g l e f i n a n c i a l c o n t r ac t t h a t p r ov i d es f o r a c o n t i ng en t m o n t h l y pa y m e n t . P u r s u a n t t o t he t e r m s o f t h e s ec u r i t i es , yo u a g r e e t o t r e a t a s e c u r i t y f o r U . S . f e d e r a l i nc o m e t a x p u r p o s e s a s a s i ng l e f i n a n c i a l c o n t r ac t t h a t p r ov i d es f o r a c o n t i n ge n t m o n t h l y p a y m e n t t ha t w il l b e t r e a t e d a s o r d i n a r y i n c o m e t o y o u a t t he t i m e r e ce i v ed o r ac c r u e d i n a cc o r d a n c e w i t h yo u r r e g u l a r m e t h od o f t a x a c c o u n t i n g . W e i n t e n d t o t r e a t t h e s e c u r i t i e s c on s i s t e n t w i t h t h i s a p p r o ac h . S ub j e c t t o t h e li mi t a t i o n s d e s c r i be d he r e i n , a n d b as ed o n c e r t a i n f ac t u a l r ep r e s e n t a t i o ns r ec e i ve d f r o m u s , i n t h e o p i n i o n o f o u r sp ec i a l U . S . t a x c o u ns e l , M a y e r B r o w n L L P , i t i s r e a s o na b l e t o t r e a t a s e c u r i t y as a s i n g l e f i n a n c i a l co n t r a c t t h a t p r ov i d e s f o r c o n t i n ge n t p ay m e n t s . D ue t o t he a b s e nc e o f s t a t u t o r y , j u d i c i a l o r a d mi n i s t r a t i v e a u t h o r i t i e s t h a t d i r e c t l y a d d r e ss t h e t r e a t m en t o f t h e s e c u r i t i e s o r i n s t r u m e n t s t h a t a r e s i mi l a r t o t h e s e c u r i t i e s f o r U . S . f e d e r a l i nc o m e t a x p u r p o s e s , n o a s s u r a n c e c a n b e g i v e n t ha t t h e I R S o r t h e c o u r t s w il l a g r e e w i t h t h e t a x t r e a t m e n t d e s c r i b ed h e r e i n . A c c o r d i n g l y , y o u s h o u l d c on su l t y o u r t a x a dv i s o r r e g a r d i n g a l l as p e c t s o f t h e U . S . f e d e r a l t a x c o n s e qu e nc es o f a n i n v e s t m e n t i n t h e s e c u r i t i e s ( i n c l u d i n g p os s i b l e a l t e r n a t i v e t r e a t m e n t s o f t h e s e c u r i t i e s ) a n d w i t h r e s p e c t t o a n y t a x c o n se que n c e s a r i s i n g un d e r t h e l a w s o f a n y s t a t e , l o c a l o r no n - U . S . t a x i n g j u r i s d i c t i o n . U n l e s s o t h e r w i s e s t a t e d , t h e f o l l o w i n g d i s c u s s i o n i s b as e d o n t h e t r e a t m e n t o f e a c h s e c u r i t y as d e s c r i b e d i n t h e p r ev i o us p a r a g r ap h . W e w i l l n o t a t t e m p t t o a sc e r t a i n w he t h e r t h e i s s u e r o f t h e u n d e r l y i n g s h a r e s o r a n y o f t h e e n t i t i e s w h os e s t o c k i s i n c l ud e d i n t h e u n d e r l y i ng s h a r e s w o u l d b e t r e a t e d a s a p a s s i v e f o r e i g n i n v e s t m e n t c o m p a n y (“ PF I C ” ) o r U n i t ed S t a t e s r e a l p r o p e r t y h o l d i n g c o r po r a t i o n (“ U S R P HC ”) , b o t h a s d e f i n e d f o r U . S . f e d e r a l i n c o m e t a x p u r p os es . I f t h e i ss u e r o f t h e u n d e r l y i n g s h a r e s o r an y o f t h e e n t i t i e s w ho se s t o ck i s i n c l ud ed i n t he u n d e r l y i n g sh a r e s w e r e s o t r ea t e d , c e r t a i n a d v e r s e U . S . f e d e r a l i n c o m e t a x c o n s e qu e nc e s m i g h t a p p l y t o a U . S . H o l d e r i n t h e c as e o f a PF I C a n d t o a N o n - U . S . H o l d e r , a s d e f i ne d be l o w , i n t h e c a s e o f a U S R P HC . Y o u sh ou l d r e f e r t o i n f o r m a t i o n f il e d w i t h t he SE C a n d o t h e r a u t h o r i t i es b y t h e i s s u e r o f t h e u n d e r l y i n g sh a r e s a n d t h e e n t i t i es w h os e s t oc k i s i n c l ud ed i n t he u n d e r l y i n g s h a r e s , a n d c o ns u l t y o u r t a x ad v i s o r r e g a r d i n g t h e po ss i b l e c on se que n c e s t o yo u i f t h e i s su e r o f t he u n d e r l y i n g sh a r e s o r o ne o r m o r e o f t h e e n t i t i e s w h o s e s t o c k i s i n c l u d e d i n t h e und e r l y i n g s h a r e s i s o r b ec o m e s a PF I C o r a U S R P HC . T a x C on s e qu e n c e s t o U . S . H o l d e r s T h i s s e c t i o n a pp l i e s t o y o u o n l y i f y o u a r e a U . S . H o l d e r . A s us e d h e r e i n , t h e t e r m “ U . S . H o l d e r ” m e a n s a b e n e f i c i a l o w n