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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$16,865,000
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$2,300.39
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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 April 9, 2013
(To the Prospectus dated August 31, 2010,
the Prospectus Supplement dated May 27,
2011
and the Index Supplement dated May 31, 2011)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-169119
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$16,865,000
Callable Contingent Quarterly Payment Notes due
April 14, 2016 Linked to the Lowest Return of the S&P
500
®
Index, the Russell 2000
®
Index, and the iShares
®
MSCI
EAFE Index Fund
Global Medium-Term
Notes, Series A, No. E-7841
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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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April 9, 2013
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Issue Date:
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April 12, 2013
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Final Valuation Date:
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April 11, 2016, subject to postponement for non-Reference Asset Business Days and certain market disruption events
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Maturity Date:
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April 14, 2016, subject to postponement for non-Reference Asset Business Days and certain market disruption events
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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 Assets:
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S&P 500
®
Index (the S&P 500
Index), Russell 2000
®
Index (the Russell 2000 Index) and the iShares
®
MSCI EAFE Index Fund (the ETF)
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Reference Asset
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Bloomberg Ticker
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Initial Value
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Barrier Level
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Coupon Barrier Level
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S&P 500 Index
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SPX<Index>
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1,568.61
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941.17
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941.17
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Russell 2000 Index
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RTY<Index>
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929.34
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557.60
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557.60
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ETF
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EFA UP <Equity>
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59.21
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35.53
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35.53
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The S&P 500 Index, the Russell 2000 Index and the ETF are each referred to in this pricing supplement as a Reference Asset and collectively as the Reference
Assets. The S&P 500 Index and the Russell 2000 Index are each referred to in this pricing supplement as an Index and collectively as the Indices.
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Quarterly Contingent Rate:
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1.9375% (per annum 7.75%)
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Quarterly Contingent Payment:
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On each Quarterly Contingent Payment Date, unless the Notes have been previously redeemed (pursuant to the Early Redemption at the Option of the Issuer provision),
you will receive a quarterly contingent payment equal to the Quarterly Contingent Rate
times
the principal amount of your Notes
if and only if
the Closing Value of the Lowest Performing Reference Asset on the related Valuation Date is
greater than or equal to its Coupon Barrier Level.
If the Closing Value of the Lowest Performing Reference Asset on any quarterly Valuation Date is less than its Coupon Barrier Level, you will
not
receive any quarterly
contingent payment on the related Quarterly Contingent Payment Date, and if the Closing Value of the Lowest Performing Reference Asset is less than its Coupon Barrier Level on all Valuation Dates, you will not receive any quarterly contingent
payments over the term of the Notes.
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Valuation Dates:
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Quarterly, on the 9
th
day of each January, April, July and October, beginning on July 9, 2013 and ending on the Final Valuation Date, subject to postponement for non-Reference Asset Business Days and certain market disruption
events.
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Quarterly Contingent Payment Dates:*
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The quarterly contingent payment date for any Valuation Date will be the fifth Business Day after such Valuation Date, except that the quarterly contingent payment date for the
Final Valuation Date will be the Maturity Date.
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Early Redemption at the Option of the Issuer:
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The Issuer may redeem your Notes (in whole but not in part) at its sole discretion without your consent at the Redemption Price set forth below on any Quarterly Contingent
Payment Date, provided the Issuer provides at least five business days prior written notice to the trustee. If the Issuer exercises its redemption option, the Quarterly Contingent Payment Date on which the Issuer so exercises the redemption
option will be referred to as the Early Redemption Date.
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Redemption Price:
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If the Issuer exercises its redemption option (pursuant to the Early Redemption at the Option of the Issuer provision), you will receive on the applicable Early
Redemption Date 100% of the principal amount of your Notes plus any Quarterly Contingent Payment that may be due on such date.
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Payment at Maturity:
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If your Notes are not early redeemed by us pursuant to the Early Redemption at the Option of the Issuer provisions, you
will receive (subject to our credit risk) on the stated Maturity Date, in addition to any final Quarterly Contingent Payment, a cash payment determined as follows:
If the Final Value of the Lowest Performing Reference
Asset is greater than or equal to its respective Barrier Level, $1,000 per $1,000 principal amount Note that you hold.
If the Final Value of the Lowest Performing Reference
Asset is less than its respective Barrier Level, an amount per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × Reference Asset Return of the Lowest Performing Reference Asset]
You may lose some or all of the principal amount of your Notes at
maturity. If the Final Value of the Lowest Performing Reference Asset is less than its respective Barrier Level, your Notes will be fully exposed to any such decline. The payment at maturity will be based solely on the Reference Asset Return of the
Lowest Performing Reference Asset and the performances of the other Reference Assets will not be taken into account for purposes of calculating any payment due at maturity under the Notes.
Any payments due on the Notes, including any payment due at maturity, 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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Closing Value:
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With respect to the S&P 500 Index, for any Index Business Day, the closing value of the S&P 500 Index published at the
regular weekday close of trading on that Index Business Day as displayed on Bloomberg Professional
®
service page
SPX <Index> or any successor page on Bloomberg Professional
®
service or any successor service,
as applicable.
