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0001144204-07-069230.txt : 20071227
0001144204-07-069230.hdr.sgml : 20071227
20071226195548
ACCESSION NUMBER: 0001144204-07-069230
CONFORMED SUBMISSION TYPE: 424B2
PUBLIC DOCUMENT COUNT: 5
FILED AS OF DATE: 20071227
DATE AS OF CHANGE: 20071226
FILER:
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: 424B2
SEC ACT: 1933 Act
SEC FILE NUMBER: 333-133007
FILM NUMBER: 071327550
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
424B2
1
v098212_424b2.htm
PRICING
SUPPLEMENT
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement No. 333-133007
Dated
December 26, 2007
|
|
Performance
Securities with Contingent Protection
Linked
to
an International Index Basket
Strategic
Alternatives to Indexing
HSBC
USA Inc. $10,502,520 Securities linked to an International Index Basket due
December 31, 2012
These
Performance Securities with Contingent Protection linked to an
International Index Basket are notes issued by HSBC USA Inc., which
we
refer to as the “securities”. The securities are designed to provide
enhanced exposure to potential appreciation in the performance of
a
weighted basket of equity indices (weighted as described herein),
which we
refer to as the “basket”, consisting of the Dow Jones EURO STOXX
50®
Index (“SX5E”), the FTSE™ 100 Index (“UKX”), the Nikkei 225®
Index
(“NKY”), the Swiss Market Index®
(“SMI”), the S&P ASX 200 Index (“AS51”), and the MSCI®
Emerging Markets IndexSM
(“MXEF”), each of which we refer to as an “index,” and which together
comprise the “indices.” The amount you receive at maturity is based on the
return of the basket and on whether the basket closing level (as
described
herein) is below the specified trigger level on any scheduled trading
day
during the observation period. If the basket return is positive,
at
maturity you will receive an amount in cash per security that is
equal to
the sum of (a) your principal amount plus (b) the product of (i)
your
principal amount multiplied by (ii) the basket return multiplied
by the
participation rate. If the basket return is either (a) zero or (b)
negative and the basket closing level is never below the trigger
level on
any scheduled trading day during the observation period, for each
security, you will receive your principal amount. If the basket return
is
negative and the basket closing level is below the trigger level
on any
scheduled trading day during the observation period, your securities
will
be fully exposed to any decline in the basket, and you could lose
some or
all of your investment in the securities. Investors will not receive
interest or dividend payments during the term of the securities.
Investing
in the securities involves significant risks. You may lose some or
all of
your principal amount.
|
Features
|
q Enhanced
Growth Potential:
The securities provide the opportunity to receive enhanced equity
returns
by multiplying the positive basket return by the participation rate.
The
securities are not capped by a maximum gain.
q Contingent
Protection Against Loss:
Payment at maturity of the principal amount of your securities is
conditionally protected so long as the basket closing level is never
below
the trigger level on any scheduled trading day during the observation
period. If
the basket return is negative and the basket closing level is below
the
trigger level on any scheduled trading day during the observation
period,
your securities will be fully exposed to any decline in the basket
on the
final valuation date, and you could lose some or all of your principal
amount.
q Diversification:
Investors can diversify their existing portfolios because the securities
are linked to a weighted basket of foreign indices comprising of
stocks in
various market sectors and listed in various foreign
jurisdictions.
|
|
|
Trade
Date
|
December
21, 2007
|
|
|
Settlement
Date
|
December
31, 2007
|
|
|
Final
Valuation Date
|
December
26, 2012
|
|
|
Maturity
Date
|
December
31, 2012
|
|
|
Security
Offerings
|
The
securities are linked to the performance of the basket. The securities
are
not subject to a predetermined maximum gain. The securities are offered
at
a minimum investment of $1,000.
|
See
“Additional Information about HSBC USA Inc. and the Securities” on page 2. The
securities offered will have the terms specified in the accompanying base
prospectus dated April 5, 2006, the accompanying prospectus supplement dated
October 12, 2007, the accompanying prospectus addendum dated December 12, 2007,
and the terms set forth herein. See “Key Risks” on page 6 of this pricing
supplement and the more detailed “Risk Factors” beginning on page S-3 of the
accompanying prospectus supplement for risks related to the securities and
the
index.
Neither
the Securities and Exchange Commission nor any state securities commission
has
approved or disapproved of the securities or passed upon the accuracy or the
adequacy of this document, the accompanying base prospectus, prospectus
supplement and any other related prospectus supplements. Any representation
to
the contrary is a criminal offense. The securities are not deposit liabilities
or other obligations 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.
The
securities will not be listed on any U.S. securities exchange or quotation
system. See “Supplemental Plan of Distribution” on page 11 for distribution
arrangement.
|
Price
to Public
|
Underwriting
Discount
|
Proceeds
to Us
|
Per
Security
|
100%
|
3.50%
|
96.50%
|
Total
|
$10,502,520.00
|
$367,588.20
|
$10,134,931.80
|
CALCULATION
OF REGISTRATION FEE
TITLE
OF CLASS OF SECURITIES OFFERED
|
MAXIMUM
AGGREGATE OFFERING PRICE
|
AMOUNT
OF REGISTRATION FEE (1)
|
Performance
Securities with Contingent Protection Linked to an International
Index
Basket due December 31, 2012
|
$10,502,520.00
|
$322.43
|
(1) |
Calculated
in accordance with Rule 457(r) of the securities act of 1933, as
amended.
|
UBS
Financial Services Inc
|
HSBC
USA Inc.
|
Additional
Information about HSBC USA Inc. and the
Securities
|
This
pricing supplement relates to one offering of securities linked to
the
basket identified on the cover page. The basket described in this
pricing
supplement is a reference asset as defined in the prospectus supplement,
and these securities being offered are notes for purposes of the
prospectus supplement. The purchaser of a security will acquire an
investment instrument linked to the basket. Although the security
offering
relates to the basket identified on the cover page, you should not
construe that fact as a recommendation of the merits of acquiring
an
investment linked to the basket, any index or stocks underlying the
indices, or as to the suitability of an investment in the securities.
You
should read this document together with the prospectus dated April
5,
2006, the prospectus supplement dated October 12, 2007 and the prospectus
addendum dated December 12, 2007. You should carefully consider,
among
other things, the matters set forth in “Key Risks” beginning on page 5 of
this pricing supplement and in “Risk Factors” beginning on page S-3 of the
prospectus supplement, as the securities 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
securities.
HSBC
USA Inc. has filed a registration statement (including a prospectus,
prospectus addendum and prospectus supplement) with the U.S. Securities
and Exchange Commission, or the SEC, for the offering to which this
pricing supplement relates. Before you invest, you should read the
prospectus, prospectus addendum and prospectus 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. or any
dealer
participating in this offering will arrange to send you the prospectus,
prospectus supplement and prospectus addendum if you request them
by
calling toll-free 1 888 800 4722.
You
may access these documents on the SEC web site at www.sec.gov as
follows:
¨ Prospectus
dated April 5, 2006:
¨ Prospectus
supplement dated October 12, 2007:
¨ Prospectus
addendum dated December 12, 2007:
www.sec.gov/Archives/edgar/data/83246/000114420407067025/v096997_424b2.htm
As
used herein, references to “HSBC”, “we,” “us” and “our” are to HSBC USA
Inc. References
to the “prospectus supplement” mean the prospectus supplement dated
October 12, 2007, references to the “prospectus addendum” mean the
prospectus addendum dated December 12, 2007 and references to
“accompanying prospectus” mean the HSBC USA Inc. prospectus, dated April
5, 2006.
|
Investor
Suitability
|
The
securities may be suitable for you if:
¨ You
believe the basket will appreciate over the term of the
securities.
¨ You
seek an investment with an enhanced return linked to the performance
of
the basket.
¨ You
are willing to hold the securities to maturity.
¨ You
are willing to expose your principal to the full downside performance
of
the basket if the basket closing level falls below the trigger level
on
any scheduled trading day during the observation period.
¨ You
are willing to forgo dividends paid on the stocks included in the
indices
in exchange for (i) enhanced returns if the basket appreciates and
(ii)
contingent protection if the basket depreciates but never falls below
the
trigger level.
¨ You
do not seek current income from this investment.
¨ You
do not seek an investment for which there is an active secondary
market.
¨ You
seek an investment whose return is linked to indices that represent
companies in a variety of market sectors and foreign jurisdictions,
including emerging markets.
¨ You
are willing to invest in the securities based on the participation
rate of
128.00%.
|
|
The
securities may not be suitable for you if:
¨ You
do not believe the basket will appreciate over the term of the
securities.
¨ You
do not seek an investment with exposure to the basket.
¨ You
are not willing to make an investment that is conditionally exposed
to the
full downside performance risk of the weighted basket.
¨ You
are unable or unwilling to hold the securities to maturity.
¨ You
seek an investment that is 100% principal protected.
¨ You
prefer the lower risk, and therefore accept the potentially lower
returns,
of fixed income investments with comparable maturities issued by
HSBC or
another issuer with a similar credit rating.
¨ You
prefer to receive dividends paid on the stocks included in the
indices.
¨ You
seek current income from this investment.
¨ You
seek an investment for which there will be an active secondary market.
¨ You
prefer a product that provides a participation rate of greater than
128.00%.
|
The
suitability considerations identified above are not exhaustive. Whether or
not
the securities are a suitable investment for you will depend on your individual
circumstances, and you should reach an investment decision only after you and
your investment, legal, tax, accounting and other advisors have carefully
considered the suitability of an investment in the securities in light of your
particular circumstances.
Issuer
|
|
|
Principal
Amount
|
|
$10
per security
|
Term
|
|
5
years
|
Basket
|
|
The
securities are linked to a weighted basket consisting of the Dow
Jones
EURO STOXX 50SM
Index (“SX5E”), the FTSE™ 100 Index (“UKX”), the Nikkei 225®
Index
(“NKY”), the Swiss Market Index®
(“SMI”), the S&P ASX 200 Index (“AS51”), and the MSCI®
Emerging Markets IndexSM
(“MXEF”), each of which we refer to as an “index”, or collectively, as the
“indices.”
|
Basket
Weightings
|
|
With
respect to the:
SX5E,
35.00%;
UKX,
25.00%;
NKY,
25.00%;
SMI,
5.00%;
AS51,
5.00%;
MXEF,
5.00%.
|
Participation
Rate
|
|
128.00%
|
Payment
at Maturity (per $10 security)
|
|
You
will receive a cash payment at maturity linked to the performance
of the
basket during the term of the securities.
If
the basket return is positive, you
will receive the sum of (a) your principal amount plus (b) the product
of
(i) your principal amount multiplied by (ii) the index return multiplied
by the participation rate:
$10
+ [$10 x (basket return x
participation rate)]
If
the basket return is zero, you
will receive your principal amount of:
$10
If
the basket return is negative and the basket closing level is never
below
the trigger level on any scheduled trading day during the observation
period, you
will receive your principal amount of:
$10
If
the basket return is negative and the basket closing level is below
the
trigger level on any scheduled trading day during the observation
period,
you
will receive the sum of (a) your principal amount plus (b) the product
of
(i) your principal amount multiplied by (ii) the basket
return:
$10
+ [$10 x basket return]
In
this case, the contingent protection is lost and you will lose some
or all
of your principal amount.
|
Basket
Return |
|
basket
ending level - basket starting level
basket
starting level
|
Determining
Payment at Maturity
|
For
each $10.00 invested, will receive an amount equal to the sum of (a) your
principal amount plus (b) the product of (i) your principal amount multiplied
by
(ii) the basket return. Accordingly, for each $10.00 invested, your payment
at
maturity will be calculated as follows:
$10
+ [$10 x basket return]
Your
securities are not fully principal protected. If the basket return is negative
and the basket closing level is below the trigger level on any scheduled
trading
day during the observation period, the contingent protection is lost and
your
principal amount will be fully exposed to any decline in the
basket.
