FWP 1 v078808_fwp.htm Unassociated Document
 
HSBC USA INC.
Reverse Convertible Notes
Filed Pursuant to Rule 433
Registration No. 333-133007
June 19, 2007
 
FREE WRITING PROSPECTUS
(To the Prospectus dated April 5, 2006,
Prospectus Supplement dated July 3, 2006 and the
Product Supplement dated July 31, 2006)
 
Terms used in this free writing prospectus are described or defined in the product supplement, prospectus supplement and prospectus. The notes offered will have the terms described in the product supplement, prospectus supplement and the prospectus. The notes are not principal protected, and you may lose some or all of your principal.
 
This free writing prospectus relates to five separate note offerings; each reference asset identified below represents a separate note offering. The purchaser of a note will acquire a security linked to a single reference asset (not a basket or index of reference assets). Although each offering relates to a reference asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to that reference asset or as to the suitability of an investment in the related notes. The following key terms relate to each separate notes offering:
 
·  Offering Period End Date: [June 29, 2007 at 2:00 pm,
New York City time]
·  Initial Public Offering Price: 100 per cent
·  Initial Valuation Date: June 29, 2007
·  Issue Date: July 5, 2007
·  Maturity Date: 3 business days after the final valuation date
·  Initial Price: Market price of the reference asset on the
initial valuation date
·  Barrier Price: The product of the barrier level multiplied by the initial price
·  Interest Payment Dates: The 5th calendar day following the issue date (or if that day is not a business day, the following business day), commencing on August 5, 2007 and ending on the maturity date.
·  Listing: The notes will not be listed on any U.S. securities exchange or quotation system
Reference Asset/ Reference Issuer (TICKER)
Page Number
Interest Rate (per Annum)
Barrier
Level
Barrier Price
Principal Amount
Agent’s Discount or Commission Per Note / Total (1)
Proceeds to Us Per Note / Total
CUSIP / ISIN
Final valuation date
OVERSTOCK.COM, INC. (OSTK)
FWP-5
23.30%
80%
TBD
TBD
TBD
TBD
40428H LZ3 / US40428HLZ37
September 28, 2007
VALUECLICK, INC. (VCLK)
FWP-6
17.30%
80%
TBD
TBD
TBD
TBD
40428H MA7 / US40428HMA76
December 28, 2007
Bowater Incorporated (BOW)
FWP-7
16.55%
80%
TBD
TBD
TBD
TBD
40428H MB5 / US40428HMB59
September 28, 2007
SILVER WHEATON CORP. (SLW)
FWP-8
16.50%
80%
TBD
TBD
TBD
TBD
40428H MC3 / US40428HMC33
September 28, 2007
METROPCS COMMUNICATIONS, INC. (PCS)
FWP-9
14.40%
80%
TBD
TBD
TBD
TBD
40428H MD1 / US40428HMD16
September 28, 2007
 
(1) Agent's discount may vary but will be no more than the amount listed in “Agent's Discount or Commission per Note / Total,” above.
 
See “Risk Factors” in this free writing prospectus beginning on page FWP-2, in the product supplement beginning on page PS-3 and in the prospectus supplement beginning on page S-3 for a description of risks relating to an investment in the notes.
 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes or determined that this free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
 
The notes are not deposit liabilities of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction.
 
HSBC SECURITIES (USA) INC. 
June 19, 2007
  

 
GENERAL TERMS
 
This free writing prospectus relates to five separate note offerings; each reference asset identified on the cover page represents a separate note offering. The purchaser of a note will acquire a security linked to a single reference asset (not to a basket or index of reference assets). You may participate in any one of the notes offerings or, at your election, in more than one. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. Although each note offering relates only to a single reference asset identified on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to any of those reference assets or as to the suitability of an investment in the notes.
 
You should read this document together with the prospectus dated April 5, 2006, the prospectus supplement dated July 3, 2006 and the product supplement dated July 31, 2006. You should carefully consider, among other things, the matters set forth in ”Risk Factors” beginning on page FWP-2 of this document, PS-3 of the product supplement and page S-3 of the prospectus supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
 
HSBC USA Inc. has filed a registration statement (including a prospectus, prospectus supplement and product supplement) with the U.S. Securities and Exchange Commission (“SEC”) for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and product supplement in that registration statement and other documents HSBC USA Inc. has filed with the SEC for more complete information about HSBC USA Inc. and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, HSBC USA Inc., the agent or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement and product supplement if you request them by calling toll-free 1 888 800 4722.
 