e r o f a s e c u r i t y t h a t i s , f o r U . S . f ed e r a l i n co m e t a x p u r p o s e s :  a n i n d i v i d u a l w h o i s a c i t i z en o r r es i d e n t o f t h e U n i t e d S t a t e s , f o r U . S . f ed e r a l i n co m e t a x p u r p o se s ;  a c o r p o r a t i o n , o r o t h e r e n t i t y t ax ab l e a s a c o r p o r a t i o n f o r U . S . f e d e r a l i n c o m e t a x p u r p os es , c r e a t e d o r o r g an i z e d i n o r u n d e r t h e l a w s o f t h e U n i t e d S t a t e s o r a ny p o li t i c a l s u b d i v i s i o n t h e r e o f ; o r  a n e s t a t e o r t r us t , t h e i n c o m e o f w h i c h i s s ub j e c t t o U . S . f e d e r a l i n c o m e t a x a t i o n r e ga r d l e ss o f i t s s o u r c e. T he t e r m “ U . S . H o l d e r ” a l s o i n c l u d e s c e r t a i n f o r m e r c i t i z e n s a nd r e s i d e n t s o f t h e U n i t e d S t a t e s . T a x T r e a t m e n t o f t h e S e c u r i t i e s A s s u mi n g t h e t r e a t m e n t o f t h e s e c u r i t i e s a s s e t f o r t h a b o v e i s r e s p e c t e d , t h e f o ll o w i n g U . S . f e d e r a l i n c o m e t a x co n s e qu e n c e s s ho u l d r e su l t . T ax B as i s . A U . S . H o l d e r ’ s t a x b as i s i n t h e s e c u r i t i es s h o u l d e qu a l t h e a m o u n t p a i d b y t h e U . S . H o l d e r t o ac q u i r e t h e s e c u r i t i e s . T ax T r e a t m e n t o f C o n t i n g e n t M o n t h l y P a y m e n t . A n y c o n t i n ge n t m o n t h l y p a y m e n t on t h e s ec u r i t i e s s h o u l d b e t a x a b l e as o r d i n a r y i n co m e t o a U . S . H o l d e r a t t h e t i m e r e ce i v ed o r ac c r u e d i n a cc o r d a n c e w i t h t h e U . S . H o l d e r ’ s r e gu l a r m e t h o d o f a cc o u n t i n g f o r U . S . f ed e r a l i n co m e t a x p u r p o se s . S a l e , E x c ha n g e , E a r l y R e d e m p t i o n o r S e tt l e m e n t o f t h e S e c u r i t i e s . U p o n a s a l e , ex c h an g e , e a r l y r e de m p t i o n o r s e tt l e m en t o f t h e s e c u r i t i e s a t m a t u r i t y , a U . S . H o l d e r s h o u l d r e c o g n i z e c a p i t a l ga i n o r l o s s e qu a l t o t h e d i f f e r e n c e b e t w e e n t h e a m o u n t r e a l i z e d ( o t h e r t h a n w i t h r es p e c t t o c a s h a t t r i b u t ab l e t o t h e co n t i n ge n t m o n t h l y p ay m e n t , w h i c h sh ou l d b e t r e a t e d a s d i s c u s se d ab o v e ) o n t h e sa l e , e x ch an ge , e a r l y r e d e m p t i o n o r s e tt l e m e n t a n d t h e U . S . H o l d e r ’ s t a x b a s i s i n t h e s ec u r i t i e s s o l d , e x c ha n g e d , r e d e e m e d o r s e t t l e d . A n y su c h g a i n o r l o ss r ec o g n i z e d s ho u l d be l o n g - t e r m c ap i t a l g a i n o r l o s s i f t h e U . S . H o l d e r h a s h e l d t h e s e c u r i t i e s f o r m o r e t h a n o n e y e a r a t t he t i m e o f t h e s a l e , e x ch an ge , e a r l y

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 1 9 r e de m p t i o n o r s e tt l e m en t , a n d s h o u l d b e s h o r t - t e r m c a p i t a l g a i n o r l o s s o t h e r w i s e . T h e d e d u c t i b i l i t y o f c a p i t a l l os s e s i s s u b j e c t t o li mi t a t i o n s . Po ss i b l e A l t e r n a t i v e T a x T r e a t m e n t s o f a n I n ve s t m e n t i n t h e S ec u r i t i e s D ue t o t he a b s e nc e o f a u t h o r i t i e s t h a t d i r e c t l y a d d r e s s t h e p r o pe r t a x t r e a t m e n t o f t h e s e c u r i t i e s , n o a s s u r an ce c a n b e g i v e n t h a t t he I R S w ill a c c e p t, o r t h a t a co u r t w ill u p h o l d , t h e t a x t r e a t m e n t de s c r i be d a b o v e . I n p a r t i c u l a r , t h e I R S c ou l d s ee k t o t r e a t a s e c u r i t y a s a s i n g l e d e b t i n s t r u m e n t . I f a s e c u r i t y t h a t h a s a t e r m o f o n e y e a r o r l e s s w e r e t r e a t e d a s a s i n g l e d eb t i n s t r u m e n t , t h e s e c u r i t y co u l d b e t r e a t ed a s a s i n g l e c o n t i n ge n t s h o r t - t e r m d e b t i n s t r u m e n t , w h i c h w o u l d r es u l t i n t a x c o n se q u e n ce s t h a t a r e d i f f e r e n t f r o m t h o s e d e s c r i b e d a b o v e . I f a se c u r i t y