$15,338,000 Autocallable Contingent Income Barrier Notes Linked to the Least Performing of the Equity Securities of Walmart Inc., Costco Wholesale Corporation, Amazon.com, Inc. and Target Corporation (the "Reference Asset") due July 12, 2023, priced on July 07, 2021, were issued by HSBC USA Inc. The pricing supplement for this note (CUSIP: 40439JFN0) can be found here.

The notes had a $1,000 face value and paid a monthly coupon of $9.58333, so long as the notes had not been called and Costco, Target, Walmart and Amazon all closed above 70% of their July 07, 2021 closing prices on a determination date. If Costco, Target, Walmart and Amazon closed below 70% of their July 07, 2021 closing prices on a determination date, the notes did not pay a coupon.

If not previously called, at maturity, the notes returned $1,000 in principal if Costco, Target, Walmart and Amazon all closed on the final determination date on July 07, 2023 and above 70% of their July 07, 2021 closing prices. If on July 07, 2023 Costco, Target, Walmart and Amazon closed below 70% of their July 07, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of Costco, Target, Walmart and Amazon July 07, 2023 closing prices to their July 07, 2021 closing prices.

The notes have matured. They paid five coupons totaling $86.25000 and $525.35 repayment per $1,000 note. Investors thus suffered capital losses of $474.65 and net losses of $388.40.^† In the aggregate, investors in this note suffered $7,280,206 in capital losses and $5,957,304 in net losses. See Table 1 and Figure 1.

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† SLCG estimated these losses based on publicly available information. The issuer ultimately determines the amounts paid which may differ from our estimates. Our reference to capital loss and net loss does not imply SLCG's view of how these losses are treated for tax purposes.

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