424B2 1 d424b2.htm PRICING SUPPLEMENT Pricing Supplement
Table of Contents

LOGO

Terms used in this pricing supplement are described or defined in the product supplement, prospectus supplement and prospectus. The notes offered will have the terms described in the product supplement, prospectus supplement and the prospectus. The notes are not principal protected, and you may lose some or all of your principal.

This pricing supplement relates to four separate note offerings; each reference asset identified below represents a separate note offering. The purchaser of a note will acquire a security linked to a single reference asset (not a basket or index of reference assets). Although each offering relates to a reference asset, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to that reference asset or as to the suitability of an investment in the related notes. The following key terms relate to each separate notes offering:

 

   Offering Period End Date: November 27, 2006 at 2:00 pm, New York City time

 

   Initial Public Offering Price: 100 per cent

 

   Initial Valuation Date: November 27, 2006

 

   Issue Date: November 30, 2006

 

   Maturity Date: 3 business days after the final valuation date, which is expected to be November 30, 2007

 

   Interest Payment Dates: Each quarterly anniversary of the issue date (or if that day is not a business day, the following business day), commencing on February 27, 2007 and ending on the maturity date

 

   Listing: The notes will not be listed on any U.S. securities exchange or quotation system

 

REFERENCE ASSET/

REFERENCE ISSUER

(TICKER)

  PAGE  
NUMBER  
 

INTEREST  
RATE (PER  

ANNUM)

 

INITIAL  

PRICE  

 

BARRIER  

PRICE  

 

PRINCIPAL  

AMOUNT  

  AGENT’S
DISCOUNT OR
COMMISSION  
PER NOTE /
TOTAL (1)
 

PROCEEDS TO
US PER NOTE /  

TOTAL

  CUSIP / ISIN   FINAL
VALUATION
DATE

ARCH COAL, INC.

(ACI)

  PR-6   15.25%   $34.11   $27.29   $481,000.00     2.25% /
$10,822.50
  97.75% /
$470,177.50
  40428H FJ 6 /
US40428HFJ68  
  November 27,
2007

TELLABS, INC. (TLAB)

  PR-7   12.00%   $10.86   $8.69   $380,000.00     2.25% /
$8,550.00
  97.75% /
$371,450.00
  40428H FL 1/
US40428HFL15  
  November 27,
2007

BARRICK GOLD

CORPORATION (ABX)

  PR-8   9.25%   $29.75   $23.80   $250,000.00     2.25% /
$5,625.00
  97.75% /
$244,375.00
  40428H FM 9/
US40428HFM97  
  November 27,
2007

ST. JUDE MEDICAL,

INC. (STJ)

  PR-9   8.50%   $36.90   $29.52   $744,000.00     2.25% /
$16,740.00
  97.75% /
$727,260.00
  40428H FP 2/
US40428HFP29  
  November 27,
2007

(1) Agent’s discount may vary but will be no more than the amount listed in “Agent’s Discount or Commission per Note / Total,” above.

See “Risk Factors” in this pricing supplement beginning on page PR-3, in the product supplement beginning on page PS-3 and in the prospectus supplement beginning on page S-3 for a description of risks relating to an investment in the notes.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these notes or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.

The notes are not deposit liabilities of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency of the United States or any other jurisdiction.

CALCULATION OF REGISTRATION FEE

 

TITLE OF EACH CLASS OF SECURITIES OFFERED

   MAXIMUM    
AGGREGATE    
OFFERING    
PRICE    
   AMOUNT OF    
REGISTRATION    
FEE (1)    

Reverse Convertible Notes linked to ACI due November 30, 2007

   $481,000.00    $51.47

Reverse Convertible Notes linked to TLAB due November 30, 2007

   $380,000.00    $40.66

Reverse Convertible Notes linked to ABX due November 30, 2007

   $250,000.00    $26.75

Reverse Convertible Notes linked to STJ due November 30, 2007

   $744,000.00    79.61

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933, as amended.

 

HSBC SECURITIES (USA) INC.

