CALCULATION OF REGISTRATION FEE
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration
Fee(1)
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Global Medium-Term Notes, Series A
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$983,000
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$134.08
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(1)
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Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
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Pricing Supplement dated March 26, 2013
(To the Prospectus dated August 31, 2010 and
the Prospectus Supplement dated May 27,
2011)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-169119
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$983,000
Buffered Digital Notes due March 31, 2016
Linked to the Performance of the Russell 2000
®
Index
Global Medium-Term Notes, Series
A, No. E-7793
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the
prospectus supplement.
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Issuer:
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Barclays Bank PLC
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Initial Valuation Date:
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March 26, 2013
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Issue Date:
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March 28, 2013
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Final Valuation Date:
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March 28, 2016*
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Maturity Date:
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March 31, 2016**
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
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Reference Asset:
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Russell 2000
®
Index (the
Index) (Bloomberg ticker symbol RTY <Index>)
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Digital Percentage:
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17.10%
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Buffer Percentage:
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20.00%
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Payment at Maturity:
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If you hold your Notes to maturity, you will receive (in each case, subject to our credit risk) a cash payment determined as
follows:
If the Index Return is greater than or equal to 0.00%, you will
receive a cash payment calculated per $1,000 principal amount Note as follows:
$1,000 + [$1,000 × Digital Percentage]
If the Index Return is equal to or greater than 0.00%, you will receive a payment at maturity of $1,171.00 per $1,000 principal amount Note that you hold.
If the Index Return is less than 0.00% and equal to or greater than -20.00%, you will
receive a payment at maturity of $1,000 per $1,000 principal amount Note that you hold.
If the Index Return is less than -20.00%, you will receive a cash payment per $1,000 principal amount Note equal to (a) $1,000
plus
(b) (i) $1,000
times
(ii) the Index Return
plus
the
Buffer Percentage. Accordingly, if the Index Return is less than -20.00%, your payment per $1,000 principal amount Note will be calculated as follows:
$1,000 + [($1,000 × (Index Return + 20.00%)]
If the Index declines by more than 20% from the
Initial Level to the Final Level, you will lose 1% of the principal amount of your Notes for every 1% that the Index Return falls below -20%. You may lose up to 80% of your principal. Any payment on the Notes, including any principal protection
feature, is subject to the creditworthiness of the Issuer and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see Credit of
Issuer in this pricing supplement.
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Index Return:
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The performance of the Index from the Initial Level to the Final Level, calculated as follows:
Final Level Initial Leve
l
Initial Level
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Initial Level:
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949.82, the Index Closing Level on the Initial Valuation Date.
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Final Level:
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The Index Closing Level on the Final Valuation Date.
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Index Closing Level:
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For any valuation date, the closing level of the Index published at the regular weekday close of trading on that valuation date as displayed on Bloomberg Professional
®
service page RTY<Index> or any successor page on Bloomberg Professional
®
service or any successor service, as applicable. In certain circumstances, the closing level of the Index will be
based on the alternate calculation of the Index as described in Reference AssetsAdjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices starting on page S-102 of the accompanying prospectus
supplement.
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Calculation Agent:
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Barclays Bank PLC
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CUSIP/ISIN:
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06741TQK6 and US06741TQK69
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*
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Subject to postponement in the event of a market disruption event and as described under Reference AssetsIndicesMarket Disruption Events for
Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the prospectus supplement
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**
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Subject to postponement in the event of a market disruption event and as described under Terms of the NotesMaturity Date and Reference
AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the prospectus supplement.
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Investing in the Notes involves a number of risks. See Risk Factors beginning on page S-6 of the prospectus supplement and
Selected
Risk Considerations
beginning on page PS-4 of this pricing supplement.
The Notes will not be listed on any U.S. securities
exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital
Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes 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.
The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not
deposit liabilities of Barclays Bank PLC 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.
