Title of Each Class of
Securities Offered
|
Maximum Aggregate
Offering Price |
Amount of
Registration Fee (1) |
||
HSBC USA Inc. Trigger Yield Optimization Notes linked to the common stock of SanDisk Corporation due December 31, 2012
|
$2,391,294.95
|
$274.04
|
||
HSBC USA Inc. Trigger Yield Optimization Notes linked to the common stock of Barrick Gold Corporation due December 31, 2012
|
$2,383,606.96
|
$273.16
|
PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158385
Dated December 28, 2011
|
![]() |
Investment Description
|
Features
|
q
|
Income: Regardless of the performance of the Underlying Stock, HSBC will pay you a monthly coupon. In exchange for receiving the monthly coupon on the Notes, you are accepting the risk of receiving shares of the Underlying Stock at maturity that are worth less than your Principal Amount and the credit risk of HSBC for all payments under the Notes.
|
q
|
Contingent Repayment of Principal Amount at Maturity: If the price of the Underlying Stock does not close below the Trigger Price on the Final Valuation Date, HSBC will pay you the Principal Amount per Note at maturity and you will not participate in any appreciation or decline in the value of the Underlying Stock. If the price of the Underlying Stock closes below the Trigger Price on the Final Valuation Date, HSBC will deliver to you one share of the Underlying Stock at maturity per Note, which is expected to be worth significantly less than your Principal Amount and may have no value at all. The contingent repayment of principal only applies if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of HSBC.
|
Key Dates
|
Trade Date
|
December 28, 2011
|
||
Settlement Date
|
December 30, 2011
|
||
Final Valuation Date1
|
December 24, 2012
|
||
Maturity Date1
|
December 31, 2012
|
||
1 See page 3 for additional details.
|
Note Offerings
|
Underlying Stocks
|
Ticker
|
Exchange
|
Coupon Rate
|
Total Coupon Payable
|
Initial Price
|
Trigger Price
|
CUSIP
|
ISIN
|
SanDisk Corporation
|
SNDK
|
NASDAQ Global
Select Market |
10.45% per annum
|
10.45%
|
$49.15
|
$34.41 (70.00%
of the Initial Price) |
40433K736
|
US40433K7366
|
Barrick Gold Corporation
|
ABX
|
New York Stock
Exchange |
8.75% per annum
|
8.75%
|
$44.24
|
$33.18 (75.00%
of the Initial Price) |
40433K728
|
US40433K7283
|
Issue Price to Public
|
Underwriting Discount
|
Proceeds to Us
|
||||
Total
|
Per Security
|
Total
|
Per Security
|
Total
|
Per Security
|
|
SanDisk Corporation
|
$2,391,294.95
|
$49.15
|
$47,825.90
|
$0.9830
|
$2,343,469.05
|
$48.1670
|
Barrick Gold Corporation
|
$2,383,606.96
|
$44.24
|
$47,672.14
|
$0.8848
|
$2,335,934.82
|
$43.3552
|
UBS Financial Services Inc.
|
HSBC USA Inc.
|
Additional Information about HSBC USA Inc. and the Notes
|
|
¨
|
Product supplement dated April 9, 2009:
|
|
¨
|
Prospectus supplement dated April 9, 2009:
|
|
¨
|
Prospectus dated April 2, 2009:
|
Final Terms
|
Issuer
|
HSBC USA Inc. (“HSBC”)
|
Principal Amount
|
Equal to the respective Initial Price (as defined below) of each Underlying Stock.
|
Term
|
12 months
|
Trade Date
|
December 28, 2011
|
Settlement Date
|
December 30, 2011
|
Final Valuation Date
|
December 24, 2012, subject to adjustment in the event of a Market Disruption Event.
|
Maturity Date
|
December 31, 2012, subject to adjustment in the event of a Market Disruption Event.
|
Underlying Stocks
|
SanDisk Corporation (Ticker: SNDK)
Barrick Gold Corporation (Ticker: ABX)
|
Coupon Payments1 2
|
Coupon paid monthly in arrears on the Coupon Payment Dates in twelve equal installments based on the coupon rate, regardless of the performance of the Underlying Stock.
