ADDITIONAL RISK FACTORS SPECIFIC TO YOUR NOTES
An investment in your notes is subject to the risks described below, as well as the risks described
under the Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings: Risk FactorsRisks Relating to All Securities; Risk FactorsAdditional Risks
Relating to Notes Which Are Not Characterized as Being Fully Principal Protected or Are Characterized as Being Partially Protected or Contingently Protected; Risk FactorsAdditional Risks Relating to Notes Which Pay No Interest or
Pay Interest at a Low Rate; Risk FactorsAdditional Risks Relating to Securities with a Barrier Percentage or a Barrier Level; and Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are
Equity Securities or Shares or Other Interests in Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in
Exchange-Traded Funds. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier stocks, i.e. the stocks comprising the underlier to which your notes are
linked. You should carefully consider whether the offered notes are suited to your particular circumstances.
You
May Lose Your Entire Investment in the Notes
You can lose your entire investment in the notes. The cash payment on
your notes, if any, on the stated maturity date will be based on the performance of the S&P 500
®
Index as
measured from the initial underlier level set on the trade date to the closing level on the determination date (also referred to as the final underlier level). If the final underlier level is less than the buffer level, you will have a
loss for each $1,000 of the face amount of your notes equal to the
product
of the buffer rate
times
the
sum
of the underlier return
plus
the buffer amount
times
$1,000. Thus, you may lose your entire investment in
the notes, which would include any premium to face amount you paid when you purchased the notes.
Also, the market price of your notes prior
to the stated maturity date may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
The Potential for the Value of Your Notes to Increase Will Be Limited
Your ability to participate in any change in the value of the underlier over the life of your notes will be limited because of the cap level, which was
set on the trade date. The maximum settlement amount will limit the cash settlement amount you may receive for each of your notes at maturity, no matter how much the level of the underlier may rise beyond the cap level over the life of your notes.
Accordingly, the amount payable for each of your notes may be significantly less than it would have been had you invested directly in the underlier.
Credit of Issuer
The notes are senior unsecured debt obligations of the issuer, Barclays
Bank PLC, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the notes depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third
party. In the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the notes.
Lack of Liquidity
The notes will not be listed on any securities exchange. Barclays
Capital Inc. and other affiliates of Barclays Bank PLC intend to make a secondary market for the notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any
time hold unsold inventory, which may inhibit the development of a secondary market for the notes.
PS-12
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. 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 Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the notes. The notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
If You Purchase
Your Notes at a Premium to Face Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes Will be Negatively Affected
The cash settlement amount will not be adjusted based on the issue price you pay for the notes. If you purchase notes at a price that differs from the
face amount of the notes, then the return on your investment in such notes held to the stated maturity date will differ from, and may be substantially less than, the return on notes purchased at face amount. If you purchase your notes at a premium
to face amount and hold them to the stated maturity date the return on your investment in the notes will be lower than it would have been had you purchased the notes at face amount or a discount to face amount. In addition, the impact of the buffer
level and the cap level on the return on your investment will depend upon the price you pay for your notes relative to face amount. For example, if you purchase your notes at a premium to face amount, the cap level will only permit a lower
percentage increase in your investment in the notes than would have been the case for notes purchased at face amount or a discount to face amount. Similarly, the buffer level, while still providing some protection for the return on the notes, will
allow a greater percentage decrease in your investment in the notes than would have been the case for notes purchased at face amount or a discount to face amount.
The Cash Settlement Amount Payable at Maturity of Your Notes is Not Based on the Level of the Underlier at Any Time Other than the Closing Level on the Determination Date
The final underlier level will be based solely on the closing level of the underlier on the determination date. Therefore, if the closing level of the
underlier dropped precipitously on the determination date, the cash settlement amount at maturity, if any, that you will receive for your notes may be significantly less than it would otherwise have been had the cash settlement amount payable at
maturity been linked to the level of the underlier prior to such drop. Although, the actual level of the underlier on the stated maturity date or at other times during the life of your notes may be higher than the final underlier level, you will not
benefit from the closing level of the underlier at any other time other than on the determination date.
Market Disruption
Events and Adjustments
The determination date, the stated maturity date and the cash settlement amount payable at maturity are subject to
adjustment as described in the following sections of the accompanying prospectus supplement: Reference AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity
Securities; and Reference AssetsIndicesAdjustments Relating to Securities with the Reference Asset Comprised of an Index.