You may also obtain:
 
 
 
 
 
RISK FACTORS
 
The following highlights some, but not all, of the risk considerations relevant to investing in a note. Investing in the notes is not equivalent to investing directly in the reference assets. We urge you to read the section “Risk Factors” beginning on page PS-3 of the product supplement and page S-3 of the prospectus supplement. As you review ”Risk Factors” in the prospectus supplement, you should pay particular attention to the following sections:
 
· “— Risks Relating to All Note Issuances”
 
· "— Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset"
 
1. The notes are not principal protected and you may lose some or all of your principal.
 
The principal amount of your investment is not protected and you may receive less, and possibly significantly less, than the amount you invested. You will lose some or all of your principal if both of the following are true: (a) between the initial valuation date and the final valuation date, inclusive, the market price (as defined below) of the reference asset on any day is below the barrier price and (b) the final price of the reference asset is lower than the initial price of the reference asset. A USD1,000 investment in the notes will pay USD1,000 at maturity if, and only if, either of the following is true: (a) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset falls below the barrier price on any day, but the final price of the reference asset is equal to or greater than the initial price of the reference asset or (b) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset never falls below the barrier price on any day. If you receive the physical delivery amount at maturity, the market value of the shares of the reference asset you receive will be less than the principal amount of your notes and may be zero. Accordingly, you may lose the entire principal amount of your notes.
 
We cannot predict the final price of any reference asset on the final valuation date.
 
2. You will not participate in any appreciation in the value of the reference asset.
 
You will not participate in any appreciation in the value of the reference asset. If the final price of the reference asset is greater than the initial price of the reference asset, the sum of any interest payments you receive during the term of the notes and the principal payment you receive at maturity will not reflect the performance of the reference asset. Under no circumstances, regardless of the extent to which the value of the reference asset appreciates, will your return exceed the applicable interest rate. Therefore, you may earn significantly less by investing in the notes than you would have earned by investing directly in the reference asset.
 
3. Because the tax treatment of the notes is uncertain, the material U.S. federal income tax consequences of an investment in the notes are uncertain.
 
There is no direct legal authority as to the proper tax treatment of the notes, and therefore significant aspects of the tax treatment of the notes are uncertain, as to both the timing and character of any inclusion in income in respect of your note. Because of this uncertainty, we urge you to consult your tax advisor as to the tax consequences of your investment in a note. For a more complete discussion of the U.S. federal income tax consequences of your investment in a note, please see the discussion under ”Certain U.S. Federal Income Tax Considerations” beginning on page FWP-3 of this free writing prospectus and ”Certain U.S. Federal Income Tax Considerations - Certain Equity-Linked Notes - Certain Notes Treated as a Put Option and a Deposit” in the prospectus supplement.
 
Please note that the prospectus, prospectus supplement, product supplement and this free writing prospectus do not describe all the risks of an investment in the notes. We urge you to consult your own financial and legal advisors as to the risks entailed by an investment in the notes.
 

FWP-2
 
4. There is a limitation on the historical data for one of the reference assets.
 
The common stock of METROPCS COMMUNICATIONS, INC. commenced trading on April 18, 2007. As a result, there is a limited amount of historical data that can be provided for METROPCS COMMUNICATIONS, INC.
 
SUMMARY
 
Principal Payment at Maturity
 
Your payment at maturity for each note you hold will depend on the performance of the reference asset between the initial valuation date and the final valuation date, inclusive. A USD1,000 investment in the notes will pay USD1,000 at maturity unless: (a) the final price of the reference asset is lower than the initial price of the reference asset and (b) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset on any day is below the barrier price. If the conditions described in (a) and (b) are both true, at maturity you will receive the physical delivery amount (with any fractional shares to be paid in cash in an amount equal to the fractional shares multiplied by the final price). Under some circumstances to be determined by and at the sole option of HSBC USA Inc., we may pay investors, in lieu of the physical delivery amount, the cash equivalent of such shares with a per share price equal to the final price. However, we currently expect to deliver the physical delivery amount and not cash in lieu of the physical delivery amount in the event the conditions described above occur.
 