With respect to the Russell 2000 Index, for any Index
Business Day, the closing value of the Russell 2000 Index published at the regular weekday close of trading on that Index Business Day as displayed on Bloomberg Professional
®
service page RTY <Index> or any successor page on Bloomberg Professional
®
service or any successor service, as applicable.
With respect to the ETF, for any Trading Day, the official closing price per share of the ETF on that Trading Day as determined by the Calculation Agent
and displayed on Bloomberg Professional
®
service page EFA UP <Equity> or any successor page on
Bloomberg Professional
®
service or any successor service, as applicable.
In certain circumstances, the closing value of an 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 of the accompanying Prospectus Supplement. In certain circumstances,
the closing price per share of the ETF will be based on the alternate calculation of the ETF as described in Reference AssetAdjustments Relating to Securities with the Reference Asset Comprised of an Exchange-Traded Fund or
Exchange-Traded Funds in the accompanying prospectus supplement.
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Coupon Barrier Level:
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With respect to a Reference Asset, 60.00% of its corresponding Initial Value. The Coupon Barrier Level for each Reference Asset is set forth in the table above, which appears
under the caption Reference Assets.
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Barrier Level:
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With respect to a Reference Asset, 60.00% of its corresponding Initial Value. The Barrier Level for each Reference Asset is set forth in the table above, which appears under the
caption Reference Assets.
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Index Business Day:
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With respect to an Index, a day, as determined by the Calculation Agent, on which each of the relevant exchanges on which each Index component is traded is scheduled to be open
for trading and trading is generally conducted on each such relevant exchange.
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Trading Day:
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With respect to the ETF, a day, as determined by the Calculation Agent, on which the primary exchange or market of trading for shares or other interests in the ETF or the shares
of any successor fund is scheduled to be open for trading and trading is generally conducted on such market or exchange.
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Reference Asset Business Day:
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A day that is both (i) an Index Business Day with respect to each of the Indices, and (ii) a Trading Day with respect to the ETF.
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Business Day:
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Any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or London generally, are authorized or obligated
by law or executive order to close.
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Lowest Performing Reference Asset:
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The Reference Asset with the lowest Reference Asset Return, as calculated in the manner set forth below.
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Reference Asset Return:
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With respect to each Reference Asset and with respect to each Valuation Date (including the Final Valuation Date), the performance of
such Reference Asset from its Initial Value to its Closing Value on such day, calculated as follows:
Closing Value Initial Value
Initial Value
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Initial Value:
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With respect to a Reference Asset, the Closing Value of the Reference Asset on the Initial Valuation Date. The Initial Value for each Reference Asset is set forth in the table
above, which appears under the caption Reference Assets.
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Final Value:
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With respect to a Reference Asset, the Closing Value of the Reference Asset on the Final Valuation Date.
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Calculation Agent:
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Barclays Bank PLC
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CUSIP/ISIN:
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06741TSR9 and US06741TSR94
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*
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If such day is not a Business Day, payment will be made on the immediately following Business Day with the same force and effect as if made on the specified date. No
interest will accrue as a result of delayed payment.
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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, Risk Factors beginning on page IS-2 of the index supplement and
Selected Risk Considerations
beginning on page PS-9 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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1.45%
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98.55%
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Total
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$16,865,000
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$244,542.50
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$16,620,457.50
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Barclays Capital Inc. will receive commissions from the Issuer equal to 1.45% of the principal amount of the Notes, or $14.50 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.
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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 and the index supplement dated
May 31, 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 and the index 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
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Index Supplement dated May 31, 2011:
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http://www.sec.gov/Archives/edgar/data/312070/000119312511154632/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.
HYPOTHETICAL QUARTERLY CONTINGENT PAYMENT EXAMPLES
The payment of a Quarterly Contingent Payment on any Quarterly Contingent Payment Date will be dependent on the Closing Value of each Reference Asset on
the related Valuation Date and the corresponding return of each Reference Asset as measured from that Valuation Date to the Initial Valuation Date. The Reference Asset with the lowest Reference Asset Return on a Valuation Date will be deemed the
Lowest Performing Reference Asset and the corresponding Closing Value of such Reference Asset on the related Valuation Date will be evaluated relative to the Coupon Barrier Level of such Reference Asset. If the Closing Value of the Lowest Performing
Reference Asset on such Valuation Date is less than its corresponding Coupon Barrier Level, then there will not be a Quarterly Contingent Payment made on the corresponding Quarterly Contingent Payment Date. Alternatively, if the Closing Value of the
Lowest Performing Reference Asset on such Valuation Date is greater than or equal to its corresponding Coupon Barrier Level, then a Quarterly Contingent Payment will be made on the corresponding Quarterly Contingent Payment Date.