 

November 27, 2006

  LOGO


Table of Contents

TABLE OF CONTENTS

 

     Page

GENERAL TERMS

  

PR-3

RISK FACTORS

  

PR-3

SUMMARY

  

PR-3

CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS

  

PR-4

REFERENCE ISSUER AND REFERENCE ASSET INFORMATION

  

PR-4

 

 

 

 

 

 

 

 


PR-2


Table of Contents

GENERAL TERMS


This pricing supplement relates to four separate note offerings; each reference asset identified on the cover page represents a separate note offering. The purchaser of a note will acquire a security linked to a single reference asset (not to a basket or index of reference assets). You may participate in any one of the notes offerings or, at your election, in more than one. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. Although each note offering relates only to a single reference asset identified on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to any of those reference assets or as to the suitability of an investment in the notes.

You should read this document together with the prospectus dated April 5, 2006, the prospectus supplement dated July 3, 2006 and the product supplement dated July 31, 2006. You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page PR-3 of this document, PS-3 of the product supplement and page S-3 of the prospectus supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

 


RISK FACTORS


The following highlights some, but not all, of the risk considerations relevant to investing in a note. Investing in the notes is not equivalent to investing directly in the reference assets. We urge you to read the section “Risk Factors” beginning on page PS-3 of the product supplement and page S-3 of the prospectus supplement. As you review “Risk Factors” in the prospectus supplement, you should pay particular attention to the following sections:

 

 

“— Risks Relating to All Note Issuances”

 

 

“— Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset”

1. The notes are not principal protected and you may lose some or all of your principal.

The principal amount of your investment is not protected and you may receive less, and possibly significantly less, than the amount you invested. You will lose some or all of your principal if both of the following are true: (a) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset on any day is below the barrier price and (b) the final price of the reference asset is lower than the initial price of the reference asset. A USD1,000 investment in the notes will pay USD1,000 at maturity if, and only if, either of the following is true: (a) the final price of the reference asset is equal to or greater than the initial price of the reference asset or (b) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset never falls below the barrier price on any day. If you receive the physical delivery amount at maturity, the market value of the shares of the reference asset you receive will be less than the principal amount of your notes and may be zero. Accordingly, you may lose the entire principal amount of your notes.

We cannot predict the final price of any reference asset on the final valuation date.

2. You will not participate in any appreciation in the value of the reference asset.

You will not participate in any appreciation in the value of the reference asset. If the final price of the reference asset is greater than the initial price of the reference asset, the sum of any interest payments you receive during the term of the notes and the principal payment you receive at maturity will not reflect the performance of the reference asset. Under no circumstances, regardless of the extent to which the value of the reference asset appreciates, will your return exceed the applicable interest rate. Therefore, you may earn significantly less by investing in the notes than you would have earned by investing directly in the reference asset.

3. Because the tax treatment of the notes is uncertain, the material U.S. federal income tax consequences of an investment in the notes are uncertain.

There is no direct legal authority as to the proper tax treatment of the notes, and therefore significant aspects of the tax treatment of the notes are uncertain, as to both the timing and character of any inclusion in income in respect of your note. Because of this uncertainty, we urge you to consult your tax advisor as to the tax consequences of your investment in a note. For a more complete discussion of the U.S. federal income tax consequences of your investment in a note, please see the discussion under “Certain U.S. Federal Income Tax Considerations” beginning on page PR-4 of this pricing supplement and “Certain U.S. Federal Income Tax Considerations – Certain Equity-Linked Notes – Certain Notes Treated as a Put Option and a Deposit” in the prospectus supplement.

Please note that the prospectus, prospectus supplement, product supplement and this pricing supplement do not describe all the risks of an investment in the notes. We urge you to consult your own financial and legal advisors as to the risks entailed by an investment in the notes.

