-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WP09L3IsnlTTFmtvq+ED+24Mu/dmRm2EKmWxAclIyCOrWsOwPtohF23/hHdVNcPu Ih6gyh1nvWkO/FTUljwotQ== 0001144204-07-051232.txt : 20070926 0001144204-07-051232.hdr.sgml : 20070926 20070926163353 ACCESSION NUMBER: 0001144204-07-051232 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 3 FILED AS OF DATE: 20070926 DATE AS OF CHANGE: 20070926 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-133007 FILM NUMBER: 071136888 BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: HSBC USA INC /MD/ CENTRAL INDEX KEY: 0000083246 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132764867 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 452 FIFTH AVE CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 2125253735 MAIL ADDRESS: STREET 1: 452 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10018 FWP 1 v088697_fwp.htm

 
HSBC USA INC.
Filed Pursuant to Rule 433
Registration No. 333-133007 
September 26, 2007
Reverse Convertible Notes
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 four 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:
 
·  Principal Amount: $1,000.00 per note
·  Offering Period End Date: [October 5, 2007 at 2:00 pm, New York City time]
·  Initial Public Offering Price: 100 per cent
·  Initial Valuation Date: October 5, 2007
·  Issue Date: October 11, 2007
·  Maturity Date: 3 business days after the final valuation date, subject to adjustment as described herein
·  Initial Price: The market price of the reference asset on the initial valuation date
 
·  Barrier Price: The product of the barrier level multiplied by the initial price
·  Final Price: With respect to any reference asset, the applicable market price on the final valuation date for such reference asset
·  Interest Payment Dates: The 11th calendar day of each month following the issue date (or, if that day is not a business day, the following business day), commencing on November 11, 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
issue amount
Agent’s Discount or Commission Per Note / Total (1)
Proceeds to Us Per Note / Total
CUSIP / ISIN
Final valuation date(2)
Elan Corporation, plc -ADS (ELN)
FWP-5
25.00%
70.00%
TBD
TBD
TBD
4042K0CB9 / [l]
April 8, 2008
ADVANCED MICRO DEVICES, INC. (AMD)
FWP-6
23.00%
80.00%
TBD
TBD
TBD
4042K0CC7 / [l]
January 8, 2008
eBay Inc. (EBAY)
FWP-7
11.25%
80.00%
TBD
TBD
TBD
4042K0CD5 / [l]
April 8, 2008
EMC CORPORATION (EMC)
FWP-8
10.00%
80.00%
TBD
TBD
TBD
4042K0CE3 / [l]
April 8, 2008
(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.
(2) Final valuation date is subject to adjustment as described herein
 
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. 
September 26, 2007 
 




GENERAL TERMS

 
This free writing prospectus relates to four 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 any of the notes is not equivalent to investing directly in the relevant reference asset. 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 invest. 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) 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 per note will be less than the principal amount of your note and may be zero. Accordingly, you may lose the entire principal amount of each note you purchase.
 
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 interest rate specified on the cover page. 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

 

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. You will receive the physical delivery amount 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) 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 per note will be less than the principal amount of each note and may be zero. Accordingly, you may lose the entire principal amount of your each note you purchase. 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 per note 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 each note 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 reasonable 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. However, other reasonable approaches are possible 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.
 
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, 2004 through June 29, 2007 and for the period from July 2, 2007 through September 24, 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 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) ;
·  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; or
·  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.
 
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

 

ELAN CORPORATION, PLC ADS (ELN)

 
Description of Elan Corporation, plc
 
According to publicly available information, Elan Corporation, plc (“Elan”) operates as a neuroscience-based biotechnology company primarily in Ireland and the United States. Elan operates through two segments, Biopharmaceuticals and Elan Drug Technologies. The Biopharmaceuticals segment engages in the research, development, and commercialization of therapies in the areas of autoimmune diseases and neurodegenerative diseases. The Elan Drug Technologies segment engages in development, scale-up, and manufacture of drug optimization technologies, including NanoCrystal technology that involves reducing crystalline drug to particles under 400 nanometers.
 
Elan’s SEC file number is 001-13896.
 
Historical Performance of Elan
 
QUARTER ENDING
QUARTER
HIGH
QUARTER
LOW
QUARTER
CLOSE
March 31, 2004
21.00
6.89
20.62
June 30, 2004
25.50
19.16
24.74
September 30, 2004
25.90
16.45
23.40
December 31, 2004
30.45
20.52
27.25
March 31, 2005
29.44
3.00
3.24
June 30, 2005
8.40
3.31
6.82
September 30, 2005
9.48
6.72
8.86
December 30, 2005
14.47
7.62
13.93
March 31, 2006
16.83
11.88
14.44
June 30, 2006
19.35
14.06
16.70
September 29, 2006
16.85
13.16
15.38
December 29, 2006
16.14
13.81
14.75
March 30, 2007
15.10
11.70
13.29
June 29, 2007
22.40
13.31
21.93
July 2, 2007 through September 24, 2007
22.88
16.38
20.16
 
Deposit and Put Premium
 
As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations - Certain Equity-Linked Notes - Certain Notes Treated as a Put Option and a Deposit,” for purposes of dividing the 25.00 per cent per annum interest rate on the notes among interest on the Deposit and Put Premium, [l] per cent constitutes interest on the Deposit and [l] 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:
Elan
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
25.00 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%
12.50%
100.00%
+
90%
12.50%
90.00%
+
80%
12.50%
80.00%
+
70%
12.50%
70.00%
+
60%
12.50%
60.00%
+
50%
12.50%
50.00%
+
40%
12.50%
40.00%
+
30%
12.50%
30.00%
+
20%
12.50%
20.00%
+
10%
12.50%
10.00%
 
0%
12.50%
0.00%
   
Barrier Price Ever Breached?
 