If the Closing
Value of the Lowest Performing Reference Asset on each Valuation Date is less than the corresponding Coupon Barrier Level of such Reference Asset, then no Quarterly Contingent Payments will be made over the term of the Notes.
If the Issuer
exercises the Early Redemption at the Option of the Issuer, no Quarterly Contingent Payments will be made following the date of such exercise.
Quarterly Contingent Payment Calculations
Step 1: Determine Which
Reference Asset is the Lowest Performing Reference Asset Based on the Reference Asset Return of each Reference Asset.
To determine which
Reference Asset is the Lowest Performing Reference Asset on each Valuation Date, the Calculation Agent will need to calculate the Reference Asset Return of each Reference Asset on the respective Valuation Date. The Reference Asset Return of each
Reference Asset is equal to the performance of such Reference Asset as measured from its Initial Value to its Closing Value on such Valuation Date, calculated as follows:
Closing Value Initial Value
Initial Value
PS-2
The Reference Asset with the lowest Reference Asset Return on such Valuation Date will be deemed the Lowest
Performing Reference Asset.
Step 2: Determine Whether the Closing Value of the Lowest Performing Reference Asset is
Greater than or Equal to its Corresponding Barrier Level.
Upon determining which Reference Asset is the Lowest Performing Reference Asset
on a Valuation Date, the Calculation Agent will take the Closing Value of such Reference Asset and evaluate it relative to its Coupon Barrier Level (that is, whether the Closing Value on that day is greater than or equal to its applicable Coupon
Barrier Level). If the Closing Value of the Lowest Performing Reference Asset is greater than or equal to its corresponding Coupon Barrier Level, a Quarterly Contingent Payment will be made (as calculated in Step 3 below) and payable on the
corresponding Quarterly Contingent Payment Date.
If the Closing Value of the Lowest Performing Reference Asset is less than the corresponding Coupon Barrier Level of such Reference Asset, then no Quarterly Contingent Payment will be made the
corresponding Quarterly Contingent Payment Date.
Step 3: Calculate the Quarterly Contingent Payment, if Any:
If on the respective Valuation Date, the Closing Value of the Lowest Performing Reference Asset is greater than or equal to its corresponding
Coupon Barrier Level, we will pay a Quarterly Contingent Payment equal to the Quarterly Contingent Rate multiplied by the stated principal amount; otherwise no Quarterly Contingent Payment will be due on the corresponding Quarterly Contingent
Payment Date. The Quarterly Contingent Payment will be calculated as follows:
$1,000 × Quarterly Contingent Rate
$1,000 × 1.9375% = $19.375
No adjustments to the amount of the Quarterly Contingent Payment calculated will be made in the event a Quarterly Contingent Payment Date is not a Business Day. Payment will be made on the immediately
following Business Day with the same force and effect as if made on the specified date.
Examples of Quarterly Contingent Payment
Calculations
The tables and examples below illustrate the determination as to whether a Quarterly Contingent Payment will be made with
respect to a series of 10 hypothetical Valuation Dates. The hypothetical examples set forth below are based on the following additional assumptions: the Quarterly Contingent Rate of 1.9375% (per annum 7.75%); the Notes are held until the Maturity
Date and the Issuer has not exercised the Early Redemption at the Option of the Issuer; the Coupon Barrier Level for each Reference Asset is 60.00% of its respective Initial Value; and no Market Disruption Event with respect to any of
the Reference Assets has occurred or is continuing on any Valuation Date, including the Final Valuation Date. Numbers in the table and examples below have been rounded for ease of analysis. The examples below also do not take into account the
effects of applicable taxes.
Table 1
During the Term of the Notes, On Certain Valuation Dates, the Closing Value of the
Lowest Performing Reference Asset has been Less Than its Respective Coupon Barrier Level and on Certain Valuation Dates, the Closing Value of the Lowest Performing Reference Asset has been Greater than or Equal to its Respective Coupon Barrier
Level. As a Result, During the Term of the Notes on Certain Valuation Dates a Quarterly Contingent Payment Will Be Due and On Other Valuation Dates, No Quarterly Contingent Payment Will Be Due.
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Valuation Dates
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Is the Closing Value of
the Lowest Performing
Reference Asset Below
its Coupon Barrier
Level?
1
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Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
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No
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Yes
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1.9375%
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$19.375
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Second
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Yes
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No
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N/A
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$0.00
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Third
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Yes
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No
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N/A
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$0.00
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Fourth
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No
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Yes
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1.9375%
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$19.375
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Fifth
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Yes
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No
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N/A
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$0.00
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Sixth
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No
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Yes
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1.9375%
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$19.375
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Seventh
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No
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Yes
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1.9375%
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$19.375
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Eighth
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Yes
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No
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N/A
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$0.00
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Ninth
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Yes
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No
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N/A
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$0.00
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Tenth
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No
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Yes
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1.9375%
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$19.375
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Eleventh
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Yes
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No
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N/A
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$0.00
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Twelfth (Final Valuation Date)
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No
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Yes
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1.9375%
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$19.375
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During the Term of the Notes, the Total Quarterly Contingent Payments received per Note: $116.25
1
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For each Reference Asset, the Coupon Barrier Level is equal to 60.00% of its Initial Value.