1
HSBC USA Inc. is rated Aa3 by Moody’s and AA- by Standard & Poor’s. A credit
rating reflects the creditworthiness of HSBC USA Inc. and is not a
recommendation to buy, sell or hold securities, and it may be subject to
revision or withdrawal at any time by the assigning rating organization.
The
securities themselves have not been independently rated. Each rating should
be
evaluated independently of any other rating. However, because the return
on the
securities is dependent upon factors in addition to our ability to pay
our
obligations under the securities, such as the trading level of each index,
an
improvement in our credit ratings, financial condition or results of operations
is not expected to have a positive effect on the trading value of the
securities.
Basket Starting
Level
|
|
Set
equal to 100 on the trade date.
|
Basket
Closing Level
|
|
The
basket level on any scheduled trading day during the observation
period.
On
any scheduled trading day, the basket level will be calculated as
follows:
100
x [1 + (SX5E return x 35.00%) + (UKX return x 25.00%) + (NKY return
x
25.00%) + (SMI return x 5.00%) + (AS51 return x 5.00%) + (MXEF return
x
5.00%),
where the return for each index is the index performance of the respective
index on that scheduled trading day.
|
Basket
Ending Level
|
|
The
basket closing level on the final valuation date.
|
Index
Performance
|
|
With
respect to each index, the percentage change from the respective
index
starting level to the respective index closing level, calculated
as
follows:
Index
Closing Level - Index Starting Level
Index
Starting Level
|
Index
Starting Level
|
|
With
respect to the:
SX5E,
4,384.55;
UKX,
6,434.10;
NKY,
15,257.00;
SMI,
8,468.37;
AS51,
6,247.00;
MXEF,
1,215.99, each of which represents the official closing level of
the
applicable index on the trade date as determined by the calculation
agent.
|
Index
Closing Level
|
|
With
respect to an index, the official closing level for such index on
any
scheduled trading day during the observation period as determined
by the
calculation agent.
For
the purposes of calculating the basket ending level on the final
valuation
date, the index closing level of each index on the final valuation
date
(each of which we refer to as the “index ending level,” or, collectively,
as “the index ending levels”) will be used to determine the index
performance of the respective index.
|
Trigger
Level
|
|
50,
representing 50% of the basket starting level.
|
Observation
Period
|
|
The
period from, but excluding, the trade date to, and including, the
final
valuation date.
|
CUSIP
/ ISIN
|
|
40428H
698 / US40428H6980
|
What
are the tax consequences of the securities?
|
You
should carefully consider, among other things, the matters set forth
in
the section “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 securities.
This summary supplements the section “Certain U.S. Federal Income Tax
Considerations” in the prospectus supplement and supersedes it to the
extent inconsistent therewith. This summary does not discuss the
tax
consequences that may be relevant to persons that own in the aggregate,
directly or indirectly (including by reason of investing in the
securities) more than 5 percent of any entity included in an index
in the
basket.
There
are no statutory provisions, 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 securities. Under one reasonable approach, the securities
should be
treated as pre-paid forward or other executory contracts with respect
to
the index. We intend to treat the securities consistent with this
approach
and pursuant to the terms of the securities, you agree to treat the
securities under this approach for all U.S. federal income tax purposes.
See “Certain U.S. Federal Income Tax Considerations — Certain
Equity-Linked Notes — Certain Notes Treated as Forward Contracts” in the
prospectus supplement for certain U.S. federal income tax considerations
applicable to securities that are treated as pre-paid cash-settled
forward
or other executory contracts.
Because
there are no statutory provisions, 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 securities, other characterizations and treatments are
possible and the timing and character of income in respect of the
securities might differ from the treatment described above. For example,
the securities could be treated as debt instruments that are “contingent
payment debt instruments” for federal income tax purposes. See “Certain
U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes —
Certain Notes Treated as Forward Contracts” in prospectus
supplement.
If
one or more of the entities included in the indices in the basket
are
treated as a REIT, partnership or trust, or PFIC for U.S. federal
income
tax purposes, or otherwise as a "pass-thru entity" for purposes of
section
1260 of the Code, it is possible that the security will be subject
to the
"constructive ownership" rules of section 1260 of the Code. If so,
the
portion of any gain that relates to a pass-thru entity that would
otherwise be treated as long-term capital gain recognized on the
sale,
exchange, maturity, or other taxable disposition of the securities
could
be treated as ordinary income and subject to an interest charge.
Prospective investors in the securities should consult the offering
documents for the entities included in the indices in the basket
and their
tax advisors as to the possibility that one or more of the entities
included in the indices in the basket is treated as a REIT, a partnership
or trust, or a PFIC for U.S. federal income tax purposes, or otherwise
as
a "pass-thru entity" for purposes of section 1260 of the Code, and
section
1260 applies to their security.
PROSPECTIVE
PURCHASERS OF SECURITIES SHOULD CONSULT THEIR TAX ADVISORS AS TO
THE
FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE
PURCHASE,
OWNERSHIP AND DISPOSITION OF SECURITIES.
|
Scenario
Analysis and Examples at
Maturity
|
The
following examples are provided for illustration purposes only and are
hypothetical. They do not purport to be representative of every possible
scenario concerning increases or decreases in the level of each index relative
to its respective index starting level. We cannot predict the index closing
level of each index on any scheduled trading day and, thus, the basket closing
level on any scheduled trading day during the observation period, including
the
final valuation date. You should not take these examples as an indication or
assurance of the expected performance of each index and the basket. The numbers
appearing in the examples below have been rounded for ease of
analysis.
The
following scenario analysis and examples illustrate the payment at maturity
for
a $10.00 security on a hypothetical offering of the securities, with the
following assumptions:
Investment
term:
|
5
years
|
|
|
Basket
starting level:
|
100
|
|
|
Trigger
level:
|
50
|
|
|
Participation
rate:
|
128.00%
|
Example
1—
The
level of the basket increases from the basket starting level of 100 to a basket
ending level of 110. The
basket return is positive, and expressed as a formula:
basket
return = (110-100)/100 = 10%
payment
at maturity = $10 + ($10 x (10% x 128.00%)) = $11.28
Because
the basket return is equal to 10%, the payment at maturity is equal to $11.28
per $10.00 principal amount of securities, and the return on the securities
is
12.80%.
Example
2—
The
basket ending level is equal to the basket starting level. The
basket return is zero and the payment at maturity per security is equal to
the
original $10.00 principal amount per security:
basket
return = 0%
payment
at maturity = $10.00
Example
3—
The
level of the basket decreases from the basket starting level to an basket ending
level of 95. In addition, the basket closing level is never below the trigger
level on any scheduled trading day during the observation period.
The
basket return is negative, but there is contingent principal
protection:
basket
return = (95-100)/100 = -5%
payment
at maturity = $10.00
Because
the basket closing level is never below the trigger level on any scheduled
trading day during the observation period, the investor has contingent principal
protection. Therefore the payment at maturity is equal to $10.00 per $10.00
principal amount of securities.
Example
4—
The
level of the basket decreases from the basket starting level to a basket ending
level of 90. In addition, the basket closing level is below the trigger level
on
one or more scheduled trading days during the observation
period.
The basket return is negative, and there is no principal protection. Expressed
as a formula:
basket
return = (90-100)/100 = -10%
payment
at maturity = $10 + ($10 x -10%) = $9.00
Because
the basket closing level is below the trigger level on at least one scheduled
trading day during the observation period, the investor loses the contingent
principal protection feature of the securities and is fully exposed to any
decline in the basket ending level of the basket relative to the basket starting
level on the final valuation date. Therefore the return on the securities is
-10%. In this case, the investor would lose some of its principal amount at
maturity.
If
the basket closing level is ever below the trigger level on any scheduled
trading day during the observation period, investors are fully exposed to any
decline of the basket and could lose some or all of their principal at
maturity.
Basket
|
Trigger
Event Does Not Occur1
|
Trigger
Event Occurs2
|
Basket
Level
|
Basket
Return
|
Payment
at Maturity
|
Return
on Securities at Maturity
|
Payment
at Maturity
|
Return
on Securities at Maturity
|
200.00
|
100.00%
|
$22.80
|
128.00%
|
$22.80
|
128.00%
|
190.00
|
90.00%
|
$21.52
|
115.20%
|
$21.52
|
115.20%
|
180.00
|
80.00%
|
$20.24
|
102.40%
|
$20.24
|
102.40%
|
170.00
|
70.00%
|
$18.96
|
89.60%
|
$18.96
|
89.60%
|
160.00
|
60.00%
|
$17.68
|
76.80%
|
$17.68
|
76.80%
|
150.00
|
50.00%
|
$16.40
|
64.00%
|
$16.40
|
64.00%
|
140.00
|
40.00%
|
$15.12
|
51.20%
|
$15.12
|
51.20%
|
130.00
|
30.00%
|
$13.84
|
38.40%
|
$13.84
|
38.40%
|
120.00
|
20.00%
|
$12.56
|
25.60%
|
$12.56
|
25.60%
|
110.00
|
10.00%
|
$11.28
|
12.80%
|
$11.28
|
12.80%
|
100.00
|
0.00%
|
$10.00
|
0.00%
|
$10.00
|
0.00%
|
90.00
|
-10.00%
|
$10.00
|
0.00%
|
$9.00
|
-10.00%
|
80.00
|
-20.00%
|
$10.00
|
0.00%
|
$8.00
|
-20.00%
|
70.00
|
-30.00%
|
$10.00
|
0.00%
|
$7.00
|
-30.00%
|
60.00
|
-40.00%
|
$10.00
|
0.00%
|
$6.00
|
-40.00%
|
50.00
|
-50.00%
|
$10.00
|
0.00%
|
$5.00
|
-50.00%
|
40.00
|
-60.00%
|
N/A
|
N/A
|
$4.00
|
-60.00%
|
30.00
|
-70.00%
|
N/A
|
N/A
|
$3.00
|
-70.00%
|
20.00
|
-80.00%
|
N/A
|
N/A
|
$2.00
|
-80.00%
|
10.00
|
-90.00%
|
N/A
|
N/A
|
$1.00
|
-90.00%
|
0.00
|
-100.00%
|
N/A
|
N/A
|
$0.00
|
-100.00%
|
1
The basket closing level is never below the trigger level on any scheduled
trading day during the observation period.
2 The
basket closing level is below the trigger level on any scheduled trading day
during the observation period.
An
investment in the securities involves significant risks. Some of the risks
that
apply to the securities are summarized here, but we urge you to read the more
detailed explanation of risks relating to the securities generally in the “Risk
Factors” section of the accompanying prospectus supplement. We also urge you to
consult your investment, legal, tax, accounting and other advisers before you
invest in the securities.
¨ Contingent
Principal Protection Only Applies if You Hold the Securities to
Maturity -
You
should be willing to hold your securities to maturity. The securities are not
designed to be short-term trading instruments. The price at which you will
be
able to sell your securities to us, our affiliates or any party in the secondary
market prior to maturity, if at all, may be at a substantial discount from
the
principal amount of the securities, even in cases where the basket has
appreciated since the trade date.
¨ Principal
Protection Applies Only in Limited Circumstances and Otherwise You May Lose
Up
to 100% of Your Initial Investment -
Your
principal amount will be protected only if the basket closing level is never
below the trigger level on any scheduled trading day during the observation
period. The securities differ from ordinary debt securities in that we may
not
pay you 100% of your principal amount if the basket closing level is below
the
trigger level on any scheduled trading day during the observation period. In
that event, the contingent protection will be eliminated and, at maturity,
you
will be fully exposed to any decline in the basket. Accordingly, you may lose
up
to 100% of your principal amount.