   
YES
NO
 
-
10%
2.50%
12.50%
-10.00%
-
20%
-7.50%
12.50%
-20.00%
-
30%
-17.50%
12.50%
-30.00%
-
40%
-27.50%
N/A
-40.00%
-
50%
-37.50%
N/A
-50.00%
-
60%
-47.50%
N/A
-60.00%
-
70%
-57.50%
N/A
-70.00%
-
80%
-67.50%
N/A
-80.00%
-
90%
-77.50%
N/A
-90.00%
-
100%
-87.50%
N/A
-100.00%

FWP-5

 

ADVANCED MICRO DEVICES, INC. (AMD)

 
Description of ADVANCED MICRO DEVICES, INC.
 
According to publicly available information, ADVANCED MICRO DEVICES, INC. (“AMD”), a semiconductor company, provides processing solutions for the computing, graphics, and consumer electronics markets in the United States, Europe, and Asia. AMD offers single-core and dual-core microprocessor products for servers, workstations, notebooks, and desktop personal computers; embedded microprocessor products; and 3D graphics, video, and multimedia products and chipsets for desktop and notebook personal computers, such as home media personal computers, professional workstations, and servers. AMD also provides products for consumer electronic devices, such as mobile phones, digital TVs, and game consoles. AMD sells its products to original equipment manufacturers, original design manufacturers, and third-party distributors through its direct sales force and independent sales representatives.
 
AMD’s SEC file number is 001-07882.
 
Historical Performance of AMD
 
QUARTER ENDING
QUARTER
HIGH
QUARTER
LOW
QUARTER
CLOSE
March 31, 2004
17.50
13.66
16.23
June 30, 2004
17.60
13.67
15.90
September 30, 2004
15.90
10.76
13.00
December 31, 2004
24.95
13.09
22.02
March 31, 2005
22.29
14.64
16.12
June 30, 2005
18.34
14.08
17.34
September 30, 2005
25.75
17.22
25.20
December 30, 2005
31.84
20.22
30.60
March 31, 2006
42.65
30.89
33.16
June 30, 2006
35.75
23.46
24.42
September 29, 2006
27.90
16.90
24.85
December 29, 2006
25.69
19.90
20.35
March 30, 2007
20.63
12.96
13.06
June 29, 2007
15.95
12.60
14.30
July 2, 2007 through September 24, 2007
16.19
11.27
13.48
 
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 23.00 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:
AMD
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
23.00 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%
5.75%
100.00%
+
90%
5.75%
90.00%
+
80%
5.75%
80.00%
+
70%
5.75%
70.00%
+
60%
5.75%
60.00%
+
50%
5.75%
50.00%
+
40%
5.75%
40.00%
+
30%
5.75%
30.00%
+
20%
5.75%
20.00%
+
10%
5.75%
10.00%
 
0%
5.75%
0.00%
   
Barrier Price Ever
Breached?
 
   
YES
NO
 
-
10%
-4.25%
5.75%
-10.00%
-
20%
-14.25%
5.75%
-20.00%
-
30%
-24.25%
N/A
-30.00%
-
40%
-34.25%
N/A
-40.00%
-
50%
-44.25%
N/A
-50.00%
-
60%
-54.25%
N/A
-60.00%
-
70%
-64.25%
N/A
-70.00%
-
80%
-74.25%
N/A
-80.00%
-
90%
-84.25%
N/A
-90.00%
-
100%
-94.25%
N/A
-100.00%

 
FWP-6

 

EBAY INC. (EBAY)

 
Description of eBay Inc.
 
According to publicly available information, eBay Inc. (“eBay”), through its subsidiaries, provides online marketplaces for the sale of goods and services, online payments services, and online communication offerings to a diverse community of individuals and businesses in the United States and internationally. eBay operates in three segments: Marketplaces, Payments, and Communications. The Marketplaces segment provides the infrastructure to enable online commerce in various platforms, including the traditional eBay.com platform, as well as other online platforms, such as Shopping.com, Kijiji, Gumtree.com, LoQUo.com, Intoko, Marktplaats.nl, mobile.de., and Rent.com. The Payments segment offers PayPal, a payments platform that enables individuals or businesses with an email address to send and receive payments online. The Communications segment consists of Skype, an Internet communication product that enables voice over Internet protocol calls between Skype users, as well as provides Skype users connectivity to traditional fixed-line and mobile telephones.
 
eBay’s SEC file number is 000-24821.
 
