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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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(1)
MSSB and its financial advisors will collectively receive from the Agent,
Barclays Capital Inc., a fixed sales commission of $0.225
for each
security they sell. See Supplemental Plan of
Distribution.
Investing in the Securities involves risks not associated with an investment
in conventional debt securities. You should read this document together with
the related prospectus and prospectus supplement, each of which can be accessed via the hyperlinks below.
See Additional Terms of the
Securities on page 3 of this pricing supplement. The securities will have the terms
specified in the prospectus dated August 31, 2010, the prospectus supplement dated May 27,
2011 and this pricing supplement. See Risk Factors on page 8 of this pricing
supplement and Risk Factors beginning on page S-6 of the prospectus supplement
for risks related to investing in the securities.
We may use this pricing supplement
in the initial sale of the securities. In addition, Barclays Capital Inc. or another of
our affiliates may use this pricing supplement in market resale transactions in any of the
securities after their initial sale. Unless we or our agent informs you otherwise in the
confirmation of sale, this pricing supplement is being used in a market resale
transaction.
Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved of the
securities or determined that this pricing supplement are truthful or complete. Any
representation to the contrary is a criminal offense.
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Morgan Stanley Smith Barney LLC
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Barclays Capital Inc.
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January 2013
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Page 2
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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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Additional Terms of the Securities
You should read this pricing
supplement together with the prospectus dated August 31, 2010, as supplemented by the
prospectus supplement dated May 27, 2011 relating to our Global Medium-Term Notes, Series
A, of which the securities are a part. This pricing supplement, together with the
documents listed below, contains the terms of the securities and supersedes all prior or
contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, brochures or other educational materials of ours. You
should carefully consider, among other things, the matters set forth in Risk
Factors in the prospectus supplement as the securities involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisors in connection with your investment in the securities.
You may access these documents on the
SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):
Our SEC file number is 1-10257 and
our Central Index Key, or CIK, on the SEC website is 0000312070. As used in this pricing
supplement, the Company, we, us, or our
refers to Barclays Bank PLC.
The securities constitute Barclays
Bank PLCs direct, unconditional, unsecured and unsubordinated obligations and are
not deposit liabilities and are not insured by the U.S. Federal Deposit Insurance
Corporation or any other governmental agency of the United States, the United Kingdom or
any other jurisdiction. In addition, the securities will not be guaranteed by the Federal
Deposit Insurance Corporation under the FDICs temporary liquidity guarantee program.
In connection with this offering,
Morgan Stanley Smith Barney LLC is acting in its capacity as a selected dealer.
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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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How the Securities Work
The following diagrams illustrate the potential outcomes for the securities
depending on (1) the determination closing price and
(2) the final share price.
Diagram #1: First Eleven Determination Dates
Diagram #2: Payment at Maturity if No Automatic Early Redemption Occurs
For more information about the
payout upon an early redemption or at maturity in different hypothetical scenarios, see
Hypothetical Examples beginning on page 6.
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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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Hypothetical Examples
The below examples are based on the following terms:
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Initial Share Price:
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$283.99
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Downside Threshold Level:
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$198.79, which is 70% of the initial share price
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Exchange Ratio:
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0.04, which is the stated principal amount divided by the hypothetical initial share price
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Contingent Quarterly Payment:
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$0.229 (2.29% of the stated principal amount).
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Stated Principal Amount:
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$10 per security
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In Examples 1 and 2, the closing price of the underlying stock fluctuates over the term of the securities and the determination
closing price of the underlying stock is greater than or equal to the hypothetical initial share price of $283.99 on one of the first
eleven determination dates. Because the determination closing price is greater than or equal to the initial share price on one of
the first eleven determination dates, the securities are automatically redeemed following the relevant determination date. In
Examples 3 and 4, the determination closing price on the first eleven determination dates is less than the initial share price, and,
consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
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Example 1
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Example 2
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Determination
Dates
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Hypothetical
Determination
Closing Price
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Contingent
Quarterly
Payment
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Early
Redemption
Payment*
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Hypothetical
Determination
Closing Price
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Contingent
Quarterly
Payment
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Early
Redemption
Payment
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#1
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$93.78
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$0.00
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N/A
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$200.00
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$0.229
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N/A
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#2
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$283.99
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*
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$10.229
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$147.37
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$0.00
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N/A
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#3
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N/A
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N/A
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N/A
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$80.38
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$0.00
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N/A
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#4
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N/A
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N/A
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N/A
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$174.16
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$0.00
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N/A
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#5
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N/A
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N/A
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N/A
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$254.54
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$0.229
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N/A
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#6
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N/A
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N/A
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N/A
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$227.75
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$0.229
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N/A
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#7
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N/A
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N/A
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N/A
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$53.59
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$0.00
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N/A
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#8
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N/A
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N/A
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N/A
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$246.51
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$0.229
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N/A
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#9
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N/A
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N/A
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N/A
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$235.79
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$0.229
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N/A
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#10
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N/A
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N/A
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N/A
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$354.99
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*
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$10.229
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#11
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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Final
Determination
Date
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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Payment at
Maturity
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N/A
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N/A
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* The Early Redemption Payment includes the unpaid contingent quarterly payment
with respect to the determination date on which the determination closing price is greater than or
equal to the initial share price and the securities are redeemed as a result.