The coupon rate per annum for Notes linked to the common stock of SanDisk Corporation is 10.45% per annum of the Principal Amount of those Notes and the coupon rate per annum for Notes linked to the common stock of Barrick Gold Corporation is 8.75% per annum of the Principal Amount of those Notes.
|
Total Coupon Payable1
|
For Notes linked to the common stock of SanDisk Corporation: 10.45% of the Principal Amount, and for Notes linked to the common stock of Barrick Gold Corporation: 8.75% of the Principal Amount.
|
Equal Installments
|
For Notes linked to the common stock of SanDisk Corporation: $0.4280 of the Principal Amount and for Notes linked to the common stock of Barrick Gold Corporation: $0.3226 of the Principal Amount.
|
Payment at
Maturity1 2 (per Note)
|
If the Final Price of the Underlying Stock is greater than or equal to the Trigger Price, HSBC will pay you a cash payment on the Maturity Date (in addition to any Coupon Payment) equal to the full Principal Amount.
If the Final Price is below the Trigger Price, HSBC will deliver to you one share of the Underlying Stock for each Note you then hold (subject to adjustments in the case of certain corporate events as described in the accompanying product supplement).
The full repayment of the Principal Amount is not guaranteed. The shares of the Underlying Stock you may receive at maturity will likely be worth less than your principal and may have no value at all.
|
Initial Price
|
The Closing Price of one share of the relevant Underlying Stock on the Trade Date, which with respect to the common stock of SanDisk Corporation was $49.15 and with respect to the common stock of Barrick Gold Corporation was $44.24.
|
Final Price
|
The Closing Price of one share of the relevant Underlying Stock on the Final Valuation Date.
|
Trigger Price
|
For the Notes linked to the common stock of SanDisk Corporation, $34.41, which is 70.00% of its Initial Price.
For the Notes linked to the common stock of Barrick Gold Corporation, $33.18, which is 75.00% of its Initial Price.
|
Closing Price
|
On any scheduled trading day, the last reported sale price of the Underlying Stock on the relevant exchange as determined by the Calculation Agent.
|
Calculation Agent
|
HSBC USA Inc.
|
Deposit and Put Premium
|
As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes — Certain Notes Treated as a Put Option and a Deposit,“ (i) for purposes of dividing the 10.45% per annum coupon rate on the Notes linked to the common stock of SanDisk Corporation among interest on the Deposit and Put Premium, 1.22% constitutes interest on the Deposit and 9.23% constitutes Put Premium, and (ii) for purposes of dividing the 8.75% per annum coupon rate on the Notes linked to the common stock of Barrick Gold Corporation among interest on the Deposit and Put Premium, 1.22% constitutes interest on the Deposit and 7.53% constitutes Put Premium.
|
Investment Timeline
|
Coupon Payment Dates
|
Coupons will be paid monthly in arrears in twelve equal installments, beginning in January 2012 and ending in December 2012. The Coupon Payment Dates are expected to be January 31, 2012, February 29, 2012, March 30, 2012, April 30, 2012, May 31, 2012, June 29, 2012, July 31, 2012, August 31, 2012, September 28, 2012, October 31, 2012, November 30, 2012 and December 31, 2012 (the Maturity Date).
|
|
Trustee
|
Notwithstanding anything contained in the accompanying prospectus supplement to the contrary, the Notes will be issued under the senior indenture dated March 31, 2009, between HSBC USA Inc., as Issuer, and Wells Fargo Bank, National Association, as Trustee. Such indenture has substantially the same terms as the indenture described in the accompanying prospectus supplement.
|
|
Paying Agent
|
HSBC Bank USA, N.A. will act as paying agent with respect to the Notes pursuant to a Paying Agent and Securities Registrar Agreement dated June 1, 2009, between HSBC USA Inc. and HSBC Bank USA, N.A.
|
Investor Suitability
|
||
The Notes may be suitable for you if:
¨ You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
¨ You can tolerate losing some or all of your initial investment and are willing to make an investment that may have the same downside market risk as the Underlying Stock.
¨ You believe the Final Price is not likely to be below the Trigger Price and, if it is, you can tolerate receiving shares of the Underlying Stock at maturity worth less than your Principal Amount or that may have no value at all.
¨ You understand and accept that you will not participate in any appreciation in the price of the Underlying Stock and that your return at maturity is limited to the coupons paid on the applicable Note.
