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 RISKFACTORS

You will be subject to significant risks notassociated with conventional fixed-rate or floating-rate debt securities. You should understand the risks of investing in the notes andshould reach an investment decision only after careful consideration with your advisors with respect to the notes in light of your particularfinancial and other circumstances and the information set forth in the applicable term sheet, this product supplement and the accompanyingprospectus supplement and prospectus.

Structure-related Risks

Your investment may result in a loss; thereis no guaranteed return of principal. There is no fixed principal repayment amount on the notes at maturity. The return on the noteswill be based on the performance of a Market Measure and therefore, you may lose all or a significant portion of your investment if thenotes are not automatically called (if applicable) and if the value of the Market Measure decreases from the Starting Value to an EndingValue that is less than the Threshold Value. If the Threshold Value is equal to 100% of the Starting Value, the Redemption Amount couldbe zero.

If the notes are subject to an automatic calland are called prior to maturity, your investment return will be limited to the return represented by the Call Premium. If the notesare subject to an automatic call, and if the Observation Level of the Market Measure on an Observation Date is greater than or equal tothe Call Level, we will automatically call the notes. If the notes are automatically called, your return will be limited to the applicableCall Premium, regardless of the extent of the increase in the value of the Market Measure.

Reinvestment Risk.  If the notes aresubject to an automatic call and are automatically called prior to maturity, the term of the notes will be short. There is no guaranteethat you would be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk inthe event the notes are called prior to maturity.

Your return on the notes may be less than theyield on a conventional fixed or floating rate debt security of comparable maturity. There will be no periodic interest payments onthe notes as there would be on a conventional fixed-rate or floating-rate debt security having the same maturity. Any return that youreceive on the notes may be less than the return you would earn if you purchased a conventional debt security with the same maturity date.As a result, your investment in the notes may not reflect the full opportunity cost to you when you consider factors, such as inflation,that affect the time value of money.

Your investment return may be less than a comparableinvestment directly in the Market Measure. Unless otherwise set forth in the applicable term sheet or in the event of an adjustmentas described in this product supplement under “Description of the Notes—Anti Dilution Adjustments,” the value of theMarket Measure will not reflect the value of dividends paid, or distributions made, on an Underlying Stock or any other rights associatedwith an Underlying Stock. Thus, any return on the notes will not reflect the return you would realize if you actually owned shares ofan Underlying Stock.

Payments on the notes will not reflect changesin the value of the Market Measure other than on the calculation day or the Observation Dates, if applicable. Changes in the valueof the Market Measure during the term of the notes other than on the calculation day, or the Observation Dates, if applicable, will notbe reflected in the calculation of the Redemption Amount or the determination of whether the notes will be automatically called, if applicable.To make that calculation or determination, the calculation agent will refer only to the value of the Market Measure on the calculationday, or the Observation Dates, if applicable. No other values of the Market Measure will be taken into account. As a result, even if thevalue of the

Market Measure has increased at certain times during the term of thenotes, your notes will not be called, if applicable, if the Observation Level on each Observation Date is less than the Call Level, andyou will receive a Redemption Amount that is less than the principal amount if the Ending Value is less than the Threshold Value.

If your notes are linked to a Basket, changesin the price of one or more of the Basket Stocks may be offset by changes in the price of one or more of the other Basket Stocks.The Market Measure of your notes may be a Basket. In such a case, changes in the price of one or more of the Basket Stocks may not correlatewith changes in the price of one or more of the other Basket Stocks. The price of one or more Basket Stocks may increase, while the priceof one or more of the other Basket Stocks may decrease or not increase as much. Therefore, in calculating the value of the Market Measureat any time, increases in the price of one Basket Stock may be moderated or wholly offset by decreases or lesser increases in the priceof one or more of the other Basket Stocks. If the weightings of the applicable Basket Stocks are not equal, adverse changes in the pricesof the Basket Stocks which are more heavily weighted could have a greater impact upon the value of the Market Measure and, consequently,the return on your notes.

Payments on the notes are subject to our creditrisk, and actual or perceived changes in our creditworthiness are expected to affect the value of the notes. The notes are seniorunsecured debt obligations of the Issuer, and are not, either directly or indirectly, an obligation of any third party. As further describedin the accompanying prospectus supplement and prospectus, the notes will rank on par with all of the other unsecured and unsubordinateddebt obligations of HSBC. Any payment to be made on the notes, including any return of principal at maturity, depends on the ability ofHSBC to satisfy its obligations as they become due. As a result, the actual and perceived creditworthiness of HSBC may affect the marketvalue of the notes and, in the event HSBC were to default on its obligations, you may not receive the amounts owed to you under the termsof the notes. Because your return on the notes depends upon factors in addition to HSBC’s ability to pay its obligations, such asthe value of the applicable Market Measure, an improvement in HSBC’s credit ratings will not reduce the other investment risks relatedto the notes.

The notes are not insured or guaranteed by anygovernmental agency of the United States or any other jurisdiction. The notes are not deposit liabilities or other obligations ofa bank and are not insured or guaranteed by the FDIC or any other governmental agency or program of the United States or any other jurisdiction.An investment in the notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as theybecome due, you may not receive the full payments due on the notes.

Valuation- and Market-related Risks

The estimated initial value of the notes willbe less than the public offering price and may differ from the market value of the notes in the secondary market, if any. We willdetermine the estimated initial value of the notes, which will be set forth in the applicable term sheet, by reference to our or our affiliates’internal pricing models. These pricing models consider certain assumptions and variables, which can include volatility and interest rates.These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. Different pricing modelsand assumptions could provide valuations for the notes that are different from our estimated initial value. The estimated initial valuewill reflect our internal funding rate, which is the borrowing rate we pay to issue market-linked notes, as well as the mid-market valueof the hedging arrangements related to the notes (which may include call options, put options or other derivatives).

Our internal funding rate for the issuance ofthese notes is lower than the rate we would use when we issue conventional fixed or floating rate debt securities. This is one ofthe factors that may result in the market value of the notes being less than their estimated initial value. As a result of the differencebetween our internal funding rate and the rate we would use when we issue conventional fixed or floating rate debt securities, the estimatedinitial value of the notes may be lower if it were based on the levels at which our fixed or floating rate debt securities trade in thesecondary market. In addition, if we were to use the rate we use for our conventional fixed or floating rate debt issuances, we wouldexpect the economic terms of the notes to be more favorable to you.

The price of your notes in the secondary market,if any, immediately after the pricing date will be less than the public offering price. The public offering price takes into accountcertain costs, principally the underwriting discount, the expected hedging costs described in the applicable term sheet, and the costsassociated with issuing the notes. The costs associated with issuing the notes will be used or retained by us or one of our affiliates.If you were to sell your notes in the secondary market, if any, the price you would receive for your notes may be less than the priceyou paid for them.

The estimated initial value does not representa minimum price at which we, BofAS or any of our respective affiliates would be willing to purchase your notes in the secondary market(if any exists) at any time. The price of your notes in the secondary market, if any, at any time after issuance will vary based onmany factors, including the value of the Market Measure and changes in market conditions, and cannot be predicted with accuracy. The notesare not designed to be short-term trading instruments, and you should, therefore, be able and willing to hold the notes to maturity. Anysale of the notes prior to maturity or automatic call (if applicable) could result in a loss to you.

We cannot assure you that there will be a tradingmarket for your notes. If a secondary market exists, we cannot predict how the notes will trade, or whether that market will be liquidor illiquid. The development of a trading market for the notes will depend on various factors, including our financial performance andchanges in the value of the Market Measure. The number of potential buyers of your notes in any secondary market may be limited. Thereis no assurance that any party will be willing to purchase your notes at any price in any secondary market.

We anticipate that one or more of the agents ortheir affiliates will act as a market-maker for the notes, but none of them is required to do so and may cease to do so at any time. Anyprice at which an agent or its affiliates may bid for, offer, purchase, or sell any of the notes may be higher or lower than the applicablepublic offering price, and that price may differ from the values determined by pricing models that it may use, whether as a result ofdealer discounts, mark-ups, or other transaction costs. These bids, offers, or transactions may adversely affect the prices, if any, atwhich the notes might otherwise trade in the market. In addition, if at any time any entity were to cease acting as a market-maker forany issue of the notes, it is likely that there would be significantly less liquidity in that secondary market. In such a case, the priceat which those notes could be sold likely would be lower than if an active market existed.

Unless otherwise stated in the applicable termsheet, we will not list the notes on any securities exchange. Even if an application were made to list your notes, we cannot assure youthat the application will be approved or that your notes will be listed and, if listed, that they will remain listed for their entireterm. The listing of the notes on any securities exchange will not necessarily ensure that a trading market will develop, and if a tradingmarket does develop, that there will be liquidity in the trading market.