¨ Changes
in the Levels of the Basket Indices May Offset Each Other
- The
securities are linked to a weighted basket composed of the indices. At a time
when the level of one or more of the other indices increases on the relevant
date of determination, the level of one or more of the other indices on such
relevant date of determination may not increase as much or may even decline.
Therefore, in calculating the basket closing level on any scheduled trading
day
during the observation period and the basket ending level on the final valuation
date, increases in the level of one or more of the indices may be moderated,
or
offset, by lesser increases or declines in the level of one or more of the
other
indices. This affect is further amplified by the differing weights of the
indices. More heavily weighted indices will have a larger impact than indices
with lesser weightings.
¨ Lack
of Liquidity -
The
securities will not be listed on any securities exchange or quotation system.
We
intend to offer to purchase the securities in the secondary market but are
not
required to do so. Because other dealers are not likely to make a secondary
market for the securities, the price at which you may be able to trade your
securities is likely to depend on the price, if any, at which we are willing
to
buy the securities.
¨ Uncertain
Tax Treatment -
There is
no direct legal authority as to the proper tax treatment of the securities,
and
therefore significant aspects of the tax treatment of the securities are
uncertain, as to both the timing and character of any inclusion in income in
respect of the securities. Under one approach, the securities should be treated
as pre-paid forward or other executory contracts with respect to the basket.
We
intend to treat the securities consistent with this approach and pursuant to
the
terms of the securities, you agree to treat the securities under this approach
for all U.S. federal income tax purposes. See “Certain U.S. Federal Income Tax
Considerations — Certain Equity-Linked Notes — Certain Notes Treated as Forward
Contracts” in the prospectus supplement for certain U.S. federal income tax
considerations applicable to securities that are treated as pre-paid
cash-settled forward or other executory contracts. Certain of the entities
included in the indices in the basket could be treated as a "real estate
investment trust" ("REIT"), partnership, trust, or "passive foreign investment
company" ("PFIC") for U.S. federal income tax purposes, or otherwise as a
"pass-thru entity" for purposes of section 1260 of the Code, in which case
it is
possible that the security will be subject to the "constructive ownership"
rules
of section 1260 of the Code. If so, the portion of any gain that relates to
a
pass-thru entity that would otherwise be treated as long-term capital gain
recognized on the sale, exchange, maturity, or other taxable disposition of
the
securities could be treated as ordinary income and subject to an interest
charge. Because of the uncertainty regarding the tax treatment of the
securities, we urge you to consult your tax advisor as to the tax consequences
of your investment in a security. For a more complete discussion of the U.S.
federal income tax consequences of your investment in a security, please see
the
discussion under “Certain U.S. Federal Income Tax Considerations.”
¨ Owning
the Securities is Not the Same as Owning the Stocks Underlying the Indices
-The
return on your securities may not reflect the return you would realize if you
actually owned the stocks included in the indices. As a holder of the
securities, you will not receive interest payments, and you will not have voting
rights or rights to receive dividends or other distributions or other rights
that holders of stocks included in the indices would have.
¨ Potential
Conflict of Interest -
HSBC and its affiliates may engage in business with the issuers of the stocks
comprising the indices or any of the reference sponsors, which may present
a
conflict between the obligations of HSBC and you, as a holder of the securities.
The calculation agent, which may be the issuer or any of its affiliates, will
determine the payment at maturity based on observed levels of each index in
the
market. The calculation agent can postpone the determination of any index ending
level or the maturity date if a market disruption event occurs with respect
to
any index and is continuing on the final valuation date.
¨ Potentially
Inconsistent Research, Opinions or Recommendations by HSBC
- HSBC and its affiliates may publish research, express opinions or provide
recommendations that are inconsistent with investing in or holding any offering
of the securities. Any such research, opinions or recommendations could affect
the value of any index or the stocks included in any index, and therefore,
the
market value of the securities.
¨ Credit
of Issuer
- An investment in the securities is subject to the credit risk of HSBC, and
the
actual and perceived creditworthiness of HSBC may affect the market value of
the
securities.
¨ Additional
Risks Associated With Foreign Securities Market
- Because
stocks or companies included in the SX5E, UKX, NKY, SMI, AS51, and MXEF are
publicly traded in the applicable foreign countries and are denominated in
currencies other than U.S. dollars, investments in the securities involve
particular risks. For example, the foreign securities markets may be more
volatile than the United States securities markets, and market developments
may
affect these markets differently from the United States or other securities
markets. Direct or indirect government intervention to stabilize the securities
markets outside the United States, as well as cross-shareholdings in certain
companies, may affect trading prices and trading volumes in those markets.
Also,
the public availability of information concerning foreign issuers may vary
depending on their home jurisdiction and the reporting requirements imposed
by
their respective regulators. In addition, the foreign issuers may be subject
to
accounting, auditing and financial reporting standards and requirements that
differ from those applicable to United States reporting companies.
Securities
prices generally are subject to political, economic, financial and social
factors that apply to the markets in which they trade and, to a lesser extent,
foreign markets. Securities prices outside the United States are subject to
political, economic, financial and social factors that apply in foreign
countries. These factors, which could negatively affect foreign securities
markets, include the possibility of changes in a foreign government’s economic
and fiscal policies, the possible imposition of, or changes in, currency
exchange laws or other laws or restrictions applicable to foreign companies or
investments in foreign equity securities and the possibility of fluctuations
in
the rate of exchange between currencies. Moreover, foreign economies may differ
favorably or unfavorably from the United States economy in important respects
such as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.
¨ Index
Performance for the SX5E, UKX, NKY, SMI, and AS51 Will not be Adjusted for
Changes in Exchange Rates
- While
the stocks included in the SX5E, UKX, NKY, SMI, and AS51 are denominated in
currencies other than the U.S. dollar, the index performance for these indices
will not be adjusted for changes in exchange rates. Therefore, if the currencies
in which the stocks comprising the SX5E, UKX, NKY, SMI, and AS51 are denominated
appreciate or depreciate relative to the U.S. dollar over the term of the
securities, you will not receive any additional payment or incur any reduction
in payment at maturity.
¨ Currency
Exchange Risk for the MSCI®
Emerging Markets IndexSM
- The
MXEF,
but not the stocks underlying the MXEF, is denominated in U.S. dollars. Because
the prices of the stocks underlying the MXEF will be converted by the applicable
reference sponsor into U.S. dollars for the purposes of calculating the value
of
the MXEF, your investment in the securities will be exposed to currency exchange
risk with respect to each of the emerging markets represented in the
MXEF.
¨ Our
Affiliate Is One of the Companies That Make Up the FTSE™ 100 Index
–Our
affiliate, HSBC Holdings plc, is one of the companies that make up the FTSE™ 100
Index. Our affiliate will not have any obligation to consider your interests
as
a holder of the securities in taking any corporate action that might affect
the
level of the FTSE™ 100 Index and the value of the
securities.
If
the
final valuation date is not a scheduled trading day (as defined below) for
an
index, then the final valuation date for that index will be the next scheduled
trading day. If a market disruption event (as defined below) exists for an
index
on the final valuation date, then such final valuation date for that index
will
be the next scheduled trading day for which there is no market disruption event
with respect to that index. If a market disruption event exists for an index
on
eight consecutive scheduled trading days, then that eighth scheduled trading
day
will be the final valuation date for that index, and the index ending level
of
that index will be determined by means of the formula for and method of
calculating that index which applied just prior to the market disruption event,
using the relevant exchange traded or quoted price of each stock in that index
(or a good faith estimate of the value of a stock in that index which is itself
the subject of a market disruption event). For the avoidance of doubt, if no
market disruption event exists with respect to an index on the final valuation
date for that index, the determination of that index’s index ending level will
be made on the originally scheduled final valuation date, irrespective of the
existence of a market disruption event with respect to one or more of the other
indices. If the final valuation date for any index is postponed, then the
maturity date will also be postponed until the third business day following
the
postponed final valuation date for that index.
“Market
disruption event” for an index means any scheduled trading day on which any
relevant exchange (as defined below) or related exchange (as defined below)
fails to open for trading during its regular trading session or on which any
of
the following events has occurred and is continuing which we determine is
material:
(a)
the
occurrence or existence of a condition specified below at any time:
(i)
any
suspension of or limitation imposed on trading by any relevant exchanges or
related exchanges or otherwise, (A)
relating to any constituent included in any index or (B) in futures or options
contracts relating to any index on any related exchange;
or
(ii)
any
event (other than any event described in (b) below) that disrupts or impairs
the
ability of market participants in general
(A) to effect transactions in, or obtain market values for any constituent
included in any index or (B) to effect transactions in,
or
obtain market values for, futures or options contracts relating to any index
on
any relevant related exchange; or
(b)
the
closure on any scheduled trading day of any relevant exchange relating to any
constituent included in any index or any related
exchange prior to its scheduled closing time (unless the earlier closing time
is
announced by the relevant exchange or related
exchange at least one hour prior to the earlier of (i) the actual closing time
for the regular trading session on the exchange and
(ii)
the submission deadline for orders to be entered into the relevant exchange
or
related exchange for execution at the close of
trading
on that day).
“Related
exchange” for an index means each exchange or quotation system on which futures
or options contracts relating to such index are traded, or any successor or
temporary substitute for such exchange or quotation system (provided that we
have determined, for a substitute exchange or quotation system, that liquidity
on such substitute is comparable to liquidity on the original related
exchange).
“Relevant
exchange” for an index means any primary exchange on which securities then
included in such index trade.
“Scheduled
closing time” means the scheduled weekday closing time of the Relevant Exchange
or Related Exchange, without regard to after hours or any other trading outside
of the regular trading session hours.
“Scheduled
trading day” for an index means any day on which all of the relevant exchanges
and related exchanges are scheduled to be open for trading for each security
then included in such index.
Hypothetical
Historical Basket Performance
|
The
graph below illustrates the hypothetical historical performance of
the
basket from December 1, 1997 to December 21, 2007, as if the basket
starting level was 100 on December 21, 2007. Hypothetical historical
levels of the basket should not be taken as an indication of future
performance.
|
BASKET
INFORMATION
This
pricing supplement is not an offer to sell and it is not an offer to buy stocks
comprising the indices. All disclosures contained in this pricing supplement
regarding the indices, including their make-up, performance, method of
calculation, and changes in their components, are derived from publicly
available information. Neither HSBC nor any of its affiliates assumes any
responsibilities for the adequacy or accuracy of information about the indices
or stocks comprising the indices contained in this pricing supplement. You
should make your own investigation into the indices as well as stocks included
in the indices. Each reference sponsor has no obligation to continue to publish,
and may discontinue publication of, the applicable index. Each reference sponsor
may discontinue or suspend the publication of the applicable index at any
time.
Neither
we
nor any affiliate makes any representation that any publicly available
information regarding the reference sponsors is accurate or complete. For more
information, We urge you to read the section “Sponsors or Issuers and Reference
Asset” on page S-25 in the accompanying prospectus supplement.
Historical
Performance of the Indices
The
description below of each index includes a table that sets forth the quarterly
high and low intraday levels, as well as end-of-quarter index levels, of the
respective index for each quarter in the period from January 1, 2004 through
September 28, 2007 and for the period from October 1, 2007 through December
21,
2007. We obtained the data in these tables from Bloomberg Financial Service,
without independent verification by us. Historical levels of each index should
not be taken as an indication of future performance of such index.