 


SUMMARY


Principal Payment at Maturity

Your payment at maturity for each note you hold will depend on the performance of the reference asset between the initial valuation date and the final valuation date, inclusive. A USD1,000 investment in the notes will pay USD1,000 at maturity unless: (a) the final price of the reference asset is lower than the initial price of the reference asset and (b) between the initial valuation date and the final valuation date, inclusive, the market price of the reference asset on any day is below the barrier price. If the conditions described in (a) and (b) are both true, at maturity you will receive the physical delivery amount (with any fractional shares to be paid in cash in an amount equal to the fractional shares multiplied by the final price). Under some circumstances to be determined by and at the sole option of HSBC USA Inc., we may pay investors, in lieu of the physical delivery amount, the cash equivalent of such shares with a per share price equal to the final price. However, we currently expect to deliver the physical delivery amount and not cash in lieu of the physical delivery amount in the event the conditions described above occur.

 


PR-3


Table of Contents

As described in the product supplement, on any scheduled trading day on which the value of the reference asset must be calculated by the calculation agent, (i) if the relevant exchange is the NASDAQ Stock Market (“NASDAQ”), the market price of the reference asset will be the NASDAQ official closing price (NOCP) or (ii) if the NASDAQ is not the relevant exchange, the market price of the reference asset will be the official closing price of the relevant exchange, in each case as of the close of the regular trading session of such exchange and as reported in the official price determination mechanism for such exchange. If the reference asset is not listed or traded as described above for any reason other than a market disruption event, then the market price for the reference asset on any scheduled trading day will be the average, as determined by the calculation agent, of the bid prices for the reference asset obtained from as many dealers in the reference asset selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need not exceed three and may include the calculation agent or any of its or our affiliates.

To the extent a market disruption event exists on a day on which the final price is to be determined, the market price of the reference asset will be determined on the first following scheduled trading day on which a market disruption event does not exist with respect to the reference asset; provided that if a market disruption event exists on five consecutive scheduled trading days, that fifth scheduled trading day shall be the final valuation date, and the calculation agent shall determine the final price on such date.

In the event that the maturity date is postponed or extended as described under “Specific Terms of the Notes – Maturity Date” in the product supplement, the related payment of principal will be made on the postponed or extended maturity date.

You may lose some or all of your principal if you invest in the notes.

Physical Delivery Amount

If the payment at maturity is in physical shares of the reference asset, you will receive a number of shares referred to as the “physical delivery amount” (with any fractional shares to be paid in cash). The physical delivery amount will be calculated by the calculation agent by dividing the principal amount of your notes by the initial price of the reference asset. The physical delivery amount, the initial price of the reference asset and other amounts may change due to corporate actions.

Interest

The notes will pay interest at the interest rate specified on the front cover of this pricing supplement, and interest payments will be made on the interest payment dates specified on the front cover of this pricing supplement. However, if the first interest payment date is less than 15 days after the date of issuance, interest will not be paid on the first interest payment date, but will be paid on the second interest payment date. Interest will be computed on the basis of a 360-day year of twelve 30-day months. For more information, see “Description of the Notes – Fixed Rate Notes” in the prospectus supplement.

 


CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS


You should carefully consider, among other things, the matters set forth in “Certain U.S. Federal Income Tax Considerations” in the prospectus supplement. In the opinion of Cadwalader, Wickersham & Taft LLP, special U.S. tax counsel to us, the following discussion summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of each of the notes.

There are no regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the notes. Under one approach, each note should be treated for federal income tax purposes as a put option written by you (the “Put Option”) that permits us to (1) sell the reference asset to you at the maturity date for an amount equal to the Deposit (as defined below), or (2) “cash settle” the Put Option (i.e., require you to pay us at the maturity date the difference between the Deposit and the value of the reference asset at such time), and a deposit with us of cash in an amount equal to the principal amount you invested (the “Deposit”) to secure your potential obligation under the Put Option. We intend to treat the notes consistent with this approach. Pursuant to the terms of the notes, you agree to treat the notes as cash deposits and put options with respect to the reference asset for all U.S. federal income tax purposes. We also intend to treat the Deposits as “short-term obligations” for U.S. federal income tax purposes. Please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations — U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes–Short-Term Debt Instruments in the prospectus supplement for certain U.S. federal income tax considerations applicable to short-term obligations.