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PS-3
2
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A Quarterly Contingent Payment will be made if the Closing Value of the Lowest Performing Reference Asset on the related Valuation Date is greater than
or equal to its Coupon Barrier Level.
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3
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The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
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Table 2
With Respect to Each Valuation Date, the Closing Value of the Lowest Performing Reference Asset Has Been Greater than or Equal
to its Respective Coupon Barrier Level. This Example Illustrates the Maximum Possible Quarterly Contingent Payments that Would be Due During the Term of the Notes.
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Valuation Dates
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Is the Closing Value of
the Lowest Performing
Reference Asset Below
its Coupon Barrier
Level?
1
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Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
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No
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Yes
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1.9375%
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$19.375
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Second
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No
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Yes
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1.9375%
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$19.375
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Third
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No
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Yes
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1.9375%
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$19.375
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Fourth
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No
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Yes
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1.9375%
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$19.375
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Fifth
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No
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Yes
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1.9375%
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$19.375
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Sixth
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No
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Yes
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1.9375%
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$19.375
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Seventh
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No
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Yes
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1.9375%
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$19.375
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Eighth
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No
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Yes
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1.9375%
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$19.375
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Ninth
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No
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Yes
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1.9375%
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$19.375
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Tenth
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No
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Yes
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1.9375%
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$19.375
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Eleventh
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No
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Yes
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1.9375%
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$19.375
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Twelfth (Final Valuation Date)
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No
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Yes
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1.9375%
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$19.375
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During the Term of the Note, the Total Quarterly Contingent Payments received per Note: $232.50
1
|
For each Reference Asset, the Coupon Barrier Level is equal to 60.00% of its Initial Value.
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2
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A Quarterly Contingent Payment will be made if the Closing Value of the Lowest Performing Reference Asset on the related Valuation Date is greater than
or equal to its Coupon Barrier Level.
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3
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The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
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Table 3
With Respect to Each Valuation Date, the Closing Value of the Lowest Performing Reference Asset Has Been Less than its
Respective Coupon Barrier Level. This Example Illustrates the Minimum Possible Quarterly Contingent Payments that Would be Due During the Term of the Notes, Which is $0.00.
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Valuation Dates
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Is the Closing Value of
the Lowest Performing
Reference Asset Below
its Coupon Barrier
Level?
1
|
|
Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
|
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
|
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Yes
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No
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N/A
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$0.00
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Second
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Yes
|
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No
|
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N/A
|
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$0.00
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Third
|
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Yes
|
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No
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N/A
|
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$0.00
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Fourth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Fifth
|
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Yes
|
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No
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|
N/A
|
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$0.00
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Sixth
|
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Yes
|
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No
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N/A
|
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$0.00
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Seventh
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Yes
|
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No
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N/A
|
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$0.00
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Eighth
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Yes
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No
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N/A
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$0.00
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Ninth
|
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Yes
|
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No
|
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N/A
|
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$0.00
|
Tenth
|
|
Yes
|
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No
|
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N/A
|
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$0.00
|
Eleventh
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Twelfth (Final Valuation Date)
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
During the Term of the Notes, the Total Quarterly Contingent Payments received per Note: $0.00
1
|
For each Reference Asset, the Coupon Barrier Level is equal to 60.00% of its Initial Value.
|
2
|
A Quarterly Contingent Payment will be made if the Closing Value of the Lowest Performing Reference Asset on the related Valuation Date is greater than
or equal to its Coupon Barrier Level.
|
3
|
The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
|
PS-4
HYPOTHETICAL PAYMENT AT MATURITY CALCULATIONS
The following steps illustrate the hypothetical payment at maturity calculations. The hypothetical payment at maturity calculations set forth below are
for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the Notes. The numbers appearing in the following table have been rounded for ease of analysis. Note that, for purposes of the hypothetical
payment at maturity calculations set forth below, we are assuming that (i) the Initial Value of the S&P 500 Index is 1,568.61, (ii) the Initial Value of the Russell 2000 Index is 929.34, (iii) the Initial Value of the ETF is
$59.21, (iii) the Barrier Level with respect to the S&P 500 Index is 941.17 (the Initial Level of the S&P 500 Index multiplied by 60.00%, rounded to the nearest hundredth), (iv) the Barrier Level with respect to the Russell 2000
Index is 557.60 (the Initial Level of the Russell 2000 Index multiplied by 60.00%, rounded to the nearest hundredth), (v) the Barrier Level with respect to the ETF is $35.53 (the Initial Value of the ETF multiplied by 60.00%, rounded to the
nearest hundredth), and (vi) the Notes are not redeemed prior to maturity pursuant to Early Redemption at the Option of the Issuer as described above. The calculations set forth below do not take into account any tax consequences
from investing in the Notes.
Step 1: Determine which Reference Asset is the Lowest Performing Reference Asset.