The
Dow Jones EURO STOXX 50®
Index (“SX5E”)
|
The
SX5E
was created by STOXX Limited, a joint venture between Deutsche Börse AG, Dow
Jones & Company and SWX Group. Publication of the SX5E began on February 28,
1998, based on an initial SX5E value of 1,000 at December 31, 1991. The SX5E
is
reported daily in the financial pages of many major newspapers, on the Bloomberg
Financial Service under the symbol “SX5E” and on the STOXX Limited website:
http://www.stoxx.com.
Information contained in the STOXX Limited website is not incorporated by
reference in, and should not be considered a part of, this pricing
supplement.
SX5E
Composition and Maintenance
The
SX5E
is composed of 50 component stocks of market sector leaders from within the
Dow
Jones EURO STOXXSM
Index,
which includes stocks selected from the Eurozone. The component stocks have
a
high degree of liquidity and represent the largest companies across all market
sectors defined by the Dow Jones Global Classification Standard. The composition
of the SX5E is reviewed annually in September, based on the closing stock data
on the last trading day in August. The component stocks are announced the first
trading day in September. Changes to the component stocks are implemented on
the
third Friday in September and are effective the following trading day. Changes
in the composition of the SX5E are made to ensure that the SX5E includes the
50
market sector leaders from within the Dow Jones EURO STOXXSM
Index.
SX5E
Calculation
The
SX5E
is calculated with the “Laspeyres formula”, which measures the aggregate price
changes in the component stocks against a fixed base quantity weight. The
formula for calculating the SX5E value can be expressed as follows:
![](chart3.jpg)
Each
component’s weight is capped at 10% of the SX5E’s total free-float market
capitalization. Weights are reviewed quarterly. Within each of the SX5E market
sector indices, the component stocks are ranked by free-float market
capitalization. The largest stocks are added to the selection list until the
coverage is close to, but still less than, 60% of the free-float market
capitalization of the corresponding SX5E market sector index. If the next-ranked
stock brings the coverage closer to 60% in absolute terms, then it is also
added
to the selection list. Any remaining stocks that are current SX5E components
are
added to the selection list. The stocks on the selection list are ranked by
free-float market capitalization. In exceptional cases, the STOXX Limited
Supervisory Board may make additions and deletions to the selection
list.
The
40
largest stocks on the selection list are chosen as components. Any remaining
current components of the SX5E ranked between 41 and 60 are added as index
components. If the component number is still below 50, then the largest stocks
on the selection list are added until the index contains 50 stocks.
The
divisor of the aforementioned formula is adjusted to maintain the continuity
of
the SX5E value across changes due to corporate actions such as the issuance of
dividends, the occurrence of stock splits, stock repurchase by the issuer and
other reasons.
License
Agreement with STOXX Limited
We
have
entered into a nonexclusive license agreement providing for the license to
us,
in exchange for a fee, of the right to use certain indices owned and published
by STOXX Limited in connection with some products, including the
securities.
The
securities are not sponsored, endorsed, sold or promoted by STOXX Limited
(including its affiliates) (collectively referred to as “STOXX Limited”). STOXX
Limited has not passed on the legality or suitability of, or the accuracy or
adequacy of descriptions and disclosures relating to the securities. STOXX
Limited makes no representation or warranty, express or implied to the owners
of
the securities or any member of the public regarding the advisability of
investing in structured products generally or in the securities particularly,
or
the ability of the SX5E to track general stock market performance. STOXX Limited
has no relationship to us other than the licensing of the SX5E and the related
trademarks for use in connection with the securities, which index is determined,
composed and calculated by STOXX Limited without regard to us or the
securities.
STOXX Limited has no obligation to take our needs or the needs of the owners
of
the securities into consideration in determining, composing or calculating
the
SX5E. STOXX Limited is not responsible for and has not participated in the
determination of the timing of, prices at, or quantities of the securities
to be
issued or in the determination or calculation of the equation by which the
securities are to be converted into cash. STOXX Limited has no liability in
connection with the administration, marketing or trading of the securities.
STOXX
LIMITED DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE SX5E
OR
ANY DATA INCLUDED THEREIN AND STOXX LIMITED SHALL HAVE NO LIABILITY FOR ANY
ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. STOXX LIMITED MAKES NO WARRANTY,
EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HSBC, HOLDERS OF THE
SECURITIES, OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE USE OF THE
SX5E
OR ANY DATA INCLUDED THEREIN. STOXX LIMITED MAKES NO EXPRESS OR IMPLIED
WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE SX5E OR ANY DATA INCLUDED
THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL STOXX LIMITED
HAVE ANY LIABILITY FOR ANY LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE,
INDIRECT, OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
THE LICENSING AGREEMENT BETWEEN HSBC AND STOXX LIMITED IS SOLELY FOR THEIR
BENEFIT AND NOT FOR THE BENEFIT OF THE OWNERS OF THE SECURITIES OR ANY THIRD
PARTIES.
STOXX
Limited and Dow Jones have no relationship to HSBC, other than the licensing
of
the SX5E and the related trademarks for use in connection with the securities.
STOXX
Limited and Dow Jones do not:
|
·
|
Sponsor,
endorse, sell or promote the
securities.
|
|
·
|
Recommend
that any person invest in the securities or any other
notes.
|
|
·
|
Have
any responsibility or liability for or make any decisions about the
timing, amount or pricing of the
securities.
|
|
·
|
Have
any responsibility or liability for the administration, management
or
marketing of the securities.
|
|
·
|
Consider
the needs of the securities or the owners of the securities in
determining, composing or calculating the SX5E or have any obligation
to
do so.
|
STOXX
Limited and Dow Jones will not have any liability in connection with the
securities. Specifically,
|
·
|
STOXX
Limited and Dow Jones do not make any warranty, express or implied
and
disclaim any and all warranty
about:
|
|
·
|
The
results to be obtained by the securities, the owner of the securities
or
any other person in connection with the use of the SX5E and the data
included in the SX5E;
|
|
·
|
The
accuracy or completeness of the SX5E and its
data;
|
|
·
|
The
merchantability and the fitness for a particular purpose or use of
the
SX5E and its data;
|
|
·
|
STOXX
Limited and Dow Jones will have no liability for any errors, omissions
or
interruptions in the SX5E and its
data;
|
|
·
|
Under
no circumstances will STOXX Limited or Dow Jones be liable for any
lost
profits or indirect, punitive, special or consequential damages or
losses,
even if STOXX Limited or Dow Jones knows that they might
occur.
|
The
licensing agreement between STOXX Limited and us is solely for their benefit
and
not for the benefit of the owners of the securities or any other third
parties.
THE
SX5E
IS PROPRIETARY AND COPYRIGHTED MATERIAL. THE SX5E AND THE RELATED TRADEMARKS
HAVE BEEN LICENSED FOR CERTAIN PURPOSES BY HSBC NEITHER STOXX LIMITED NOR DOW
JONES & COMPANY, INC. SPONSORS, ENDORSES OR PROMOTES THE SECURITIES BASED ON
THE SX5E.
Historical
Performance of the SX5E
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of SX5E for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the SX5E on December 21,
2007 was 4,384.55. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of SX5E should not be taken as an indication of future performance,
and
no assurance can be given that the level of SX5E will increase relative to
its
index starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
2,965.15
|
2,680.04
|
2,787.49
|
June
30, 2004
|
2,919.57
|
2,630.21
|
2,811.08
|
September
30, 2004
|
2,842.81
|
2,559.88
|
2,726.30
|
December
31, 2004
|
2,960.97
|
2,727.76
|
2,951.01
|
March
31, 2005
|
3,117.77
|
2,914.00
|
3,055.73
|
June
30, 2005
|
3,198.89
|
2,911.48
|
3,181.54
|
September
30, 2005
|
3,438.76
|
3,079.89
|
3,428.51
|
December
30, 2005
|
3,621.89
|
3,212.07
|
3,578.93
|
March
31, 2006
|
3,881.69
|
3,515.07
|
3,853.74
|
June
30, 2006
|
3,897.40
|
3,379.66
|
3,648.92
|
September
30, 2006
|
3,921.15
|
3,462.77
|
3,899.41
|
December
29, 2006
|
4,147.38
|
3,858.87
|
4,119.94
|
March
30, 2007
|
4,278.22
|
3,906.15
|
4,181.03
|
June
29, 2007
|
4,572.82
|
4,163.77
|
4,489.77
|
September
28, 2007
|
4,564.03
|
4,028.72
|
4,381.71
|
October
1, 2007 through December 21, 2007
|
4,502.80
|
4,176.30
|
4,384.55
|
The
FTSE™ 100 Index (“UKX”)
|
The
UKX is
an index calculated, published and disseminated by FTSE, a company owned equally
by the London Stock Exchange (the “LSE”) and The Financial Times Limited (“FT”),
in association with the Institute and the Faculty of Actuaries. The UKX measures
the composite price performance of stocks of the largest 100 companies
(determined on the basis of market capitalization) traded on the LSE.
Publication of the UKX began in February 1984.
The
UKX is
calculated by (i) multiplying the per share price of each stock included in
the
UKX by the number of outstanding shares, (ii) calculating the sum of all these
products (such sum referred to hereinafter as the “FTSE Aggregate Market Value”)
as of the starting date of the UKX, (iii) dividing the FTSE Aggregate Market
Value by a divisor which represents the FTSE Aggregate Market Value on the
base
date of the UKX and which can be adjusted to allow changes in the issued share
capital of individual underlying stocks including the deletion and addition
of
stocks, the substitution of stocks, stock dividends and stock splits to be
made
without distorting the UKX and (iv) multiplying the result by 1,000. Because
of
such capitalization weighting, movements in share prices of companies with
relatively larger market capitalization will have a greater effect on the level
of the entire UKX than will movements in share prices of companies with
relatively smaller market capitalization.
The
100
stocks included in the UKX (the “UKX Underlying Stocks”) were selected from a
reference group of stocks trading on the LSE which were selected by excluding
certain stocks that have low liquidity based on public float, accuracy and
reliability of prices, size and number of trading days. The UKX Underlying
Stocks were selected from this reference group by selecting 100 stocks with
the
largest market value. A list of the issuers of the UKX Underlying Stocks is
available from FTSE. The UKX is reviewed quarterly by an Index Steering
Committee of the LSE in order to maintain continuity in the level. The UKX
Underlying Stocks may be replaced, if necessary, in accordance with
deletion/addition rules which provide generally for the removal and replacement
of a stock from the UKX if such stock is delisted or its issuer is subject
to a
takeover offer that has been declared unconditional or it has ceased, in the
opinion of the Index Steering Committee, to be a viable component of the UKX.
To
maintain continuity, a stock will be added at the quarterly review if it has
risen to 90th place or above and a stock will be deleted if at the quarterly
review it has fallen to 111th place or below, in each case ranked on the basis
of market capitalization.
Discontinuation
of the UKX; Alteration of Method of Calculation
If
FTSE
discontinues publication of the UKX and FTSE or another entity publishes a
successor or substitute index that the calculation agent determines to be
comparable to the discontinued UKX (such index being referred to herein as
a
“FTSE successor index”), then the UKX closing level will be determined by
reference to the level of such FTSE successor index at the close of trading
on
the relevant exchange or market for the FTSE successor index on the final
Observation Date, applicable to the UKX. Upon any selection by the calculation
agent of a FTSE successor index, the calculation agent will cause written notice
thereof to be promptly furnished to the trustee, to us and to the holders of
the
securities.
If
FTSE
discontinues publication of the UKX prior to, and such discontinuation is
continuing on, the final Observation Date, applicable to the UKX, and the
calculation agent determines that no FTSE successor index is available at such
time, or the calculation agent has previously selected a FTSE successor index
and publication of such FTSE successor index is discontinued prior to, and
such
discontinuation is continuing on, the final Observation Date, applicable to
the
UKX, then the calculation agent will determine the UKX closing level for such
date. The UKX closing level will be computed by the calculation agent in
accordance with the formula for and method of calculating the UKX or FTSE
successor index, as applicable, last in effect prior to such discontinuation,
using the closing price (or, if trading in the relevant securities has been
materially suspended or materially limited, its good faith estimate of the
closing price that would have prevailed but for such suspension or limitation)
at the close of the principal trading session on such date of each security
most
recently composing the UKX or FTSE successor index, as applicable.