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Price to Public
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Agents Commission
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Proceeds to Barclays Bank PLC
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Per Note
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100%
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2.30%
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97.70%
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Total
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$983,000
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$22,609
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$960,391
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Barclays Capital Inc. will receive commissions from the Issuer equal to 2.30% of the principal amount of the notes, or $23.00 per $1,000 principal amount, and may
retain all or a portion of these commissions or use all or a portion of these commissions to pay selling concessions or fees to other dealers. Dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all
selling concessions or fees or commissions. In such circumstances, Barclays Capital Inc. will also forgo some or all commissions paid to it by the Issuer. As such, the public offering price for investors purchasing the Notes in fee-based advisory
accounts may be as low as $977.00 per Note.
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ADDITIONAL TERMS SPECIFIC TO THE NOTES
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 these Notes are a part. This pricing supplement, together with the documents listed below, contains the terms of the Notes 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 under Risk Factors in 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 advisors before you invest in
the Notes.
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):
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Prospectus dated August 31, 2010:
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http://www.sec.gov/Archives/edgar/data/312070/000119312510201448/df3asr.htm
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Prospectus Supplement dated May 27, 2011:
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http://www.sec.gov/Archives/edgar/data/312070/000119312511152766/d424b3.htm
Our SEC file number is 1-10257. As used in this pricing supplement, the Company, we, us, or our refers to
Barclays Bank PLC.
What is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index?
The following table illustrates the hypothetical total return at maturity on the Notes. The total return as used in this pricing supplement is
the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Note to $1,000. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total
returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. The hypothetical total returns set forth below are based on the Initial Level of 949.82, the Buffer
Percentage of 20.00% and the Digital Percentage of 17.10%. The examples below do not take into account any tax consequences from investing in the Notes.
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Final Level
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Index Return
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Payment at
Maturity*
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Total Return on Notes
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1,899.64
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100.00%
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$1,171.00
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17.10%
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1,804.66
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90.00%
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$1,171.00
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17.10%
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1,709.68
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80.00%
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$1,171.00
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17.10%
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1,614.69
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70.00%
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$1,171.00
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17.10%
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1,519.71
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60.00%
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$1,171.00
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17.10%
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1,424.73
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50.00%
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$1,171.00
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17.10%
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1,329.75
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40.00%
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$1,171.00
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17.10%
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1,234.77
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30.00%
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$1,171.00
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17.10%
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1,139.78
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20.00%
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$1,171.00
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17.10%
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1,044.80
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10.00%
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$1,171.00
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17.10%
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997.31
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5.00%
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$1,171.00
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17.10%
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973.57
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2.50%
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$1,171.00
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17.10%
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949.82
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0.00%
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$1,171.00
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17.10%
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902.33
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-5.00%
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$1,000.00
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0.00%
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854.84
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-10.00%
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$1,000.00
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0.00%
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807.35
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-15.00%
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$1,000.00
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0.00%
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759.86
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-20.00%
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$1,000.00
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0.00%
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664.87
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-30.00%
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$900.00
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-10.00%
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569.89
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-40.00%
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$800.00
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-20.00%
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474.91
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-50.00%
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$700.00
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-30.00%
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379.93
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-60.00%
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$600.00
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-40.00%
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284.95
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-70.00%
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$500.00
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-50.00%
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189.96
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-80.00%
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$400.00
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-60.00%
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94.98
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-90.00%
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$300.00
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-70.00%
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0.00
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-100.00%
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$200.00
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-80.00%
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*
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per $1,000 principal amount Note
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PS2
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The level of the Index increases from an Initial Level of 949.82 to a Final Level of 1,044.80.
Because the Final Level of 1,044.80 is greater than the Initial Level of 949.82, the investor receives a payment at maturity of $1,171.00 per $1,000
principal amount Note calculated as follows:
$1,000 + [$1,000 × Digital Percentage]
$1,000 + [$1,000 × 17.10%] = $1,171.00
The total return on the investment of the Notes is 17.10%.
Example 2: The level of the Index
decreases from an Initial Level of 949.82 to a Final Level of 902.33
Because the Final Level of 902.33 is less than the Initial Level of
949.82 but the Index Return of -5.00% is not less than -20.00%, the investor will receive a payment at maturity of $1,000 per $1,000 principal amount Note.
The total return on the investment of the Notes is 0.00%.
Example 3: The level of the Index
decreases from the Initial Level of 949.82 to a Final Level of 664.87.
