$13,400,920 Contingent Income Auto-Callable Securities due August 23, 2024, priced on August 20, 2021, were issued by HSBC USA Inc. The pricing supplement for this note (CUSIP: 40439K425) can be found here. The notes had a $10 face value and paid a quarterly coupon of $0.25625, so long as the notes had not been called and and Zoom all closed above 55% of their August 20, 2021 closing prices on a determination date. If and Zoom closed below 55% of their August 20, 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 Zoom all closed on the final determination date on August 20, 2024 and above 55% of their August 20, 2021 closing prices. If on August 20, 2024 and Zoom closed below 55% of their August 20, 2021 closing prices, the notes paid reduced principal euqal to $10 multiplied by the lowest ratio of and Zoom August 20, 2024 closing prices to their August 20, 2021 closing prices. The notes have matured. They paid one coupon totaling $0.25625 and $1.76 repayment per $10 note. Investors thus suffered capital losses of $8.24 and net losses of $7.99.† In the aggregate, investors in this note suffered $11,048,618 in capital losses and $10,705,220 in net losses. See Table 1 and Figure 1.
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