Notwithstanding these alternative arrangements, discontinuation of the
publication of the UKX or FTSE successor index, as applicable, on the relevant
exchange may adversely affect the value of the securities.
If
at any
time the method of calculating the UKX or a FTSE successor index, or the level
thereof, is changed in a material respect, or if the UKX or a FTSE successor
index is in any other way modified so that the UKX or such FTSE successor index
does not, in the opinion of the calculation agent, fairly represent the level
of
the UKX or such FTSE successor index had such changes or modifications not
been
made, then the calculation agent will, at the close of business in New York
City
on each date on which the UKX closing level is to be determined, make such
calculations and adjustments as may be necessary in order to arrive at a level
of a stock index comparable to the UKX or such FTSE successor index, as the
case
may be, as if such changes or modifications had not been made, and the
calculation agent will calculate the UKX closing level with reference to the
UKX
or such FTSE successor index, as adjusted. Accordingly, if the method of
calculating the UKX or a FTSE successor index is modified so that the level
of
the UKX or such FTSE successor index is a fraction of what it would have been
if
there had been no such modification (e.g., due to a split in the UKX or such
FTSE successor index), then the calculation agent will adjust the UKX or such
FTSE successor index in order to arrive at a level of the UKX or such FTSE
successor index as if there had been no such modification (e.g., as if such
split had not occurred).
License
Agreement with UKX
We
have entered
into a non-exclusive license agreement with FTSE, whereby we and our affiliates
and subsidiary companies and certain of our affiliates, in exchange for a fee,
will be permitted to use the UKX, which is owned and published by FTSE, in
connection with certain products, including the securities.
Neither
FTSE, the LSE nor FT makes any representation or warranty, express or implied,
to the owners of the securities or any member of the public regarding the
advisability of investing in structured products generally or in the securities
particularly, or the ability of the UKX to track general stock market
performance. FTSE, the LSE, and FT’s only relationship with us is the licensing
of certain trademarks and trade names of FTSE, respectively, without regard
to
us or the securities. FTSE, the LSE and FT have no obligation to take the needs
of us
or
the
holders of the securities into consideration in determining, composing or
calculating the UKX Neither FTSE nor the LSE nor FT is responsible for and
has
not
participated
in the determination of the timing, price or quantity of the securities to
be
issued or in the determination or calculation of the amount due at maturity
of
the securities. Neither FTSE nor the LSE nor FT has any obligation or liability
in connection with the administration, marketing or trading of the
securities.
The
securities are not in any way sponsored, endorsed, sold or promoted by FTSE,
the
LSE or FT, and neither FTSE, the LSE nor FT makes any warranty or representation
whatsoever, expressly or impliedly, either as to the results to be obtained
from
the use of the UKX and/or the figure at which the said Component stands at
any
particular time on any particular day or otherwise. The UKX is compiled and
calculated by FTSE. However, neither FTSE, the LSE nor FT shall be liable
(whether in negligence or otherwise) to any person for any error in the UKX
and
neither FTSE nor the LSE nor FT shall be under any obligation to advise any
person of any error therein.
“FTSE®”,
“FT-SE®”
and
“Footsie®”
are
trade marks of the London Stock Exchange Plc and The Financial Times Limited
and
are used by FTSE International Limited under license. “All-World”, “All-Share”
and “All-Small” are trade marks of FTSE International Limited.
Historical
Performance of the UKX
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of UKX for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the UKX on December 21,
2007 was 6,434.10. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of UKX should not be taken as an indication of future performance, and
no
assurance can be given that the level of UKX will increase relative to its
index
starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
4,566.20
|
4,291.30
|
4,385.70
|
June
30, 2004
|
4,601.60
|
4,363.00
|
4,464.10
|
September
30, 2004
|
4,630.70
|
4,283.00
|
4,570.80
|
December
31, 2004
|
4,826.20
|
4,551.60
|
4,814.30
|
March
31, 2005
|
5,077.80
|
4,765.40
|
4,894.40
|
June
30, 2005
|
5,138.20
|
4,773.70
|
5,113.20
|
September
30, 2005
|
5,508.40
|
5,022.10
|
5,477.70
|
December
30, 2005
|
5,647.20
|
5,130.90
|
5,618.80
|
March
31, 2006
|
6,047.00
|
5,618.80
|
5,964.60
|
June
30, 2006
|
6,137.10
|
5,467.40
|
5,833.40
|
September
30, 2006
|
6,002.90
|
5,654.60
|
5,960.80
|
December
29, 2006
|
6,271.40
|
5,897.30
|
6,220.80
|
March
30, 2007
|
6,451.40
|
5,989.60
|
6,308.00
|
June
29, 2007
|
6,751.30
|
6,293.90
|
6,607.90
|
September
28, 2007
|
6,754.10
|
5,821.70
|
6,466.80
|
October
1, 2007 through December 21, 2007
|
6,751.70
|
6,026.90
|
6,434.10
|
The
Nikkei 225®
Index (“NKY”)
|
The
NKY is
a stock index calculated, published and disseminated by NKS that measures the
composite price performance of selected Japanese stocks. NKS first calculated
and published the NKY in 1970. The NKY currently is based on 225 underlying
stocks (the “Nikkei underlying stocks”) trading on the Tokyo Stock Exchange (the
“TSE”) representing a broad cross-section of Japanese industries. All 225 Nikkei
underlying stocks are stocks listed in the First Section of the TSE. Stocks
listed in the First Section of the TSE are among the most actively traded stocks
on the TSE. NKS rules require that the 75 most liquid issues (one-third of
the
component count of the NKY) be included in the NKY.
The
225
companies included in the NKY are divided into six sector categories:
Technology, Financials, Consumer Goods, Materials, Capital Goods/Others and
Transportation and Utilities. These six sector categories are further divided
into 36 industrial classifications as follows:
|
·
|
Technology
- Pharmaceuticals, Electric Machinery, Automobiles, Precision Machinery,
Telecommunications;
|
|
·
|
Financials
- Banks, Miscellaneous Finance, Securities, Insurance;
|
|
·
|
Consumer
Goods - Marine Products, Food, Retail, Services;
|
|
·
|
Materials
- Mining, Textiles, Paper and Pulp, Chemicals, Oil, Rubber, Ceramics,
Steel, Nonferrous Metals, Trading House;
|
|
·
|
Capital
Goods/Others - Construction, Machinery, Shipbuilding, Transportation
Equipment, Miscellaneous Manufacturing, Real Estate;
and
|
|
·
|
Transportation
and Utilities - Railroads and Buses, Trucking, Shipping, Airlines,
Warehousing, Electric Power, Gas.
|
The
NKY is
a modified, price-weighted index (i.e., a Nikkei underlying stock’s weight in
the index is based on its price per share rather than the total market
capitalization of the issuer) that is calculated by (i) multiplying the
per-share price of each Nikkei underlying stock by the corresponding weighting
factor for such Nikkei underlying stock (a “weight factor”),
(ii) calculating the sum of all these products and (iii) dividing such
sum by a divisor (the “divisor”). The divisor was initially set at 225 for the
date of May 16, 1949 using historical numbers from May 16, 1949, the
date on which the TSE was reopened. The divisor was 24.341 as of December 21,
2007 and is subject to periodic adjustments as set forth below. Each weight
factor is computed by dividing ¥50 by the par value of the relevant Nikkei
underlying stock, so that the share price of each Nikkei underlying stock,
when
multiplied by its weight factor, corresponds to a share price based on a uniform
par value of ¥50. The stock prices used in the calculation of the NKY are those
reported by a primary market for the Nikkei underlying stocks (currently the
TSE). The level of the NKY is calculated once per minute during TSE trading
hours.
In
order
to maintain continuity in the NKY in the event of certain changes due to
non-market factors affecting the Nikkei underlying stocks, such as the addition
or deletion of stocks, substitution of stocks, stock splits or distributions
of
assets to stockholders, the divisor used in calculating the NKY is adjusted
in a
manner designed to prevent any instantaneous change or discontinuity in the
level of the NKY. Thereafter, the divisor remains at the new value until a
further adjustment is necessary as the result of another change. As a result
of
such change affecting any Nikkei underlying stock, the divisor is adjusted
in
such a way that the sum of all share prices immediately after such change
multiplied by the applicable weight factor and divided by the new divisor (i.e.,
the level of the NKY immediately after such change) will equal the level of
the
NKY immediately prior to the change.
A
Nikkei
underlying stock may be deleted or added by NKS. Any stock becoming ineligible
for listing in the First Section of the TSE due to any of the following reasons
will be deleted from the Nikkei underlying stocks: (i) bankruptcy of the
issuer, (ii) merger of the issuer with, or acquisition of the issuer by,
another company, (iii) delisting of such stock, (iv) transfer of such
stock to the “Seiri−Post” because of excess debt of the issuer or because of any
other reason or (v) transfer of such stock to the Second Section. In
addition, a component stock transferred to the “Kanri−Post” (Posts for stocks
under supervision) is in principle a candidate for deletion. Nikkei underlying
stocks with relatively low liquidity, based on trading value and rate of price
fluctuation over the past five years, may be deleted by NKS. Upon deletion
of a
stock from the Nikkei underlying stocks, NKS will select a replacement for
such
deleted Nikkei underlying stock in accordance with certain criteria. In an
exceptional case, a newly listed stock in the First Section of the TSE that
is
recognized by NKS to be representative of a market may be added to the Nikkei
underlying stocks. In such a case, an existing underlying stock with low trading
volume and deemed not to be representative of a market will be deleted by
NKS.
A
list of
the issuers of the Nikkei underlying stocks constituting the NKY is available
from the Nikkei Economic Electronic Databank System and from the Stock Market
Indices Data Book published by NKS.
License
Agreement with Nihon Keizai Shimbun, Inc.
We
have
entered into a nonexclusive license agreement providing for the license to
us,
in exchange for a fee, of the right to use certain indices owned and published
by NKS in connection with some products, including the securities. The
copyrights on “Nikkei 225” and the intellectual property rights and any other
rights relating to labels such as “Nikkei” and “Nikkei 225” all belong to NKS.
NKS may change the content of “Nikkei 225” and suspend publication thereof. The
responsibility for executing the business matters pursuant to the licensing
agreement shall rest solely with us and NKS shall not have any obligation or
responsibility therefor.
The
Tokyo Stock Exchange
The
TSE is
one of the world’s largest securities exchanges in terms of market
capitalization. Trading hours are currently from 9:00 a.m. to
11:00 a.m. and from 12:30 p.m. to 3:00 p.m., Tokyo time, Monday
through Friday.
Due
to the
time zone difference, on any normal trading day the TSE will close prior to
the
opening of business in New York City on the same calendar day. Therefore, the
final level of the NKY on a trading day will generally be available in the
United States by the opening of business on the same calendar day.
The
TSE
has adopted certain measures, including daily price floors and ceilings on
individual stocks, intended to prevent any extreme short-term price fluctuations
resulting from order imbalances. In general, any stock listed on the TSE cannot
be traded at a price lower than the applicable price floor or higher than the
applicable price ceiling. These price floors and ceilings are expressed in
absolute Japanese yen, rather than percentage limits based on the closing price
of the stock on the previous trading day. In addition, when there is a major
order imbalance in a listed stock, the TSE posts a “special bid quote” or a
“special asked quote” for that stock at a specified higher or lower price level
than the stock’s last sale price in order to solicit counter orders and balance
supply and demand for the stock. The TSE may suspend the trading of individual
stocks in certain limited and extraordinary circumstances, including, for
example, unusual trading activity in that stock. As a result, changes in the
NKY
may be limited by price limitations or special quotes, or by suspension of
trading, on individual stocks that make up the NKY, and these limitations,
in
turn, may adversely affect the value of the securities.