As described in the product supplement, on any scheduled trading day on which the value of the reference asset must be calculated by the calculation agent, (i) if the relevant exchange is the NASDAQ Stock Market (“NASDAQ”), the market price of the reference asset will be the NASDAQ official closing price (NOCP) or (ii) if the NASDAQ is not the relevant exchange, the market price of the reference asset will be the official closing price of the relevant exchange, in each case as of the close of the regular trading session of such exchange and as reported in the official price determination mechanism for such exchange. If the reference asset is not listed or traded as described above for any reason other than a market disruption event, then the market price for the reference asset on any scheduled trading day will be the average, as determined by the calculation agent, of the bid prices for the reference asset obtained from as many dealers in the reference asset selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need not exceed three and may include the calculation agent or any of its or our affiliates.
 
To the extent a market disruption event exists on a day on which the final price is to be determined, the market price of the reference asset will be determined on the first following scheduled trading day on which a market disruption event does not exist with respect to the reference asset; provided that if a market disruption event exists on five consecutive scheduled trading days, that fifth scheduled trading day shall be the final valuation date, and the calculation agent shall determine the final price on such date.
 
In the event that the maturity date is postponed or extended as described under ”Specific Terms of the Notes - Maturity Date” in the product supplement, the related payment of principal will be made on the postponed or extended maturity date.
 
You may lose some or all of your principal if you invest in the notes.
 
Physical Delivery Amount
 
If the payment at maturity is in physical shares of the reference asset, you will receive a number of shares referred to as the ”physical delivery amount” (with any fractional shares to be paid in cash). The physical delivery amount will be calculated by the calculation agent by dividing the principal amount of your notes by the initial price of the reference asset. The physical delivery amount, the initial price of the reference asset and other amounts may change due to corporate actions.
 
Interest
 
The notes will pay interest at the interest rate specified on the front cover of this free writing prospectus, and interest payments will be made on the interest payment dates specified on the front cover of this free writing prospectus. However, if the first interest payment date is less than 15 days after the date of issuance, interest will not be paid on the first interest payment date, but will be paid on the second interest payment date. Interest will be computed on the basis of a 360-day year of twelve 30-day months. For more information, see ”Description of the Notes - Fixed Rate Notes” in the prospectus supplement.
 
CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
 
You should carefully consider, among other things, the matters set forth in “Certain U.S. Federal Income Tax Considerations” in the prospectus supplement. In the opinion of Cadwalader, Wickersham & Taft LLP, special U.S. tax counsel to us, the following discussion summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of each of the notes.
 
There are no regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the notes. Under one approach, each note should be treated for federal income tax purposes as a put option written by you (the “Put Option”) that permits us to (1) sell the reference asset to you at the maturity date for an amount equal to the Deposit (as defined below), or (2) “cash settle” the Put Option (i.e., require you to pay us at the maturity date the difference between the Deposit and the value of the reference asset at such time), and a deposit with us of cash in an amount equal to the principal amount you invested (the “Deposit”) to secure your potential obligation under the Put Option. We intend to treat the notes consistent with this approach. Pursuant to the terms of the notes, you agree to treat the notes as cash deposits and put options with respect to the reference asset for all U.S. federal income tax purposes. We also intend to treat the Deposits as “short-term obligations” for U.S. federal income tax purposes. Please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes-Short-Term Debt Instruments” in the prospectus supplement for certain U.S. federal income tax considerations applicable to short-term obligations. However, because under certain circumstances Notes with an initial maturity of one year may be outstanding for more than one year, it is possible that the Deposits associated with these Notes may not be treated as short-term obligations. In that event, Notes with an initial maturity of one year would be described in “Certain U.S. Federal Income Tax Considerations - U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes - Payments of Interest” in the prospectus supplement.
 
The description below of each reference asset includes a chart that indicates the yield on the Deposit and the Put Premium, as described in the prospectus supplement under the heading “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes— Certain Notes Treated as a Put Option and a Deposit.” If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the notes, the timing and character of income on the notes might differ. We do not plan to request a ruling from the IRS regarding the tax treatment of the notes, and the IRS or a court may not agree with the tax treatment described in this free writing prospectus.
 
FWP-3
 
REFERENCE ISSUER AND REFERENCE ASSET INFORMATION
 
All information on the reference assets and the reference issuers is derived from publicly available information. Companies with securities registered under the Securities Exchange Act of 1934 (the ”Exchange Act”) are required to file periodically certain financial and other information specified by the SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The address of the SEC’s website is http://www.sec.gov. Information provided to or filed with the SEC pursuant to the Exchange Act by a company issuing a reference asset can be located by reference to the SEC file number specified in the description of the relevant reference asset below. We make no representation that these publicly available documents are accurate or complete. For more information, we urge you to read the section ”Information Regarding the Reference Asset and the Reference Asset Issuer” in the product supplement.
 