To determine which Reference Asset is the Lowest Performing Reference Asset on the Final Valuation Date, the Calculation Agent will need to
calculate the Reference Asset Return of each Reference Asset on the Final Valuation Date. The Reference Asset with the lowest Reference Asset Return will be the Lowest Performing Reference Asset and its Closing Value on the Final Valuation Date will
be evaluated relative to its corresponding Barrier Level to determine the payment due at maturity.
The Reference Asset Return of a Reference
Asset on the Final Valuation Date is equal to the performance of such Reference Asset from its Initial Value to its Closing Value on the Final Valuation Date (referred to as the Final Value), calculated by the Calculation Agent as
follows:
Final Value Initial Value
Initial Value
Step 2: Calculate the Payment at Maturity based on the Final
Value and Reference Asset Return of the Lowest Performing Reference Asset.
The payment at maturity, in addition to any final Quarterly
Contingent Payment, will depend on whether the Final Value of the Lowest Performing Reference Asset is greater than, equal to or less than its respective Barrier Level. You will receive (subject to our credit risk) a payment at maturity equal to the
principal amount of your Notes
only if
the Final Value of the Lowest Performing Reference Asset is greater than or equal to the Barrier Level with respect to such Reference Asset.
If the Final Value of the Lowest Performing Reference Asset is less than the Barrier Level with respect to such Reference Asset, you will receive
(subject to our credit risk) a payment at maturity that is less, and possibly significantly less, than the principal amount of your Notes, calculated by the Calculation Agent as the sum of the (i) the principal amount of your Notes,
plus
(ii) the product of (a) the principal amount of your Notes multiplied by (b) the Reference Asset Return of the Lowest Performing Reference Asset.
The payment at maturity will be based solely on the Reference Asset Return of the
Lowest Performing Reference Asset and the performances of the other Reference Assets will not be taken into account for purposes of calculating any payment due at maturity under the Notes. As such, if the Final Value of the Lowest Performing
Reference Asset has depreciated by more than 40% relative to its Initial Value, you may lose some or all of the principal amount of your Notes at maturity.
PS-5
The following table illustrates the hypothetical payments at maturity assuming a range of performances for
the Reference Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Russell 2000
Index
Final Value
|
|
S&P 500 Index
Final Value
|
|
ETF Final
Value ($)
|
|
Reference
Asset
Return of
the
Russell
2000
Index
|
|
Reference
Asset
Return of
the S&P
500 Index
|
|
Reference
Asset
Return of
the ETF
|
|
Reference
Return of the
Lowest
Performing
Reference Asset
|
|
Payment at Maturity*
(Not including any quarterly
contingent payment)
|
1,905.15
|
|
3,137.22
|
|
124.34
|
|
105.00%
|
|
100.00%
|
|
110.00%
|
|
100.00%
|
|
$1,000.00
|
1,765.75
|
|
3,058.79
|
|
118.42
|
|
90.00%
|
|
95.00%
|
|
100.00%
|
|
90.00%
|
|
$1,000.00
|
1,719.28
|
|
2,823.50
|
|
109.54
|
|
85.00%
|
|
80.00%
|
|
85.00%
|
|
80.00%
|
|
$1,000.00
|
1,579.88
|
|
2,745.07
|
|
106.58
|
|
70.00%
|
|
75.00%
|
|
80.00%
|
|
70.00%
|
|
$1,000.00
|
1,533.41
|
|
2,509.78
|
|
100.66
|
|
65.00%
|
|
60.00%
|
|
70.00%
|
|
60.00%
|
|
$1,000.00
|
1,394.01
|
|
2,431.35
|
|
91.78
|
|
50.00%
|
|
55.00%
|
|
55.00%
|
|
50.00%
|
|
$1,000.00
|
1,347.54
|
|
2,196.05
|
|
85.85
|
|
45.00%
|
|
40.00%
|
|
45.00%
|
|
40.00%
|
|
$1,000.00
|
1,208.14
|
|
2,117.62
|
|
82.89
|
|
30.00%
|
|
35.00%
|
|
40.00%
|
|
30.00%
|
|
$1,000.00
|
1,161.68
|
|
1,882.33
|
|
76.97
|
|
25.00%
|
|
20.00%
|
|
30.00%
|
|
20.00%
|
|
$1,000.00
|
1,022.27
|
|
1,756.84
|
|
68.09
|
|
10.00%
|
|
12.00%
|
|
15.00%
|
|
10.00%
|
|
$1,000.00
|
929.34
|
|
1,568.61
|
|
59.21
|
|
0.00%
|
|
0.00%
|
|
0.00%
|
|
0.00%
|
|
$1,000.00
|
1,022.27
|
|
1,490.18
|
|
62.17
|
|
10.00%
|
|
-5.00%
|
|
5.00%
|
|
-5.00%
|
|
$1,000.00
|
836.41
|
|
1,490.18
|
|
57.73
|
|
-10.00%
|
|
-5.00%
|
|
-2.50%
|
|
-10.00%
|
|
$1,000.00
|
947.93
|
|
1,254.89
|
|
53.29
|
|
2.00%
|
|
-20.00%
|
|
-10.00%
|
|
-20.00%
|
|
$1,000.00
|
697.01
|
|
1,333.32
|
|
47.37
|
|
-25.00%
|
|
-15.00%
|
|
-20.00%
|
|
-25.00%
|
|
$1,000.00
|
743.47
|
|
1,098.03
|
|
44.41
|
|
-20.00%
|
|
-30.00%
|
|
-25.00%
|
|
-30.00%
|
|
$1,000.00
|
604.07
|
|
1,098.03
|
|
47.37
|
|
-35.00%
|
|
-30.00%
|
|
-20.00%
|
|
-35.00%
|
|
$1,000.00
|
743.47
|
|
941.17