Historical
Performance of the NKY
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of NKY for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the NKY on December 21,
2007 was 15,257.00. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of NKY should not be taken as an indication of future performance, and
no
assurance can be given that the level of NKY will increase relative to its
index
starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
11,869.00
|
10,299.43
|
11,715.39
|
June
30, 2004
|
12,195.66
|
10,489.84
|
11,858.87
|
September
30, 2004
|
11,988.12
|
10,545.89
|
10,823.57
|
December
31, 2004
|
11,500.95
|
10,575.23
|
11,488.76
|
March
31, 2005
|
11,975.46
|
11,212.63
|
11,668.95
|
June
30, 2005
|
11,911.90
|
10,770.58
|
11,584.01
|
September
30, 2005
|
13,678.44
|
11,540.93
|
13,574.30
|
December
30, 2005
|
16,445.56
|
12,996.29
|
16,111.43
|
March
31, 2006
|
17,125.64
|
15,059.52
|
17,059.66
|
June
30, 2006
|
17,563.37
|
14,045.53
|
15,505.18
|
September
30, 2006
|
16,414.94
|
14,437.24
|
16,127.58
|
December
29, 2006
|
17,301.69
|
15,615.56
|
17,225.83
|
March
30, 2007
|
18,300.39
|
16,532.91
|
17,287.65
|
June
29, 2007
|
18,297.00
|
16,999.05
|
18,138.36
|
September
28, 2007
|
18,295.27
|
15,262.10
|
16,785.69
|
October
1, 2007 through December 21, 2007
|
17,488.97
|
14,669.85
|
15,257.00
|
The
Swiss Market Index®
(“SMI”)
|
The
SMI
contains approximately 90% of the entire free float market capitalization of
the
Swiss equity market and is made up of a maximum of 30 of the largest and most
liquid stocks from the SPI Large- and Mid-Cap segment (as described below).
The
SMI is primarily available as a non-dividend-corrected index (price index),
but
is also published under the designation SMIC®
(SMI cum
dividend) as a performance index. Your securities will be linked to the SMI,
not
the SMIC®
index.
The
basic
universe for admission to the SMI is the Swiss Performance Index (“SPI”). In
order to be admitted and remain in the SPI universe a given security must meet
a
minimum free float rate of 20%. If a stock falls below this limit and does
not
reach or exceed it again within three months, it is excluded. Stocks, which
are
not admitted to the SPI universe on free float grounds, are admitted if the
minimum free float rate of 20% has been met continuously over a period of three
months.
To
be
admitted to the SMI, the market value of the security must amount to a minimum
of 0.45% of the overall SPI capitalization as of June 30 of a given year. The
determination of the rankings of a maximum of 30 securities from the stock
universe is calculated through a combination of market capitalization and the
percentage sales at the market value of each individual security. For a security
to be admitted to the SMI it must have occupied rank 30 or above over four
quarters and must occupy rank 25 or above as of June 30.
The
SMI
was introduced on June 30, 1988 at a baseline value of 1500 points. Its
composition is examined once a year. Calculation takes place in real-time:
as
soon as a new transaction occurs in a security contained in the SMI, an updated
index level is calculated and displayed.
The
SMI
Return will be calculated based on the closing levels of the SMI, as reported
by
Bloomberg L.P. under ticker symbol “SMI.”
SWX
Swiss Exchange
The
SWX
Swiss Exchange is a central link in the value chain of the Swiss financial
marketplace. It organizes, operates and regulates key aspects of Switzerland’s
capital market. The SWX Swiss Stock Exchange is subject to Swiss law (the
Federal Act on Stock Exchanges and Securities Trading, “SESTA”), which
stipulates the concept of self-regulation and compliance with international
standards. The SWX Swiss Exchange is supervised by the Swiss Federal Banking
Commission (“SFBC”).
The
SWX
Swiss Exchange trading subdivisions encompass: Shares, domestic bonds,
international bonds (formerly referred to as Eurobonds), derivatives (warrants,
structured financial products), exchange-traded funds and Investment
funds.
The
SWX
Swiss Exchange is denominated in Swiss francs. The shares traded on SWX are
mainly held in the Swiss-based accounts of domestic and international investors.
In
the
event of extraordinary situations, such as the large price fluctuations,
decisions or information which are to be published shortly and which could
have
a significant influence on the market price (price-sensitive information),
or
other situations likely to hamper fair and orderly trading, the SWX Swiss
Exchange may take all the measures which it deems necessary to maintain fair
and
orderly trading as far as possible. In addition, the SWX Swiss Exchange may
engage in trading interventions which it considers.
License
Agreement
We
have
entered into a non-exclusive license agreement with the Sponsor, which allows
us
and our affiliates, in exchange for a fee, to use the SMI in connection with
the
issuance of certain products, including the securities. We are not affiliated
with the Sponsor; the only relationship between the Sponsor and us is the
licensing of the use of the SMI and trademarks relating to the SMI.
Sponsor
is
under no obligation to continue the calculation and dissemination of the SMI.
The securities are not sponsored, endorsed, sold or promoted by the SMI. No
inference should be drawn from the information contained in this pricing
supplement that the Sponsor makes any representation or warranty, implied or
express, to us, any holder of the securities or any member of the public
regarding the advisability of investing in structured products generally, or
in
the securities in particular, or the ability of the SMI to track general stock
market performance.
Historical
Performance of the SMI
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of SMI for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the SMI on December 21,
2007 was 8,468.37. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of SMI should not be taken as an indication of future performance, and
no
assurance can be given that the level of SMI will increase relative to its
index
starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
5,941.70
|
5,437.50
|
5,618.60
|
June
30, 2004
|
5,904.90
|
5,569.80
|
5,619.10
|
September
30, 2004
|
5,669.80
|
5,264.50
|
5,465.30
|
December
31, 2004
|
5,720.20
|
5,301.70
|
5,693.20
|
March
31, 2005
|
6,022.88
|
5,655.10
|
5,929.70
|
June
30, 2005
|
6,307.71
|
5,820.02
|
6,253.08
|
September
30, 2005
|
6,912.25
|
6,113.14
|
6,898.88
|
December
30, 2005
|
7,648.40
|
6,806.47
|
7,583.93
|
March
31, 2006
|
8,108.33
|
7,583.94
|
8,023.30
|
June
30, 2006
|
8,158.89
|
7,123.18
|
7,652.10
|
September
30, 2006
|
8,463.80
|
7,428.08
|
8,425.91
|
December
29, 2006
|
8,849.07
|
8,346.21
|
8,785.74
|
March
30, 2007
|
9,376.65
|
8,573.54
|
8,976.99
|
June
29, 2007
|
9,548.09
|
8,887.30
|
9,209.36
|
September
28, 2007
|
9,354.70
|
8,329.63
|
8,933.48
|
October
1, 2007 through December 21, 2007
|
9,243.79
|
8,080.91
|
8,468.37
|
The
S&P®
ASX
200 Index (“AS51”)
|
The
AS51
is intended to provide an investable benchmark for the Australian equity market
and represents approximately 78% of Australian market capitalization. The AS51
is a float-adjusted capitalization-weighted index, meaning that each underlying
stock's weight in the index is based on its free float-adjusted market
capitalization. The AS51 is comprised of the 100 largest stocks listed on the
Australian Stock Exchange (the “ASX”), plus an additional 100 stocks, all of
which must meet certain liquidity requirements. S&P/ASX chooses companies
for inclusion in the AS51 with an aim of providing a broad market
representation, while maintaining underlying investability and liquidity.
S&P/ASX may from time to time, in its sole discretion, add companies to, or
delete companies from, the AS51 to achieve the objectives stated above. Relevant
criteria employed by S&P/ASX (discussed in more detail below) include a
stock's liquidity, free float and market capitalization.
Calculation
of the AS51
The
calculation of the value of the AS51 is based on the relative float-adjusted
aggregate market capitalization of the stocks of 200 companies in the Australian
market (the “Component Stocks”) as of a particular time as compared to the base
value of the AS51. The index market capitalization for each Component Stock
is
calculated by multiplying the company's stock price times the number of ordinary
shares times the investable weight factor (as discussed below). Calculations
for
the AS51 are based on stock prices taken from the ASX. The official daily AS51
closing values are calculated after the market closes and are based on the
last
traded price for each Component Stock.
Component
Stocks of the AS51 are determined after an analysis of the stocks' liquidity,
free float and market capitalization. A constituent of the AS51 must be
sufficiently liquid to enable institutional investors to buy in and sell out
of
the company without severely distorting the share price of that stock. The
S&P Australian Index Committee (the “Committee”) assesses whether a company
has sufficient liquidity to be eligible for the AS51 by analyzing each company's
free float and daily share turnover. Free float is defined as the portion of
shares not being held by the following: (i) government and government agencies,
(ii) controlling and strategic shareholders/partners, (iii) any other entities
or individuals which hold more than 5%, excluding some financial institutions
and funds and (iv) other restricted portions such as treasury stocks. Stocks
are
deemed ineligible for inclusion in the AS51 if their free float is less than
30%. In addition, the Committee considers market capitalization, adjusting
each
company's market capitalization for free float. An investable weight factor
is
used in the adjustment process. In most cases, a stock's factor will be a direct
reflection of its level of free float; however, some stocks are allocated a
factor at half of its free float level as a result of low liquidity. The
Committee considers average float-adjusted market capitalization over a
six-month period when assessing whether a company's market capitalization is
sufficient for the company to be represented in the AS51.
The
Committee is responsible for setting policy, determining index composition
and
administering the AS51 in accordance with the S&P/ASX methodology. The
Committee is comprised of five members representing S&P and ASX. The
Committee may add, remove or bypass any company or security during the selection
process. In maintaining the AS51, the Committee considers the guiding principle
of minimizing changes to the index portfolio. The Committee deletes Component
Stocks from the AS51 for reasons including acquisition, insufficient market
capitalization, insufficient liquidity, liquidation or insolvency and company
restructurings. Additions to the AS51 are triggered only by deletions, and
are
evaluated using the criteria described above for selection of Component Stocks.
Initial public offerings may be eligible for inclusion prior to six months
of
data being available, but only if a deletion occurs and the Committee decides
that the inclusion is justified.
The
Committee rebalances the AS51 quarterly at the end of February, May, August,
and
November; the free float and investable weight factors of Component Stocks
are
reviewed as part of the February rebalance. Quarterly rebalances analyze market
capitalization and liquidity over the previous six months. The Committee
announces index deletions and replacements to the AS51 to the market on the
first Friday of March, June, September and December. Quarterly changes become
effective at the close of trade on the third Friday of March, June, September
and December. The AS51 is also rebalanced, and investable weight factors are
adjusted, on an as needed basis when significant corporate events
occur.
S&P
makes changes to the AS51 shares on issue under the following circumstances:
(i)
market-wide placements and buybacks that are 5% of the index issued capital
and
greater than 5 million Australian dollars (“A$”), (ii) shares issued as a result
of dividend reinvestment plans and (iii) rights issues, bonus issues and other
major corporate actions. The ASX may quote a different number of shares than
the
AS51; however, if the aggregated difference between the ASX quoted shares and
the S&P/ASX index quoted shares at quarter-end is greater than A$100 million
or 5% of the index issued capital, shares will be adjusted to reflect those
quoted by the ASX.