Historical Performance of the Reference Assets
 
The description below of each reference asset includes a table that sets forth (to the extent available) the quarterly high and low intraday prices, as well as end-of-quarter closing prices, of that reference asset for each quarter in the period from January 1, 2002 through March 30, 2007 and for the period from April 2, 2007 through June 15, 2007. We obtained the data in these tables from Bloomberg Financial Service, without independent verification by us. All historical prices are denominated in USD and rounded to the nearest penny. Historical prices of the reference assets should not be taken as an indication of future performance of the reference assets.
 
HYPOTHETICAL EXAMPLES
 
The description below of each reference asset includes a table of hypothetical returns that is based on the assumptions outlined for each reference asset. Each table illustrates the hypothetical returns you would have earned from (i) a USD1,000 investment in the notes compared to (ii) a direct investment in the relevant reference asset (prior to the deduction of any applicable brokerage fees or charges). The following is a general description of how the hypothetical returns in each table were determined:
 
·  If the final price of the reference asset is greater than or equal to the initial price of the reference asset, you would receive USD1,000 at maturity, regardless of whether the market price of the reference asset on any day was below the barrier price;
·  If the final price of the reference asset is lower than the initial price of the reference asset but the market price of the reference asset was not below the barrier price on any day between the initial valuation date and the final valuation date, inclusive, you would receive USD1,000 at maturity; or
·  If the final price of the reference asset is lower than the initial price of the reference asset and the market price of the reference asset was below the barrier price on any day between the initial valuation date and the final valuation date, inclusive, you would receive the physical delivery amount (with any fractional shares to be paid in cash).
 
Each table of hypothetical returns is provided for illustration purposes only and is hypothetical. None purports to be representative of every possible scenario concerning increases or decreases in the price of the reference asset and the payment at maturity of the notes. We cannot predict the final price of the reference assets on the final valuation date. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. In addition, the examples assume that the reference asset has no dividend yield. You should not take these examples as an indication or assurance of the expected performance of the reference asset.

FWP-4
OVERSTOCK.COM, INC. (OSTK)
 
Description of OVERSTOCK.COM, INC.
 
According to publicly available information, OVERSTOCK.COM, INC. (“Overstock”) operates as an online retailer that offers discount brand name merchandise for sale primarily over the Internet. Overstock offers bed and bath goods, home decor, kitchenware, watches, jewellery, electronics and computers, sporting goods, apparel, and designer accessories. Overstock also sells books, magazines, CDs, DVDs, videocassettes, and video games. In addition, Overstock operates an online auction site, a marketplace for the buying and selling of goods and services. Overstock offers its products through its Web site, www.overstock.com. The common stock of Overstock started trading on the NASDAQ on May 29, 2002; therefore, historical prices of Overstock commenced on and from May 29, 2002.
 
Overstock’s SEC file number is 000-49799.
 
Historical Performance of Overstock
 
QUARTER ENDING
QUARTER HIGH
QUARTER LOW
QUARTER CLOSE
March 29, 2002
N/A
N/A
N/A
June 28, 2002
15.10
12.25
14.05
September 30, 2002
14.61
5.25
5.95
December 31, 2002
16.67
4.40
13.00
March 31, 2003
18.66
9.60
9.75
June 30, 2003
15.00
7.60
14.51
September 30, 2003
18.55
10.31
14.89
December 31, 2003
22.95
11.65
19.87
March 31, 2004
36.45
16.02
30.88
June 30, 2004
42.20
29.81
39.11
September 30, 2004
39.68
27.65
36.73
December 31, 2004
77.18
36.61
69.00
March 31, 2005
70.35
41.50
42.99
June 30, 2005
46.25
33.62
35.60
September 30, 2005
48.65
35.60
38.35
December 30, 2005
43.40
28.02
28.15
March 31, 2006
35.02
21.60
29.82
June 30, 2006
30.63
19.00
21.26
September 29, 2006
22.93
16.03
17.53
December 29, 2006
19.09
13.40
15.80
March 30, 2007
19.72
14.05
16.60
April 2, 2007-June 15, 2007
19.98
15.80
19.28
 
Deposit and Put Premium
 
As described in the prospectus supplement under ”Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,“ for purposes of dividing the 23.30 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [●] per cent constitutes interest on the Deposit and [●] per cent constitutes Put Premium.
 