¨ You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying Stock.
¨ You are willing to invest in the Notes based on the relevant coupon rate per annum specified on the cover of this pricing supplement.
¨ You are willing to hold the Notes to maturity, a term of twelve months, and accept that there may be no secondary market for the Notes.
¨ You are willing to assume the credit risk of HSBC for all payments under the Notes, and understand that if HSBC defaults on its obligations you may not receive any amounts due to you including any repayment of principal.
|
The Notes may not be suitable for you if:
¨ You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
¨ You cannot tolerate losing some or all of your initial investment and are unwilling to make an investment that may have the same downside market risk as the Underlying Stock.
¨ You seek an investment designed to provide a full return of principal at maturity.
¨ You believe the Final Price is likely to be below the Trigger Price, which could result in a total loss of your initial investment.
¨ You cannot tolerate receiving shares of the Underlying Stock at maturity worth less than your Principal Amount or that may have no value at all.
¨ You seek an investment that participates in the full appreciation in the price of the Underlying Stock or that has unlimited return potential.
¨ You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying Stock.
¨ You are unwilling to invest in the Notes based on the relevant coupon rate per annum specified on the cover of this pricing supplement.
¨ You prefer lower risk and, therefore, accept the potentially lower returns of conventional debt securities with comparable maturities and credit ratings that bear interest at a prevailing market rate.
¨ You are unable or unwilling to hold the Notes to maturity, a term of twelve months, and seek an investment for which there will be an active secondary market.
¨ You are not willing to assume the credit risk of HSBC for all payments under the Notes, including any repayment of principal.
|
What are the Tax Consequences of the Notes?
|
Underlying Stock
|
Coupon Rate per Annum
|
Interest on Deposit
Component per Annum |
Put Option Component
per Annum |
Common stock of SanDisk Corporation
|
10.45%
|
1.22%
|
9.23%
|
Common stock of Barrick Gold Corporation
|
8.75%
|
1.22%
|
7.53%
|
Key Risks
|
|
¨
|
Risk of Loss at Maturity — The Notes differ from ordinary debt securities in that the Issuer will not necessarily pay the full Principal Amount of the Notes at maturity. HSBC will only pay you the Principal Amount of your Notes in cash if the Final Price of the Underlying Stock is greater than or equal to the Trigger Price and only at maturity. If the Final Price is below the Trigger Price, HSBC will deliver to you one share of the Underlying Stock at maturity for each Note that you own instead of the Principal Amount in cash. If you receive shares of the Underlying Stock at maturity, the value of the stock is expected to be significantly less than the Principal Amount of the Notes or may have no value at all.
|
|
¨
|
Your Return on the Notes is Expected to be Limited to the Coupons Paid on the Notes — Even though you will be subject to the risk of a decline in the price of the Underlying Stock, you are not expected to participate in any appreciation in the price of the Underlying Stock. If the Final Price is equal to or greater than the Trigger Price, HSBC will pay you the Principal Amount of your Notes in cash at maturity, and you will not participate in any appreciation or decline in the price of the Underlying Stock. If the Final Price is less than the Trigger Price, we will deliver to you shares of the Underlying Stock at maturity, each of which will be worth less than the Trigger Price as of the Final Valuation Date and are unlikely to be worth more than the Principal Amount as of the Maturity Date because this circumstance would require the price of SanDisk Corporation to appreciate by at least 42.86%, and the price of Barrick Gold Corporation to appreciate by at least 33.33% from the Final Valuation Date to the Maturity Date (a period of approximately four business days), depending on the price of the Underlying Stock on the Final Valuation Date, which is unlikely to happen. Therefore, your return on the Notes as of the Maturity Date is expected to be limited to the coupons paid and may be less than your return on a direct investment in the Underlying Stock.
|
|
¨
|
Contingent Repayment of the Principal Amount Only Applies at Maturity — You should be willing to hold your Notes to maturity. If you are able to sell your Notes prior to maturity in the secondary market, you may have to sell them at a loss relative to your initial investment even if the price of the Underlying Stock is above the Trigger Price.