The description below of each reference asset includes a chart that indicates the yield on the Deposit and the Put Premium, as described in the prospectus supplement under the heading “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes— Certain Notes Treated as a Put Option and a Deposit.” If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the notes, the timing and character of income on the notes might differ. We do not plan to request a ruling from the IRS regarding the tax treatment of the notes, and the IRS or a court may not agree with the tax treatment described in this pricing supplement.

 


REFERENCE ISSUER AND REFERENCE ASSET INFORMATION


All information on the reference assets and the reference issuers is derived from publicly available information. Companies with securities registered under the Securities Exchange Act of 1934 (the “Exchange Act”) are required to file periodically certain financial and other information specified by the SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The address of the SEC’s website is http://www.sec.gov. Information provided to or filed with the SEC pursuant to the Exchange Act by a company issuing a reference asset can be located by reference to the SEC file number specified in the description of the relevant reference asset below. We make no representation that these publicly available documents are accurate or complete. For more information, we urge you to read the section “Information Regarding the Reference Asset and the Reference Asset Issuer” in the product supplement.

 


PR-4


Table of Contents

Historical Performance of the Reference Assets

The description below of each reference asset includes a table that sets forth the quarterly high and low intraday prices, as well as end-of-quarter closing prices, of that reference asset for each quarter in the period from January 1, 2002 through September 29, 2006 and for the period from October 2, 2006 through November 27, 2006. We obtained the data in these tables from Bloomberg Financial Service, without independent verification by us. Historical prices of the reference assets should not be taken as an indication of future performance of the reference assets.

 

HYPOTHETICAL EXAMPLES

 

 

The description below of each reference asset includes a table of hypothetical returns that is based on the assumptions outlined for each reference asset. Each table illustrates the hypothetical returns you would have earned from (i) a USD1,000 investment in the notes compared to (ii) a direct investment in the relevant reference asset (prior to the deduction of any applicable brokerage fees or charges). The following is a general description of how the hypothetical returns in each table were determined:

 

   If the final price of the reference asset is greater than or equal to the initial price of the reference asset, you would receive USD1,000 at maturity, regardless of whether the market price of the reference asset on any day was below the barrier price;

 

   If the final price of the reference asset is lower than the initial price of the reference asset but the market price of the reference asset was not below the barrier price on any day between the initial valuation date and the final valuation date, inclusive, you would receive USD1,000 at maturity; or

 

   If the final price of the reference asset is lower than the initial price of the reference asset and the market price of the reference asset was below the barrier price on any day between the initial valuation date and the final valuation date, inclusive, you would receive the physical delivery amount (with any fractional shares to be paid in cash).

 

Each table of hypothetical returns is provided for illustration purposes only and is hypothetical. None purports to be representative of every possible scenario concerning increases or decreases in the price of the reference asset and the payment at maturity of the notes. We cannot predict the final price of the reference assets on the final valuation date. The assumptions we have made in connection with the illustrations set forth below may not reflect actual events. In addition, the examples assume that the reference asset has no dividend yield. You should not take these examples as an indication or assurance of the expected performance of the reference asset.

 

 

 

 


PR-5


Table of Contents

ARCH COAL, INC. (ACI)


 

Description of ARCH COAL, INC.

According to publicly available information, ARCH COAL, INC. (“Arch Coal”) engages in mining, processing, and marketing bituminous and sub-bituminous coal with low sulfur content in the eastern and western United States. As of December 31, 2005, Arch Coal operated 21 active mines and controlled approximately 3.1 billion tons of proven and probable coal reserves, located in the Central Appalachia, the Powder River Basin, and the Western Bituminous regions. Arch Coal primarily serves producers of electric power, steel producers, and industrial facilities. Arch Coal was founded in 1969 and is headquartered in St. Louis, Missouri.

Arch Coal’s SEC file number is 001-13105.

