Guideline Change for HSBC US Equity Intraday Momentum Long Short Index [.HSIELSUS] | Effective Date 18th July 2025

The TWAP (Time-Weighted Average Price) window in Section 4.13 has been updated.

In Sections 4.13, 4.14, 4.15, 4.16 and 4.17, observation period data bars for S&P Futures and Index TWAPs been have revised from 1-minute intervals to 1-second intervals, now that higher-frequency data has recently become available.

In Section 4.13, 4.15 and 4.16, trade prices are now used instead of quote prices.