Hypothetical Examples
 
The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “- Hypothetical Examples” above for more information.
 
Reference Asset:
Overstock
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
23.30 per cent per annum
   
Physical Delivery Amount:
[●] shares (fractional shares paid in cash)
   
Term of Notes:
3 months
   
Reinvestment Rate for Note Interest:
0 per cent
 
Table of Hypothetical Returns
 
FINAL PRICE
(% CHANGE)
INVESTMENT IN THE NOTES
INVESTMENT IN THE REFERENCE ASSET
+
100%
5.825%
100.00%
+
90%
5.825%
90.00%
+
80%
5.825%
80.00%
+
70%
5.825%
70.00%
+
60%
5.825%
60.00%
+
50%
5.825%
50.00%
+
40%
5.825%
40.00%
+
30%
5.825%
30.00%
+
20%
5.825%
20.00%
+
10%
5.825%
10.00%
 
0%
5.825%
0.00%
   
Barrier Price Ever Breached?
  
   
YES
NO
  
-
10%
-4.175%
5.825%
-10.00%
-
20%
-14.175%
5.825%
-20.00%
-
30%
-24.175%
N/A
-30.00%
-
40%
-34.175%
N/A
-40.00%
-
50%
-44.175%
N/A
-50.00%
-
60%
-54.175%
N/A
-60.00%
-
70%
-64.175%
N/A
-70.00%
-
80%
-74.175%
N/A
-80.00%
-
90%
-84.175%
N/A
-90.00%
-
100%
-94.175%
N/A
-100.00%

FWP-5

VALUECLICK, INC. (VCLK)
 
Description of VALUECLICK, INC.
 
According to publicly available information, VALUECLICK, INC. (“ValueClick”) provides online advertising campaigns and programs for advertisers and advertising agency customers in the United States and Europe. ValueClick operates in four segments: Media, Affiliate Marketing, Comparison Shopping, and Technology. The Media segment provides a range of online media solutions in the categories of display/Web advertising, lead generation marketing, email marketing, search marketing, comparison shopping, and promotional and industry-focused online content to advertisers and advertising agencies. The Affiliate Marketing segment offers technology and services that enable advertisers to manage, track, and analyze a range of online marketing programs. The Comparison Shopping segment enables consumers to research and compare products from online or offline merchants using ValueClick’s technology. The Technology segment provides technology infrastructure tools and services that enable advertisers and advertising agencies to implement and mange their online display advertising and email campaigns; and that assist online publishers with management of their Web site inventory..
 
ValueClick’s SEC file number is 000-30135.
 
Historical Performance of ValueClick
 
QUARTER ENDING
QUARTER HIGH
QUARTER LOW
QUARTER CLOSE
March 29, 2002
3.19
2.25
2.64
June 28, 2002
3.36
2.50
3.24
September 30, 2002
3.23
2.07
2.18
December 31, 2002
2.94
1.99
2.79
March 31, 2003
3.26
2.61
3.03
June 30, 2003
6.54
3.03
6.06
September 30, 2003
10.00
5.78
8.40
December 31, 2003
11.12
7.12
9.07
March 31, 2004
12.67
9.11
10.80
June 30, 2004
12.75
9.30
11.98
September 30, 2004
12.35
6.31
9.44
December 31, 2004
14.08
8.78
13.33
March 31, 2005
14.65
10.42
10.61
June 30, 2005
12.49
9.01
12.33
September 30, 2005
17.64
12.03
17.09
December 30, 2005
20.26
15.26
18.11
March 31, 2006
20.98
15.46
16.92
June 30, 2006
18.65
13.22
15.35
September 29, 2006
18.86
13.15
18.54
December 29, 2006
25.47
17.30
23.63
March 30, 2007
29.33
22.61
26.13
April 2, 2007-June 15, 2007
36.70
26.06
29.85
 
Deposit and Put Premium
 
As described in the prospectus supplement under ”Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,“ for purposes of dividing the 17.30 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [●] per cent constitutes interest on the Deposit and [●] per cent constitutes Put Premium.
 
Hypothetical Examples
 
The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “- Hypothetical Examples” above for more information.
 