t h a t h as a t e r m o f m o r e t ha n o n e y e a r w e r e t r e a t e d a s a s i n g l e d e b t i n s t r u m e n t , s uc h a de b t i n s t r u m e n t co u l d b e su b j e c t t o t h e sp ec i a l t ax r u l e s gov e r n i n g c o n t i n ge n t p ay m e n t d e b t i n s t r u m e n t s . I f a s e c u r i t y w i t h a t e r m o f m o r e t ha n o n e y e a r w e r e s o t r e a t e d , a U . S . H o l d e r w o u l d g e n e r a l l y b e r e q u i r e d t o a c c r u e i n t e r e s t i n c o m e o v e r t h e t e r m o f t h e s e c u r i t i e s b a s e d u p o n t h e y i e l d a t w h i c h w e w o u l d i s su e a no n - c o n t i n ge n t f i x e d - r a t e de b t i n s t r u m e n t w i t h o t h e r t e r m s a n d c on d i t i o ns s i m il a r t o t h e s ec u r i t i e s . I n a d d i t i o n , a n y g a i n suc h U . S . H o l d e r mi g h t r e co g n i z e u p o n t h e sa l e , e x ch an ge , e a r l y r e d e m p t i o n o r s e tt l e m en t o f t h e se c u r i t i e s w ou l d b e o r d i n a r y i n co m e a n d a n y l os s r e co gn i z e d b y s uc h U . S . H o l d e r a t s u c h t i m e w o u l d b e o r d i n a r y l o s s t o t h e e x t e n t o f i n t e r es t t h a t sa m e ho l d e r i n c l u de d i n i n c o m e i n t h e c u r r e n t o r p r e v i o u s t a x a b l e y e a r s i n r e s p e c t o f t h e s ec u r i t i e s , an d t h e r ea f t e r , w o u l d b e c a p i t a l l o s s . B e c a u s e o f t h e ab s e n c e o f a u t h o r i t y r e g a r d i n g t h e a p p r o p r i a t e t a x c h a r a c t e r i z a t i o n o f t h e se c u r i t i e s , i t i s a l s o p o s s i b l e t h a t t h e I R S c o u l d s e e k t o c h a r a c t e r i z e t h e s ec u r i t i e s i n a m a n n e r t h a t r e s u l t s i n o t h e r t a x c o n s e qu e nc es t h a t a r e d i f f e r e n t f r o m t h o s e d e s c r i be d ab o v e . F o r e xa m p l e , t h e I R S c o u l d a ss e r t t h a t a n y ga i n o r l o s s t h a t a U . S . H o l d e r m a y r e c o g n i z e u p o n t h e s a l e , e x c h a n g e , e a r l y r e d e m p t i on o r m a t u r i t y o f t he s e c u r i t i e s s h o u l d b e t r e a t e d a s o r d i n a r y ga i n o r l o ss . O t h e r a l t e r n a t i ve f ed e r a l i n c o m e t a x t r e a t m e n t s o f t h e s e c u r i t i e s a r e a l s o p o s s i b l e , w h i c h i f a p p l i e d c o u l d a l s o a f f e c t t h e t i m i n g an d c h a r a c t e r o f t h e i n co m e o r l o s s w i t h r es p e c t t o t he s e c u r i t i e s . O n D e ce m b e r 7 , 2 0 0 7 , t h e U . S . T r e as u r y D e p a r t m e n t a n d t h e I R S r e l e a s e d a n o t i c e r e qu e s t i n g co m m e n t s o n t h e U . S . f ed e r a l i n co m e t a x t r e a t m e n t o f “ p r e p a i d f o r w a r d co n t r a c t s ” a n d s i m i l a r i n s t r u m e n t s . T h e n o t i c e f o c u s e s o n w h e t he r t o r e qu i r e h o l d e r s o f “ p r e pa i d f o r w a r d c o n t r a c t s ” an d s i mi l a r i ns t r u m e n t s t o a c c r u e i n c o m e o v e r t h e t e r m o f t h e i r i n v e s t m e n t. I t a l so a s k s f o r c o m m en t s o n a nu m b e r o f r e l a t e d t o p i c s , i nc l u d i n g t h e c h a r a c t e r o f i n c o m e o r l o ss w i t h r e sp e c t t o t h e s e i n s t r u m e n t s ; w he t h e r s h o r t - t e r m i n s t r u m e n t s s h o u l d b e s u b j e c t t o a n y s uc h a c c r u a l r e g i m e ; t h e r e l e v an ce o f f a c t o r s s u c h a s t h e e x c ha n g e – t r a de d s t a t us o f t h e i n s t r u m e n t s an d t h e n a t u r e o f t h e u n d e r l y i n g p r o p e r t y t o w h i c h t h e i n s t r u m e n t s a r e l i n k ed ; w h e t h e r t h es e i n s t r u m e n t s a r e o r s h o u l d be s u b j e c t t o t h e “ c o n s t r u c t i v e o w n e r s h i p ” r e g i m e , w h i c h v e r y g e n e r a l l y c a n o pe r a t e t o r ec h a r a c t e r i z e c e r t a i n l on g - t e r m c a p i t a l g a i n as o r d i n a r y i n c o m e a n d i m p o s e a n i n t e r e s t c h a r g e ; a n d a p p r o p r i a t e t r an s i t i o n r u l e s a n d e f f e c t i v e d a t e s . W h i l e i t i s n o t c l e a r w h e t h e r i n s t r u m e n t s s u c h a s t h e se c u r i t i e s w o u l d b e v i e w e d