If you attempt to sell the notes prior to maturity,their market value, if any, will be affected by various factors that interrelate in complex ways, and their market value may be less thanthe principal amount. The notes are not designed to be short-term trading instruments. The limited protection against the risk oflosses provided by the Threshold Value, if any, will only apply if you hold the notes to maturity. You have no right to have your notesredeemed at your option prior to maturity. If you wish to liquidate your investment in the notes prior to maturity, your only option wouldbe to sell them. At that time, there may be an illiquid market for your notes or no market at all. Even if you were able to sell yournotes, there are many factors outside of our control that may affect their market value, some of which, but not all, are stated below.These factors may interact with each other in complex and unpredictable ways, and the impact of any one factor may be offset or magnifiedby the effect of another factor. The following paragraphs describe a specific factor’s expected impact on the market value of thenotes, assuming all other conditions remain constant.

In addition, if the notes are subject to an automatic call,because the amount payable on the notes upon an automatic call will not exceed the applicable Call Amount, we do not expect that the noteswill trade in any secondary market prior to any Observation Date at a price that is greater than the applicable Call Amount.

of that foreign country and, in turn, the price of the ADR,and, thus, the market value of the notes may be adversely affected.

Conflict-related Risks

Tradingand hedging activities by us, the agents, and our respective affiliates may affect your return on the notes and their market value. We, the agents, and our respective affiliates may buy or sell shares of an Underlying Stock,futures or options contracts or exchange-traded instruments on an Underlying Stock, or other listed or over-the counter derivative instrumentslinked to an Underlying Stock. We, the agents, and our respective affiliates may execute such purchases or sales for our own or theirown accounts, for business reasons, or in connection with hedging our obligations under the notes. These transactions could adverselyaffect the price of an Underlying Stock in a manner that could be adverse to your investment in the notes. On or before the applicablepricing date, any purchases by us, the agents and our respective affiliates, or others on our or their behalf (including those for thepurpose of hedging some or all of our anticipated exposure in connection with the notes) may increase the price of an Underlying Stock.Consequently, the price of that Underlying Stock may decrease subsequent to the pricing date of an issue of the notes, which may adverselyaffect the market value of the notes.

We, the agents, or one or more of our respectiveaffiliates may also engage in hedging activities that could increase the price of an Underlying Stock on the applicable pricing date.In addition, these activities may decrease the market value of your notes prior to maturity or an automatica call, and may reduce thereturn on the notes. We, the agents, or one or more of our respective affiliates may purchase or otherwise acquire a long or short positionin the notes, and may hold or resell the notes. For example, the agents may enter into these transactions in connection with any marketmaking activities in which they engage. We cannot assure you that these activities will not adversely affect the price of any UnderlyingStock, the market value of your notes prior to maturity or the payments on the notes.

Our trading, hedging and other business activities,and those of the agents or one or more of our respective affiliates, may create conflicts of interest with you. We, the agents, orone or more of our respective affiliates may engage in trading activities related to an

Underlying Stock that are not for your account or on your behalf. We,the agents, or one or more of our respective affiliates also may issue or underwrite other financial instruments with returns based uponthe applicable Market Measure. These trading and other business activities may present a conflict of interest between your interest inthe notes and the interests we, the agents and our respective affiliates may have in our proprietary accounts, in facilitating transactions,including block trades, for our or their other customers, and in accounts under our or their management. These trading and other businessactivities, if they influence the value of the Market Measure or secondary trading in your notes, could be adverse to your interests asa beneficial owner of the notes.

We, the agents, and our respective affiliates expectto enter into arrangements or adjust or close out existing transactions to hedge our obligations under the notes. We, the agents, or ourrespective affiliates also may enter into hedging transactions relating to other securities or instruments that we or they issue, someof which may have returns calculated in a manner related to that of a particular issue of the notes. We may enter into such hedging arrangementswith one or more of our subsidiaries or affiliates, or with one or more of the agents or their affiliates. Such a party may enter intoadditional hedging transactions with other parties relating to the notes and an Underlying Stock. This hedging activity is expected toresult in a profit to those engaging in the hedging activity, which could be more or less than initially expected, but could also resultin a loss. We, the agents, and our respective affiliates will price these hedging transactions with the intent to realize a profit, regardlessof whether the value of the notes increases or decreases, whether the notes will be called or not, if applicable, or whether the RedemptionAmount on the notes is more or less than the principal amount of the notes. Any profit in connection with such hedging activities willbe in addition to any other compensation that we, the agents, and our respective affiliates receive for the sale of the notes, which createsan additional incentive to sell the notes to you.

There may be potential conflicts of interestinvolving the calculation agent. We may appoint and remove the calculation agent. We or one of our affiliates may be the calculationagent or act as joint calculation agent for the notes and, as such, will determine the Starting Value, the Step Up Value, the ThresholdValue, the Price Multiplier, the Ending Value, the Redemption Amount and, if applicable, the Call Level, each Observation Level and whetherthe notes will be called. Under some circumstances, these duties could result in a conflict of interest between our status as issuer andour responsibilities as calculation agent. These conflicts could occur, for instance, in connection with the calculation agent’sdetermination as to whether a Market Disruption Event has occurred, or in connection with judgments that the calculation agent would berequired to make if certain corporate events occur with respect to any Underlying Stock. See the sections entitled “Descriptionof the Notes—Market Disruption Events” and “—Anti-Dilution Adjustments.” The calculation agent will be requiredto carry out its duties in good faith and using its reasonable judgment. However, because we may serve as the calculation agent, potentialconflicts of interest could arise. None of us, the agents, or any of our respective affiliates will have any obligation to consider yourinterests as a holder of the notes in taking any action that might adversely affect the value of the notes.

In addition, we may appoint BofAS or one of itsaffiliates to act as the calculation agent or as joint calculation agent for the notes. As the calculation agent or joint calculationagent, BofAS or one of its affiliates will have discretion in making various determinations that affect your notes. The exercise of thisdiscretion by the calculation agent could adversely affect the value of your notes and may present the calculation agent with a conflictof interest of the kind described under “—Trading and hedging activities by us, the agents, and our respective affiliatesmay affect your return on the notes and their market value” and “—Our trading, hedging and other business activities,and those of the agents or one or more of our respective affiliates, may create conflicts of interest with you” above.

Market Measure-related Risks

You must rely on your own evaluation of themerits of an investment linked to any applicable Underlying Stock. In the ordinary course of business, we, the agents, and our respectiveaffiliates may have expressed views on expected movements in an Underlying Stock, and may do so in the future. These views or reportsmay be communicated to our clients and clients of these entities. However, these views are subject to change from time to time. Moreover,other professionals who deal in markets relating to an Underlying Stock may at any time have significantly different views from our viewsand the views of these entities. For these reasons, you are encouraged to derive information concerning an Underlying Stock from multiplesources, and you should not rely on our views or the views expressed by these entities.

As a note holder, you will have no rights toreceive shares of any Underlying Stock, and you will not be entitled to receive dividends or other distributions by any Underlying Company.The notes are our debt securities. They are not equity instruments, shares of stock, or securities of any other issuer. Investing in thenotes will not make you a holder of any Underlying Stock. You will not have any voting rights, any rights to receive dividends or otherdistributions, or any other rights with respect to any Underlying Stock. As a result, the return on your notes may not reflect the returnyou would realize if you actually owned shares of any Underlying Stock and received the dividends paid or other distributions made inconnection with them. Your notes will be paid in cash and you have no right to receive any shares of an Underlying Stock.

If shares of an Underlying Company are alsolisted on a foreign exchange, your return may be affected by factors affecting international securities markets. The value of securitiestraded outside of the U.S. may be adversely affected by a variety of factors relating to the relevant securities markets. Factors whichcould affect those markets, and therefore the return on your notes, include:

In particular, many emerging nations are undergoing rapidchange involving the restructuring of economic, political, financial and legal systems. Regulatory and tax environments may be subjectto change without review or appeal, and many emerging markets suffer from underdevelopment of capital markets and tax systems. In addition,in some of these nations, issuers of the relevant securities face the threat of expropriation of their assets and/or nationalization oftheir businesses. The economic and financial data about some of these countries may be unreliable.

Additionally, the accounting, auditing and financial reportingstandards and requirements applicable to companies in foreign countries may differ from those applicable to U.S. reporting companies.