Because the Final Level of 664.87 is less than the Initial Level of
949.82 and the Index Return of -30.00% is less than -20.00%, the investor will receive a payment at maturity of $900.00 per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × (Index Return + Buffer Percentage)]
$1,000 + [$1,000
× (-30.00% + 20.00%)] = $900.00
The total return on the investment of the Notes is -10.00%.
Selected Purchase Considerations
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Market Disruption Events and Adjustments
The Final Valuation Date, the Maturity Date and the payment at maturity are subject to adjustment
as described in the following sections of the prospectus supplement:
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For a description of what constitutes a market disruption event with respect to the Index as well as the consequences of that market disruption event,
see Reference AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities; and
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For a description of further adjustments that may affect the Index, see Reference AssetsIndicesAdjustments Relating to Securities
with the Reference Asset Comprised of an Index.
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Exposure to the U.S. Equities of the Russell 2000
®
Index
The return on the Notes depends on the performance of the Russell 2000
®
Index from the Initial Level to the Final Level. The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Index, see the
information set forth under Description of the Index in this pricing supplement.
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Material U.S. Federal Income Tax Considerations
The material tax consequences of your investment in the Notes are summarized below. The
discussion below supplements the discussion under Certain U.S. Federal Income Tax Considerations in the accompanying prospectus supplement. Except as noted under Non-U.S. Holders below, this section applies to you only if you
are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise
excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Notes in the initial issuance of the Notes).
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The United States federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different
than described below. Pursuant to the terms of the Notes, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or judicial ruling to the contrary, to characterize your Notes as a pre-paid cash-settled executory
contract with respect to the Index. If your Notes
are so treated, you should generally recognize capital gain or loss upon the
sale or maturity of your Notes in an amount equal to the difference between the amount you receive at such time and the amount you paid for your Notes. Such gain or loss should generally be long-term capital gain or loss if you have held your Notes
for more than one year.
PS3
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be
reasonable to treat your Notes in the manner described above. This opinion assumes that the description of the terms of the Notes in this pricing supplement is materially correct.
As discussed further in the accompanying prospectus supplement, the Treasury Department and the Internal Revenue Service are actively
considering various alternative treatments that may apply to instruments such as the Notes, possibly with retroactive effect. Other alternative treatments for your Notes may also be possible under current law. For example, it is possible that your
Notes could be treated as an investment unit consisting of (i) a debt instrument that is issued to you by us and (ii) a put option in respect of the Index that is issued by you to us. You should consult your tax advisor as to the possible
consequences of this alternative treatment.
For a further discussion of the tax treatment of your Notes as well as other
possible alternative characterizations, please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsCertain Notes Treated as Forward Contracts or Executory Contracts in the accompanying prospectus
supplement. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes. For additional, important considerations related to tax risks associated with investing in the Notes, you should also examine the
discussion in Selected Risk ConsiderationsTaxes, in this pricing supplement.
Specified Foreign
Financial Asset Reporting.
Under legislation enacted in 2010, owners of specified foreign financial assets with an aggregate value in excess of $50,000 (and in some circumstances, a higher threshold) may be required to file an
information report with respect to such assets with their tax returns. Specified foreign financial assets generally include any financial accounts maintained by foreign financial institutions, as well as any of the following (which may
include your Notes), but only if they are not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-U.S. persons, (ii) financial instruments and contracts held for investment that have non-U.S.
issuers or counterparties and (iii) interests in foreign entities. Holders are urged to consult their tax advisors regarding the application of this legislation to their ownership of the Notes.
Non-U.S. Holders.
The Treasury Department has issued proposed regulations under Section 871(m) of the Internal Revenue Code
which could ultimately require us to treat all or a portion of any payment in respect of your Notes as a dividend equivalent payment that is subject to withholding tax at a rate of 30% (or a lower rate under an applicable treaty). You
could also be required to make certain certifications in order to avoid or minimize such withholding obligations, and you could be subject to withholding (subject to your potential right to claim a refund from the Internal Revenue Service) if such
certifications were not received or were not satisfactory. You should consult your tax advisor concerning the potential application of these regulations to payments you receive with respect to the Notes when these regulations are finalized.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Index or the components of the Index. These risks are explained in more detail
in the Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All Securities;
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Risk FactorsAdditional Risks Relating to Notes Which Pay No Interest;
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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;
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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; and
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Risk FactorsAdditional Risks Relating to Digital Notes.