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■
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In
Example 1
, the securities are automatically redeemed following the second
determination date as the determination closing price on the second determination date is
equal to the initial share price. You receive the early redemption payment, calculated as
follows:
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stated
principal amount + contingent quarterly payment = $10 + $0.229 = $10.229
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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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In this example, the early
redemption feature limits the term of your investment to approximately 6 months and you
may not be able to reinvest at comparable terms or returns. If the securities are redeemed
early, you will stop receiving contingent payments.
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In
Example 2
, the securities are automatically redeemed following the tenth determination date as the determination closing price on
the tenth determination date is greater than the initial share price. As the determination closing prices on the first, fifth,
sixth, eighth and ninth determination dates are greater than the downside threshold level, you receive the contingent payment of
$0.229 with respect to such determination dates. Following the tenth determination date, you receive an early redemption payment of
$10.229, which includes the contingent quarterly payment with respect to the tenth determination date.
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In this example, the early redemption feature limits the term of your investment to approximately 30 months and you may not be able
to reinvest at comparable terms or returns. If the securities are redeemed early, you will stop receiving contingent payments.
Further, although the underlying stock has appreciated by 25% from its initial share price on the tenth determination date, you only
receive $10.229 per security and do not benefit from such appreciation.
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Example 3
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Example 4
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Determination
Dates
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Hypothetical
Determination
Closing Price
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Contingent
Quarterly
Payment
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Early
Redemption
Payment
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Hypothetical
Determination
Closing Price
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Contingent
Quarterly
Payment
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Early
Redemption
Payment
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#1
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$160.76
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$0
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N/A
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$160.76
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$0
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N/A
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#2
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$133.97
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$0
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N/A
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$133.97
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$0
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N/A
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#3
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$107.17
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$0
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N/A
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$107.18
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$0
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N/A
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#4
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$177.56
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$0
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N/A
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$177.56
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$0
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N/A
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#5
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$147.37
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$0
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N/A
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$147.37
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$0
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N/A
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#6
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$80.38
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$0
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N/A
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$80.38
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$0
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N/A
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#7
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$174.16
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$0
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N/A
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$174.16
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$0
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N/A
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#8
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$53.59
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$0
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N/A
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$53.59
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$0
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N/A
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#9
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$66.99
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$0
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N/A
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$66.99
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$0
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N/A
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#10
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$120.57
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$0
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N/A
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$120.57
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$0
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N/A
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#11
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$93.78
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$0
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N/A
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$93.78
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$0
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N/A
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Final
Determination
Date
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$141.99
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$0
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N/A
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$255.59
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*
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N/A
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Payment at
Maturity
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$5.68
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$10.229
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* The final contingent quarterly payment, if any, will be
paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per security
based on the final share price.
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In
Example 3
, the closing price of the underlying stock remains below the downside threshold level throughout the term of the
securities. As a result, you do not receive any contingent payments during the term of the securities and, at maturity, you are
fully exposed to the decline in the closing price of the underlying stock. As the final share price is less than the downside
threshold level, investors will receive a number of shares of the underlying stock multiplied by the exchange ratio or the cash value
thereof, calculated as follows:
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the cash value of 0.04 shares of the underlying stock = the exchange ratio
times
the final share price = 0.04 x $141.99 = $5.68
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In this example, the value of
shares you receive at maturity is significantly less than the stated principal amount.
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Contingent Income Auto-Callable Securities due January 28, 2016
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Based on the Performance of the Common Stock of Amazon.com, Inc.
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In
Example 4
, the closing price of the underlying stock decreases to a final share price of $255.59. Although the final share price
is less than the initial share price, because the final share price is still not less than the downside threshold level, you receive
the stated principal amount plus a contingent quarterly payment with respect to the final determination date. Your payment at
maturity is calculated as follows:
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$10 + $0.229 = $10.229
In this example, although the final share price represents approximately a 10% decline from the initial share price, you receive the
stated principal amount per security plus the contingent quarterly payment, equal to a total payment of $10.229 per security at
maturity.
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Contingent Income Auto-Callable Securities due January 28, 2016
|
|
Based on the Performance of the Common Stock of Amazon.com, Inc.
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