We, the agents and our respective affiliatesdo not control any Underlying Company and have not verified any disclosure made by any Underlying Company. We, the agents, or ourrespective affiliates currently, or in the future, may engage in business with any Underlying Company, and we, the agents, or our respectiveaffiliates may from time to time own securities of any Underlying Company. However, none of us, the agents, or any of our respective affiliateshas the ability to control the actions of any Underlying Company or has undertaken any independent review of, or made any due diligenceinquiry with respect to, any Underlying Stock or any Underlying Company. Any information in the term sheet regarding an Underlying Stockand an Underlying Company is derived from publicly available information. You should make your own investigation into any Underlying Stockand any Underlying Company.

Our business activities and those of the agentsrelating to any Underlying Company or the notes may create conflicts of interest with you. We, the agents, and our respective affiliates,at the time of any offering of the notes or in the future, may engage in business with any Underlying Company, including making loansto, equity investments in, or providing investment banking, asset management, or other services to that company, its affiliates, and itscompetitors.

In connection with these activities, any of theseentities may receive information about those companies that we will not divulge to you or other third parties. We, the agents, and ourrespective affiliates have published, and in the future may publish, research reports on one or more of these companies. The agents mayalso publish research reports relating to our or our affiliates’ securities, including the notes. This research is modified fromtime to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding yournotes. Any of these activities may adversely affect the price of any Underlying Stock and, consequently, the market value of your notes.None of us, the agents, or our respective affiliates makes any representation to any purchasers of the notes regarding any matters whatsoeverrelating to any Underlying Stock or Underlying Company. Any prospective purchaser of the notes should undertake an independent investigationof an Underlying Stock or an Underlying Company to the extent that, in its judgment, is appropriate to make an informed decision regardingan investment in the notes. The selection of an Underlying Stock does not reflect any investment recommendations from us, the agents,or our respective affiliates.

An Underlying Company will not have any obligationsrelating to the notes, and none of us, the agents, or our respective affiliates will perform any due diligence procedures with respectto any Underlying Company. An Underlying Company will not have any financial or legal obligation with respect to the notes or theamounts to be paid to you, including any obligation to take our needs or the needs of noteholders into consideration for any reason, includingtaking any corporate actions that might adversely affect the price of an Underlying Stock or the value of the notes. An Underlying Companywill not receive any of the proceeds from any offering of the notes, and will not be responsible for, or participate in, the offeringof the notes. No Underlying Company will be responsible for, or participate in, the determination or calculation of the amount payableon the notes.

None of us, the agents, or any of our respectiveaffiliates will conduct any due diligence inquiry with respect to any Underlying Stock in connection with an offering of the notes. Noneof us, the agents, or any of our respective affiliates has made any independent investigation as to the completeness or accuracy of publiclyavailable information regarding any Underlying Stock or any Underlying Company or as to the future performance of any Underlying Stock.

Any prospective purchaser of the notes should undertake such independentinvestigation of an Underlying Stock and an Underlying Company as in its judgment is appropriate to make an informed decision with respectto an investment in the notes.

The payment on the notes will not be adjustedfor all corporate events that could affect an Underlying Company. The Price Multiplier(s), the Observation Levels, if applicable andthe Ending Value, and other terms of the notes may be adjusted for the specified corporate events affecting any Underlying Stock, as describedin the section entitled “Description of the Notes—Anti-Dilution Adjustments.” However, these adjustments do not coverall corporate events that could affect the market price of an Underlying Stock, such as offerings of common shares for cash or in connectionwith certain acquisition transactions. The occurrence of any event that does not require the calculation agent to adjust the applicablePrice Multiplier or any other terms of the notes may adversely affect the Closing Market Price of an Underlying Stock, the ObservationLevels, if applicable, and the Ending Value, and, as a result, the payment on and the market value of the notes.

Risks Relating to Underlying Stocks that AreADRs

The value of an ADR may not accurately trackthe value of the common shares of the related Underlying Company. If an Underlying Stock is an ADR, each ADR will represent sharesof the relevant Underlying Company. Generally, the ADRs are issued under a deposit agreement that sets forth the rights and responsibilitiesof the depositary, the Underlying Company and the holders of the ADRs. The trading patterns of the ADRs will generally reflect the characteristicsand valuations of the underlying common shares; however, the value of the ADRs may not completely track the value of those shares. Thereare important differences between the rights of holders of ADRs and the rights of holders of the underlying common shares. In addition,trading volume and pricing on the applicable non-U.S. exchange may, but will not necessarily, have similar characteristics as the ADRs.For example, certain factors may increase or decrease the public float of the ADRs and, as a result, the ADRs may have less liquidityor lower market value than the underlying common shares.

Exchange rate movements may adversely impactthe price of an Underlying Stock that is an ADR. If an Underlying Stock is an ADR, the market price of the Underlying Stock will generallytrack the U.S. dollar value of the market price of its underlying common shares. Therefore, if the value of the related foreign currencyin which the underlying common shares are traded decreases relative to the U.S. dollar, the market price of the Underlying Stock may decreasewhile the market price of its underlying common shares remains stable or increases, or does not decrease to the same extent. As a result,changes in, and the volatility of, the exchange rates between the U.S. dollar and the relevant non-U.S. currency could have a negativeimpact on the price of the Underlying Stock and consequently, the value of your notes and the amount payable on your notes.

Adverse trading conditions in the applicablenon-U.S. market may negatively affect the price of an Underlying Stock that is an ADR. Holders of an Underlying Company’s ADRsmay usually surrender the ADRs in order to receive and trade the underlying common shares. This provision permits investors in the ADRsto take advantage of price differentials between markets. However, this provision may also cause the market prices of the applicable UnderlyingStock to more closely correspond with the values of the common shares in the applicable non-U.S. markets. As a result, a market outsideof the United States for the underlying common shares that is not liquid may also result in an illiquid market for the ADRs, which maynegatively impact the value of such ADRs and, consequently, the value of your notes.

Delisting of an Underlying Stock that is anADR may adversely affect the value of the notes. If an Underlying Stock that is an ADR is no longer listed or admitted to tradingon a U.S. securities exchange registered under the Exchange Act or included in the Over-The-Counter Bulletin Board Service (the “OTCBulletin Board”) operated by the Financial Industry Regulatory Authority, Inc. (“FINRA”), or if the ADR facilitybetween the Underlying Company and the ADR depositary is terminated for any reason, the applicable Underlying Stock will be deemed tobe the Underlying Company’s common equity securities rather than the ADRs, and the calculation agent will determine the price ofthe Market Measure by reference to those common shares, as described below under “Description of the Notes—Delisting of ADRsor Termination of ADR Facility.” Replacing the original ADRs with the underlying common shares may adversely affect the value ofthe notes and the payment on the notes.

Other Risk Factors Relating to an UnderlyingStock

The applicable term sheet may set forth additionalrisk factors as to an Underlying Stock that you should review prior to purchasing the notes.

Tax-related Risks

The U.S. federal income tax consequences ofan investment in the notes are uncertain, and may be adverse to a holder of the notes. No statutory, judicial, or administrative authoritydirectly addresses the characterization of the notes or securities similar to the notes for U.S. federal income tax purposes. As a result,significant aspects of the U.S. federal income tax consequences of an investment in the notes are not certain. Under the terms of thenotes, you will have agreed with us to treat the notes as pre-paid executory contracts, as described under “U.S. Federal IncomeTax Summary—General.” If the Internal Revenue Service (the “IRS”) were successful in asserting an alternativecharacterization for the notes, the timing and character of gain or loss with respect to the notes may differ. No ruling will be requestedfrom the IRS with respect to the notes and no assurance can be given that the IRS will agree with the statements made in the section entitled “U.S. Federal Income Tax Summary.”

YOU ARE URGED TO CONSULT WITH YOUR OWN TAX ADVISORREGARDING ALL ASPECTS OF THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF INVESTING IN THE NOTES.

DESCRIPTIONOF THE NOTES

General

Each issue of the notes will be part of a seriesof notes entitled “Notes, Series 1” that will be issued under the Senior Indenture, as amended and supplemented from timeto time. The Senior Indenture is described more fully in the prospectus and prospectus supplement. The following description of the notessupplements and, to the extent it is inconsistent with, supersedes the description of the general terms and provisions of the notes anddebt securities set forth under the headings “Description of Notes” in the prospectus supplement and “Description ofDebt Securities” in the prospectus. These documents should be read in connection with the applicable term sheet.

The maturity date of the notes and the aggregateprincipal amount of each issue of the notes will be stated in the term sheet. If the scheduled maturity date is not a business day, wewill make the required payment on the next business day, and no interest will accrue as a result of such delay.

We will not pay interest on the notes. The notesdo not guarantee the return of principal at maturity. The notes will be payable only in U.S. dollars.