Historical Performance of Arch Coal

 

QUARTER ENDING

   QUARTER  
HIGH  
   QUARTER  
LOW  
   QUARTER  
CLOSE  

March 29, 2002

   12.06    8.88    10.69

June 28, 2002

   12.63    10.00    11.36

September 30, 2002

   11.36    7.15    8.28

December 31, 2002

   11.50    7.17    10.80

March 31, 2003

   11.25    8.08    9.51

June 30, 2003

   12.28    8.59    11.49

September 30, 2003

   11.80    9.56    11.11

December 31, 2003

   16.10    11.03    15.59

March 31, 2004

   16.45    13.10    15.70

June 30, 2004

   18.50    13.87    18.30

September 30, 2004

   18.47    15.05    17.75

December 31, 2004

   19.50    15.93    17.77

March 31, 2005

   23.77    16.60    21.51

June 30, 2005

   27.88    20.15    27.24

September 30, 2005

   34.97    25.14    33.75

December 30, 2005

   41.10    30.50    39.75

March 31, 2006

   44.15    34.30    37.97

June 30, 2006

   56.45    37.10    42.37

September 29, 2006

   44.13    25.88    28.91

October 2, 2006 to

November 27, 2006

   37.03    25.85    34.11

Deposit and Put Premium

As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,” for purposes of dividing the 15.25 per cent interest rate on the notes among interest on the Deposit and Put Premium, 5.03 per cent constitutes interest on the Deposit and 10.22 per cent constitutes Put Premium.

 

Hypothetical Examples

The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “– Hypothetical Examples” above for more information.

 

Reference Asset:

  

Arch Coal

Initial Price:

  

USD 34.11

Barrier Price:

  

USD 27.29

Interest Rate:

  

15.25 per cent per annum

Physical Delivery Amount:

  

29 shares (fractional shares paid in cash)

Term of Notes:

  

1 year

Reinvestment Rate for Note Interest:

  

0 per cent

Table of Hypothetical Returns

 

FINAL PRICE
(% CHANGE)
  INVESTMENT IN THE
NOTES
  INVESTMENT IN THE
REFERENCE ASSET

  +

  100%       15.25%       100.00%    

  +

    90%       15.25%         90.00%    

  +

    80%       15.25%         80.00%    

  +

    70%       15.25%         70.00%    

  +

    60%       15.25%         60.00%    

  +

    50%       15.25%         50.00%    

  +

    40%       15.25%         40.00%    

  +

    30%       15.25%         30.00%    

  +

    20%       15.25%         20.00%    

  +

    10%       15.25%         10.00%    
         0%       15.25%           0.00%    
          Barrier Price Ever
Breached?
    
          YES         NO           

  -

    10%           5.25%   15.25%         -10.00%    

  -

    20%         -4.75%   15.25%         -20.00%    

  -

    30%       -14.75%   N/A       -30.00%    

  -

    40%       -24.75%   N/A       -40.00%    

  -

    50%       -34.75%   N/A       -50.00%    

  -

    60%       -44.75%   N/A       -60.00%    

  -

    70%       -54.75%   N/A       -70.00%    

  -

    80%       -64.75%   N/A       -80.00%    

  -

    90%       -74.75%   N/A       -90.00%    

  -

  100%       -84.75%   N/A     -100.00%    

 

 

 


 


PR-6


Table of Contents

TELLABS, INC. (TLAB)


 

Description of TELLABS, INC.

According to publicly available information, TELLABS, INC. (“Tellabs”) engages in the design and marketing of equipment to telecommunications services providers worldwide. Tellabs’ products and services provide solutions to deliver wire line services, wireless services, and broadband data networking for business and residential customers, and bundled voice, video and high-speed Internet/data services. Tellabs’ products include transport systems that enable service providers to manage bandwidth; access products, which enable service providers to deliver the triple play of bundled voice, video, and high-speed Internet/data services over fiber-based networks; managed access systems; broadband data systems; and voice-quality enhancement systems that enable service providers to improve voice quality in wireless, long distance, and private communications networks. Tellabs also provides network deployment, traffic management, support services, professional services, and training.

Tellabs’s SEC file number is 000-09692.