Reference Asset:
ValueClick
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
17.30 per cent per annum
   
Physical Delivery Amount:
[●] shares (fractional shares paid in cash)
   
Term of Notes:
6 months
   
Reinvestment Rate for Note Interest:
0 per cent
 
Table of Hypothetical Returns
 
FINAL PRICE
(% CHANGE)
INVESTMENT IN THE NOTES
INVESTMENT IN THE REFERENCE ASSET
+
100%
8.65%
100.00%
+
90%
8.65%
90.00%
+
80%
8.65%
80.00%
+
70%
8.65%
70.00%
+
60%
8.65%
60.00%
+
50%
8.65%
50.00%
+
40%
8.65%
40.00%
+
30%
8.65%
30.00%
+
20%
8.65%
20.00%
+
10%
8.65%
10.00%
 
0%
8.65%
0.00%
   
Barrier Price Ever Breached?
  
   
YES
NO
  
-
10%
-1.35%
8.65%
-10.00%
-
20%
-11.35%
8.65%
-20.00%
-
30%
-21.35%
N/A
-30.00%
-
40%
-31.35%
N/A
-40.00%
-
50%
-41.35%
N/A
-50.00%
-
60%
-51.35%
N/A
-60.00%
-
70%
-61.35%
N/A
-70.00%
-
80%
-71.35%
N/A
-80.00%
-
90%
-81.35%
N/A
-90.00%
-
100%
-91.35%
N/A
-100.00%

FWP-6
BOWATER INCORPORATED (BOW)
 
Description of Bowater Incorporated
 
According to publicly available information, Bowater Incorporated (“Bowater”) produces coated and specialty papers, and newsprint primarily in the United States, Canada, and South Korea. Bowater produces coated mechanical papers, specialty papers, newsprint, market pulp, and construction-grade lumber, as well as sells pulpwood, sawtimber, and wood chips. Bowater’s products are used in books, retail advertising, direct mail, coupons, commercial printing applications, magazines, and catalogs, as well as in the manufacture of fine paper, tissue, packaging, specialty paper products, diapers, and other absorbent products. Bowater sells its products to printers, direct mailers, publishers, catalogers, and retailers. Bowater sells its products through its own sales offices, and paper brokers, as well as exports are made through international sales agents local to their markets.
 
Bowater’s SEC file number is 1-8712.
 
Historical Performance of Bowater
 
QUARTER ENDING
QUARTER HIGH
QUARTER LOW
QUARTER CLOSE
March 29, 2002
53.90
44.46
49.80
June 28, 2002
55.80
45.75
54.37
September 30, 2002
54.50
34.94
35.30
December 31, 2002
43.38
31.00
41.95
March 31, 2003
44.30
34.23
37.15
June 30, 2003
42.30
36.30
37.45
September 30, 2003
45.60
36.52
42.06
December 31, 2003
47.25
39.10
46.31
March 31, 2004
48.00
40.58
43.63
June 30, 2004
46.60
39.00
41.59
September 30, 2004
41.59
34.53
38.19
December 31, 2004
44.43
34.15
43.97
March 31, 2005
44.40
36.66
37.67
June 30, 2005
38.34
28.74
32.37
September 30, 2005
34.40
27.28
28.27
December 30, 2005
31.81
24.73
30.72
March 31, 2006
31.99
25.18
29.58
June 30, 2006
30.17
21.44
22.75
September 29, 2006
23.57
19.61
20.57
December 29, 2006
23.40
19.71
22.50
March 30, 2007
29.96
21.47
23.82
April 2, 2007-June 15, 2007
26.29
20.33
25.33
 
Deposit and Put Premium
 
As described in the prospectus supplement under ”Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,“ for purposes of dividing the 16.55 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [●] per cent constitutes interest on the Deposit and [●] per cent constitutes Put Premium.
 
Hypothetical Examples
 
The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “- Hypothetical Examples” above for more information.
 
Reference Asset:
Bowater
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
16.55 per cent per annum
   
Physical Delivery Amount:
[●] shares (fractional shares paid in cash)
   
Term of Notes:
3 months
   
Reinvestment Rate for Note Interest:
0 per cent
 
Table of Hypothetical Returns
 
FINAL PRICE
(% CHANGE)
INVESTMENT IN THE NOTES
INVESTMENT IN THE REFERENCE ASSET
+
100%
4.1375%
100.00%
+
90%
4.1375%
90.00%
+
80%
4.1375%
80.00%
+
70%
4.1375%
70.00%
+
60%
4.1375%
60.00%
+
50%
4.1375%
50.00%
+
40%
4.1375%
40.00%
+
30%
4.1375%
30.00%
+
20%
4.1375%
20.00%
+
10%
4.1375%
10.00%
 
0%
4.1375%
0.00%
   
Barrier Price Ever Breached?
  