Unless subject to an automatic call and automaticallycalled prior to the maturity date, the notes will mature on the date set forth in the applicable term sheet. Prior to the maturity date,the notes are not redeemable at our option, except under the limited circumstances set forth below in the section “—Anti-DilutionAdjustments—Reorganization Events,” or repayable at the option of any holder. The notes are not subject to any sinking fund.

We will issue the notes in denominations of wholeunits. Unless otherwise set forth in the applicable term sheet, each unit will have a principal amount of $10. The CUSIP number for eachissue of the notes will be set forth in the applicable term sheet. You may transfer the notes only in whole units.

Payment at Maturity

If the notes are not subject to an automatic callor if the notes are subject to an automatic call but are not called, then at maturity, subject to our credit risk as issuer of the notes,you will receive a Redemption Amount, denominated in U.S. dollars. The “Redemption Amount” will be calculated as follows:

If specified in the applicable term sheet, at maturity,your notes may provide a leveraged return if the Ending Value is greater than the Step Up Value. In this case, a Participation Rate willbe specified in the term sheet.

Principal Amount + Step Up Payment

The Redemption Amount will not be less than zero.

The “Step Up Value” will bea value of the Market Measure that is a specified percentage (over 100%) of the Starting Value, as set forth in the applicable term sheet.

The “Step Up Payment” will bea dollar amount that will be equal to a percentage of the principal amount. This percentage will equal the percentage by which the StepUp Value is greater than the Starting Value. The Step Up Payment will be determined on the pricing date and set forth in the applicableterm sheet.

The “Threshold Value” will bea value of the Market Measure that equals a specified percentage of the Starting Value, which will be less than or equal to 100%. TheThreshold Value will be determined on the pricing date and set forth in the term sheet. If the Threshold Value is equal to 100% of theStarting Value, then the Redemption Amount for the notes will be less than the principal amount if there is any decrease in the valueof the Market Measure from the Starting Value to the Ending Value, and you may lose all of your investment in the notes.

The “Participation Rate,” ifapplicable, is the rate at which investors participate in any increase in the value of the Market Measure if the Ending Value is greaterthan the Step Up Value.

Each term sheet will provide examples of RedemptionAmounts based on a range of hypothetical Ending Values.

The term sheet will set forth information as tothe applicable Market Measure, including information as to the historical prices of the Underlying Stock or Underlying Stocks. However,historical prices of any Underlying Stock are not indicative of its future performance or the performance of your notes.

An investment in the notes does not entitle youto any ownership interest, including any voting rights, in any Underlying Stock, nor dividends paid, or other distributions made, by anyUnderlying Company.

Automatic Call

If specified in the applicable term sheet, thenotes may be subject to an automatic call. In that case, the notes will be called, in whole but not in part, if the Observation Levelof the Market Measure on any Observation Date is greater than or equal to the Call Level set forth in the applicable term sheet.

The “Call Level” will be a valueof the Market Measure that equals a specified percentage of the Starting Value.

The “Observation Dates” willbe set forth in the applicable term sheet, subject to postponement if a Market Disruption Event or non-trading day occurs. The final ObservationDate will be prior to the calculation day.

If the notes are called on an Observation Date,for each unit of the notes that you own, we will pay you the Call Amount applicable to that Observation Date on the relevant Call SettlementDate. The “Call Amount” will be equal to the principal amount plus the applicable Call Premium. The “CallPremium” will be a percentage of the principal amount.

The Observation Dates and the related Call Amountsand Call Premiums will be specified in the applicable term sheet.

Unless otherwise specified in the applicable termsheet, if the notes are automatically called on an Observation Date, we will redeem the notes and pay the applicable Call Amount on theapplicable Call Settlement Date. Each “Call Settlement Date” will occur on approximately the fifth business day afterthe applicable Observation Date, subject to postponement as described below.

If a scheduled Observation Date is determined bythe calculation agent not to be a trading day (as defined below) by reason of an extraordinary event, occurrence, declaration, or otherwise,or if there is a Market Disruption Event on that day, the applicable Observation Date will be the immediately succeeding trading day duringwhich no Market Disruption Event occurs or is continuing; provided that the Observation Level will not be determined on a date later thanthe fifth scheduled trading day after the scheduled Observation Date, and if that fifth day is not a trading day, or if there is a MarketDisruption Event on that date, the calculation agent will determine (or, if not determinable, estimate) the Observation Level in a commerciallyreasonable manner on that fifth scheduled trading day.

If, due to a Market Disruption Event or otherwise,a scheduled Observation Date is postponed, the Call Settlement Date, if applicable, will be approximately the fifth business day followingthe Observation Date as postponed, unless otherwise specified in the applicable term sheet.

The Starting Value, the Observation Level and the Ending Value

Starting Value

Unless otherwise specified in the term sheet, the “Starting Value” will be the Closing Market Price of the Underlying Stock on the pricing date.

Observation Level

Unless otherwise specified in the term sheet, the “Observation Level” will equal the Closing Market Price of the Underlying Stock on the applicable Observation Datemultiplied by its Price Multiplier on that day.

Ending Value

Unless otherwise specified in the term sheet, the “Ending Value” will equal the Closing Market Price of the Underlying Stock on the calculation day multiplied by itsPrice Multiplier on that day.

The “calculation day” meansa trading day shortly before the maturity date. The calculation day will be set forth in the applicable term sheet.

A “trading day” means a dayon which trading is generally conducted (or was scheduled to have been generally conducted, but for the occurrence of a Market DisruptionEvent) on the New York Stock Exchange (the “NYSE”), the Nasdaq Stock Market, the Chicago Board Options Exchange, andin the over-the-counter market for equity securities in the United States, or any successor exchange or market, or in the case of a securitytraded on one or more non-U.S. securities exchanges or markets, on the principal non-U.S. securities exchange or market for such security.

The “Closing Market Price” forone share of an Underlying Stock (or one unit of any other security for which a Closing Market Price must be determined) on any tradingday means any of the following:

If the scheduled calculation day is determinedby the calculation agent not to be a trading day by reason of an extraordinary event, occurrence, declaration or otherwise, or, if thereis a Market Disruption Event on that day, the calculation day will be the immediately succeeding trading day during which no Market DisruptionEvent occurs or is continuing; provided that the Ending Value will be determined (or, if not determinable, estimated) by the calculationagent in a commercially reasonable manner on a date no later than the second scheduled trading day prior to the maturity date, regardlessof the occurrence of a Market Disruption Event or non-trading day on that second scheduled trading day.

If the Market Measure consists of a Basket, theStarting Value, each Observation Level, if applicable, and the Ending Value of the Basket will be determined as described in “—BasketMarket Measures.”

The initial “Price Multiplier”for an Underlying Stock will be one, unless otherwise set forth in the applicable term sheet. The Price Multiplier for each UnderlyingStock will be subject to adjustment for certain corporate events relating to that Underlying Stock described below under “—Anti-DilutionAdjustments.”

Market Disruption Events

As to any Underlying Stock (or any “successorUnderlying Stock”, which is the common equity securities or the ADRs of a Successor Entity (as defined below)), a “MarketDisruption Event” means one or more of the following events, as determined by the calculation agent in its sole discretion:

For the purpose of determining whether a MarketDisruption Event has occurred:

Anti-Dilution Adjustments

As to any Underlying Stock (or successor UnderlyingStock), the calculation agent, in its sole discretion, may adjust the Price Multiplier (and as a result, the Observation Levels, if applicable,and the Ending Value), and any other terms of the notes (such as the Starting Value), if an event described below occurs after the pricingdate and on or before the calculation day and if the calculation agent determines that such an event has a diluting or concentrative effecton the theoretical value of the shares of the applicable Underlying Stock or successor Underlying Stock.

The Price Multiplier for an Underlying Stock resultingfrom any of the adjustments specified below will be rounded to the eighth decimal place with five one-billionths being rounded upward.No adjustments to the Price Multiplier will be required unless the adjustment would require a change of at least 0.1% in the Price Multiplierthen in effect. Any adjustment that would require a change of less than 0.1% in the Price Multiplier which is not applied at the timeof the event may be reflected at the time of any subsequent adjustment that would require a change of the Price Multiplier. The requiredadjustments specified below do not cover all events that could affect an Underlying Stock.

No adjustments to the Price Multiplier for anyUnderlying Stock or any other terms of the notes will be required other than those specified below. However, the calculation agent may,at its sole discretion, make additional adjustments or adjustments that differ from those described herein to the Price Multiplier orany other terms of the notes to reflect changes to an Underlying Stock if the calculation agent determines that the adjustment is appropriateto ensure an equitable result.

The calculation agent will be solely responsiblefor the determination of any adjustments to the Price Multiplier for an Underlying Stock or any other terms of the notes and of any relateddeterminations with respect to any distributions of stock, other securities or other property or assets, including cash, in connectionwith any corporate event described below; its determinations and calculations will be conclusive absent a determination of a manifesterror.