|
|
¨
|
Higher Coupon Rates are Generally Associated with a Greater Risk of Loss — Greater expected volatility with respect to the Underlying Stock reflects a higher degree of risk as of the Trade Date that the price of such Underlying Stock could close below the Trigger Price on the Final Valuation Date. This greater expected risk will generally be reflected in a higher coupon rate for the Notes. However, while the coupon rate is set on the Trade Date, the Underlying Stock’s volatility can change significantly over the term of the Notes. Regardless of the expected volatility, the price of the Underlying Stock could fall sharply, which could result in a significant loss of your initial investment.
|
|
¨
|
The Notes are Subject to the Credit Risk of the Issuer — The Notes are senior unsecured debt obligations of HSBC and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Notes will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Notes, including any repayment of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Notes and, in the event HSBC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes and you could lose your entire investment.
|
|
¨
|
Single Stock Risk — The price of the Underlying Stock can rise or fall sharply due to factors specific to that Underlying Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. For additional information about the Underlying Stocks and their issuers, please see “Information about the Underlying Stocks”, “SanDisk Corporation” and “Barrick Gold Corporation” in this pricing supplement and the issuer’s SEC filings referred to in those sections.
|
|
¨
|
No Assurances of a Flat or Bullish Environment — If you hold your Notes to maturity and the Final Price of the Underlying Stock is above the Trigger Price, HSBC will repay your full initial investment subject to its creditworthiness. HSBC cannot, however, assure you of the economic environment during the term or at maturity of your Notes and the Final Price may be below the Trigger Price resulting in a loss on your investment.
|
|
¨
|
The Notes Lack Liquidity — The Notes will not be listed on any securities exchange or quotation system. One of HSBC’s affiliates may offer to purchase the Notes in the secondary market but is not required to do so and may cease any such market making activities at any time. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which one of HSBC’s affiliates is willing to buy the Notes and you may, therefore, have to sell your Notes at a significant discount. You should, therefore, be willing to hold the Notes to maturity.
|
|
¨
|
Impact of Fees on Secondary Market Prices — Generally, the price of the Notes in the secondary market, if any, is likely to be lower than the initial offering price since the issue price includes, and the secondary market prices are likely to exclude, commissions, hedging costs or other compensation paid with respect to the Notes.
|
|
¨
|
Owning the Notes is Not the Same as Owning the Underlying Stock — The return on your Notes may not reflect the return you would realize if you actually owned the Underlying Stock. As a holder of the Notes, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of the Underlying Stock would have. Furthermore, the Underlying Stock may appreciate substantially during the term of your Notes and you will not participate in such appreciation except in the unlikely circumstances where the Final Price of the Underlying Stock is below the Trigger Price on the Final Valuation Date and the market price of
|
|
|
the Underlying Stock on the Maturity Date is greater than the Initial Price.
|
|
¨
|
Risks associated with non-U.S. companies — An investment in Securities linked to the value of non-U.S. companies, such as Barrick Gold Corporation (which is issued by a Canadian issuer), involves risks associated with the home country of such non-U.S. company. The prices of such non-U.S. company’s common stock may be affected by political, economic, financial and social factors in the home country of such non-U.S. company, including changes in such country’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions, which could affect the value of the Securities.
|
|
¨
|
Potentially Inconsistent Research, Opinions or Recommendations by HSBC, UBS or Their Respective Affiliates — HSBC USA Inc., UBS Financial Services Inc., and their respective affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding any offering of the Notes; and which may be revised at any time. Any such research, opinions or recommendations could affect the price of the Underlying Stock, and therefore, the market value of the Notes.
|
|
¨
|
Potential Issuer Impact on Price — Trading or transactions by HSBC or its affiliates in the Underlying Stock or in futures, options, exchange-traded funds or other derivative products on the Underlying Stock, may adversely affect the market value of the Underlying Stock, and, therefore, the market value of your Notes.
|
|
¨
|
Potential Conflict of Interest — HSBC and its affiliates may engage in business with the issuer of the Underlying Stock, which may present a conflict between the obligations of HSBC and you, as a holder of the Notes. HSBC, as the Calculation Agent, will determine the Payment at Maturity based on the Final Price. The Calculation Agent can postpone the determination of the Final Price or the Maturity Date if a Market Disruption Event occurs and is continuing on the Final Valuation Date.