|
|
41.45
|
|
-20.00%
|
|
-40.00%
|
|
-30.00%
|
|
-40.00%
|
|
$1,000.00
|
511.14
|
|
941.17
|
|
38.49
|
|
-45.00%
|
|
-40.00%
|
|
-35.00%
|
|
-45.00%
|
|
$550.00
|
464.67
|
|
862.74
|
|
35.53
|
|
-50.00%
|
|
-45.00%
|
|
-40.00%
|
|
-50.00%
|
|
$500.00
|
464.67
|
|
705.87
|
|
32.57
|
|
-50.00%
|
|
-55.00%
|
|
-45.00%
|
|
-55.00%
|
|
$450.00
|
557.60
|
|
627.44
|
|
26.64
|
|
-40.00%
|
|
-60.00%
|
|
-55.00%
|
|
-60.00%
|
|
$400.00
|
278.80
|
|
1,803.90
|
|
29.61
|
|
-70.00%
|
|
15.00%
|
|
-50.00%
|
|
-70.00%
|
|
$300.00
|
232.34
|
|
313.72
|
|
17.76
|
|
-75.00%
|
|
-80.00%
|
|
-70.00%
|
|
-80.00%
|
|
$200.00
|
92.93
|
|
235.29
|
|
11.84
|
|
-90.00%
|
|
-85.00%
|
|
-80.00%
|
|
-90.00%
|
|
$100.00
|
46.47
|
|
0.00
|
|
5.92
|
|
-95.00%
|
|
-100.00%
|
|
-90.00%
|
|
-100.00%
|
|
$0.00
|
*
|
per $1,000 principal amount Note
|
The following
examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The S&P 500 Index increases
from an Initial Value of 1,568.61 to a Final Value of 1,756.84, the Russell 2000 Index increases from an Initial Value of 929.34 to a Final Value of 1,022.27, and the ETF increases from an Initial Value of $59.21 to a Final Value of $68.09.
The Reference Asset Returns of all the Reference Assets are positive and, as such, the Reference Asset Return of the Lowest Performing
Reference Asset is positive and the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note.
Example 2: The
S&P 500 Index decreases from an Initial Value of 1,568.61 to a Final Value of 1,098.03, the Russell 2000 Index decreases from an Initial Value of 929.34 to a Final Value of 604.07 and the ETF decreases from an Initial Value of $59.21 to a Final
Value of $47.37.
Because the Reference Asset Return of the Russell 2000 Index of -35.00% is lowest, compared with the Reference Asset
Returns of the S&P 500 Index of -30.00% and of the ETF of -20.00%, the Russell 2000 Index is the Lowest Performing Reference Asset. However, because the Final Value of the Lowest Performing Reference Asset of 604.07 is not less than its
respective Barrier Level of 557.60, the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note.
PS-6
Example 3: The S&P 500 Index increases from an Initial Value of 1,568.61 to a Final Value of
1,803.90, the Russell 2000 Index decreases from an Initial Value of 929.34 to a Final Value of 278.80, and the ETF decreases from an Initial Value of $59.21 to a Final Value of $29.61
Because the Reference Asset Return of the Russell 2000 Index of -70.00% is lowest, compared with the Reference Asset Returns of the S&P 500 Index of 15.00% and the Reference Asset Return of the ETF of
-50.00%, the Russell 2000 Index is the Lowest Performing Reference Asset. Because the Final Value of the Lowest Performing Reference Asset of 278.80 is less than its respective Barrier Level of 557.60 the investor is fully exposed to the
depreciation of the Russell 2000 Index (as measured from its Initial Value to its Final Value) and receives a payment at maturity of $300.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × Reference Asset Return of the Lowest Performing Reference Asset]
$1,000 + [$1,000 × -70.00%] = $300.00
SELECTED PURCHASE CONSIDERATIONS
|
|
|
Market Disruption Events and Adjustments
The Valuation Dates, the Early Redemption Date, the Maturity Date and the payment at maturity are
subject to adjustment in the event of a Market Disruption Event with respect to any Reference Asset. If the Calculation Agent determines that on any Valuation Date, a Market Disruption Event occurs or is continuing in respect of any Reference Asset,
the Valuation Date will be postponed. If such postponement occurs, the Closing Values of the Reference Assets shall be determined using the Closing Values of the Reference Assets on the first following Reference Asset Business Day on which no Market
Disruption Event occurs or is continuing in respect of any Reference Asset. In no event, however, will a Valuation Date (including the Final Valuation Date) be postponed by more than five Reference Asset Business Days. If the Calculation Agent
determines that a Market Disruption Event occurs or is continuing in respect of any Reference Asset on such fifth day, the Calculation Agent will determine the Closing Value of any Reference Asset unaffected by such Market Disruption Event using the
Closing Value of such Reference Asset on such fifth day, and will make an estimate of the Closing Value of any Reference Asset affected by such Market Disruption Event that would have prevailed on such fifth day in the absence of such Market
Disruption Event.