No adjustments are required to be made for certainother events, such as offerings of common equity securities by any Underlying Company for cash or in connection with the occurrence ofa partial tender or exchange offer for the Underlying Stock by the Underlying Company.

Following an event that results in an adjustmentto the Price Multiplier for any Underlying Stock or any of the other terms of the notes, the calculation agent may (but is not requiredto) provide holders of the notes with information about that adjustment as it deems appropriate, depending on the nature of the adjustment.Upon written request by any holder of the notes, the calculation agent will provide that holder with information about such adjustment.

Anti-Dilution Adjustments to Underlying Stocks that Are Common Equity

The calculation agent, in its sole discretion andas it deems reasonable, may adjust the Price Multiplier for any Underlying Stock and other terms of the notes, and hence the ObservationLevels, if applicable, and the Ending Value, as a result of certain events related to an Underlying Stock, which include, but are notlimited to, the following:

Stock Splits and Reverse Stock Splits. Ifan Underlying Stock is subject to a stock split or reverse stock split, then once such split has become effective, the Price Multiplierfor that Underlying Stock will be adjusted such that the new Price Multiplier will equal the product of:

For example, a two-for-one stock split would ordinarilychange a Price Multiplier of one into a Price Multiplier of two. In contrast, a one-for-two reverse stock split would ordinarily changea Price Multiplier of one into a Price Multiplier of one-half.

Stock Dividends. If an Underlying Stockis subject to (i) a stock dividend (i.e., an issuance of additional shares of an Underlying Stock) that is given ratably to all holdersof the Underlying Stock or (ii) a distribution of additional shares of the Underlying Stock as a result of the triggering of any provisionof the organizational documents of the Underlying Company, then, once the dividend has become effective and the Underlying Stock is tradingex-dividend, the Price Multiplier for that Underlying Stock will be adjusted on the ex-dividend date such that the new Price Multiplierwill equal the prior Price Multiplier plus the product of:

provided that no adjustment will be made for a stock dividend for whichthe number of shares of the Underlying Stock paid or distributed is based on a fixed cash equivalent value, unless such distribution isan Extraordinary Dividend (as defined below).

For example, a stock dividend of one new sharefor each share held would ordinarily change a Price Multiplier of one into a Price Multiplier of two.

Extraordinary Dividends. There will be noadjustments to the Price Multiplier of an Underlying Stock to reflect any cash dividends or cash distributions paid with respect to thatUnderlying Stock other than Extraordinary Dividends, as described below, and distributions described under the section entitled“—ReorganizationEvents” below.

An “Extraordinary Dividend”means, with respect to a cash dividend or other distribution with respect to an Underlying Stock, a dividend or other distribution thatthe calculation agent determines, in its sole discretion, is not declared or otherwise made according to the Underlying Company’sthen existing policy or practice of paying such dividends on a quarterly or other regular basis. If an Extraordinary Dividend occurs,the Price Multiplier for that Underlying Stock will be adjusted on the ex-dividend date so that the new Price Multiplier will equal theproduct of:

The “Extraordinary Dividend Amount”with respect to an Extraordinary Dividend will equal:

To the extent an Extraordinary Dividend is notpaid in cash, the value of the non-cash component will be determined by the calculation agent, whose determination will be conclusive.A distribution on the applicable Underlying Stock described in the section “—Issuance of Transferable Rights or Warrants”or clause (a), (d) or (e) of the section entitled “—Reorganization Events” below that also constitutes an ExtraordinaryDividend will only cause an adjustment under those respective sections.

Issuance of Transferable Rights or Warrants.If an Underlying Company issues transferable rights or warrants to all holders of record of the Underlying Stock to subscribe foror purchase the Underlying Stock, including new or existing rights to purchase the Underlying Stock under a shareholder rights plan orarrangement, then the Price Multiplier will be adjusted on the trading day immediately following the issuance of those transferable rightsor warrants so that the new Price Multiplier will equal the prior Price Multiplier plus the product of:

The number of shares that can be purchased willbe based on the Closing Market Price of the Underlying Stock on the date the new Price Multiplier is determined. The cash value of thosewarrants or rights, if the warrants or rights are traded on a registered national securities exchange, will equal the closing price ofthat warrant or right. If the warrants or rights are not traded on a registered national securities exchange, the cash value will be determinedby the calculation agent and will equal the average of the bid prices obtained from three dealers at 3:00 p.m., New York time on the datethe new Price Multiplier is determined, provided that if only two of those bid prices are available, then the cash value of those warrantsor rights will equal the average of those bids and if only one of those bids is available, then the cash value of those warrants or rightswill equal that bid.

Reorganization Events

If after the pricing date and on or prior to thecalculation day, as to any Underlying Stock:

then, on or after the date of the occurrence of a Reorganization Event,the calculation agent shall, in its sole discretion, make an adjustment to the Price Multiplier or any other terms of the notes as thecalculation agent, in its sole discretion, determines appropriate to account for the economic effect on the notes of that ReorganizationEvent (including adjustments to account for changes in volatility, expected dividends, stock loan rate, or liquidity relevant to the UnderlyingStock or to the notes), which may, but need not, be determined by reference to the adjustment(s) made in respect of such ReorganizationEvent by an options exchange to options on the relevant Underlying Stock traded on that options exchange and determine the effective dateof that adjustment. If the calculation agent determines that no adjustment that it could make willproduce a commercially reasonable result, then the calculation agent may cause the maturity date of the notes to be accelerated to thefifth business day following the date of that determination and the amount payable to you will be calculated as though the date of earlyrepayment were the stated maturity date of the notes and as though the calculation day were the fifth trading day prior to the date ofacceleration.

If the Underlying Company ceases to file the financialand other information with the SEC in accordance with Section 13(a) of the Exchange Act, as contemplated by clause (i) above, and thecalculation agent determines in its sole discretion that sufficiently similar information is not otherwise available to you, then thecalculation agent may cause the maturity date of the notes to be accelerated to the fifth business day following the date of that determinationand the amount payable to you will be calculated as though the date of early repayment were the stated maturity date of the notes, andas though the calculation day were the fifth trading day prior to the date of acceleration. If the calculation agent determines that sufficientlysimilar information is available to you, the Reorganization Event will be deemed to have not occurred.

Alternative Anti-Dilution and Reorganization Adjustments

The calculation agent may elect at its discretionto not make any of the adjustments to the Price Multiplier for any Underlying Stock or to any other terms of the notes described in thissection, but may instead make adjustments, in its discretion, to the Price Multiplier for

any Underlying Stock or any other terms of the notes (such as the StartingValue) that will reflect the adjustments to the extent practicable made by the Options Clearing Corporation on options contracts on anUnderlying Stock or any successor common stock. For example, if an Underlying Stock is subject to a two-for-one stock split, and the OptionsClearing Corporation adjusts the strike prices of the options contract on that Underlying Stock by dividing the strike price by two, thenthe calculation agent may also elect to divide the Starting Value by two. In this case, the Price Multiplier will remain one. This adjustmentwould have the same economic effect on holders of the notes as if the Price Multiplier had been adjusted.

Anti-Dilution Adjustments to Underlying Stocks that Are ADRs

For purposes of the anti-dilution adjustments setforth above, if an Underlying Stock is an ADR (an “Underlying ADR”), the calculation agent will consider the effectof any of the relevant events on the Underlying ADR, and adjustments will be made as if the Underlying ADR was the Underlying Stock describedabove. For example, if the stock represented by the Underlying ADR is subject to a two-for-one stock split, and assuming an initial PriceMultiplier of 1, the Price Multiplier for the Underlying ADR would be adjusted so that it equals two. Unless otherwise specified in theapplicable term sheet, with respect to the notes linked to an Underlying ADR (or an Underlying Stock issued by a non-U.S. Underlying Company),the term “dividend” means the dividends paid to holders of the Underlying ADR (or the Underlying Stock issued by thenon-U.S. Underlying Company), and such dividends may reflect the netting of any applicable foreign withholding or similar taxes that maybe due on dividends paid to a U.S. person.

The calculation agent may determine not to makean adjustment if:

If the Underlying Company or the depositary forthe ADRs, in the absence of any of the events described above, elects to adjust the number of common shares of the Underlying Companyrepresented by each share of the Underlying ADR, then the calculation agent may make the appropriate anti-dilution adjustments to reflectsuch change. The depositary for the ADRs may also make adjustments in respect of the ADRs for share distributions, rights distributions,cash distributions and distributions other than shares, rights, and cash. Upon any such adjustment by the depositary, the calculationagent may adjust the Price Multiplier or other terms of the notes as the calculation agent determines commercially reasonable to accountfor that event.

