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Appendix Net interest margin supporting information. Strategy Results NII sensitivity to instantaneous change in yield curves (12 months) Quarterly NIM by key legal entity Currency 4019 1020 2020 3Q20 4Q20 % of 4020 % of 4Q20 Group NII Group AIEA Change in Jan USD 2021 to Dec 2021 HKD GBP $m $m $m $m EUR Other Total $m $m +25bps parallel 223 423 555 126 320 1,647 -25bps parallel (227) (343) (548) (88) (302) (1,508) The Hongkong and Shanghai Banking Corporation (HBAP) HSBC Bank plc (NRFB) 2.00% 1.96% 1.69% 1.44% 1.42% 49% 42% 0.46% 0.48% 0.54% 0.50% 0.53% 10% 23% HSBC UK Bank plc 1.95% 2.01% 1.68% 1.60% 1.60% 23% 17% +100bps parallel 546 1,267 1,811 502 1,222 5,348 -100bps parallel (565) (749) (1,906) (299) (1,335) (4,854) (UK RFB) HSBC North America Holdings, Inc 0.99% 0.91% 0.85% 0.83% 0.95% 7% 9% NII sensitivity to instantaneous change in yield curves (5 years), $m Key rates (quarter averages), basis points Change in Jan 2021 to Dec 2021 Year 1 Year 2 Year 3 Year 4 Year 5 Total 216 1M HIBOR 183 165 +25bps parallel -25bps parallel +100bps parallel -100bps parallel 1,647 (1,508) 5,348 1,866 1,930 2,028 2,100 9,571 (1,986) (2,307) (2,045) (2,113) (9,959) 6,538 7,083 7,444 7,736 34,149 (4,854) (6,174) (7,087) (7,660) (8,323) (34,098) 125 Fed effective rate BoE Base Rate 102 75 61 6 10 34 9 10 27 9 10 14 8 10 4Q19 1Q20 2020 3020 4Q20 1Q21 QTD* *At 19 February 2021 Source: Bloomberg 69

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