   
YES
NO
  
-
10%
-5.8625%
4.1375%
-10.00%
-
20%
-15.8625%
4.1375%
-20.00%
-
30%
-25.8625%
N/A
-30.00%
-
40%
-35.8625%
N/A
-40.00%
-
50%
-45.8625%
N/A
-50.00%
-
60%
-55.8625%
N/A
-60.00%
-
70%
-65.8625%
N/A
-70.00%
-
80%
-75.8625%
N/A
-80.00%
-
90%
-85.8625%
N/A
-90.00%
-
100%
-95.8625%
N/A
-100.00%

FWP-7
 
SILVER WHEATON CORP. (SLW)
 
Description of SILVER WHEATON CORP.
 
According to publicly available information, SILVER WHEATON CORP. (“Silver Wheaton”), a mining company, engages in the silver production. Silver Wheaton's principal product is silver that it has agreed to purchase pursuant to the Luismin Silver Purchase Contract, the Zinkgruvan Silver Purchase Contract and the Yauliyacu Silver Purchase Contract. Silver Wheaton purchases all of its silver from Goldcorp's Luismin Mines in Mexico, from Lundin's Zinkgruvan Mine in Sweden and up to 4.75 million ounces of silver per year based on production from Glencore's Yauliyacu Mine in Peru. The common stock of Silver Wheaton started trading on the New York Stock Exchange on October 12, 2004; therefore, historical prices for Silver Wheaton commenced on and from October 12, 2004.
 
Silver Wheaton’s SEC file number is 001-32482.
 
Historical Performance of Silver Wheaton
 
QUARTER ENDING
QUARTER HIGH
QUARTER LOW
QUARTER CLOSE
March 29, 2002
N/A
N/A
N/A
June 28, 2002
N/A
N/A
N/A
September 30, 2002
N/A
N/A
N/A
December 31, 2002
N/A
N/A
N/A
March 31, 2003
N/A
N/A
N/A
June 30, 2003
N/A
N/A
N/A
September 30, 2003
N/A
N/A
N/A
December 31, 2003
N/A
N/A
N/A
March 31, 2004
N/A
N/A
N/A
June 30, 2004
N/A
N/A
N/A
September 30, 2004
N/A
N/A
N/A
December 31, 2004
4.28
2.63
3.09
March 31, 2005
4.31
2.55
3.18
June 30, 2005
3.85
1.69
3.12
September 30, 2005
5.12
2.99
4.37
December 30, 2005
5.89
4.02
5.80
March 31, 2006
11.50
5.54
10.67
June 30, 2006
11.75
6.80
9.42
September 29, 2006
12.21
8.17
9.44
December 29, 2006
12.07
7.95
10.48
March 30, 2007
11.15
8.83
9.48
April 2, 2007-June 15, 2007
12.47
9.30
11.47
 
Deposit and Put Premium
 
As described in the prospectus supplement under ”Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,“ for purposes of dividing the 16.50 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [●] per cent constitutes interest on the Deposit and [●] per cent constitutes Put Premium.
 
Hypothetical Examples
 
The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “- Hypothetical Examples” above for more information.
 
Reference Asset:
Silver Wheaton
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
16.50 per cent per annum
   
Physical Delivery Amount:
[●] shares (fractional shares paid in cash)
   
Term of Notes:
3 months
   
Reinvestment Rate for Note Interest:
0 per cent
 
Table of Hypothetical Returns
 
FINAL PRICE
(% CHANGE)
INVESTMENT IN THE NOTES
INVESTMENT IN THE REFERENCE ASSET
+
100%
4.125%
100.00%
+
90%
4.125%
90.00%
+
80%
4.125%
80.00%
+
70%
4.125%
70.00%
+
60%
4.125%
60.00%
+
50%
4.125%
50.00%
+
40%
4.125%
40.00%
+
30%
4.125%
30.00%
+
20%
4.125%
20.00%
+
10%
4.125%
10.00%
 
0%
4.125%
0.00%
   
Barrier Price Ever Breached?
  
   
YES
NO
  
-
10%
-5.875%
4.125%
-10.00%
-
20%
-15.875%
4.125%
-20.00%
-
30%
-25.875%
N/A
-30.00%
-
40%
-35.875%
N/A
-40.00%
-
50%
-45.875%
N/A
-50.00%
-
60%
-55.875%
N/A
-60.00%
-
70%
-65.875%
N/A
-70.00%
-
80%
-75.875%
N/A
-80.00%
-
90%
-85.875%
N/A
-90.00%
-
100%
-95.875%
N/A
-100.00%

FWP-8
 
METROPCS COMMUNICATIONS, INC. (PCS)
 
Description of METROPCS COMMUNICATIONS, INC.
 