Exposure to the U.S. Equities Underlying the Underlier
The return on the notes is linked
to the performance of the underlier as measured from the initial underlier level to the final underlier level, as described in this pricing supplement. The underlier consists of 500 component stocks selected to provide a performance benchmark for
the U.S. equity markets. For additional information regarding the underlier, see The Underlier on page PS-12 of this pricing supplement
.
No Interest or Dividend Payments or Voting Rights
As a holder of the notes, you will not
receive interest payments. As a result, even if the amount payable on the stated maturity date exceeds the principal amount of your notes, the overall return you earn on your notes may be less than you would have earned by investing in a
non-index-linked debt security of comparable maturity that bears interest at a prevailing market rate. In addition, as a holder of the notes, you will not have voting rights or receive cash dividends or other distributions or other rights that
holders of the underlier stocks would have.
PS-13
The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the
Levels at Which Our Debt Securities Trade in the Secondary Market
The estimated value of your notes provided in this pricing supplement
is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated value
referenced above may be lower if such estimated value was based on the levels at which our benchmark debt securities trade in the secondary market.
The Estimated Value of Your Notes is Lower than the Initial Issue Price of Your Notes
The
estimated value of your notes provided in this pricing supplement is lower than the initial issue price of your notes. The difference between the initial issue price of your notes and the estimated value of the notes is as a result of certain
factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or
any of our affiliates expect to earn in connection with structuring the notes, the estimated cost which we may incur in hedging our obligations under the notes, and expected development and other costs which we may incur in connection with the
notes.
The Estimated Value of the notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May
be Different from the Pricing Models of Other Financial Institutions
The estimated value of your notes provided in this pricing
supplement is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on
an independent basis. Further, our pricing models may be different from other financial institutions pricing models and the methodologies used by us to estimate the value of the notes may not be consistent with those of other financial
institutions which may be purchasers or sellers of notes in the secondary market. As a result, the secondary market price of your notes may be materially different from the estimated value of the notes determined by reference to our internal pricing
models.
The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the
Secondary Market, if any, and Such Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and Maybe Lower Than the Estimated Value of Your Notes
The estimated value of the notes will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the notes from you in secondary
market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able to sell your notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as
market conditions (described below under Many Economic and Market Factors Will Impact the Value of Your Notes), and any bid and ask spread for similar sized trades, and may be substantially less than our estimated value of the notes.
Further, as secondary market prices of your notes take into account the levels at which our debt securities trade in the secondary market, and do not take into account our various costs related to the notes such as fees, commissions, discounts, and
the costs of hedging our obligations under the notes, secondary market prices of your notes will likely be lower than the initial issue price of your notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third
parties may be willing to purchase the notes from you in secondary market transactions, if any, will likely be lower than the price you paid for your notes, and any sale prior to the maturity date could result in a substantial loss to you.
The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for
Customer Account Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative of Future Prices of Your Notes
Assuming that all relevant factors remain constant after the trade date, the price at which Barclays Capital Inc. may initially buy or sell the notes in
the secondary market (if Barclays Capital Inc. makes a market in the notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed
our estimated value of the notes on the trade date, as well as the secondary market value of the notes, for a temporary period after the initial issue date of the notes. The price at which Barclays Capital Inc. may initially buy or sell the notes in
the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your notes.
PS-14
We and Our Affiliates May Engage in Various Activities or Make Determinations That Could
Materially Affect Your Notes in Various Ways and Create Conflicts of Interest
We and our affiliates establish the offering price of the
notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation. Additionally, the role played by Barclays Capital Inc., as a dealer in the notes, could present it with significant conflicts
of interest with the role of Barclays Bank PLC, as issuer of the notes. For example, Barclays Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the notes and such compensation or financial
benefit may serve as an incentive to sell these notes instead of other investments. We may pay dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the notes. Furthermore, we and our
affiliates make markets in and trade various financial instruments or products for their own accounts and for the account of their clients and otherwise provide investment banking and other financial services with respect to these financial
instruments and products. These financial instruments and products may include securities, instruments or assets that may serve as the underliers, basket underliers or constituents of the underliers of the notes. Such market making, trading
activities, other investment banking and financial services may negatively impact the value of the notes. Furthermore, in any such market making, trading activities, and other services, we or our affiliates may take positions or take actions that
are inconsistent with, or adverse to, the investment objectives of the holders of the notes. We and our affiliates have no obligation to take the needs of any buyer, seller or holder of the notes into account in conducting these activities.