a s s i mi l a r t o t h e p r ep a i d f o r w a r d co n t r a c t s de s c r i be d i n t h e no t i c e , a n y U . S . T r e as u r y D ep a r t m e n t r e g u l a t i o n s o r o t h e r g u i d a n c e p r o m u l g a t e d a f t e r c o n s i d e r a t i o n o f t h e s e i s s ue s co u l d m a t e r i a l l y a n d a d v e r s e l y a f f e c t t h e t a x co n s e qu e n c e s o f a n i n ve s t m e n t i n t h e se c u r i t i e s , p os s i b l y w i t h r e t r oa c t i v e e f f e c t. U . S . H o l d e r s s ho u l d co n s u l t t h e i r t a x ad v i s o r s r e g a r d i n g t h e U . S . f e d e r a l i n c o m e t a x c o n s e qu e nc es o f a n i n v e s t m e n t i n t h e s e c u r i t i e s , i n c l u d i n g p os s i b l e a l t e r n a t i v e t r e a t m e n t s a n d t h e i s su e s p r e s e n t e d b y t h i s n o t i c e . B a c k up W i t hho l d i ng a nd I n f o r m a t i on R e po rt i n g B a c k u p w i t h h o l d i n g m ay a pp l y i n r e s p e c t o f t h e a m o u n t s p a i d t o a U . S . H o l d e r , u n l e s s s uc h U . S . H o l d e r p r o v i d e s p r o o f o f a n ap p l i c a b l e e x e m p t i o n o r a c o r r ec t t a x p a y e r i d e n t i f i ca t i o n nu m b e r , o r o t h e r w i s e co m p l i e s w i t h a p p l i ca b l e r e q u i r e m e n t s o f t h e ba c k u p w i t h ho l d i n g r u l e s . T h e a m o u n t s w i t h he l d u n d e r t h e b a c k u p w i t hh o l d i n g r u l e s a r e no t a n a dd i t i o na l t ax a n d m a y b e r e f un d e d , o r c r ed i t e d a g a i n s t t h e U . S . H o l d e r ’ s U . S . f e d e r a l i n c o m e t a x l i a b ili t y , p r o v i d e d t h a t t h e r e q u i r e d i n f o r m a t i o n i s t i m e l y f u r n i s h e d t o t h e I R S . I n a dd i t i o n , i n f o r m a t i o n r e t u r n s m a y b e f i l e d w i t h t h e I R S i n c o n n e c t i o n w i t h p a y m e n t s o n t h e s e c u r i t i e s a n d t h e p r o c ee ds f r o m a sa l e , e x cha n g e , e a r l y r e de m p t i o n o r o t h e r d i sp os i t i o n o f t h e s e c u r i t i e s , u n l e s s t h e U . S . H o l d e r p r o v i d e s p r o o f o f a n a p p l i c a b l e e x e m p t i o n f r o m t h e i n f o r m a t i o n r e p o r t i n g r u l es . T a x C on s e qu e n c e s t o N o n - U . S . H o l d e r s T h i s s e c t i o n a pp l i e s t o y o u o n l y i f y o u a r e a N o n - U . S . H o l d e r . A s u s e d h e r e i n , t h e t e r m “ N o n - U . S . H o l d e r ” m e a n s a b e n e f i c i a l o w n e r o f a s e c u r i t y t h a t i s f o r U . S . f e d e r a l i n c o m e t a x p u r p os es :  a n i n d i v i d u a l w h o i s c l as s i f i e d a s a n o n r e s i d e n t a l i e n ;  a f o r e i gn c o r p o r a t i o n ; o r  a f o r e i gn t r u s t o r e s t a t e . T he t e r m “ N o n - U . S . H o l d e r” d o e s no t i nc l u d e a n y o f t h e f o l l o w i ng ho l d e r s :

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 2 0  a ho l d e r w h o i s a n i n d i v i d u a l p r e s e n t i n t he U n i t e d S t a t es f o r 1 83 d a y s o r m o r e i n t h e t a x a b l e y ea r o f d i s p o s i t i o n an d w h o i s n o t o t h e r w i s e a r es i d e n t o f t h e U n i t ed S t a t es f o r U . S . f e d e r a l i n co m e t a x p u r p o se s ;  c e r t a i n f o r m e r c i t i ze ns o r r e s i de n t s o f t h e U n i t ed S t a t e s ; o r  a ho l d e r f o r w h o m i n co m e o r g a i n i n r e s p e c t o f t h e s ec u r i t i e s i s e ff e c t i v e l y co n n e c t e d w i t h t h e c o n du c t o f a t r a d e o r b u s i n e s s i n t h e U n i t e d S t a t e s . S u c h h o l d e r s sh ou l d c o n s u l t t h e i r t a x a d v i s o r s r e ga r d i n g t h e U . S . f e d e r a l i n c o m e t a x co n s e qu e nc e s o f a n i nv es t m e n t i n t h e s e c u r i t i es . B e c a u s e t he U . S . f e d e r a l i n c o m e t a x t r e a t m e n t ( i n c l ud i n g t h e ap p l i c a b i l i t y o f w i t h h o l d i n g ) o f c o n t i n g e n t m o n t h l y p a y m e n t s o n t h e se c u r i t i e s i s u n c e r t a i n , t h e e n t i r e a m o u n t o f t h e c on t i n ge n t m o n t h l y p ay m e n t s w ill be s u b j e c t t o U . S . f e d e r a l i n co m e t a x w i t h h o l d i n g a t