|
|
|
|
For a description of what constitutes a Market Disruption Event with respect to the Indices, see Reference AssetsIndicesMarket
Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the prospectus supplement;
|
|
|
|
For a description of what constitutes a Market Disruption Event with respect to the ETF, see Reference AssetsExchange-Traded
FundsMarket Disruption Events for Securities with the Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds Comprised of Equity Securities in the prospectus supplement;
|
|
|
|
For a description of further adjustments that may affect the Indices, see Reference AssetsIndicesAdjustments Relating to Securities
with the Reference Asset Comprised of an Index of the prospectus supplement; and
|
|
|
|
For a description of further adjustments that may affect the ETF, see Reference AssetsExchange-Traded FundsAdjustments Relating to
Securities with the Reference Asset Comprised of an Exchange-Traded Fund or Exchange-Traded Funds of the prospectus supplement.
|
|
|
|
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). In addition, this discussion does not apply to you if you purchase your Notes for less than the
principal amount of the Notes.
|
The U.S. 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 contingent income-bearing executory contract with respect to the Reference Assets.
If your Notes are properly treated as a contingent income-bearing executory contract, it would be reasonable (i) to treat any quarterly contingent payments you receive on the Notes as items of
ordinary income taxable in accordance with your regular method of accounting for U.S. federal income tax purposes and (ii) to recognize capital gain or loss upon the sale, redemption
PS-7
or maturity of your Notes in an amount equal to the difference (if any) between the amount you receive at such time (other than amounts attributable to a quarterly contingent payment) and your
basis in the Notes for U.S. federal income tax purposes. Such gain or loss should generally be long-term capital gain or loss if you have held your Notes for more than one year, and otherwise should generally be short-term capital gain or loss.
Short-term capital gains are generally subject to tax at the marginal tax rates applicable to ordinary income. Any character mismatch arising from your inclusion of ordinary income in respect of any quarterly contingent payments and capital loss (if
any) upon the sale, redemption or maturity of your Notes may result in adverse tax consequences to you because an investor's ability to deduct capital losses is subject to significant limitations.
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 these preliminary terms is materially correct.
NO STATUTORY, JUDICIAL OR ADMINISTRATIVE AUTHORITY DIRECTLY DISCUSSES HOW YOUR NOTES SHOULD BE TREATED FOR U.S. FEDERAL INCOME TAX PURPOSES. AS A RESULT, THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF YOUR
INVESTMENT IN THE NOTES ARE UNCERTAIN. ACCORDINGLY, WE URGE YOU TO CONSULT YOUR TAX ADVISOR AS TO THE TAX CONSEQUENCES OF INVESTING IN THE NOTES.
Alternative Treatments
. 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 the Notes could be treated as debt
instruments subject to the special tax rules governing contingent payment debt instruments. Under the contingent payment debt instrument rules, you generally would be required to accrue interest on a current basis in respect of the Notes over their
term based on the comparable yield and projected payment schedule for the Notes and pay tax accordingly, even though these amounts may exceed the quarterly contingent payments (if any) that are made on the Notes. You would also be required to make
adjustments to your accruals if the actual amounts that you receive in any taxable year differ from the amounts shown on the projected payment schedule. In addition, any gain you may recognize on the sale, redemption or maturity of the Notes would
be taxed as ordinary interest income and any loss you may recognize on the sale, redemption or maturity of the Notes would generally be ordinary loss to the extent of the interest you previously included as income without an offsetting negative
adjustment and thereafter would be capital loss. You should consult your tax advisor as to the special rules that govern contingent payment debt instruments.
It is also 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 Reference
Assets that is issued by you to us. You should consult your tax advisor as to the possible consequences of this alternative treatment.