Historical Performance of Tellabs

 

QUARTER ENDING    QUARTER  
HIGH  
   QUARTER  
LOW  
   QUARTER  
CLOSE  

March 29, 2002

   17.47    10.10    10.47

June 28, 2002

   10.65    5.54    6.20

September 30, 2002

   7.64    4.00    4.07

December 31, 2002

   10.11    4.15    7.27

March 31, 2003

   9.73    5.07    5.79

June 30, 2003

   8.74    5.26    6.56

September 30, 2003

   8.28    5.85    6.81

December 31, 2003

   8.80    6.77    8.41

March 31, 2004

   11.37    8.05    8.66

June 30, 2004

   10.02    7.63    8.74

September 30, 2004

   10.32    7.40    9.19

December 31, 2004

   9.59    7.87    8.59

March 31, 2005

   9.28    6.88    7.30

June 30, 2005

   9.15    6.56    8.70

September 30, 2005

   10.60    8.40    10.52

December 30, 2005

   11.49    8.73    10.90

March 31, 2006

   16.04    10.43    15.90

June 30, 2006

   17.28    12.69    13.31

September 29, 2006

   13.52    8.84    10.96

October 2, 2006 to

November 27, 2006

   11.74    9.84    10.86

Deposit and Put Premium

As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations - Certain Notes Treated as a Put Option and a Deposit,” for purposes of dividing the 12.00 per cent interest rate on the notes among interest on the Deposit and Put Premium, 5.03 per cent constitutes interest on the Deposit and 6.97 per cent constitutes Put Premium.

 

Hypothetical Examples

The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “– Hypothetical Examples” above for more information.

 

Reference Asset:

  

Tellabs

Initial Price:

  

USD 10.86

Barrier Price:

  

USD 8.69

Interest Rate:

  

12.00 per cent per annum

Physical Delivery Amount:

  

92 shares (fractional shares paid in cash)

Term of Notes:

  

1 year

Reinvestment Rate for Note Interest:

  

0 per cent

Table of Hypothetical Returns

 

FINAL PRICE

(% CHANGE)

 

INVESTMENT IN THE

NOTES

 

INVESTMENT IN THE

REFERENCE ASSET

  +

  100%       12.00%       100.00%    

  +

    90%       12.00%         90.00%    

  +

    80%       12.00%         80.00%    

  +

    70%       12.00%         70.00%    

  +

    60%       12.00%         60.00%    

  +

    50%       12.00%         50.00%    

  +

    40%       12.00%         40.00%    

  +

    30%       12.00%         30.00%    

  +

    20%       12.00%         20.00%    

  +

    10%       12.00%         10.00%    
        0%       12.00%           0.00%    
        Barrier Price Ever
Breached?
   
      YES         NO        

  -

    10%           2.00%   12.00%         -10.00%    

  -

    20%         -8.00%   12.00%         -20.00%    

  -

    30%       -18.00%   N/A       -30.00%    

  -

    40%       -28.00%   N/A       -40.00%    

  -

    50%       -38.00%   N/A       -50.00%    

  -

    60%       -48.00%   N/A       -60.00%    

  -

    70%       -58.00%   N/A       -70.00%    

  -

    80%       -68.00%   N/A       -80.00%    

  -

    90%       -78.00%   N/A       -90.00%    

  -

  100%       -88.00%   N/A     -100.00%    

 

 

 


 


PR-7


Table of Contents

BARRICK GOLD CORPORATION (ABX)


 

Description of BARRICK GOLD CORPORATION

According to publicly available information, BARRICK GOLD CORPORATION (“Barrick”) operates as a gold mining company with operating and development projects in Canada, the United States, Dominican Republic, Australia, Papua New Guinea, Peru, Chile, Argentina, South Africa, and Tanzania. Barrick has 100% interest in Goldstrike Property, Nevada; Eskay Creek Mine, British Columbia; Holt-McDermott Mine, Ontario; Veladero Mine, Argentina; Pierina Mine and Lagunas Norte Mine, Peru; Plutonic Mine, Darlot Mine, and Lawlers Mine in Western Australia; and Bulyanhulu Mine, Tanzania. Barrick also has interests in various other properties, such as Round Mountain Mine, Nevada; Hemlo Property, Ontario; Marigold Mine, Nevada; Kalgoorlie Mine, Western Australia; and Tulawaka Mine, Tanzania. As of December 31, 2005, Barrick had 88.6 million ounces of total proven and probable gold and mineral reserves. Barrick was founded in 1983 and is headquartered in Toronto, Canada.