While
S&P currently employs the above methodology to calculate the AS51, we cannot
assure you that S&P will not modify or change this methodology in a manner
that may affect the redemption amount at maturity to beneficial owners of the
securities. Neither we nor any of our affiliates accepts any responsibility
for
the calculation, maintenance or publication of, or for any error, omission
or
disruption in, the AS51 or any successor index. S&P does not guarantee the
accuracy or completeness of the AS51 or any data included in the AS51. S&P
assumes no liability for any errors, omissions or disruption in the calculation
and dissemination of the AS51. S&P disclaims all responsibility for any
errors or omissions in the calculation and dissemination of the AS51 or the
manner in which the AS51 is applied in determining the amount payable on the
securities.
License
Agreement with Standard and Poor’s and the Australian Stock Exchange
We
have entered
into a non-exclusive license agreement with S&P/ASX, whereby we and our
affiliates and subsidiary companies, in exchange for a fee, will be permitted
to
use the AS51, which is owned and published by S&P/ASX, in connection with
certain products, including the securities.
The
securities are not sponsored, endorsed, sold or promoted by the S&P/ASX
(including its affiliates). S&P/ASX has not passed on the legality or
appropriateness of, or the accuracy or adequacy of descriptions and disclosures
relating to the securities. S&P/ASX makes no representation or warranty,
express or implied to the owners of the securities or any member of the public
regarding the advisability of investing in financial
products
generally or in the securities particularly, or the ability of the AS51 to
track
general stock market performance. S&P/ASX has no relationship with us other
than the licensing of the AS51 and the related trademarks for use in connection
with the securities, which index is determined, composed and calculated by
S&P/ASX without regard to us or the securities. S&P/ASX has no
obligation to take the needs of us or the holders of the securities into
consideration in determining, composing or calculating the AS51. S&P/ASX is
not responsible for and has not participated in the determination of the timing
of, prices at, or quantities of the securities to be issued or in the
determination or calculation of the equation by which the securities are to
be
converted into cash. S&P/ASX has no liability in connection with the
administration, marketing or trading of the securities.
S&P/ASX
is under no obligation to continue the calculation and dissemination of the
AS51
and the method by which the AS51 is calculated and the name “S&P/ASX 200
Index” or “AS51” may be changed at the discretion of S&P/ASX. No inference
should be drawn from the information contained in this pricing supplement that
S&P/ASX makes any representation or warranty, implied or express, to you or
any member of the public regarding the advisability of investing in financial
products generally or in the securities in particular or the ability of the
AS51
to track general stock market performance. S&P/ASX has no obligation to take
into account your interest, or that of anyone else having an interest in
determining, composing or calculating the AS51. S&P/ASX is not responsible
for, and has not participated in the determination of the timing of, prices
for
or quantities of, the securities or in the determination or calculation of
the
equation by which the securities are to be settled in cash. S&P/ASX has no
obligation or liability in connection with the administration, marketing or
trading of the securities. The use of and reference to the AS51 in connection
with the securities have been consented to by S&P/ASX.
S&P/ASX
disclaims all responsibility for any inaccuracies in the data on which the
AS51
is based, or any mistakes or errors or omissions in the calculation or
dissemination of the AS51.
Historical
Performance of the AS51
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of AS51 for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the AS51 on December 21,
2007 was 6,247.00. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of AS51 should not be taken as an indication of future performance,
and
no assurance can be given that the level of AS51 will increase relative to
its
index starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
3,456.10
|
3,252.90
|
3,415.30
|
June
30, 2004
|
3,556.40
|
3,341.00
|
3,532.90
|
September
30, 2004
|
3,673.10
|
3,467.10
|
3,665.00
|
December
31, 2004
|
4,055.00
|
3,654.60
|
4,050.60
|
March
31, 2005
|
4,266.90
|
4,026.10
|
4,109.90
|
June
30, 2005
|
4,321.70
|
3,926.60
|
4,277.50
|
September
30, 2005
|
4,679.10
|
4,213.60
|
4,641.20
|
December
30, 2005
|
4,775.80
|
4,311.10
|
4,763.40
|
March
31, 2006
|
5,139.50
|
4,751.10
|
5,129.70
|
June
30, 2006
|
5,406.70
|
4,758.30
|
5,073.90
|
September
30, 2006
|
5,164.20
|
4,899.90
|
5,154.10
|
December
29, 2006
|
5,684.40
|
5,142.70
|
5,669.90
|
March
30, 2007
|
6,052.10
|
5,499.00
|
5,995.00
|
June
29, 2007
|
6,409.20
|
5,915.80
|
6,274.90
|
September
28, 2007
|
6,594.40
|
5,483.30
|
6,567.80
|
October
1, 2007 through December 21, 2007
|
6,851.50
|
6,105.10
|
6,247.00
|
The
MSCI®
Emerging
Markets IndexSM
(“MXEF”)
|
The
MXEF
Index is a free float-adjusted market capitalization index designed to measure
equity market performance in the global emerging markets. As of November 13,
2007, the MXEF consisted of the following 25 emerging market country indices:
Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary,
India, Indonesia, Israel, Jordan, Malaysia, Mexico, Morocco, Pakistan, Peru,
Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand and
Turkey. As of September 28, 2007 the five largest sector weights were:
Financials (21.63%), Materials (17.18%), Energy (15.09%), Information Technology
(11.07%) and Telecommunication Services (10.53%). The MXEF contained 301
constituents with a total market capitalization of US$22,496,997
million.
The
MXEF
is part of a series of indices sponsored by MSCI called the “MSCI Standard Index
series.”
Constructing
the MSCI Standard Index Series
MSCI
undertakes an index construction process which involves:
|
·
|
Defining
the equity universe.
|
|
·
|
Adjusting
the total market capitalization of all securities in the universe
for free
floating available to foreign investors.
|
|
·
|
Classifying
the universe of securities under the Global Industry Classification
Standard (“GICS”).
|
|
·
|
Selecting
securities for inclusion according to MSCI’s index construction rules and
guidelines.
|
Defining
the Equity Universe
The
index
construction process starts at the country level, with the identification of
the
universe of investment opportunities.
MSCI
classifies each company and its securities in one and only one country. This
allows securities to be sorted distinctly by their respective countries. In
general, companies and their respective securities are classified as belonging
to the country in which they are incorporated. All listed equity securities,
or
listed securities that exhibit characteristics of equity securities, except
investment trusts, mutual funds and equity derivatives, are eligible for
inclusion in the universe. Generally, only equity or equity-like securities
that
are listed in the country of classification are included in the universe.
Adjusting
the Total Market Capitalization of Securities for Free Float
After
identifying the universe of securities, MSCI calculates the free float-adjusted
market capitalization of each security in that universe. The process of free
floating-adjusting market capitalization involves:
|
·
|
Defining
and estimating the free float available to foreign investors for
each
security, using MSCI’s definition of free float.
|
|
·
|
Assigning
a free float-adjustment factor to each security.
|
|
·
|
Calculating
the free float-adjustment market capitalization of each security.
|
MSCI
defines the free float of a security as the proportion of shares outstanding
that are deemed to be available for purchase in the public equity markets by
international investors. In practice, limitations on free float available to
international investors include:
|
·
|
Strategic
and other shareholdings not considered part of available free float.
|
|
·
|
Limits
on share ownership for foreign investors.
|
|
·
|
Other
foreign investment restrictions.
|
MSCI’s
estimation of free float is based solely on publicly available shareholder
information obtained from multiple information sources. For each security,
all
available shareholdings are considered where public data is available,
regardless of the size of the shareholding. Construction may be conducted with
analysts, other industry experts and official company contracts, particularly
where disclosure standards or data quality make the estimation of free float
difficult.
Classifying
the Universe of Securities under the Global Industry Classification Standard
In
addition to the free floating-adjustment of market capitalization, all
securities in the universe are assigned to the industry that best describes
their business activities. To this end, MSCI has designed, in conjunction with
S&P, the Global Industry Classification Standard (“GICS”). The comprehensive
classification scheme provides a universal approach to industries worldwide
and
forms the basis for achieving MSCI’s objective of reflecting broad and fair
representation in its indexes.
GICS
consists of 10 sectors, 24 industry groups, 67 industries and 147
sub-industries. Each company is assigned to one sub-industry. The GICS
guidelines used to determine the appropriate industry classification are:
|
·
|
A
security is classified in a sub-industry according to the business
activities that generate approximately 60% or more of the company’s
revenues.
|
|
·
|
A
company engaged in two or more substantially different business
activities, none of which contributes 60% or more of revenues, is
classified in the sub-industry that provides the majority of both
the
company’s revenues and earnings.
|
|
·
|
Where
the above guidelines cannot be applied, or are considered inappropriate,
further analysis is conducted, and other factors are analyzed to
determine
an appropriate classification.
|
Selecting
Securities for Index Inclusion
In
order
to ensure a broad and fair representation in the indexes of the diversity of
business activities in the universe, MSCI follows a “bottom-up” approach to
index construction, building indexes from the industry group level up. The
bottom-up approach to index construction requires a thorough analysis and
understanding of the characteristics of the universe. This analysis drives
the
individual security selection decisions, which aim to reflect the overall
features of the universe in the country index.
MSCI
targets an 85% free float-adjusted market representation level within each
industry group, within each country. The security selection process within
each
industry group is based on the careful analysis of:
|
·
|
Each
company’s business activities and the diversification that its securities
would bring to the index.
|
|
·
|
The
size (based on free float-adjusted market capitalization) and liquidity
of
securities. All other things being equal, MSCI targets for inclusion
the
most sizable and liquid securities in an industry group. In addition,
securities that do not meet the minimum size guidelines discussed
below
and/or securities with inadequate liquidity are not considered for
inclusion.
|
|
·
|
The
estimated free float for the company and its individual share classes.
Only securities of companies with an estimated overall and/or security
free float greater than 15% are, in general, considered for inclusion.
|
Maintaining
the MSCI Standard Index Series
Overall,
index maintenance can be described by three broad categories of implementation
of changes.
|
·
|
Annual
full country index reviews that systematically re-assess the various
dimensions of the equity universe for all countries and are conducted
on a
fixed annual timetable.
|
|
·
|
Quarterly
index reviews, aimed at promptly reflecting other significant market
events.
|
|
·
|
Ongoing
event-related changes, such as mergers and acquisitions, which are
generally implemented in the indexes rapidly as they occur.
|
Potential
changes in the status of countries (standalone, emerging, developed) follow
their own separate timetables. These changes are normally implemented in one
or
more phases at the regular annual full country index review and quarterly index
review dates.
Annual
Full Country Index Review
The
objective of the annual full country review, which is carried out every May,
is
to systematically re-assess the various dimensions of the equity universe for
all countries on a fixed annual timetable. This includes a re-appraisal of
the
free float-adjusted industry group representation within a country, a detailed
review of the shareholder information used to estimate free float for
constituent and non-constituent securities, updating of minimum size guidelines
for new and existing constituents, as well as changes typically considered
for a
quarterly index review as discussed below.
Quarterly
Index Review
The
quarterly index review process is designed to ensure that the indexes continue
to be an accurate reflection of the evolving equity marketplace. This is
achieved by rapidly reflecting significant market driven changes that were
not
captured in the index at the time of their actual occurrence and that should
not
wait until the annual full country index review due to their importance.
During
a
quarterly index review, securities may be added to or deleted from a country
index for a variety of reasons including the following:
· Additions
or deletions of securities, due to one or more industry groups having become
significant over- or under-represented as a result of mergers, acquisitions,
restructuring and other major market events affecting that industry group.
· Additions
or deletions resulting from changes in industry classification, significant
increases or decreases in free float, and relaxation/removal or decreases of
foreign ownership limitations not implemented immediately.