|
|
¨
|
Price Prior to Maturity — The market price of the Notes will be influenced by many unpredictable factors including the Closing Price of the Underlying Stock over the term of the Notes, volatilities, dividends, the time remaining to maturity of the Notes, interest rates, geopolitical conditions, economic, political, financial and regulatory or judicial events, and the creditworthiness of HSBC.
|
|
¨
|
The Notes are Not Insured by any Governmental Agency of The United States or any Other Jurisdiction — The Notes 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 or program of the United States or any other jurisdiction. An investment in the Notes is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive any amounts owed to you under the Notes.
|
|
¨
|
There is Limited Anti-Dilution Protection — The Calculation Agent will adjust the Final Price, for certain events affecting the shares of the Underlying Stock, such as stock splits and corporate actions which may affect the Payment at Maturity. The Calculation Agent is not required to make an adjustment for every corporate action which affects the shares of the Underlying Stock. If an event occurs that does not require the Calculation Agent to adjust the amount of the shares of the Underlying Stock, the market price of the Notes and the Payment at Maturity may be materially and adversely affected. See the “Adjustments” section on page PS-11 of the accompanying product supplement.
|
|
¨
|
In Some Circumstances, the Payment You Receive on the Notes May be Based on the Stock of Another Company and Not the Underlying Stock — Following certain corporate events relating to the respective issuer of the Underlying Stock where such issuer is not the surviving entity, the amount of cash or stock you receive at maturity may be based on the stock of a successor to the respective Underlying Stock issuer or any cash or any other assets distributed to holders of the Underlying Stock in such corporate event. The occurrence of these corporate events and the consequent adjustments may materially and adversely affect the value of the Notes. For more information, see the section “Specific terms of the Notes — Merger Event and Tender Offer” beginning on page PS-10 of the accompanying product supplement. Regardless of the occurrence of one or more dilution or reorganization events, you should note that at maturity you will receive an amount in cash from HSBC equal to your Principal Amount unless the Final Price of the Underlying Stock is below the Trigger Price (as such Trigger Price may be adjusted by the Calculation Agent upon occurrence of one or more such events).
|
|
¨
|
Uncertain Tax Treatment – Significant aspects of the tax treatment of the Notes are uncertain. You should read carefully the section herein entitled "What are the Tax Consequences of the Notes?" and the section entitled "Certain U.S. Federal Income Tax Considerations’’ on page S-39 of the accompanying prospectus supplement and consult your tax advisor regarding your particular tax situation.
|
Hypothetical Examples
|
Term:
Hypothetical Initial Price of the Underlying Stock:
Hypothetical Trigger Price:
Hypothetical Principal Amount:
|
12 months
$100.00 per share
$70.00 (70.00% of the hypothetical Initial Price)
$100.00 per Note (set equal to the hypothetical Initial Price)
|
Hypothetical coupon rate per annum**:
|
8.75% (0.7292% or $0.73 per month)
|
Hypothetical total coupon payable**
|
8.75% of the Hypothetical Principal Amount (or $8.75 total)
|
Hypothetical Dividend yield on the Underlying Stock***:
|
4.00% over term of Notes (based on an annual rate of 4.00%)
|
*
|
Not the actual coupon rate per annum, Initial Price, Principal Amount or Trigger Price applicable to your Notes. The actual coupon rate per annum, the Initial Price, the Principal Amount and the Trigger Price with respect to each offering is specified on the cover of this pricing supplement.
|
**
|
Coupon payment will be paid in arrears in monthly installments on an unadjusted basis during the term of the Note.
|
***
|
Hypothetical dividend yield holders of the Underlying Stock might receive over the term of the Notes. Holders of the Notes will not be entitled to any dividendpayments made on the Underlying Stock.