Barrick’s SEC file number is 001-09059.

Historical Performance of Barrick

 

QUARTER ENDING    QUARTER  
HIGH  
   QUARTER  
LOW  
   QUARTER  
CLOSE  

March 29, 2002

   19.50    15.56    18.56

June 28, 2002

   23.49    17.18    18.99

September 30, 2002

   19.64    13.46    15.55

December 31, 2002

   16.74    13.82    15.41

March 31, 2003

   17.43    14.10    15.56

June 30, 2003

   18.97    14.61    17.90

September 30, 2003

   21.14    16.67    18.83

December 31, 2003

   23.15    18.35    22.71

March 31, 2004

   23.89    19.00    23.78

June 30, 2004

   24.16    18.04    19.75

September 30, 2004

   21.15    18.14    21.04

December 31, 2004

   25.52    20.17    24.22

March 31, 2005

   26.32    21.27    23.96

June 30, 2005

   25.90    21.07    25.03

September 30, 2005

   29.96    23.35    29.05

December 30, 2005

   29.12    24.54    27.87

March 31, 2006

   32.14    25.10    27.24

June 30, 2006

   36.03    26.70    29.60

September 29, 2006

   34.47    27.61    30.72

October 2, 2006 to

November 27, 2006

   31.64    27.63    29.75

Deposit and Put Premium

As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations – Certain Notes Treated as a Put Option and a Deposit,” for purposes of dividing the 9.25 per cent interest rate on the notes among interest on the Deposit and Put Premium, 5.03 per cent constitutes interest on the Deposit and 4.22 per cent constitutes Put Premium.

 

Hypothetical Examples

The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “– Hypothetical Examples” above for more information.

 

Reference Asset:

  

Barrick

Initial Price:

  

USD 29.75

Barrier Price:

  

USD 23.80

Interest Rate:

  

9.25 per cent per annum

Physical Delivery Amount:

  

33 shares (fractional shares paid in cash)

Term of Notes:

  

1 year

Reinvestment Rate for Note Interest:

  

0 per cent

Table of Hypothetical Returns

 

FINAL PRICE
(% CHANGE)
  INVESTMENT IN THE
NOTES
  INVESTMENT IN THE
REFERENCE ASSET

  +

  100%       9.25%       100.00%    

  +

    90%       9.25%         90.00%    

  +

    80%       9.25%         80.00%    

  +

    70%       9.25%         70.00%    

  +

    60%       9.25%         60.00%    

  +

    50%       9.25%         50.00%    

  +

    40%       9.25%         40.00%    

  +

    30%       9.25%         30.00%    

  +

    20%       9.25%         20.00%    

  +

    10%       9.25%         10.00%    
         0%       9.25%           0.00%    
          Barrier Price Ever
Breached?
    
          YES         NO           

  -

    10%         -0.75%   9.25%         -10.00%    

  -

    20%       -10.75%   9.25%         -20.00%    

  -

    30%       -20.75%   N/A       -30.00%    

  -

    40%       -30.75%   N/A       -40.00%    

  -

    50%       -40.75%   N/A       -50.00%    

  -

    60%       -50.75%   N/A       -60.00%    

  -

    70%       -60.75%   N/A       -70.00%    

  -

    80%       -70.75%   N/A       -80.00%    

  -

    90%       -80.75%   N/A       -90.00%    

  -

  100%       -90.75%   N/A     -100.00%    

 


PR-8


Table of Contents

ST. JUDE MEDICAL, INC. (STJ)


 

Description of ST. JUDE MEDICAL, INC.