· Replacement
of companies, which are no longer suitable industry representatives.
· Deletion
of securities whose company and/or security free float has fallen to less than
15%.
· Deletion
of securities that have become very small or illiquid.
· Replacement
of securities (additions or deletions) resulting from the review of price source
for constituents with both domestic and foreign board quotations.
· Additions
or deletions of securities as a result of other market events.
Ongoing
Event-Related Changes
Ongoing
event-related changes to the indexes are the result of mergers, acquisitions,
spin-offs, bankruptcies, reorganizations and other similar corporate events.
Ongoing event-related charges can also result from capital reorganizations
in
the form of rights issues, bonus issues, public placements and other similar
corporate actions that take place on a continuing basis. These changes are
reflected in the indexes at the time of the event.
Announcement
Policy
The
results of the annual full country index review are announced at least two
weeks
in advance of their effective implementation dates as of the close of the last
business day of May.
The
results of the quarterly index reviews are announced at least two weeks in
advance of their effective implementation dates as of the close of the last
business day of February, August and November.
All
changes resulting from the corporate events are announced prior to their
implementations.
The
changes are typically announced at least ten business days prior to these
changes becoming effective in the indexes as an “expected” announcement, or as
an “undetermined” announcement, when the effective dates are not known yet or
when aspects of the event are uncertain. MSCI sends “confirmed” announcements at
least two business days prior to events becoming effective in the indexes,
provided that all necessary public information concerning the event is
available. The full list of all new and pending changes is delivered to clients
on a daily basis, at 5:30 PM U.S. Eastern Standard Time (EST).
In
exceptional cases, events are announced during market hours for same or next
day
implementation. Announcements made by MSCI during market hours are usually
linked to late company disclosure of corporate events or unexpected changes
to
previously announced corporate events.
In
the
case of large secondary offerings for existing constituents, where possible,
these changes will be announced prior to the end of a relevant subscription
period and a subsequent announcement confirming the details of the event
(including the date of implementation) will be made as soon as the results
are
available.
Both
equity offerings and secondary offerings for U.S. securities will be confirmed
through an announcement during market hours for same or next day implementation,
as the completion of the events cannot be confirmed prior to the notification
of
the pricing.
Early
deletions of constituents due to bankruptcy or other significant cases are
announced as soon as practicable.
License
Agreement
MSCI
and
HSBC have agreed to enter into a non-exclusive license agreement providing
for
the license to HSBC, and certain of its affiliates, in exchange for a fee,
of
the right to use the MSCI Emerging Markets Index in connection with certain
products, including the securities. The MSCI Emerging Markets Index is owned
and
published by MSCI.
The
securities are not sponsored, endorsed, sold or promoted by MSCI or any
affiliate of MSCI. Neither MSCI nor any other party makes any representation
or
warranty, express or implied, to the owners of the securities or any member
of
the public regarding the advisability of investing in financial products
generally or in the securities or the ability of the MSCI Indices to track
general stock market performance. MSCI is the licensor of certain trademarks,
service marks and trade names of MSCI and of the MSCI Emerging Markets Index,
which is determined, composed and calculated by MSCI without regard to the
securities or HSBC MSCI has no obligation to take the needs of HSBC or the
owners of this security into consideration in determining, composing or
calculating the MSCI Emerging Markets Index. MSCI is not responsible for and
has
not participated in the determination of the timing of, pricing at or quantities
of this security or in the determination or calculation of the equation by
which
this security is redeemable for cash. Neither MSCI nor any other party has
any
obligation or liability to owners of the securities in connection with the
administration, marketing or trading of the securities.
ALTHOUGH
MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION
OF
THE MSCI INDICES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI NOR
ANY OTHER PARTY GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE INDICES
OR ANY DATA INCLUDED THEREIN. NEITHER MSCI NOR ANY OTHER PARTY MAKES ANY
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE,
LICENSEE’S CUSTOMERS OR COUNTERPARTIES, OWNERS OF THE PRODUCTS OR ANY OTHER
PERSON OR ENTITY FROM THE USE OF THE INDICES OR ANY DATA INCLUDED THEREIN IN
CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. FURTHER,
NEITHER MSCI NOR ANY OTHER PARTY MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND
MSCI HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR
A PARTICULAR PURPOSE WITH RESPECT TO THE INDICES AND ANY DATA INCLUDED THEREIN.
NEITHER MSCI NOR ANY OTHER PARTY SHALL HAVE ANY LIABILITY FOR ANY ERRORS,
OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH THE MSCI INDICES OR ANY
DATA
INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
MSCI
OR ANY OTHER PARTY HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL,
PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN
IF
NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
No
purchaser, seller or holder of the securities, or any other person or entity,
should use or refer to MSCI’s trade name, trade mark or service mark rights to
the designations Morgan Stanley Capital International®,
MSCI®,
Morgan
Stanley Capital International Perspective®,
to
sponsor, endorse, market or promote the securities without first contacting
MSCI
to determined whether MSCI’s permission is required. Under no circumstances may
any person or entity claim affiliation with MSCI without the prior written
permission of MSCI.
Historical
Performance of the MXEF
The
following table sets forth the quarterly high and low intra-day levels, as
well
as end-of-quarter closing levels, of MXEF for each quarter in the period from
January 1, 2004 through September 28, 2007 and for the period from October
1,
2007 through December 21, 2007. The closing level of the MXEF on December 21,
2007 was 1,215.99. We obtained the data in the following table from Bloomberg
Financial Service, without independent verification by us. Historical
levels of MXEF should not be taken as an indication of future performance,
and
no assurance can be given that the level of MXEF will increase relative to
its
index starting level during the term of the securities.
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
March
31, 2004
|
489.77
|
442.95
|
482.06
|
June
30, 2004
|
498.68
|
394.58
|
432.20
|
September
30, 2004
|
467.71
|
416.39
|
464.15
|
December
31, 2004
|
542.55
|
462.42
|
542.17
|
March
31, 2005
|
590.28
|
517.39
|
548.69
|
June
30, 2005
|
573.07
|
524.91
|
565.17
|
September
30, 2005
|
661.32
|
560.80
|
661.32
|
December
30, 2005
|
709.57
|
601.27
|
706.48
|
March
31, 2006
|
793.45
|
704.40
|
787.80
|
June
30, 2006
|
883.53
|
663.54
|
747.54
|
September
30, 2006
|
791.49
|
707.56
|
778.17
|
December
29, 2006
|
913.94
|
767.08
|
912.65
|
March
30, 2007
|
945.04
|
841.96
|
929.03
|
June
29, 2007
|
1,070.03
|
926.59
|
1,059.69
|
September
28, 2007
|
1,210.24
|
934.57
|
1,204.90
|
October
1, 2007 through December 21, 2007
|
1,345.18
|
1,175.41
|
1,215.99
|
Certain
ERISA Considerations
|
We
urge you to read and consult “Certain ERISA Considerations” section in the
prospectus supplement.
|
Settlement
|
We
expect that the delivery of the securities will be made against payment
therefor on or about the settlement date specified on the cover page
of
this pricing supplement, which will be the fifth business day following
the trade date of the securities (such settlement cycle being referred
to
as “T+5”). Under Rule 15c6-1 of the Securities Exchange Act of 1934, as
amended, trades generally are required to settle in three business
days,
unless the parties to any such trade expressly agree
otherwise.
|
Discontinuance
or Modification of the Index
|
If
a
reference sponsor (as defined below) discontinues publication of
or
otherwise fails to publish the applicable index on any day on which
that
index is scheduled to be published and that reference sponsor or
another
entity publishes a successor or substitute index that the calculation
agent determines to be comparable to the discontinued index (the
comparable index, the “successor index”), then that successor index will
be deemed to be the index for all purposes relating to the securities,
including for purposes of determining whether a market disruption
event
exists. Upon any selection by the calculation agent of a successor
index,
the calculation agent will furnish written notice to us and the holders
of
the securities.
If
an index is discontinued or if a reference sponsor fails to publish
the
applicable index and the calculation agent determines that no successor
index is available at that time, then the calculation agent will
determine
the applicable basket closing level using the same general methodology
previously used by the reference sponsor. The calculation agent will
continue to make that determination until the earlier of (i) the
final
valuation date or (ii) a determination by the calculation agent that
the
index or a successor index is available. In that case, the calculation
agent will furnish written notice to us and the holders of the
securities.
If
at any time the method of calculating an index or a successor index,
or
the level thereof, is changed in a material respect, or if an index
or a
successor index is in any other way modified so that, in the determination
of the calculation agent, the level of that index does not fairly
represent the level of such index or successor index that would have
prevailed had those changes or modifications not been made, then
the
calculation agent will make the calculations and adjustments as may
be
necessary in order to determine a level comparable to the level that
would
have prevailed had those changes or modifications not been made.
If, for
example, the method of calculating an index or a successor index
is
modified so that the level of that index is a fraction of what it
would
have been if it had not been modified, then the calculation agent
will
adjust that index in order to arrive at a level of such index or
successor
index as if it had not been modified. In that case, the calculation
agent
will furnish written notice to us and the holders of the
securities.
Notwithstanding
these alternative arrangements, discontinuance of the publication
of the
index may adversely affect the value of, and trading in, the
securities.
“Reference
sponsor” means:
• with
respect to the SX5E, STOXX Limited;
• With
respect to the UKX, FTSE International Limited;
• with
respect to the NKY, Nihon Keizai Shimbun, Inc.;
• with
respect to the SMI, SWX Group;
• With
respect to the AS51, Standard & Poor’s and the Australian Stock
Exchange; and
• with
respect to the MXEF, Morgan Stanley Capital International
Inc.
|
Events
of Default and Acceleration
|
If
the calculation agent determines that the securities have become
immediately due and payable following an event of default (as defined
in
the prospectus) with respect to the securities, the calculation agent
will
determine the accelerated the payment at maturity due and payable
in the
same general manner as described in “Final Terms” in this pricing
supplement. In that case, the scheduled trading day preceding the
date of
acceleration will be used as the final valuation date for purposes
of
determining the accelerated return of the index. If a market disruption
event exists with respect to the index on that scheduled trading
day, then
the accelerated final valuation date for the index will be postponed
for
up to eight scheduled trading days (in the same general manner used
for
postponing the originally scheduled final valuation date). The accelerated
maturity date will be the third business day following the accelerated
final valuation date.
If
the securities have become immediately due and payable following
an event
of default, you will not be entitled to any additional payments with
respect to the securities. For more information, see “Description of Debt
Securities — Events of Default” and “— Events of Default; Defaults” in the
prospectus.
|
Supplemental
Plan of Distribution
|
We
will agree to sell to UBS Financial Services Inc. (the “Agent”), and the
Agent has agreed to purchase, all of the securities at the price
indicated
on the cover of this pricing supplement, the document that will be
filed
pursuant to Rule 424(b)(2) containing the final pricing terms of
the
securities. We have agreed to indemnify the Agent against liabilities,
including liabilities under the Securities Act of 1933, as amended,
or to
contribute to payments that the Agent may be required to make relating
to
these liabilities as described in the accompanying prospectus supplement
and the prospectus. UBS Financial Services Inc. may allow a concession
not
in excess of the underwriting discount to its affiliates.
Subject
to regulatory constraints, HSBC USA Inc. (or an affiliate thereof)
intends
to offer to purchase the securities in the secondary market, but
is not
required to do so. We or our affiliate will enter into swap agreements
or
related hedge transactions with one of our other affiliates or
unaffiliated counterparties in connection with the sale of the securities
and the Agent and/or an affiliate may earn additional income as a
result
of payments pursuant to the swap or related hedge
transactions.
|
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end
-----END PRIVACY-ENHANCED MESSAGE-----