Historical Performance of eBay
 
QUARTER ENDING
QUARTER
HIGH
QUARTER
LOW
QUARTER
CLOSE
March 31, 2004
36.02
31.30
34.67
June 30, 2004
47.06
34.53
45.98
September 30, 2004
47.95
35.93
45.97
December 31, 2004
59.21
45.22
58.14
March 31, 2005
58.89
35.00
37.26
June 30, 2005
40.94
30.80
33.01
September 30, 2005
44.98
32.75
41.20
December 30, 2005
47.60
37.22
43.25
March 31, 2006
47.86
36.93
39.06
June 30, 2006
40.82
28.20
29.29
September 29, 2006
29.48
22.83
28.36
December 29, 2006
33.99
27.00
30.07
March 30, 2007
34.34
28.60
33.15
June 29, 2007
35.41
30.41
32.18
July 2, 2007 through September 24, 2007
39.40
31.87
38.58
 
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 11.25 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:
eBay
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
11.25 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%
5.625%
100.00%
+
90%
5.625%
90.00%
+
80%
5.625%
80.00%
+
70%
5.625%
70.00%
+
60%
5.625%
60.00%
+
50%
5.625%
50.00%
+
40%
5.625%
40.00%
+
30%
5.625%
30.00%
+
20%
5.625%
20.00%
+
10%
5.625%
10.00%
 
0%
5.625%
0.00%
   
Barrier Price Ever
Breached?
 
   
YES
NO
 
-
10%
-4.375%
5.625%
-10.00%
-
20%
-14.375%
5.625%
-20.00%
-
30%
-24.375%
N/A
-30.00%
-
40%
-34.375%
N/A
-40.00%
-
50%
-44.375%
N/A
-50.00%
-
60%
-54.375%
N/A
-60.00%
-
70%
-64.375%
N/A
-70.00%
-
80%
-74.375%
N/A
-80.00%
-
90%
-84.375%
N/A
-90.00%
-
100%
-94.375%
N/A
-100.00%

FWP-7

 

EMC CORPORATION (EMC)

 
Description of EMC CORPORATION
 
According to publicly available information, EMC CORPORATION (“EMC”) engages in the development, delivery, and support of information infrastructure technologies and solutions worldwide. EMC’s Information Storage segment offers networked information storage systems to be deployed in a storage area network, networked attached storage, content addressed storage, or direct attached storage environment. EMC's Content Management and Archiving segment offers content management software to optimize business processes, as well as to create, manage, deliver, and archive information. EMC's RSA Information Security segment offers security product and service portfolio, such as enterprise identity and access management products, consumer identity and fraud protection solutions, encryption and key management software, and security knowledge and expertise; and tools to collect, monitor, analyze, and report on security event-related activity throughout the IT infrastructure.
 
EMC’s SEC file number is 1-9853.
 
Historical Performance of EMC
 
QUARTER ENDING
QUARTER
HIGH
QUARTER
LOW
QUARTER
CLOSE
March 31, 2004
15.80
12.11
13.61
June 30, 2004
13.75
9.97
11.40
September 30, 2004
11.61
9.24
11.54
December 31, 2004
14.96
11.69
14.87
March 31, 2005
15.07
11.80
12.32
June 30, 2005
14.88
11.17
13.71
September 30, 2005
14.78
12.05
12.94
December 30, 2005
14.54
12.70
13.62
March 31, 2006
14.75
13.05
13.63
June 30, 2006
13.99
10.29
10.97
September 29, 2006
12.09
9.44
11.98
December 29, 2006
13.79
11.69
13.20
March 30, 2007
14.89
12.74
13.85
June 29, 2007
18.16
13.86
18.10
July 2, 2007 through September 24, 2007
20.54
16.89
20.51
 
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 10.00 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:
EMC
   
Initial Price:
USD[●]
   
Barrier Price:
USD[●]
   
Interest Rate:
10.00 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%
5.00%
100.00%
+
90%
5.00%
90.00%
+
80%
5.00%
80.00%
+
70%
5.00%
70.00%
+
60%
5.00%
60.00%
+
50%
5.00%
50.00%
+
40%
5.00%
40.00%
+
30%
5.00%
30.00%
+
20%
5.00%
20.00%
+
10%
5.00%
10.00%
 
0%
5.00%
0.00%
   
Barrier Price
Ever Breached?
 
   
YES
NO
 
-
10%
-5.00%
5.00%
-10.00%
-
20%
-15.00%
5.00%
-20.00%
-
30%
-25.00%
N/A
-30.00%
-
40%
-35.00%
N/A
-40.00%
-
50%
-45.00%
N/A
-50.00%
-
60%
-55.00%
N/A
-60.00%
-
70%
-65.00%
N/A
-70.00%
-
80%
-75.00%
N/A
-80.00%
-
90%
-85.00%
N/A
-90.00%
-
100%
-95.00%
N/A
-100.00%

 
FWP-8

 

 
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-----END PRIVACY-ENHANCED MESSAGE-----