Many Economic and Market Factors Will Impact the Value of Your Notes
In addition to the level of the underlier, the value of the notes will be affected by a number of economic and market factors that may either offset or
magnify each other, including: the expected volatility of the underlier; the time to maturity of the notes; the dividend rate on the underlier stocks; interest and yield rates in the market generally; a variety of economic, financial, political,
regulatory or judicial events; and our creditworthiness, including actual or anticipated downgrades in our credit ratings.
The Tax Treatment of the Notes is Uncertain
The U.S. federal income tax treatment of the notes is uncertain and the Internal Revenue Service could assert that the notes should be taxed in a manner that is different than described above. As
discussed further in the accompanying prospectus supplement, the Internal Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue
interest over the term of an instrument such as the notes and whether all or part of the gain you may recognize upon the sale or maturity of an instrument such as the notes should be treated as ordinary income. Similarly, the Internal Revenue
Service and the Treasury Department have current projects open with regard to the tax treatment of pre-paid forward contracts and contingent notional principal contracts. While it is impossible to anticipate how any ultimate guidance would affect
the tax treatment of instruments such as the notes (and while any such guidance may be issued on a prospective basis only), such guidance could be applied retroactively and could in any case increase the likelihood that you will be required to
accrue income over the term of an instrument such as the notes even though you will not receive any payments with respect to the notes until maturity. The outcome of this process is uncertain. You should consult your tax advisor as to the possible
alternative treatments in respect of the notes.
PS-15
THE UNDERLIER
All information regarding underlier set forth in this pricing supplement reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (S&P Dow Jones). The underlier
is calculated, maintained and published by S&P Dow Jones.
The underlier is reported by Bloomberg under the ticker symbol SPX
<Index>.The underlier is intended to provide an indication of the pattern of stock price movement in the U.S. equities market. The daily calculation of the level of the underlier, discussed below in further detail, is based on the
aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
Composition of the S&P 500
®
Index
S&P Dow Jones chooses companies for inclusion
in the underlier with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equities market. Relevant criteria employed by S&P Dow Jones
for new additions include the financial viability of the particular company, the extent to which that company represents the industry group to which it is assigned, adequate liquidity and reasonable price, an unadjusted market capitalization of
US$4.0 billion or more, U.S. domicile, a public float of at least 50% and company classification (i.e. U.S. common equities listed on the NYSE and the NASDAQ stock market and not closed-end funds, holding companies, tracking stocks, partnerships,
investment vehicles, royalty trusts, preferred shares, unit trusts, equity warrants, convertible bonds or investment trusts). The ten main groups of companies that comprise the underlier include: Consumer Discretionary, Consumer Staples, Energy,
Financials, Health Care, Industrials, Information Technology, Materials, Telecommunication Services and Utilities. S&P Dow Jones may from time to time, in its sole discretion, add companies to, or delete companies from, the underlier to achieve
the objectives stated above.
The underlier does not reflect the payment of dividends on the stocks included in the underlier. Because of this
the return on the notes will not be the same as the return you would receive if you were to purchase those stocks and hold them for a period equal to the term of the notes.
Computation of the S&P 500
®
Index
As of September 16, 2005, S&P Dow Jones
has used a full float-adjusted formula to calculate the S&P 500 Index. With a float-adjusted index, the share counts used in calculating the underlier will reflect only those shares that are available to investors, not all of a companys
outstanding shares.
The float-adjusted underlier is calculated as the quotient of (1) the sum of the products of (a) the price of
each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor (IWF) and (2) the index divisor.
The investable weight factor is calculated by dividing (1) the available float shares by (2) the total shares outstanding. Available float shares reflect float adjustments made to the total
shares outstanding. Float adjustments seek to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the
stocks price and their evaluation of the companys future prospects.