a 30 % r a t e ( o r a t a l o w e r r a t e u n d e r a n a p p l i c ab l e i n co m e t a x t r e a t y ) . W e w i l l n o t p a y an y a d d i t i o n a l a m o u n t s i n r e s pe c t o f s u c h w i t h h o l d i n g . I n o r d e r t o c l a i m a n ex e m p t i o n f r o m o r a r e d u c t i on i n t he 3 0 % wi t h ho l d i n g t a x , a N o n - U . S . H o l d e r o f t he s e c u r i t i e s m u s t co m p l y w i t h c e r t i f i c a t i o n r e q u i r e m e n t s t o e s t a b l i s h t h a t i t i s n o t a U . S . p e r s o n a nd i s e li g i b l e f o r a r ed uc t i o n o f , o r a n e x e m p t i on f r o m, w i t hh o l d i n g u n d e r a n ap p l i c a b l e t a x t r e a t y . If yo u a r e a N o n - U . S . H o l d e r , y o u s h o u l d co n s u l t y o u r t a x a d v i s o r s r e g a r d i ng t h e t a x t r e a t m e n t o f t h e se c u r i t i e s , i n c l u d i n g t h e p o s s i b i l i t y o f o b t a i n i n g a r e f u n d o f a n y w i t h h o l d i n g t a x a n d t he c e r t i f i c a t i o n r e q u i r e m e n t d e s c r i b e d a bo ve . A “ d i v i d en d e q u i va l e n t ” p ay m e n t i s t r e a t e d a s a d i v i d e n d f r o m so u r c e s w i t h i n t h e U n i t e d S t a t e s a n d s u c h p ay m e n t s ge n e r a ll y w o u l d b e s u b j e c t t o a 3 0 % U. S . w i t h h o l d i n g t a x i f p a i d t o a N o n - U . S . H o l d e r . U n d e r U . S . T r e a s u r y D e p a r t m e n t r e g u l a t i o ns , pa y m e n t s ( i n c l u d i ng d e e m e d p a y m e n t s ) w i t h r e s pe c t t o e q u i t y - l i n k e d i n s t r u m e n t s ( “ E L I s ” ) t h a t a r e “ s pe c i f i e d E L I s ” m ay b e t r e a t e d a s d i v i d e n d e qu i v a l e n t s i f s u c h s p e c i f i e d E L I s r e f e r e n c e a n i n t e r e s t i n a n “ u n d e r l y i n g s e cu r i t y , ” w h i c h i s ge n e r a l l y an y i n t e r e s t i n a n e n t i t y t ax ab l e a s a c o r p o r a t i o n f o r U . S . f e d e r a l i n c o m e t a x p u r p o s e s i f a p a y m e n t w i t h r e s p e c t t o s u c h i n t e r e s t c o u l d g i v e r i s e t o a U . S . so u r c e d i v i d en d . H o w e v e r , I n t e r n a l R e ve n u e S e r v i c e gu i da n c e p r ov i d e s t h a t w i t h h o l d i n g o n d i v i d e n d e q u i v a l e n t p a y m e n t s w i l l n o t a p p l y t o s p e c i f i e d E L I s t h a t a r e no t de l t a - on e i n s t r u m e n t s a n d t h a t a r e i s s ue d b e f o r e J a n u a r y 1 , 202 7 . B a s e d o n t h e I s s u e r ’ s d e t e r m i n a t i o n t h a t t h e s e c u r i t i e s a r e n o t “ d e l t a - o n e ” i n s t r u m e n t s , N o n - U . S . H o l d e r s s h o u l d n o t be s u b j e c t t o w i t h ho l d i n g o n d i v i d en d e q u i v a l e n t p a y m e n t s , i f a n y , u n d e r t h e s e c u r i t i e s . H o w e v e r , i t i s p o s s i b l e t h a t t h e se c u r i t i e s c o u l d be t r e a t e d a s d e e m e d r e i s s u e d f o r U . S . f e d e r a l i nc o m e t a x p u r p o s e s u po n t h e o c c u r r e nc e o f c e r t a i n ev e n t s a ff e c t i n g t h e u nd e r l y i n g s h a r e s o r t h e s e c u r i t i e s , a n d f o l l o w i n g su c h o c c u r r e nc e t h e se c u r i t i e s co u l d b e t r e a t e d a s su b j e c t t o w i t h ho l d i n g o n d i v i d e n d e q u i v a l e n t p a y m e n t s . N o n - U . S . H o l d e r s t h a t e n t e r , o r h a v e e n t e r e d , i n t o o t h e r t r an s a c t i o n s i n r e s p e c t o f t h e u n d e r l y i n g s h a r e s o r t h e se c u r i t i e s s h o u l d c o n s u l t t h e i r t a x a d v i s o r s a s t o t h e a p p l i c a t i o n o f t h e d i v i d e n d e qu i v a l e n t w i t h ho l d i n g t a x i n t h e co n t e x t o f t h e se c u r i t i e s a n d t h e i r o t h e r t r a n s a c t i o n s . If a ny p ay m e n t s a r e t r e a t ed a s d i v i d en d e q u i va l e n t s su b j ec t t o w i t h ho l d i n g , w e ( o r t he a p p li ca b l e pa y i n g a ge n t ) w o u l d b e e n t i t l e d t o w i t h ho l d t ax es w i t ho u t b e i n g r e q u i r e d t o p a y a n y a d d i t i o n a l a m o u n t s w i t h r e sp ec t t o a m o u n t s s o w i t h he l d . U . S . F e d e r a l E s t a t e T a x U n d e r c u r r e n t