According to publicly available information, METROPCS COMMUNICATIONS, Inc. (“MetroPCS”), a wireless telecommunications carrier, offers wireless broadband personal communication services in the metropolitan areas of Atlanta, Dallas/Ft. Worth, Detroit, Miami, San Francisco, Sacramento, Tampa/Sarasota/Orlando, and Los Angeles. MetroPCS offers unlimited long distance calling, unlimited voicemail, caller ID, call waiting, text messaging, mobile Internet browsing, push email, and picture and multimedia messaging. MetroPCS also provides international long distance and text messaging, ring tones, ring back tones, downloads, games and content applications, and unlimited directory assistance, as well as nationwide roaming. MetroPCS sells its products and services to customers indirectly through approximately 2,000 independent retail outlets under the MetroPCS brand, as well as directly through 95 company-operated retail stores. The common stock of MetroPCS began trading on the New York Stock Exchange on April 18, 2007; therefore, historical prices for MetroPCS commenced on and from April 18, 2007.
 
MetroPCS’s SEC file number is 000-50869.
 
Historical Performance of MetroPCS
 
QUARTER ENDING
QUARTER HIGH
QUARTER LOW
QUARTER CLOSE
March 29, 2002
N/A
N/A
N/A
June 28, 2002
N/A
N/A
N/A
September 30, 2002
N/A
N/A
N/A
December 31, 2002
N/A
N/A
N/A
March 31, 2003
N/A
N/A
N/A
June 30, 2003
N/A
N/A
N/A
September 30, 2003
N/A
N/A
N/A
December 31, 2003
N/A
N/A
N/A
March 31, 2004
N/A
N/A
N/A
June 30, 2004
N/A
N/A
N/A
September 30, 2004
N/A
N/A
N/A
December 31, 2004
N/A
N/A
N/A
March 31, 2005
N/A
N/A
N/A
June 30, 2005
N/A
N/A
N/A
September 30, 2005
N/A
N/A
N/A
December 30, 2005
N/A
N/A
N/A
March 31, 2006
N/A
N/A
N/A
June 30, 2006
N/A
N/A
N/A
September 29, 2006
N/A
N/A
N/A
December 29, 2006
N/A
N/A
N/A
March 30, 2007
N/A
N/A
N/A
April 2, 2007-June 15, 2007
37.25
23.00
36.41
 
Deposit and Put Premium
 
As described in the prospectus supplement under ”Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,“ for purposes of dividing the 14.40 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [●] per cent constitutes interest on the Deposit and [●] per cent constitutes Put Premium.
 
Hypothetical Examples
 
The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “- Hypothetical Examples” above for more information.
 
Reference Asset:
MetroPCS
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
14.40 per cent per annum
   
Physical Delivery Amount:
[●] shares (fractional shares paid in cash)
   
Term of Notes:
3 months
   
Reinvestment Rate for Note Interest:
0 per cent
 
Table of Hypothetical Returns
 
FINAL PRICE
(% CHANGE)
INVESTMENT IN THE NOTES
INVESTMENT IN THE REFERENCE ASSET
+
100%
3.60%
100.00%
+
90%
3.60%
90.00%
+
80%
3.60%
80.00%
+
70%
3.60%
70.00%
+
60%
3.60%
60.00%
+
50%
3.60%
50.00%
+
40%
3.60%
40.00%
+
30%
3.60%
30.00%
+
20%
3.60%
20.00%
+
10%
3.60%
10.00%
 
0%
3.60%
0.00%
   
Barrier Price Ever Breached?
  
   
YES
NO
  
-
10%
-6.40%
3.60%
-10.00%
-
20%
-16.40%
3.60%
-20.00%
-
30%
-26.40%
N/A
-30.00%
-
40%
-36.40%
N/A
-40.00%
-
50%
-46.40%
N/A
-50.00%
-
60%
-56.40%
N/A
-60.00%
-
70%
-66.40%
N/A
-70.00%
-
80%
-76.40%
N/A
-80.00%
-
90%
-86.40%
N/A
-90.00%
-
100%
-96.40%
N/A
-100.00%
 
FWP-9