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PS4
In addition to the risks described above, you should consider the following:
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Your Investment in the Notes May Result in a Loss
The Notes do not guarantee any return of principal. The Notes provide for limited
protection (subject to our credit risk) at maturity and only to the extent afforded by the Buffer Percentage. If the Index Return is negative, the payment at maturity of the Notes will depend on the extent to which the Final Level of the Index
declines from its Initial Level. If the Final Level declines by more than 20% from the Initial Level, you will lose 1% of the principal amount of your Notes for every 1% that the Index Return falls below -20%. You may lose up to 80% of the principal
amount of your Notes.
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Any payment on the Notes, including any principal protection feature, is subject to the
creditworthiness of the Issuer and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see Credit of Issuer in this pricing
supplement.
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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, including any principal protection provided at maturity, 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.
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Your Gain, if Any, on the Notes Is Limited to the Digital Percentage
If the Index Return is equal to or greater than 0%, you will receive
at maturity, for $1,000 principal amount Note that you hold, $1,000 plus an additional amount equal to $1,000 times the Digital Percentage. Accordingly, the maximum payment that you may receive at maturity for your Notes will be $1,171.00 per
$1,000 principal amount Note. You will not participate in any appreciation of the Index in excess of the Digital Percentage, which may be significant.
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The Payment at Maturity of Your Notes is Not Based on the Level of the Index at Any Time Other than the Final Level of the Index as Compared to the
Initial Level of the Index
The Final Level of the Index and the Index Return will be based solely on the Index Closing Level on the Final Valuation Date. Therefore, if the Index Closing Level drops precipitously on the Final Valuation Date,
the payment at maturity, if any, that you will receive for your Notes may be significantly less than it would otherwise have been had the payment at maturity been linked to the level of the Index prior to such drop.
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No Interest or Dividend Payments or Voting Rights
As a holder of the Notes, you will not receive any interest payments, and you will not
have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities comprising the Index would have.
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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. 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.
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Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity
While the payment at maturity described in
this pricing supplement is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As
a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions 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.
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Potential Conflicts
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as
calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
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Taxes
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.
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PS5
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Many Economic and Market Factors Will Impact the Value of the Notes
In add
ition to the level of the Index on any day, 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:
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the expected volatility of the Index and securities comprising the Index;
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the time to maturity of the Notes;
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the dividend rate on the common stocks underlying the Index;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Description of the Index
All information regarding the Russell 2000
®
Index set forth in this
pricing supplement reflects the policies of, and is subject to change by, Russell Investments (Russell). The Russell 2000
®
Index was developed by Russell and is calculated, maintained and published by Russell. The Russell 2000
®
Index is reported by Bloomberg under the ticker symbol RTY <Index>.
The Russell 2000
®
Index is designed to track the performance of the
small capitalization segment of the U.S. equity market. As a subset of the Russell 3000
®
Index (the
Russell 3000), it consists of approximately 2,000 of the smallest companies (based on a combination of their market capitalization and the current index membership) included in the Russell 3000 and represented, as of January 31,
2013, approximately 10% of the total market capitalization of the Russell 3000. The Russell 3000, in turn, comprises the 3,000 largest U.S. companies as measured by total market capitalization, which together represented, as of January 31,
2013, approximately 98% of the investable U.S. equity market.