Float adjustment excludes shares that are closely held by
control groups, other publicly traded companies or government agencies. Generally, these control holders will include officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that
hold shares for control, strategic partners, holders of restricted shares, employee stock option plans, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all
levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by certain asset managers, such as depositary banks, pension
funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans, will
ordinarily be considered part of the float. Effective as of September 2012, all shareholdings representing more than 5% of a stocks outstanding shares, other than holdings by these asset managers, were removed from the float for purposes of
calculating the underlier.
PS-16
Treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock,
convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the float unless those
shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class are treated as a control block.
For each stock, the IWF is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control
holders. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a companys officers and directors hold 3% of the companys shares, and no other control group holds 5% of the companys shares,
S&P Dow Jones would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a companys officers and directors hold 3% of the companys shares and another control group holds 20% of the
companys shares, S&P Dow Jones would assign an IWF of 0.77, reflecting the fact that 23% of the companys outstanding shares are considered to be held for control. For companies with multiple classes of stock, the multiple classes are
combined into one class with an adjusted share count. In these cases, the stock price is based on one class, usually the most liquid class, and the share count is based on the total shares outstanding.
Changes in a companys total shares outstanding of 5.0% or more due to public offerings, tender offers, Dutch auctions, or exchange offers are made
as soon as reasonably possible. Other changes of 5.0% or more (for example, due to company stock repurchases, private placements, an acquisition of a privately held company, redemptions, exercise of options, warrants, conversion of preferred stock,
notes, debt, equity participations, or other recapitalizations) are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday (one week later). Changes of less than 5.0% are accumulated and made
quarterly on the third Friday of March, June, September, and December.
Changes due to mergers or acquisitions of publicly held companies are
made as soon as reasonably possible, regardless of the size of the change, although de minimis merger and acquisition share changes may be accumulated and implemented with the quarterly share rebalancing. Corporate actions such as stock splits,
stock dividends, spinoffs and rights offerings are generally applied after the close of trading on the day prior to the ex-date. Share changes resulting from exchange offers are made on the ex-date. Changes in investable weight factors of more than
five percentage points caused by corporate actions will be made as soon as possible. Changes in investable weight factors of less than five percentage points will be made annually, in September when revised investable weight factors are reviewed. A
share freeze is implemented the week of the rebalancing effective date, the third Friday of the last month of each quarter, during which shares are not changed except for certain corporate actions (merger activity, stock splits, rights offerings and
certain dividend payable events).
As discussed above, the value of the underlier is the quotient of (1) the total float-adjusted market
capitalization of the underliers constituents (i.e., the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor) and (2) the
index divisor. Continuity in index values is maintained by adjusting the divisor for all changes in the constituents share capital after the base date, which is the period from 1941 to 1943. This includes additions and deletions to the index,
rights issues, share buybacks and issuances, and spin-offs. The index divisors time series is, in effect, a chronological summary of all changes affecting the base capital of the Index since the base date. The index divisor is adjusted such
that the index value at an instant just prior to a change in base capital equals the index value at an instant immediately following that change. Some corporate actions, such as stock splits require simple changes in the common shares outstanding
and the stock prices of the companies in the Index and do not require adjustments to the index divisor.
Additional
information on the S&P 500
®
Index is available on the following website: http://www.standardandpoors.com. We
are not incorporating
License Agreement
Standard & Poors
®
, S&P 500
®
and S&P
®
are registered trademarks of Standard & Poors Financial Services, LLC (S&P) and Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones). Standard &
Poors
®
, S&P 500
®
, and S&P
®
are registered
trademarks of S&P and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by Barclays Bank PLC. The underlier is a product of S&P Dow Jones Indices LLC, and has been licensed
for use by Barclays Bank PLC.
PS-17
The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones,
S&P, any of their respective affiliates (collectively, S&P Dow Jones Indices). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly or the ability of the Index to track general market performance. The only relationship of S&P Dow Jones Indices or any of their subsidiaries or
affiliates to Barclays Bank PLC is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P
Dow Jones Indices and/or its third party licensor(s) without regard to Barclays Bank PLC or the notes. S&P Dow Jones Indices has no obligation to take the needs of Barclays Bank PLC or the owners of the notes into consideration in
determining, composing or calculating the Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the
determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no
assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within the Index is
not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of
the Index. It is possible that this trading activity will affect the value of the Index and the notes.