Delisting of ADRs or Termination of ADR Facility

If an Underlying ADR is no longer listed or admittedto trading on a U.S. securities exchange registered under the Exchange Act or included in the OTC Bulletin Board Service operated by FINRA,or if the ADR facility between the Underlying Company and the ADR depositary is terminated for any reason, then, on and after the datethat the Underlying ADR is no longer so listed or admitted to trading or the date of such termination, as applicable (the “terminationdate”), the applicable Underlying Stock will be deemed to be the Underlying Company’s common equity securities ratherthan the Underlying ADR. The calculation agent

will determine the price of the Underlying Stock by reference to thosecommon shares. Under such circumstances, the calculation agent may modify any terms of the notes as it deems necessary, in its sole discretion,to ensure an equitable result. On and after the termination date, for all purposes, the Closing Market Price of the Underlying Company’scommon shares on their primary exchange will be converted to U.S. dollars using such exchange rate as the calculation agent, in its solediscretion, determines to be commercially reasonable.

Underlying Stock

Any information regarding any Underlying Stockor any Underlying Company will be derived from publicly available documents. Any Underlying Stock will be registered under the ExchangeAct. Information provided to or filed with the SEC by any Underlying Company can be located at the SEC’s facilities or through theSEC’s website, www.sec.gov. None of us, the agents, or any of our respective affiliates will have independently verified the accuracyor completeness of any of the information or reports of an Underlying Company.

The selection of an Underlying Stock is not a recommendationto buy or sell the Underlying Stock. None of us, the agents or any of our respective subsidiaries or affiliates makes any representationto any purchaser of the notes as to the performance of any Underlying Stock.

Basket Market Measures

If the Market Measure to which your notes are linkedis a Basket, the Basket Stocks will be set forth in the term sheet. We will assign each Basket Stock a weighting (the “InitialComponent Weight”) so that each Basket Stock represents a percentage of the Starting Value of the Basket on the pricing date.The Basket Stocks may or may not have equal Initial Component Weights, as set forth in the term sheet.

Determination of the Component Ratio for Each Basket Stock

The “Starting Value” of theBasket will be equal to 100. We will set a fixed factor (the “Component Ratio”) for each Basket Stock on the pricingdate, based upon the weighting of that Basket Stock. The Component Ratio for each Basket Stock will equal:

Each Component Ratio will be rounded to eight decimalplaces.

The Component Ratios will be calculated in thisway so that the Starting Value of the Basket will equal 100 on the pricing date. The Component Ratios will not be revised subsequent totheir determination on the pricing date, except that the calculation agent may in its good faith judgment adjust the Component Ratio ofany Basket Stock in the event that Basket Stock is materially changed or modified in a manner that does not, in the opinion of the calculationagent, fairly represent the value of that Basket Stock had those material changes or modifications not been made.

The following table is for illustration purposesonly, and does not reflect the actual composition, Initial Component Weights, or Component Ratios, which will be set forth in the termsheet.

Example: The hypothetical Basket Stocksare Stock ABC, Stock XYZ, and Stock RST, with their Initial Component Weights being 50.00%, 25.00% and 25.00%, respectively, on a hypotheticalpricing date:

Observation Level or Ending Value of the Basket

If applicable, the “Observation Level”of the Basket will be the value of the Basket on the applicable Observation Date. The “Ending Value” of the Basketwill be the value of the Basket on the calculation day.

The calculation agent will calculate the valueof the Basket for the calculation day, or if applicable, the applicable Observation Date, by summing the products of the Closing MarketPrice of each Basket Stock on that day multiplied by its Price Multiplier on that day, and the Component Ratio for each Basket Stock.The value of the Basket will vary based on the increase or decrease in the price of each Basket Stock. Any increase in the price of aBasket Stock (assuming no change in the price of the other Basket Stock or Basket Stocks) will result in an increase in the value of theBasket. Conversely, any decrease in the price of a Basket Stock (assuming no change in the price of the other Basket Stock or Basket Stocks)will result in a decrease in the value of the Basket.

Unless otherwise specified in the term sheet, if,for any Basket Stock (an “Affected Basket Stock”), (i)  a Market Disruption Event occurs on the scheduled calculationday, or if applicable, the applicable scheduled Observation Date, or (ii) any such date is determined by the calculation agent not tobe a trading day by reason of an extraordinary event, occurrence, declaration or otherwise (any such day in either (i) or (ii) being a “non-calculation day”), the calculation agent will determine the Closing Market Prices of the Basket Stocks for suchnon-calculation day, and as a result, the Ending Value or the relevant Observation Level, if applicable, as follows:

described in the seventh paragraph of subsection “—AutomaticCall” or the fifth paragraph of subsection “—The Starting Value, the Observation Level and the Ending Value—EndingValue,” as applicable, provided that references to “Observation Level” or “Ending Value” will be referencesto “Closing Market Price of a Basket Stock.”

For purposes of determining whether a Market DisruptionEvent has occurred as to any Basket Stock, “Market Disruption Event” will have the meaning stated above in “–MarketDisruption Events.”

Role of the Calculation Agent

The calculation agent has the sole discretion tomake all determinations regarding the notes as described in this product supplement, including determinations regarding the Starting Value,the Step Up Value, the Threshold Value, the Ending Value, the Price Multiplier, the Closing Market Price, the Redemption Amount, any MarketDisruption Events, any anti-dilution adjustments, a successor Underlying Stock, business days, trading days, and non-calculation days,and if applicable, the Call Level, the Observation Level of the Market Measure on each Observation Date, and whether the notes will becalled. Absent manifest error, all determinations of the calculation agent will be conclusive for all purposes and final and binding onyou and us, without any liability on the part of the calculation agent.

We or one of our affiliates may act as the calculationagent, or we may appoint BofAS or one of its affiliates to act as the calculation agent for the notes. Alternatively, we and BofAS orone of its affiliates may act as joint calculation agents for the notes. When we refer to a “calculation agent” in this productsupplement or in the applicable term sheet, we are referring to the applicable calculation agent or joint calculation agents, as the casemay be. We may change the calculation agent at any time without notifying you. The identity of the calculation agent will be set forthin the term sheet.

Same-Day Settlement and Payment

The notes will be delivered in book-entry formonly through The Depository Trust Company against payment by purchasers of the notes in immediately available funds. We will pay the amountspayable on the notes in immediately available funds so long as the notes are maintained in book-entry form.

Events of Default and Acceleration

Events of default are defined in the prospectus.If such an event occurs and is continuing, unless otherwise stated in the term sheet, the amount payable to a holder of the notes uponany acceleration permitted under the Senior Indenture will be equal to the Redemption Amount described under the caption “—Paymentat Maturity,” determined as if the date of acceleration were the maturity date of the notes and as if the calculation day were thefifth trading day prior to the date of acceleration.

If the notes have become immediately due and payablefollowing an event of default, you will not be entitled to any additional payments with respect to the notes. For more information, see “Description of Debt Securities — Senior Debt Securities — Events of Default” in the prospectus.

If the notes are subject to an automatic call,and an event of default occurs on or prior to the final Observation Date (i.e., not during the period from after the final ObservationDate to the original maturity date of the notes), then the payment on the notes will be determined as described under the caption “—AutomaticCall,” as if the next scheduled Observation Date

were the fifth trading day prior to the date of acceleration; providedthat the applicable Observation Level as of that date is greater than or equal to the Call Level. In such a case, the calculation agentshall pro-rate the applicable Call Premium and Call Amount according to the period of time elapsed between the settlement date of thenotes and the date of acceleration. For the avoidance of doubt, if the Observation Level of the Market Measure as of that date is lessthan the Call Level, the payment on the notes will be calculated as set forth in the prior paragraph.

Listing

Unless otherwise specified in the applicable termsheet, the notes will not be listed on a securities exchange.

SUPPLEMENTAL PLAN OF DISTRIBUTION

BofAS and one or more of its affiliates may actas our agents for any offering of the notes. The agents may act on either a principal basis or an agency basis, as set forth in the applicableterm sheet. Each agent will be a party to a distribution agreement with us.

Each agent will receive an underwriting discountthat is a percentage of the aggregate principal amount of the notes sold through its efforts, which will be set forth in the applicableterm sheet. You must have an account with the applicable agent in order to purchase the notes.

None of the agents is acting as your fiduciaryor advisor solely as a result of the making of any offering of the notes, and you should not rely upon this product supplement, the termsheet, or the accompanying prospectus or prospectus supplement as investment advice or a recommendation to purchase any notes. You shouldmake your own investment decision regarding the notes after consulting with your legal, tax, and other advisors.

