$28,133,960 Contingent Income Auto-Callable Securities due October 04, 2024, priced on October 01, 2021, were issued by HSBC USA Inc. The pricing supplement for this note (CUSIP: 40439K151) can be found here. The notes had a $10 face value and paid a quarterly coupon of $0.425, so long as the notes had not been called and and Affirm all closed above 50% of their October 01, 2021 closing prices on a determination date. If and Affirm closed below 50% of their October 01, 2021 closing prices on a determination date, the notes did not pay a coupon. If not previously called, at maturity, the notes returned $10 in principal if and Affirm all closed on the final determination date on October 01, 2024 and above 50% of their October 01, 2021 closing prices. If on October 01, 2024 and Affirm closed below 50% of their October 01, 2021 closing prices, the notes paid reduced principal euqal to $10 multiplied by the lowest ratio of and Affirm October 01, 2024 closing prices to their October 01, 2021 closing prices. The notes have matured. They paid one coupon totaling $0.425 and $3.27 repayment per $10 note. Investors thus suffered capital losses of $6.73 and net losses of $6.31.† In the aggregate, investors in this note suffered $18,947,751 in capital losses and $17,752,057 in net losses. See Table 1 and Figure 1.
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