l a w , w h i l e t h e m a t t e r i s n o t e n t i r e l y c l e a r , i nd i v i d ua l N o n - U . S . H o l d e r s , a n d e n t i t i e s w h o s e p r o p e r t y i s p o t e n t i a l l y i n c l ud i b l e i n t ho se i n d i v i d u a l s ’ g r o ss e s t a t e s f o r U . S . f ed e r a l e s t a t e t a x p u r p o se s ( f o r e x a m p l e , a t r u s t f u n d e d b y s uc h an i n d i v i d u a l a n d w i t h r es p e c t t o w h i c h t h e i nd i v i d ua l ha s r e t a i n e d c e r t a i n i n t e r e s t s o r po w e r s ) , s h o u l d n o t e t h a t, a bs en t an a pp l i c a b l e t r e a t y be n e f i t , t h e s e c u r i t i e s a r e l i k e l y t o b e t r e a t e d a s U . S . s i t u s p r o p e r t y , su b j e c t t o U . S . f ed e r a l e s t a t e t a x . T h e s e i n d i v i d u a l s a n d e n t i t i e s s h o u l d c o n s u l t t h e i r t a x a d v i s o r s r e ga r d i n g t h e U . S . f e d e r a l e s t a t e t a x c o n s e qu e nc es o f i n v e s t i n g i n t h e s e c u r i t i e s . B a c k up W i t hho l d i ng a nd I n f o r m a t i on R e po rt i n g I n f o r m a t i o n r e t u r n s m a y b e f i l e d w i t h t h e I R S i n c o nn ec t i o n w i t h p a y m e n t s o n t h e s e c u r i t i e s a n d t h e p r o c e ed s f r o m a s a l e , e xc h a n ge , e a r l y r ed e m p t i o n o r o t h e r d i s p o s i t i o n . A N o n - U . S . H o l d e r m ay b e s u b j e c t t o b a c ku p w i t h ho l d i n g i n r e s p e c t o f a m o u n t s p a i d t o t h e N o n - U . S . H o l d e r , un l e s s s u c h N on - U . S . H o l d e r c o m p l i es w i t h c e r t i f i c a t i o n p r o c e d u r e s t o e s t a b l i s h t h a t i t i s no t a U . S . p e r so n f o r U . S . f ed e r a l i n c o m e t a x p u r p o s e s o r o t h e r w i s e es t a b l i s he s a n e xe m p t i o n . T he a m o u n t o f a n y b a ck u p w i t h h o l d i n g f r o m a p ay m e n t t o a N o n - U . S . H o l d e r w il l b e a l l o w e d a s a c r e d i t a g a i n s t t h e N o n - U . S . H o l d e r ’ s U . S . f e d e r a l i n c o m e t a x l i ab i li t y a n d m a y e n t i t l e t h e N o n - U . S . H o l d e r t o a r e f u n d , p r ov i d e d t h a t t h e r eq u i r e d i n f o r m a t i o n i s t i m e l y f u r n i s h e d t o t h e I R S . Fo r e i gn A c c oun t T a x C o m p li a n ce A c t T he F o r e i g n A c co un t T a x C o m p l i a nc e A c t i m p os es a 3 0 % U. S . w i t h ho l d i n g t a x o n c e r t a i n U . S . s o u r c e p a y m e n t s , i n c l u d i n g i n t e r e s t ( an d o r i g i n a l i s s u e d i s c ou n t ) , d i v i de n d s , o t h e r f i xe d o r d e t e r m i n a b l e a n n u a l o r p e r i o d i c a l g a i n , p r o f i t s , an d i n co m e , a n d o n t h e g r o s s p r o c e ed s f r o m a d i s p o s i t i o n o f p r o p e r t y o f a t y pe w h i c h c a n p r od u c e U . S . so u r c e i n t e r e s t o r d i v i d e nd s ( “ W i t h ho l d a b l e P ay m e n t s ” ) , i f p a i d t o a f o r e i gn f i n a n c i a l i n s t i t u t i o n ( i n c l u d i n g a m o u n t s pa i d t o a f o r e i g n f i n a n c i a l i n s t i t u t i o n o n b e h a l f o f a

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 2 1 ho l d e r ) , u n l e s s s u c h i n s t i t u t i o n e n t e r s i n t o an a g r ee m e n t w i t h t he U . S . T r e a s u r y D e p a r t m e n t t o c o ll e c t a n d p r o v i d e t o t h e U . S . T r ea s u r y D ep a r t m e n t s u b s t a n t i a l i n f o r m a t i o n r e g a r d i n g U . S . a cc o u n t h o l d e r s , i n c l u d i n g c e r t a i n a c c o u n t h o l d e r s t h a t a r e f o r e i gn e n t i t i e s w i t h U . S . o w n e r s , o r o t h e r w i s e e s t a b l i s h e s a n e x e m p t i on . T h e l e g i s l a t i o n a l s o g en e r a l l y i m p o s e s a w i t hh o l d i n g t a x o f 3 0 % on W i t h h o l d a b l e P a y m e n t s m a d e t o a n o n - f i n a n c i a l f o r e i gn e n t i t y un l e s s s u c h e n t i t y p r o v i de s t h e w i t h h o l d i n g a ge n t w i t h a c e r t i f i c a t i o n t h a t i t d o e s n o t h a ve a ny s u b s t a n t i a l U . S . o w n e r s o r a c e r t i f i c a t i o n i d e n t i f y i n g t h e d i r e c t a n d i n d i r e c t s u b s t a n t i