Selection of Stocks Underlying the Russell 2000
®
Index
Security Inclusion Criteria
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U.S. company
. All companies eligible for inclusion in the Russell 2000
®
Index must be classified as a U.S. company under Russells country-assignment methodology. If a company is incorporated, has a stated headquarters location, and
company stock trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible for this purpose), then the company is assigned to its country of incorporation. If any of the three factors are not the same,
Russell defines three Home Country Indicators (HCIs): country of incorporation, country of headquarters, and country of the most liquid exchange as defined by a two-year average daily dollar trading volume (ADDTV) from all
exchanges within a country. After the HCIs are defined, the next step in the country assignment involves an analysis of assets by location. Russell cross-compares the primary location of the companys assets with the three HCIs. If the primary
location of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the companys assets are primarily located, Russell will
use the primary location of the companys revenues to cross-compare with the three HCIs and assign a country in a similar manner. Beginning in 2011, Russell will use the average of two years of assets or revenues data, in order to reduce
potential turnover. Assets and revenues data are retrieved from each companys annual report as of the last trading day in May. If conclusive country details cannot be derived from assets or revenues data, Russell will assign the company to the
country of its headquarters, which is defined as the address of the companys principal executive offices, unless that country is a Benefit Driven Incorporation BDI country, in which case the company will be assigned to the country
of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Faroe Islands, Gibraltar, Isle of Man, Liberia,
Marshall Islands, Netherlands Antilles, Panama, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
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Trading requirements
. All securities eligible for inclusion in the Russell 3000 must trade on a major U.S. exchange. Bulletin Board, pink-sheet
or over-the-counter traded securities are not eligible for inclusion.
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Minimum closing price
. Stock must trade at or above US$1.00 on their primary exchange on the last trading day in May to be considered eligible
for inclusion in the Russell 3000 during annual reconstitution or during initial public offering (IPO) eligibility. If a stocks closing price is less than US$1.00 on the last day of May, it will be considered eligible if the average of the
daily closing prices (from its primary exchange) during the month of May is equal to or greater than US$1.00. Nonetheless, a stocks closing price (on its primary exchange) on the last trading day in May will be used to calculate market
capitalization and index membership. Initial public offerings are added each quarter and must have a closing price at or above US$1.00 on the last day of their eligibility period in order to qualify for index inclusion.
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PS6
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Primary exchange pricing.
If a stock, new or existing, does not have a closing price at or above US$1.00 (on its primary exchange) on the last
trading day in May, but does have a closing price at or above US$1.00 on another major U.S. exchange, that stock will be eligible for inclusion.
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Minimum total market capitalization.
Companies with a total market capitalization of less than US$30 million are not eligible for the Russell
2000
®
Index.
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Minimum available shares/float requirement.
Companies with only a small portion of their shares available in the marketplace are not eligible
for the Russell Indices. Companies with 5% or less will be removed from eligibility.
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Company structure
. Royalty trusts, limited liability companies, closed-end investment companies, blank check companies, special purpose
acquisition companies (SPACs) and limited partnerships are excluded from inclusion in the Russell 3000. Business development companies (BDCs) are eligible.
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Shares excluded
. Preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrant rights and trust
receipts are not eligible for inclusion.
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Deadline for inclusion
. Stocks must be listed on the last trading day in May and Russell must have access to documentation on that date
supporting the companys eligibility for inclusion. This information includes corporate description, verification of incorporation, number of shares outstanding and other information needed to determine eligibility. IPOs will be considered for
inclusion on a quarterly basis.
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All Russell indices, including the Russell 2000
®
Index, are reconstituted annually to reflect changes in the marketplace. The companies that meet the eligibility
criteria are ranked on the last trading day of May of every year based on market capitalization using data available at that time, with the reconstitution taking effect as of the first trading day following the last Friday of June of that year. If
the last Friday in June is the 28th, 29th or 30th day of June, reconstitution will occur the Friday prior.
Market Capitalization
The primary criteria used to determine the initial list of common stocks eligible for inclusion in the Russell 3000,
and thus the Russell 2000
®
Index, is total market capitalization, which is calculated by multiplying the total
outstanding shares by the market price as of the last trading day in May for those securities being considered for the purposes of the annual reconstitution. IPO eligibility is determined each quarter.
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Determining total shares outstanding
. Only common stock is used to determine market capitalization for a company. Any other form of shares,
including preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants and rights or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined.
In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately.
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Determining price
. During each annual reconstitution, the last traded price on the last trading day in May of that year from the primary
exchange is used to determine market capitalization. If a security does not trade on its primary exchange, the lowest price from another major U.S. exchange is used. In the case where multiple share classes exist, the primary trading vehicle is
identified and used to determine price. For new members, the common share class with the highest trading volume will be considered the primary trading vehicle, and its associated price and trading symbol will be included in the Russell 2000
®
Index.
