$37,483,860 Autocallable Market-Linked Step Up Notes Linked to the iShares Global Clean Energy ETF due April 02, 2024, priced on March 25, 2021, were issued by HSBC USA Inc. The pricing supplement for this note (CUSIP: 40438U697) can be found here. The notes had a $10 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 $10 in principal plus a fixed coupon or an income linked to the performance of the underlying if and iShares Global Clean Energy ETF all closed on the final determination date on March 25, 2024 and above 0% of their March 25, 2021 closing prices. If on March 25, 2024 and iShares Global Clean Energy ETF closed below 0% of their March 25, 2021 closing prices, the notes paid reduced principal euqal to $10 multiplied by the lowest ratio of and iShares Global Clean Energy ETF March 25, 2024 closing prices to their March 25, 2021 closing prices. The notes have matured. They paid $8.34 in principal repayment per $10 note. Investors thus suffered capital losses of $1.66.† In the aggregate, investors in this note suffered $6,227,883 in capital losses. See Table 1 and Figure 1.
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