We have agreed to indemnify the agents againstcertain liabilities, including liabilities under the Securities Act of 1933, or to contribute to payments made in respect of those liabilities.We have also agreed to reimburse the agents for specified expenses.

BofAS and its affiliates may use this product supplement,the prospectus supplement, and the prospectus, together with the applicable term sheet, in market-making transactions for any notes aftertheir initial sale solely for the purpose of providing investors with the description of the terms of the notes that were made availableto investors in connection with the initial distribution of the notes. Secondary market investors should not, and will not be authorizedto rely on these documents for information regarding HSBC or for any purpose other than that described in the immediately preceding sentence.

Selling Restrictions

The following selling restrictions supplement thoselisted in “Supplemental Plan of Distribution (Conflicts Of Interest)—Selling Restrictions” in the accompanying prospectussupplement.

The People’s Republic of China

These offering documentshave not been filed with or approved by the People’s Republic of China (for such purposes, not including Hong Kong and Macau SpecialAdministrative Regions or Taiwan) authorities, and is not an offer of securities (whether public offering or private placement) withinthe meaning of the Securities Law or other pertinent laws and regulations of the People’s Republic of China. These offering documentsshall not be delivered to any party who is not an intended recipient or offered to the general public if used within the People’sRepublic of China, and the notes so offered cannot be sold to anyone that is not a qualified purchaser of the People’s Republicof China. BofAS has represented, warranted and agreed that the notes are not being offered or sold and may not be offered or sold, directlyor indirectly, in the People’s Republic of China, except under circumstances that will result in compliance with applicable lawsand regulations.

France

The offering documents have not been approved bythe Autorité des marchés financiers (“AMF”).

BofAS has represented and agreed that it has notoffered or sold and will not offer or sell, directly or indirectly, the notes to the public in France, and has not distributed or causedto be distributed and will not distribute or cause to be distributed to the public in France this product supplement, the accompanyingprospectus supplement or prospectus, or any other offering material relating to the notes, and that such offers, sales and distributionshave been and will be made in France only to (a) providers of the investment service of portfolio management for the account of thirdparties, (b) qualified investors (investisseurs qualifiés) acting for their own account, (c) a restricted group of investors (cerclerestreint d’investisseurs) acting for their own account and/or (d) other investors in circumstances which do not require the publicationby the offeror of a prospectus pursuant to the French Code monétaire et financier and the Règlement généralof the AMF all as defined in, and in accordance with, Articles L.411-2, D.411-1, D.411-4, D.744-1, D.754-1 and D.764-1 of the French Codemonétaire et financier and other applicable regulations. The direct or indirect resale of the notes to the public in France maybe made only as provided by, and in accordance with, Articles L.411-1, L.411-2, L.412-1 and L.621-8 to L.621-8-3 of the French Code monétaireet financier.

Netherlands

Each agent has represented and agreed that it hasnot made and will not make an offer of the notes to the public in the Netherlands other than to qualified investors (gekwalificeerde beleggers),provided that no such offer of the notes will require us or any agent to publish a prospectus pursuant to Article 3 of the ProspectusDirective or supplement a prospectus pursuant to Article 16 of the Prospectus Directive.

New Zealand

We do not intend that the notes be offered forsale or subscription to the public in New Zealand within the meaning of the Securities Act 1978 of New Zealand. Accordingly, no prospectushas been or will be registered, and no investment statement will be prepared, under the Securities Act 1978 of New Zealand.

The notes shall not be directly or indirectly offeredfor sale, sold or transferred to any member of the public in New Zealand in breach of the Securities Act 1978 or the Securities Regulations2009 of New Zealand. In particular, but without limitation, in respect of offers of or invitations for the notes received in New Zealand,the notes may only be offered or transferred either:

In addition, each holder of the notes is deemedto represent and agree that it will not distribute, publish, deliver or disseminate this product supplement and the accompanying prospectussupplement or prospectus or any other advertisement (as defined in the Securities Act 1978) in relation to any offer of the notes in NewZealand other than to any such persons as referred to in paragraphs (a) to (d) above.

Philippines

THE NOTES BEING OFFERED OR SOLD HAVE NOT BEEN REGISTEREDWITH THE PHILIPPINES SECURITIES AND EXCHANGE COMMISSION UNDER THE SECURITIES REGULATION CODE. ANY FUTURE OFFER OR SALE THEREOF IS SUBJECTTO REGISTRATION REQUIREMENTS UNDER THE SECURITIES REGULATION CODE UNLESS SUCH OFFER OR SALE QUALIFIES AS AN EXEMPT TRANSACTION.

Switzerland

The notes may not be offered, sold or advertiseddirectly or indirectly into or in Switzerland except in a manner which will not result in a public offering within the meaning of article652a or 1156 of the Swiss Federal Code of Obligations (“CO”). Neither this product supplement and the accompanyingprospectus supplement and prospectus nor any other offering or marketing materials relating to the notes have been prepared with regardto the disclosure standards for prospectuses under article 652a or 1156 CO, and therefore do not constitute a prospectus within the meaningof article 652a or 1156 CO. Neither this product supplement and the accompanying prospectus supplement and prospectus nor any other offeringor marketing materials relating to the notes may be distributed, published or otherwise made available in Switzerland except in a mannerwhich will not constitute a public offering of notes into or in Switzerland.

U.S. FEDERAL INCOMETAX SUMMARY

The following summary of the material U.S. federalincome tax considerations of the acquisition, ownership, and disposition of the notes is based upon the Internal Revenue Code of 1986,as amended (the “Code”), regulations promulgated under the Code by the U.S. Treasury Department (“Treasury”) (includingproposed and temporary regulations), rulings, current administrative interpretations and official pronouncements of the IRS, and judicialdecisions, all as currently in effect and all of which are subject to differing interpretations or to change, possibly with retroactiveeffect. The following discussion supplements, and to the extent inconsistent supersedes, the discussion under “U.S. Federal IncomeTax Considerations” in the accompanying prospectus supplement and is not exhaustive of all possible tax considerations. No assurancecan be given that the IRS would not assert, or that a court would not sustain, a position contrary to any of the tax consequences describedbelow. This summary does not include any description of the tax laws of any state or local governments, or of any foreign government,that may be applicable to a particular holder. If the tax consequences associated with the notes are different than those described below,they will be described in the applicable term sheet.

This summary is directed solely to U.S. holdersand non-U.S. holders that, except as otherwise specifically noted, will purchase the notes upon original issuance and will hold the notesas capital assets within the meaning of Section 1221 of the Code, which generally means property held for investment, and that arenot excluded from the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.This summary does not apply to U.S. holders that are subject to special tax accounting rules under Section 451(b) of the Code.

You should consult your own tax advisor concerningthe U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arisingunder the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other taxlaws.

General

Although there is no statutory, judicial, or administrativeauthority directly addressing the characterization of the notes, we intend to treat the notes for all tax purposes as pre-paid executorycontracts with respect to the Market Measure and under the terms of the notes, we and every investor in the notes agree, in the absenceof an administrative determination or judicial ruling to the contrary, to treat the notes in accordance with such characterization. Inthe opinion of our special U.S. tax counsel, it is reasonable to treat the notes as pre-paid executory contracts with respect to the MarketMeasure. This discussion assumes that the notes constitute pre-paid executory contracts with respect to the Market Measure for U.S. federalincome tax purposes. If the notes did not constitute pre-paid executory contracts, the tax consequences described below would be materiallydifferent.

This characterization of the notes is not bindingon the IRS or the courts. No statutory, judicial, or administrative authority directly addresses the characterization of the notes orany similar instruments for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their propercharacterization and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequencesof an investment in the notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterizationand tax treatment described in this product supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects ofthe U.S. federal income tax consequences of an investment in the notes, including possible alternative characterizations.

Unless otherwise stated, the following discussionis based on the characterization described above. The discussion in this section assumes that there is a significant possibility of asignificant loss of principal on an investment in the notes.

We will not attempt to ascertain whether the issuerof any Underlying Stock would be treated as a “passive foreign investment company” (“PFIC”), within themeaning of Section 1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c) of theCode. If the issuer of any Underlying Stock were so treated, certain adverse U.S. federal income tax consequences could possibly applyto a holder of the notes. You should refer to information filed with the SEC by the issuer of any Underlying Stock and consult your taxadvisor regarding the possible consequences to you, if any, if the issuer of any Underlying Stock is or becomes a PFIC or is or becomesa United States real property holding corporation.