a l U . S . o w n e r s o f t h e e n t i t y o r o t h e r w i s e e s t a b l i s h e s a n e x e m p t i o n . U n d e r p r o p o s e d r e g u l a t i o n s ( t he p r e a m b l e t o w h i c h sp ec i f i es t ha t t a x p ay e r s a r e p e r m i t t e d t o r e l y o n t h e m p e n d i n g f i n a l i z a t i o n ) , n o w i t h ho l d i n g w il l ap p l y o n p a y m e n t s o f g r o s s p r o c ee d s . H o l d e r s a r e u r ge d t o c on su l t w i t h t h e i r o w n t a x a d v i s o r s r e g a r d i n g t h e p o s s i b l e i m p l i c a t i on s o f t h i s l e g i s l a t i on o n t h e i r i n ve s t m en t i n t h e se c u r i t i e s . C a l c u l a t i on a g e n t : H SB C U SA I nc . o r o n e o f i t s a f f i l i a t e s . Supp l e m e n t a l p l a n o f d i s t r i bu t i o n ( c on f l i c t s o f i n t e r e s t ) : P u r su an t t o t h e t e r m s o f a d i s t r i b u t i o n a g r ee m e n t, H SB C S e c u r i t i e s ( U SA ) I n c . , a n a f f i l i a t e o f H SB C , w ill p u r c h as e t h e s e c u r i t i e s f r o m H SB C f o r d i s t r i bu t i o n t o M o r g a n S t a n l e y W e a l t h M a n a g e m e n t. H SB C S e c u r i t i e s ( U SA ) I n c . w i l l a c t a s a g e n t f o r t h e s e c u r i t i e s a n d w il l r e c e i v e a f e e o f $ 1 . 0 0 p e r $ 1 , 0 00 s t a t e d p r i n c i p a l a m o u n t an d w i l l p a y M o r ga n S t a n l e y W e a l t h M a na g e m e n t a f i xe d s a l e s c o m m i s s i o n o f $ 0 . 5 0 f o r e a c h s e c u r i t y t h e y s e ll . O f t h e $ 1 . 0 0 p e r $ 1 , 0 0 0 s t a t e d p r i n c i p a l a m o u n t r e c e i v e d b y H SB C S e c u r i t i e s ( U SA ) I n c ., a c t i n g a s a g e n t f o r H SB C , H SB C S e c u r i t i e s ( U SA ) I n c . w i l l p a y M o r ga n S t an l e y W e a l t h M a n a g e m e n t a s t r uc t u r i n g f e e o f $ 0 . 5 0 f o r e a c h s e c u r i t y . I n a d d i t i o n , H SB C S e c u r i t i e s ( U SA ) I n c . o r an o t h e r o f i t s a f f i l i a t e s o r a ge n t s m a y u se t h e p r i c i n g s u p p l e m e n t t o w h i c h t h i s f r e e w r i t i n g p r o s p e c t u s r e l a t e s i n m a r k e t - m a k i n g t r a n s a c t i o n s a f t e r t he i n i t i a l sa l e o f t he s e c u r i t i e s , b u t i s und e r n o o b l i g a t i o n t o m a k e a m a r k e t i n t h e s ec u r i t i e s a n d m a y d i sc o n t i nu e a n y m a r k e t - m ak i n g ac t i v i t i e s a t a n y t i m e w i t h o u t n o t i c e . W e e x p e c t t h a t d e l i v e r y o f t h e s e c u r i t i e s w ill b e m a d e a g a i n s t p ay m e n t f o r t h e s e c u r i t i e s o n o r a b o u t t h e o r i g i n a l i s su e d a t e s e t f o r t h o n t h e c o v e r p a g e o f t h i s d o c u m e n t , w h i c h i s m o r e t h a n o n e b u s i n es s d a y f o l l o w i n g t h e t r a d e d a t e . U n d e r R u l e 1 5 c 6 - 1 u n d e r t h e S e c u r i t i e s E x c ha n g e A c t o f 1 9 3 4 , t r a de s i n t h e s e c on d a r y m a r k e t g e n e r a l l y a r e r e q u i r e d t o s e t t l e i n on e b u s i n es s d a y , u n l es s t h e p a r t i es t o t ha t t r a d e e x p r e s s l y a g r e e o t h e r w i s e . A c c o r d i n g l y , p u r c h as e r s w h o w i s h t o t r ad e t h e s e c u r i t i e s m o r e t h a n o n e b u s i n e s s da y p r i o r t o t h e o r i g i n a l i s s u e d a t e w il l b e r e qu i r e d t o sp ec i f y a n a l t e r n a t e s e t t l e m e n t c y c l e a t t h e t i m e o f a n y s u c h t r a d e t o p r e v e n t a f a il e d s e tt l e m e n t, a n d s ho u l d co n s u l t t he i r o w n a d v i s o r s . S ee “ S u p p l e m e n t a l P l a n o f D i s t r i b u t i o n ( C o n f li c t s o f I n t e r e s t ) ” on p a g e S - 8 7 i n t h e p r os p e c t u s s u p p l e m e n t . W h e r e y ou ca n f i nd m o r e i n f o r m a t i o n : T h i s f r e e w r i t i n g p r o s p e c t u s r e l a t e s t o a n o ff e r i n g o f se c u r i t i e s l i n k e d t o t h e u nd e r l y i n g s h a r e s . T h e p u r c h as e r o f a s e c u r i t y w il l a c qu i r e a s e n i o r un s e c u r e d d e b t sec u r i t y o f H SB C U SA I n c . W e r e s e r v e t h e r i g h t t o w i t h d r a w , ca n c e l o r m o d i f y t h i s o f f e r i n g a nd t o