|
Payment at Maturity:
Coupons:
Total:
Total Return on the Notes:
|
$100.00
$ 8.75
$108.75
8.75%
|
($0.73 × 12 = $8.75)
|
Payment at Maturity:
Coupons:
Total:
Total Return on the Notes:
|
$100.00
$ 8.75
$108.75
8.75%
|
($0.73 × 12 = $8.75)
|
Payment at Maturity:
Coupons:
Total:
Total Return on the Notes:
|
$100.00
$ 8.75
$108.75
8.75%
|
($0.73 × 12 = $8.75)
|
Value of share received:
Coupons:
Total:
|
$60.00
$ 8.75
$68.75
|
($0.73 × 12 = $8.75)
|
Total Return on the Notes:
|
-31.25%
|
Underlying Stock
|
The Hypothetical Final Price is Greater Than or Equal to
the Hypothetical Trigger Price |
The Hypothetical Final Price is Less
Than the Hypothetical Trigger Price |
||||
Hypothetical Final
Price(1) |
Hypothetical
Stock Price Return(2) |
Hypothetical Total
Return on the Underlying Stock at Maturity(3) |
Hypothetical Total
Payment at Maturity + Coupon Payments(4) |
Hypothetical
Total Return on the Notes at Maturity(5) |
Hypothetical
Total Payment at Maturity + Coupon Payments (6) |
Hypothetical
Total Return on the Notes at Maturity(5) (7) |
$150.00
|
50.00%
|
54.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$145.00
|
45.00%
|
49.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$140.00
|
40.00%
|
44.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$135.00
|
35.00%
|
39.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$130.00
|
30.00%
|
34.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$125.00
|
25.00%
|
29.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$120.00
|
20.00%
|
24.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$115.00
|
15.00%
|
19.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$110.00
|
10.00%
|
14.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$105.00
|
5.00%
|
9.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$100.00
|
0.00%
|
4.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$95.00
|
-5.00%
|
-1.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$90.00
|
-10.00%
|
-6.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$85.00
|
-15.00%
|
-11.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$80.00
|
-20.00%
|
-16.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$75.00
|
-25.00%
|
-21.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$70.00
|
-30.00%
|
-26.00%
|
$108.75
|
8.75%
|
N/A
|
N/A
|
$65.00
|
-35.00%
|
-31.00%
|
N/A
|
N/A
|
$73.75
|
-26.25%
|
$60.00
|
-40.00%
|
-36.00%
|
N/A
|
N/A
|
$68.75
|
-31.25%
|
$55.00
|
-45.00%
|
-41.00%
|
N/A
|
N/A
|
$63.75
|
-36.25%
|
$50.00
|
-50.00%
|
-46.00%
|
N/A
|
N/A
|
$58.75
|
-41.25%
|
(1)
|
If the Final Price of the Underlying Stock is not below the Trigger Price on the Final Valuation Date, this number represents the Final Price as of the Final Valuation Date. If the Final Price of the Underlying Stock is below the Trigger Price on the Final Valuation Date, this number represents the Final Price as of the Final Valuation Date and the Maturity Date.
|
(2)
|
If the Hypothetical Stock Price Return declines below -50.00%, you may lose up to 100% of your initial investment.
|
(3)
|
The total return on the Underlying Stock at maturity includes a hypothetical 4.00% cash dividend payment (based on an annual rate of 4.00%).
|
(4)
|
Payment consists of the Principal Amount plus Coupon Payments of a hypothetical 8.75% per annum (equivalent to 8.75% over the term of the Notes).
|
(5)
|
The total return on the Notes at maturity includes Coupon Payments of a hypothetical 8.75% per annum (equivalent to 8.75% over the term of the Notes).
|
(6)
|
Payment consists of shares of the Underlying Stock plus Coupon Payments of a hypothetical 8.75% per annum (equivalent to 8.75% over the term of the Notes).
|
(7)
|
If the Final Price is less than the Trigger Price, the total return at maturity will only be positive in the event that the market price of the Underlying Stock on the Maturity Date is substantially greater than the Final Price of such Underlying Stock on the Final Valuation Date. Such an increase in price is not likely to occur.