U.S. Holders

Upon receipt of a cash payment at maturity or upona sale, call or exchange of the notes prior to maturity, a U.S. holder generally will recognize capital gain or loss equal to the differencebetween the amount realized and the U.S. holder’s tax basis in the notes. A U.S. holder’s tax basis in the notes will equalthe amount paid by that holder to acquire them. This capital gain or loss generally will be long-term capital gain or loss if the U.S.holder held the notes for more than one year. The deductibility of capital losses is subject to limitations.

Alternative Tax Treatments. Due to the absenceof authorities that directly address the proper tax treatment of the notes, prospective investors are urged to consult their tax advisorsregarding all possible alternative tax treatments of an investment in the notes. In particular, if the notes have a term that exceedsone year, the IRS could seek to subject the notes to the Treasury regulations governing contingent payment debt instruments. If the IRSwere successful in that regard, the timing and character of income on the notes would be affected significantly. Among other things, aU.S. holder would be required to accrue original issue discount every year at a “comparable yield” determined at the timeof issuance. In addition, any gain realized by a U.S. holder at maturity, or upon an earlier sale, call or exchange of the notes generallywould be treated as ordinary income, and any loss realized at maturity or upon an earlier sale, call or exchange of the notes generallywould be treated as ordinary loss to the extent of the U.S. holder’s prior accruals of original issue discount, and as capital lossthereafter. If the notes have a term of one year or less, a U.S. holder who uses the accrual method of accounting generally should berequired to accrue any original issue discount on the notes on a straight-line basis. At maturity or upon an earlier sale, call or exchange,a U.S. holder using either a cash or accrual method of accounting generally should recognize taxable gain (all or a portion of which maybe treated as ordinary income) or loss in an amount equal to the difference between the amount realized and such holder’s tax basisin the notes.

The IRS released Notice 2008-2 (“Notice”)which sought comments from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.”This Notice addresses instruments such as the notes. According to the Notice, the IRS and Treasury are considering whether a holder ofan instrument such as the notes should be required to accrue ordinary income on a current basis, regardless of whether any payments aremade prior to maturity. It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such futureguidance may affect the amount, timing and character of income, gain, or loss in respect of the notes, possibly with retroactive effect.

The IRS and Treasury are also considering additionalissues, including whether additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holdersof such instruments should be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive

ownership transactions,” generally applies or should generallyapply to such instruments, and whether any of these determinations depend on the nature of the underlying asset.

In addition, proposed Treasury regulations requirethe accrual of income on a current basis for contingent payments made under certain notional principal contracts. The preamble to theregulations states that the “wait and see” method of accounting does not properly reflect the economic accrual of income onthose contracts, and requires current accrual of income for some contracts already in existence. While the proposed regulations do notapply to prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in thecase of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingentpayments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of the notes.

Because of the absence of authority regarding theappropriate tax characterization of the notes, it is also possible that the IRS could seek to characterize the notes in a manner thatresults in tax consequences that are different from those described above. For example, the IRS could possibly assert that any gain orloss that a holder may recognize at maturity or upon the earlier sale, call or exchange of the notes should be treated as ordinary gainor loss.

It is possible that the IRS could assert that aU.S. holder’s holding period in respect of the notes should end on the Observation Date, even though such holder will not receiveany amounts in respect of the notes prior to the redemption or maturity of the notes. In such case, if the Observation Date is not inexcess of one year from the original issue date, a U.S. holder may be treated as having a holding period in respect of the notes equalto one year or less, in which case any gain or loss such holder recognizes at such time would be treated as short-term capital gain orloss.

Non-U.S. Holders

Except as provided below, a non-U.S. holder willgenerally not be subject to U.S. federal income or withholding tax on any gain from the sale, call or exchange of the notes or their settlementat maturity, provided that the non-U.S. holder complies with applicable certification requirements and that the payment is not effectivelyconnected with the conduct by the non-U.S. holder of a U.S. trade or business. Notwithstanding the foregoing, gain from the sale, callor exchange of the notes or their settlement at maturity may be subject to U.S. federal income tax if that non-U.S. holder is a non-residentalien individual and is present in the United States for 183 days or more during the taxable year of the settlement at maturity, sale,call or exchange and certain other conditions are satisfied.

If a non-U.S. holder of the notes is engaged inthe conduct of a trade or business within the United States and if gain realized on the settlement at maturity or upon the earlier sale,call or exchange of the notes is effectively connected with the conduct of such trade or business (and, if certain tax treaties apply,is attributable to a permanent establishment maintained by the non-U.S. holder in the United States), the non-U.S. holder generally willbe subject to U.S. federal income tax on such gain on a net income basis in the same manner as if it were a U.S. holder. Such non-U.S.holders should read the material under the heading “—U.S. Holders,” for a description of the U.S. federal income taxconsequences of acquiring, owning, and disposing of the notes. In addition, if such non-U.S. holder is a foreign corporation, it may alsobe subject to a branch profits tax equal to 30% (or such lower rate provided by the applicable tax treaty) of a portion of its earningsand profits for the taxable year that are effectively connected with its conduct of a trade or business in the United States, subjectto certain adjustments.

A “dividend equivalent” payment istreated as a dividend from sources within the United States and such payments generally would be subject to a 30% U.S. withholding taxif paid to a non-U.S. holder. Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments(“ELIs”) that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference aninterest in an “underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federalincome tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance providesthat withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are issuedbefore January 1, 2023. Except as otherwise set forth in any applicable pricing supplement, we expect that the delta of notes issued pursuantto this product supplement with respect to the Market Measure will not be one, and therefore, we expect that non-U.S. holders should notbe subject to withholding on dividend equivalent payments, if any, under the notes. However, it is possible that the notes could be treatedas deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Market Measure or the notes,and following such occurrence the notes could be treated as subject to withholding on dividend equivalent payments. Non-U.S. holders thatenter, or have entered, into other transactions in respect of the Market Measure or the notes should consult their tax advisors as tothe application of the dividend equivalent withholding tax in the context of the notes and their other transactions. If any payments aretreated as dividend equivalents subject to withholding, we (or the applicable paying agent) would be entitled to withhold taxes withoutbeing required to pay any additional amounts with respect to amounts so withheld.

As discussed above, alternative characterizationsof the notes for U.S. federal income tax purposes are possible. Should an alternative characterization, by reason of change or clarificationof the law, by regulation or otherwise, cause payments as to the notes to become subject to withholding tax, tax will be withheld at theapplicable statutory rate. As discussed above, the IRS has indicated in the Notice that it is considering whether income in respect ofinstruments such as the notes should be subject to withholding tax. Prospective non-U.S. holders of the notes should consult their owntax advisors in this regard.

U.S. Federal Estate Tax. Under currentlaw, while the matter is not entirely clear, individual non-U.S. holders, and entities whose property is potentially includible in thoseindividuals’ gross estates for U.S. federal estate tax purposes (for example, a trust funded by such individual and with respectto which the individual has retained certain interests or powers), should note that, absent an applicable treaty benefit, the notes arelikely to be treated as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their owntax advisors regarding the U.S. federal estate tax consequences of investing in the notes.

Backup Withholding and Information Reporting

Please see the discussion under “U.S. FederalIncome Tax Considerations — Information Reporting and Backup Withholding” in the accompanying prospectus supplement for adescription of the applicability of the backup withholding and information reporting rules to payments made on the notes.

ERISA AND RELATEDCONSIDERATIONS

Subject to the following discussion, the notesmay be acquired by an “employee benefit plan” as defined in Section 3(3) of the Employee Retirement Income Security Act of1974, as amended (“ERISA”), that is subject to Title I of ERISA, a “plan” as defined in and subject toSection 4975 of the Code, or an entity deemed to hold plan assets of the foregoing (each, a “Benefit Plan Investor”),as well as by plans subject to laws that are similar to Title I of ERISA or Section 4975 of the Code under applicable federal, state,local or other law (“Similar Law”). Benefit Plan Investors and plans subject to Similar Law should review the discussionunder “Certain ERISA and Related Matters” in the accompanying prospectus and “Certain ERISA and Related Considerations”in the prospectus supplement. The following supplements, and to the extent inconsistent supersedes, such discussions in the prospectusand prospectus supplement.

By acquiring the notes (or interest therein), eachpurchaser and transferee (and if the purchaser or transferee is investing the assets of a Benefit Plan Investor or other plan, its fiduciary)is deemed to represent, warrant and covenant that either (i) it is not and for as long as it holds the notes (or an interest therein)will not be a Benefit Plan Investor or plan subject to Similar Law or (ii) its acquisition and holding of such notes will not, in thecase of a Benefit Plan Investor, give rise to a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Codebecause such holder or beneficial owner relied on an available prohibited transaction exemption, all of the conditions of which are satisfied,and in the case of a plan subject to Similar Law, result in a violation of any Similar Law.