S&P DOW JONES INDICES DOES
NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT
THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR
GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES
AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
PS-18
Historical High, Low and Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or
downward trend in the closing level of the underlier during any period shown below is not an indication that the underlier is more or less likely to increase or decrease at any time during the life of your notes.
You should not take the historical levels of the underlier as an indication of the future performance of the underlier.
We cannot give you any
assurance that the future performance of the underlier or the underlier stocks will result in your receiving an amount greater than the outstanding face amount of your notes on the stated maturity date.
Neither we nor any of our affiliates make any representation to you as to the performance of the underlier. The actual performance of the underlier over
the life of the offered notes, as well as the cash settlement amount, may bear little relation to the historical levels shown below.
The
table below shows the high, low and final closing levels of the underlier for each of the four calendar quarters in 2008, 2009, 2010, 2011 and 2012 and the first two calendar quarters of 2013 (through May 24, 2013). We obtained the closing
levels listed in the table below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P.
Quarterly High, Low and Closing Levels of the Underlier
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High
|
|
|
Low
|
|
|
Close
|
|
2008
|
|
|
1,447.16
|
|
|
|
1,273.37
|
|
|
|
1,322.70
|
|
Quarter ended March 31
|
|
|
1,426.63
|
|
|
|
1,278.38
|
|
|
|
1,280.00
|
|
Quarter ended June 30
|
|
|
1,305.32
|
|
|
|
1,106.39
|
|
|
|
1,166.36
|
|
Quarter ended September 30
|
|
|
1,161.06
|
|
|
|
752.44
|
|
|
|
903.25
|
|
Quarter ended December 31
|
|
|
1,447.16
|
|
|
|
1,273.37
|
|
|
|
1,322.7
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31
|
|
|
934.70
|
|
|
|
676.53
|
|
|
|
797.87
|
|
Quarter ended June 30
|
|
|
946.21
|
|
|
|
811.08
|
|
|
|
919.32
|
|
Quarter ended September 30
|
|
|
1,071.66
|
|
|
|
879.13
|
|
|
|
1,057.08
|
|
Quarter ended December 31
|
|
|
1,127.78
|
|
|
|
1,025.21
|
|
|
|
1,115.10
|
|
2010
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31
|
|
|
1,174.17
|
|
|
|
1,056.74
|
|
|
|
1,169.43
|
|
Quarter ended June 30
|
|
|
1,217.28
|
|
|
|
1,030.71
|
|
|
|
1,030.71
|
|
Quarter ended September 30
|
|
|
1,148.67
|
|
|
|
1,022.58
|
|
|
|
1,141.20
|
|
Quarter ended December 31
|
|
|
1,259.78
|
|
|
|
1,137.03
|
|
|
|
1,257.64
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31
|
|
|
1,343.01
|
|
|
|
1,256.88
|
|
|
|
1,325.83
|
|
Quarter ended June 30
|
|
|
1,363.61
|
|
|
|
1,265.42
|
|
|
|
1,320.64
|
|
Quarter ended September 30
|
|
|
1,353.22
|
|
|
|
1,119.46
|
|
|
|
1,131.42
|
|
Quarter ended December 31
|
|
|
1,285.09
|
|
|
|
1,099.23
|
|
|
|
1,257.60
|
|
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31
|
|
|
1,416.51
|
|
|
|
1,277.06
|
|
|
|
1,408.47
|
|
Quarter ended June 30
|
|
|
1,419.04
|
|
|
|
1,278.04
|
|
|
|
1,362.16
|
|
Quarter ended September 30
|
|
|
1,465.77
|
|
|
|
1,334.76
|
|
|
|
1,440.67
|
|
Quarter ended December 31
|
|
|
1,461.40
|
|
|
|
1,353.33
|
|
|
|
1,426.19
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31
|
|
|
1,569.19
|
|
|
|
1,457.15
|
|
|
|
1,426.19
|
|
Quarter ended June 30 (through May 24, 2013)
|
|
|
1,669.16
|
|
|
|
1,541.61
|
|
|
|
1,649.60
|
|
PS-19
The following graph sets forth the historical performance of the underlier based on the
daily closing levels from January 1, 2008 through May 24, 2013. The closing level of the underlier on May 24, 2013 was 1,649.60.
PS-20