|
Information about the Underlying Stocks
|
SanDisk Corporation
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$79.80
|
$52.16
|
$57.52
|
4/3/2006
|
6/30/2006
|
$66.20
|
$49.18
|
$50.98
|
7/3/2006
|
9/29/2006
|
$60.94
|
$37.34
|
$53.54
|
10/2/2006
|
12/29/2006
|
$62.24
|
$42.00
|
$43.03
|
1/3/2007
|
3/30/2007
|
$46.24
|
$35.82
|
$43.80
|
4/2/2007
|
6/29/2007
|
$49.61
|
$41.48
|
$48.94
|
7/2/2007
|
9/28/2007
|
$59.75
|
$47.14
|
$55.10
|
10/1/2007
|
12/31/2007
|
$55.97
|
$32.74
|
$33.17
|
1/2/2008
|
3/31/2008
|
$33.73
|
$19.84
|
$22.57
|
4/1/2008
|
6/30/2008
|
$33.17
|
$18.63
|
$18.70
|
7/1/2008
|
9/30/2008
|
$23.50
|
$13.07
|
$19.55
|
10/1/2008
|
12/31/2008
|
$21.40
|
$5.07
|
$9.60
|
1/2/2009
|
3/31/2009
|
$13.46
|
$7.53
|
$12.65
|
4/1/2009
|
6/30/2009
|
$16.72
|
$12.04
|
$14.69
|
7/1/2009
|
9/30/2009
|
$23.20
|
$13.02
|
$21.70
|
10/1/2009
|
12/31/2009
|
$31.17
|
$19.18
|
$28.99
|
1/3/2010
|
3/31/2010
|
$36.25
|
$24.91
|
$34.63
|
4/1/2010
|
6/30/2010
|
$50.54
|
$34.00
|
$42.07
|
7/1/2010
|
9/30/2010
|
$46.80
|
$33.04
|
$36.65
|
10/1/2010
|
12/31/2010
|
$52.31
|
$35.95
|
$49.86
|
1/3/2011
|
3/31/2011
|
$53.60
|
$41.11
|
$46.09
|
4/1/2011
|
6/30/2011
|
$51.14
|
$38.79
|
$41.50
|
7/1/2011
|
9/30/2011
|
$46.46
|
$32.25
|
$40.35
|
10/3/2011
|
12/28/2011*
|
$53.45
|
$37.64
|
$49.15
|
Barrick Gold Corporation
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$32.14
|
$25.13
|
$27.24
|
4/3/2006
|
6/30/2006
|
$35.93
|
$26.70
|
$29.60
|
7/3/2006
|
9/29/2006
|
$34.47
|
$27.61
|
$30.72
|
10/2/2006
|
12/29/2006
|
$31.63
|
$27.64
|
$30.70
|
1/3/2007
|
3/30/2007
|
$32.56
|
$26.94
|
$28.55
|
4/2/2007
|
6/29/2007
|
$31.48
|
$27.71
|
$29.07
|
7/2/2007
|
9/28/2007
|
$41.13
|
$28.94
|
$40.28
|
10/1/2007
|
12/31/2007
|
$47.71
|
$37.05
|
$42.05
|
1/2/2008
|
3/31/2008
|
$54.74
|
$41.54
|
$43.45
|
4/1/2008
|
6/30/2008
|
$46.20
|
$37.00
|
$45.50
|
7/1/2008
|
9/30/2008
|
$52.47
|
$26.03
|
$36.74
|
10/1/2008
|
12/31/2008
|
$39.23
|
$17.95
|
$36.77
|
1/2/2009
|
3/31/2009
|
$40.90
|
$25.54
|
$32.42
|
4/1/2009
|
6/30/2009
|
$38.96
|
$27.09
|
$33.55
|
7/1/2009
|
9/30/2009
|
$41.98
|
$30.67
|
$37.90
|
10/1/2009
|
12/31/2009
|
$48.02
|
$34.50
|
$39.38
|
1/3/2010
|
3/31/2010
|
$42.63
|
$33.65
|
$38.34
|
4/1/2010
|
6/30/2010
|
$47.25
|
$38.15
|
$45.41
|
7/1/2010
|
9/30/2010
|
$47.55
|
$39.68
|
$46.29
|
10/1/2010
|
12/31/2010
|
$55.65
|
$44.87
|
$53.18
|
1/3/2011
|
3/31/2011
|
$54.26
|
$45.60
|
$51.91
|
4/1/2011
|
6/30/2011
|
$55.74
|
$42.50
|
$45.29
|
7/1/2011
|
9/30/2011
|
$55.94
|
$44.25
|
$46.65
|
10/3/2011
|
12/28/2011*
|
$53.26
|
$42.90
|
$44.24
|
Events of Default and Acceleration
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
Validity of the Notes
|
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