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Capitalization Adjustments
A securitys shares are adjusted to
include only those shares available to the public, often referred to as free float. The purpose of this adjustment is to exclude from market calculations the capitalization that is not available for purchase and is not part of the
investable opportunity set. Stocks are weighted in all Russell indices, including the Russell 2000
®
Index, by
their float-adjusted market capitalization, which is calculated by multiplying the primary closing price by the available shares.
The
following types of shares are removed from total market capitalization to arrive at free float or available market capitalization:
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Cross ownership. Shares held by another member of a Russell index are considered cross-owned and all such shares will be adjusted regardless of
percentage held.
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Large corporate and private holdings
. Shares held by another listed company (non-member) or private individuals will be adjusted if greater than
10% of shares outstanding. Share percentage is determined either by those shares held by an individual or a group of individuals acting together. For example, officers and directors holdings would be summed together to determine if they exceed 10%.
However, not included in this class are institutional holdings, including investment companies, partnerships, insurance companies, mutual funds, banks or venture capital funds.
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Employee stock ownership plan shares
. Corporations that have employee stock ownership plans that comprise 10% or more of the shares outstanding
are adjusted.
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PS7
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Unlisted share classes
. Classes of common stock that are not traded on a U.S. exchange are adjusted.
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IPO lock-ups
. Shares locked-up during an IPO are not available to the public and are thus excluded from the market value at the time the IPO
enters the Russell indices.
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Government holdings
. Holdings listed as government of are considered unavailable and will be removed entirely from available shares.
Shares held by government investment boards and/or investment arms will be treated similar to large private holdings and removed if the holding is greater than 10%. Any holding by a government pension fund is considered institutional holdings and
will not be removed from available shares.
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Corporate Actions Affecting the Russell 2000
®
Index
Changes to all Russell U.S. indices, including the Russell 2000
®
Index, are made when an action is final.
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No replacement rule
. Securities that leave the Index, between reconstitution dates, for any reason (e.g., mergers, acquisitions or
other similar corporate activity) are not replaced. Thus, the number of securities in the Index over a year may fluctuate according to corporate activity.
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Mergers and acquisitions
. Merger and acquisition activity results in changes to the membership and weighting of members within the Russell 2000
®
Index.
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Re-incorporations
. Members of the Russell 2000
®
Index that are re-incorporated to another country are analyzed for country assignment the following year during reconstitution, as long as they continue to trade in
the U.S. Companies that re-incorporate and no longer trade in the U.S. are immediately deleted from the Russell
2000
®
Index and placed in the appropriate country within the Russell Global Index. Those that re-incorporate to
the U.S. during the year will be assessed during reconstitution for membership.
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Re-classifications of shares (primary vehicles)
. Primary vehicles will not be assessed or change outside of a reconstitution period unless the
existing class ceases to exist. In the event of extenuating circumstances signaling a necessary primary vehicle change, proper notification will be made.
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Rights offerings
. Rights offered to shareholders are reflected in the Russell 2000
®
Index the date the offer expires for nontransferable rights and on the ex-date for transferable rights. In both cases, the price is adjusted to account for the value
of the right on the ex-date, and shares are increased according to the terms of the offering on that day. Rights issued in anticipation of a takeover event, or poison pill rights are excluded from this treatment and no price adjustment
is made for their issuance or redemption.
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Changes to shares outstanding
. Changes to shares outstanding due to buyback (including Dutch Auctions), secondary offerings, merger activity
with a non- Index member and other potential changes are updated at the end of the month (with the sole exception of June) which the change is reflected in vendor supplied updates and verified by Russell using an SEC filing. For a change in shares
to occur, the cumulative change to available shares must be greater than 5%.
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Spin-offs
. The only additions between reconstitution dates are as a result of spin-offs, reincorporations and IPOs. Spin-off companies are added
to the Russell 2000
®
Index if warranted by the market capitalization of the spin-off company.
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Tender offers
. A company acquired as the result of a tender offer is removed when the tender offer has fully expired and it is determined the
company will finalize the process with a short form merger. Shares of the acquiring company, if a member of the Russell
2000
®
Index, will be increased simultaneously.
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Delisting
. Only companies listed on U.S. exchanges are included in the Russell 2000
®
Index. Therefore, when a company is delisted from a U.S. exchange and moved to over-the-counter trading, the company is removed from the Russell 2000
®
Index.