According to publicly available information, ST. JUDE MEDICAL, INC. (“St. Jude”), together with its subsidiaries, engages in the development, manufacture, and distribution of cardiovascular medical devices for the global cardiac rhythm management, cardiac surgery, cardiology, and atrial fibrillation therapy areas and implantable neuromodulation devices. St. Jude operates in five segments: Cardiac Rhythm Management, Neuromodulation, Cardiac Surgery, Cardiology, and Atrial Fibrillation. St. Jude markets and sells its products through direct sales force and independent distributors in the United States, Europe, and Japan, as well as in Canada, Latin America, Australia, New Zealand, and the Asia-Pacific region. St. Jude has a development and collaboration agreement with GE Healthcare for the development of cardiovascular ultrasound imaging system; and a collaboration agreement with International Business Machines Corporation to produce St. Jude Medical Merlin Patient Care System.

St. Jude’s SEC file number is 000-08672.

Historical Performance of St. Jude

 

QUARTER ENDING    QUARTER  
HIGH  
   QUARTER  
LOW  
   QUARTER  
CLOSE  

March 29, 2002

   20.40    17.88    19.29

June 28, 2002

   21.56    18.10    18.46

September 30, 2002

   20.50    15.26    17.85

December 31, 2002

   20.25    15.58    19.86

March 31, 2003

   24.74    19.38    24.38

June 30, 2003

   31.80    23.75    28.75

September 30, 2003

   29.17    24.05    26.89

December 31, 2003

   32.00    26.25    30.68

March 31, 2004

   39.52    29.90    36.05

June 30, 2004

   39.45    35.00    37.83

September 30, 2004

   38.07    31.13    37.64

December 31, 2004

   42.90    35.65    41.93

March 31, 2005

   41.85    35.80    36.00

June 30, 2005

   44.50    34.48    43.61

September 30, 2005

   48.36    42.89    46.80

December 30, 2005

   52.80    44.00    50.20

March 31, 2006

   54.75    40.30    41.00

June 30, 2006

   42.00    31.20    32.42

September 29, 2006

   40.00    31.50    35.29

October 2, 2006 to

November 27, 2006

   38.64    32.40    36.90

Deposit and Put Premium

As described in the prospectus supplement under “Certain U.S. Federal Income Tax Considerations – Certain Notes Treated as a Put Option and a Deposit,” for purposes of dividing the 8.50 per cent interest rate on the notes among interest on the Deposit and Put Premium, 5.03 per cent constitutes interest on the Deposit and 3.47 per cent constitutes Put Premium.

 

Hypothetical Examples

The table below demonstrates hypothetical returns at maturity based on the assumptions outlined below. See “– Hypothetical Examples” above for more information.

 

Reference Asset:

  

St. Jude

Initial Price:

  

USD 36.90

Barrier Price:

  

USD 29.52

Interest Rate:

  

8.50 per cent per annum

Physical Delivery Amount:

  

27 shares (fractional shares paid in cash)

Term of Notes:

  

1 year

Reinvestment Rate for Note Interest:

  

0 per cent

Table of Hypothetical Returns

 

FINAL PRICE

(% CHANGE)

  INVESTMENT IN THE
NOTES
 

INVESTMENT IN THE

REFERENCE ASSET

  +

  100%       8.50%       100.00%    

  +

    90%       8.50%         90.00%    

  +

    80%       8.50%         80.00%    

  +

    70%       8.50%         70.00%    

  +

    60%       8.50%         60.00%    

  +

    50%       8.50%         50.00%    

  +

    40%       8.50%         40.00%    

  +

    30%       8.50%         30.00%    

  +

    20%       8.50%         20.00%    

  +

    10%       8.50%         10.00%    
         0%       8.50%           0.00%    
       Barrier Price Ever
Breached?
   
         YES   NO    

  -

    10%         -1.50%   8.50%         -10.00%    

  -

    20%       -11.50%   8.50%         -20.00%    

  -

    30%       -21.50%   N/A       -30.00%    

  -

    40%       -31.50%   N/A       -40.00%    

  -

    50%       -41.50%   N/A       -50.00%    

  -

    60%       -51.50%   N/A       -60.00%    

  -

    70%       -61.50%   N/A       -70.00%    

  -

    80%       -71.50%   N/A       -80.00%    

  -

    90%       -81.50%   N/A       -90.00%    

  -

  100%       -91.50%   N/A     -100.00%    

 

 

 


 


PR-9