r e j ec t o r de r s i n w h o l e o r i n p a r t . A l t h o u g h t h e o f f e r i n g o f t h e s e c u r i t i e s r e l a t e s t o t h e u n d e r l y i n g s h a r e s , y o u sh ou l d n o t c on s t r u e t h a t f a c t a s a r e co m m e nd a t i o n a s t o t h e m e r i t s o f ac q u i r i n g a n i nv es t m e n t li nk e d t o t h e u n d e r l y i n g s h a r e s o r a s t o t h e su i t a b i l i t y o f a n i n v e s t m e n t i n t h e s e c u r i t i e s . H SB C ha s f i l e d a r e g i s t r a t i o n s t a t e m e n t ( i nc l u d i n g a p r o s p e c t us , a p r o s pe c t u s s u p p l e m e n t a n d ETF U n d e r l y i n g S u p p l e m e n t ) w i t h t h e SE C f o r t h e o f f e r i n g t o w h i c h t h i s f r e e w r i t i n g p r o s pe c t us r e l a t e s . B e f o r e y o u i n v e s t, y o u s h o u l d r e a d t h e p r o s p e c t u s , p r o s p e c t u s s u p p l e m e n t a n d ETF U n d e r l y i n g S u p p l e m e n t i n t h a t r e g i s t r a t i on s t a t e m e n t a n d o t h e r d o c u m e n t s H SB C ha s f i l e d w i t h t h e SE C f o r m o r e co m p l e t e i n f o r m a t i o n ab o u t H SB C a n d t h i s o f f e r i n g . Y o u m ay g e t t h e s e d o c u m e n t s f o r f r e e b y v i s i t i n g E D G A R on t h e SE C ’ s w e b s i t e a t www . s e c . go v . A l t e r na t i v e l y , H SB C S ec u r i t i e s ( U SA ) I n c . o r a n y d e a l e r p a r t i c i p a t i n g i n t h i s o f f e r i ng w ill a r r an g e t o s en d y o u t h e p r o s p e c t u s , p r o sp ec t u s su p p l e m e n t a n d ETF U nd e r l y i n g S u p p l e m e n t i f y o u r e q u e s t t h e m b y c a l li n g ( 21 2 ) 5 2 5 - 8 0 1 0 . Y ou s ho u l d r e a d t h i s d o c u m e n t t o g e t h e r w i t h t h e p r o sp e c t u s d a t e d F e b r u a r y 2 1 , 2 02 4 , t h e p r o sp e c t u s s u p p l e m e n t d a t e d F e b r u a r y 2 1 , 2 0 2 4 an d t h e ETF U n d e r l y i n g S u p p l e m e n t d a t e d F e b r u a r y 2 1 , 2 0 2 4 . If t h e t e r m s o f t h e s ec u r i t i e s o f f e r e d h e r e b y a r e i nc o n s i s t en t w i t h t h o s e d e s c r i b e d i n t h e a cc o m p a ny i n g p r o s p e c t u s su pp l e m e n t, p r o spe c t us o r ETF U n d e r l y i n g S up p l e m e n t, t h e t e r m s d es c r i b e d i n t h i s f r e e w r i t i n g p r o s pe c t us s ha l l c o n t r o l . Y ou s ho u l d c a r e f u l l y c o n s i d e r , a m o n g o t h e r t h i n g s , t he m a t t e r s s e t f o r t h i n “ R i s k F a c t o r s ” h e r e i n , o n p a g e S - 1 o f t h e a cc o m p a n y i n g ETF U nd e r l y i n g S u p p l e m e n t an d pa ge S - 1 o f t h e a cc o m p a n y i n g p r o s pe c t us s u p p l e m e n t , a s t h e s ec u r i t i e s i nv o l v e r i s k s n o t as s o c i a t e d w i t h c o n ve n t i o n a l d e b t s e c u r i t i e s . W e u r g e yo u t o c on su l t y o u r i nv e s t m e n t, l e g a l , t a x , a cc o u n t i n g a n d o t h e r a d v i s o r s b e f o r e y o u i n v e s t i n t he s e c u r i t i es . A s u s e d h e r e i n , r e f e r e n c e s t o t h e “ I s s u e r ” , “ H SB C ” , “ w e ” , “ u s ” a nd “ o u r ” a r e t o H SB C U SA I n c . Y ou m a y ac c e s s t h e s e d o c u m e n t s o n t h e SE C w e b s i t e a t www . s ec . g o v a s f o l l o w s : T he ETF U n d e r l y i n g S u p p l e m e n t a t: h t t p s :// www . s e c . g ov / A r c h i v e s / e dg a r / da t a / 8 3 2 4 6 / 00 0 1 1 04 6 5 9 240 2 5 9 4 9 / t m 2 4 49 5 9 d 4_ 4 2 4 b 2 . h t m T he p r o sp e c t u s s u p p l e m e n t a t :

B u f fe r ed C o n ti n g en t I n c o m e A u t o - Calla b le S e c u r i ti e s wit h M e m o ry a nd D o wnsi d e L e v e r a g e d u e J u l y 21 , 2 0 2 7 B ase d on t h e P e r f o r m a nc e o f t h e I nv e sc o Q Q Q Trus t S M , S e r i e s 1 P r i n c i p a l a t Ri s k S ec u r i t i e s J u l y 202 6 P age 2 2 h t t p s :// www . s e c . g ov / A r c h i v e s / e dg a r / da t a / 8 3 2 4 6 / 00 0 1 1 04 6 5 9 240 2 5 8 7 8 / t m 2 4 49 5 9 d 1_ 4 2 4 b 2 . h t m T he p r o sp e c t u s a t: h t t p s :// www . s e c . g ov / A r c h i v e s / e dg a r / da t a / 8 3 2 4 6 / 00 0 1 1 04 6 5 9 240 2 5 8 6 4 / t m 2 4 49 5 9 d 13 _ 4 2 4b 3 . h t m

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