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Bankruptcy and voluntary liquidations
. Companies that file for Chapter 7 liquidation bankruptcy or file any other liquidation plan will be
removed from the Russell 2000
®
Index at the time of the filing. Companies filing for a Chapter 11
re-organization bankruptcy will remain a member of the Russell 2000
®
Index, unless delisted from their primary
exchange. In that case, normal delisting rules will apply.
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Stock distributions
. Stock distributions can take two forms: (1) a stated amount of stock distributed on the ex-date or (2) an
undetermined amount of stock based on earnings and profits on a future date. In both cases, a price adjustment is made on the ex-date of the distribution. Shares are increased on the ex-date for category (1) and on the pay-date for category
(2).
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Dividends
. Gross dividends are included in the daily total return calculation of the Russell 2000
®
Index based on their ex-dates. The ex-date is used rather than the pay-date because the market place price
adjustment for the dividend occurs on the ex-date. Monthly, quarterly and annual total returns are calculated by compounding the reinvestment of dividends daily. The reinvestment and compounding is at the total index level, not at the security
level. Stock prices are adjusted to reflect special cash dividends on the ex-date. If a dividend is payable in stock and cash and the stock rate cannot be determined by the ex-date, the dividend is treated as cash.
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PS8
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Halted securities
. Halted securities are not removed from the Russell 2000
®
Index until the time they are actually delisted from the exchange. If a security is halted, it remains in the Index at the last traded price from the primary exchange
until the time the security resumes trading or is officially delisted.
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Additional information on the
Russell 2000
®
Index is available on the following website: http://www.russell.com. No information on the website
shall be deemed to be included or incorporated by reference in this pricing supplement.
License Agreement
Barclays Bank PLC has entered into a non-exclusive license agreement with the Russell Investments (
Russell
) whereby we, in exchange for
a fee, are permitted to use the Russell 2000 Index and its related trademarks in connection with certain Notes, including the Notes. We are not affiliated with Russell; the only relationship between Russell and us is any licensing of the use of
Russells indices and trademarks relating to them.
The license agreement between Russell and Barclays Bank PLC provides that the
following language must be set forth in the pricing supplement:
The Notes are not sponsored, endorsed, sold, or
promoted by Russell Investments (
Russell
). Russell 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 Notes generally or in
the Notes particularly or the ability of the Russell 2000
®
Index (the
Russell 2000 Index
) to
track general stock market performance or a segment of the same. Russells publication of the Russell 2000 Index in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the Notes upon which the
Russell 2000 Index is based. Russells only relationship to Barclays Bank PLC and its affiliates is the licensing of certain trademarks and trade names of Russell and of the Russell 2000 Index which is determined, composed and calculated by
Russell without regard to Barclays Bank PLC and its affiliates or the Notes. Russell is not responsible for and has not reviewed the Notes nor any associated literature or publications and Russell makes no representation or warranty, express or
implied, as to their accuracy or completeness, or otherwise. Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell 2000 Index. Russell has no obligation or liability in connection
with the administration, marketing or trading of the Notes.
RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE RUSSELL
2000 INDEX OR ANY DATA INCLUDED THEREIN AND RUSSELL SHALL HAVE NO LIABILITY FOR ANY OMISSIONS, OR INTERRUPTIONS THEREIN. RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC AND/OR ITS AFFILIATES,
INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000 INDEX OR ANY DATA INCLUDED THEREIN. RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL 2000 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
Russell 2000
®
Index and Russell 3000
®
Index are trademarks of Russell Investments and have been licensed for use by Barclays Bank PLC. The Notes are not sponsored, endorsed, sold, or promoted by
Russell Investments and Russell Investments makes no representation regarding the advisability of investing in the Notes.
PS9
Historical Information
The following graph sets forth the historical performance of the Index based on the daily Index closing level from January 1, 2008 through March 26, 2013. The Index closing level on
March 26, 2013 was 949.82.
We obtained the Index closing levels below from Bloomberg, L.P. We have not independently verified the
accuracy or completeness of the information obtained from Bloomberg L.P. The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Closing Level on the Final
Valuation Date. We cannot give you assurance that the performance of the Index will result in the return of any of your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.