$20,000,000 Autocallable Return Notes Linked to the Least Performing of the American Depositary Shares of Alibaba Group Holding Limited, and the American Depositary Shares of JD.com, Inc., due November 27, 2024, priced on November 18, 2020, were issued by HSBC USA Inc. The pricing supplement for this note (CUSIP: 40438CD73) can be found here. The notes had a $1,000 face value and only paid a fixed amount when the notes are called before maturity. No intermediate coupon was paid before they were called or matured. If not previously called, at maturity, the notes returned $1,000 in principal plus a fixed coupon or an income linked to the performance of the underlying if JD.com and Alibaba all closed on the final determination date on November 22, 2024 and above 0% of their November 18, 2020 closing prices. If on November 22, 2024 JD.com and Alibaba closed below 0% of their November 18, 2020 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of JD.com and Alibaba November 22, 2024 closing prices to their November 18, 2020 closing prices. The notes have matured. They paid $324.94 in principal repayment per $1,000 note. Investors thus suffered capital losses of $675.06.† In the aggregate, investors in this note suffered $13,501,153 in capital losses. See Table 1 and Figure 1.
Established in 2000, SLCG Economic Consulting ("SLCG") specializes in providing finance, economics, and investment management consulting, as well as expert witness services to law firms, banks, brokerage firms, and individuals involved in complex litigation. Our team comprises predominantly PhD and MA-level professionals with diverse backgrounds in academia, industry, and government, many of whom have testified in state and federal courts as well as various arbitration forums. SLCG is a wholly owned subsidiary of McCann Yan Holdings, Inc., a Virginia incorporated company based in Northern Virginia.