In addition, it is possible that (i) you should not include the quarterly contingent payments (if any) in income as you receive them and instead you should reduce your basis in your Notes by the
amount of the quarterly contingent payments that you receive; (ii) you should not include the quarterly contingent payments (if any) in income as you receive them and instead, upon the sale, redemption or maturity of your Notes, you should
recognize short-term capital gain or loss in an amount equal to the difference between (a) the amount of the quarterly contingent payments made to you over the term of the Notes (including any quarterly contingent payment received at redemption
or maturity or the amount of cash that you receive upon a sale that is attributable to the quarterly contingent payments to be made on the Notes) and (b) the excess (if any) of (1) the amount you paid for your Notes over (2) the
amount of cash you receive upon the sale, redemption or maturity (excluding any quarterly contingent payment received at redemption or maturity or the amount of cash that you receive upon a sale that is attributable to the quarterly contingent
payments to be made on the Notes); or (iii) if a quarterly contingent payment is made at redemption or maturity, such quarterly contingent payment should not separately be taken into account as ordinary income but instead should increase the
amount of capital gain or decrease the amount of capital loss that you recognize at such time.
Furthermore, it is also
possible that the Notes could be treated as notional principal contracts that are comprised of a swap component and a loan component. If the Notes were treated as notional principal contracts, you could be required to accrue income over the term of
your Notes in respect of the loan component (which may exceed the quarterly contingent payments, if any, that are made on the Notes), and any gain or loss that you recognize upon the maturity of your Notes would likely be treated as ordinary income
or loss.
You should consult your tax advisor with respect to these possible alternative treatments.
PS-8
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 ConsiderationsThe U.S. federal income tax treatment of an investment in the Notes is uncertain, in these preliminary terms.
Medicare Tax
. As discussed under Certain U.S. Federal Income Tax ConsiderationsMedicare Tax in the accompanying prospectus supplement, certain U.S. holders will be subject to a
3.8% Medicare tax on their net investment income if their modified adjusted gross income for the taxable year is over a certain threshold. Net investment income will include any gain that a U.S. holder recognizes upon the sale,
redemption or maturity of the Notes, unless such income is derived in the ordinary course of the conduct of a trade or business (other than a trade or business that consists of certain passive or trading activities). It is not clear, however,
whether the Medicare tax would apply to any quarterly contingent payments that you receive on the Notes, unless such quarterly contingent payments are derived in the ordinary course of the conduct of a trade or business (in which case the quarterly
contingent payments should be treated as net investment income if they are derived in a trade or business that consists of certain trading or passive activities and should otherwise not be treated as net investment income). Accordingly, U.S. holders
that do not hold the Notes in the ordinary conduct of a trade or business should consult their tax advisors regarding the application of the Medicare tax to the quarterly contingent payments.
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
.
Barclays currently does not withhold on payments to non-U.S. holders. However, if Barclays determines that there is a material risk that it will be required to withhold on any such payments, Barclays may withhold on any quarterly contingent payments
at a 30% rate, unless you have provided to Barclays (i) a valid Internal Revenue Service Form W-8ECI or (ii) a valid Internal Revenue Service Form W-8BEN claiming tax treaty benefits that reduce or eliminate withholding. If Barclays elects
to withhold and you have provided Barclays with a valid Internal Revenue Service Form W-8BEN claiming tax treaty benefits that reduce or eliminate withholding, Barclays may nevertheless withhold up to 30% on any quarterly contingent payments it
makes to you if there is any possible characterization of the payments that would not be exempt from withholding under the treaty. Non-U.S. holders will also be subject to the general rules regarding information reporting and backup withholding as
described under the heading Certain U.S. Federal Income Tax ConsiderationsInformation Reporting and Backup Withholding in the accompanying prospectus supplement.
In addition, 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). However, such
withholding would potentially apply only to payments made after December 31, 2013. 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 Reference Assets or the underlying components of the Reference Assets. 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:
|
|
|
Risk FactorsRisks Relating to All Securities;
|
|
|
|
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;
|
|
|
|
Risk FactorsAdditional Risks Relating to Securities with More Than One Reference Asset, Where the Performance of the Security Is Based on
the Performance of Only One Reference Asset;
|
PS-9
|
|
|
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
|
|
|
|
Risk FactorsAdditional Risks Relating to Notes with a Barrier Percentage or a Barrier Level.
|
In addition to the risks described above, you should consider the following:
|
|
|
Your Investment in the Notes May Result in a Loss; No Principal Protection
The Notes do not guarantee any return of principal. The payment
at maturity depends on whether the Final Value of the Lowest Performing Reference Asset is less than its respective Barrier Level. If the Final Value of the Lowest Performing Reference Asset is less than the Barrier Level with respect to such
Reference Asset, your Notes will be fully exposed to such decline and you may lose some or all of your principal. Specifically, if the Final Value of the Lowest Performing Reference Asset is less than its Barrier Level (a decline of 40% compared to
its Initial Value), you will lose 1% of your principal amount for every 1% decline in the Closing Value of the Lowest Performing Reference Asset as measured from its Initial Value to its Final Value.
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The Payment at Maturity on the Notes is not Linked to the Value of any Reference Asset Other than the Final Value of the Lowest Performing Reference
Asset
Any payment (including any final quarterly contingent payment) due at maturity on your Notes will be linked solely to the performance of the Lowest Performing Reference Asset and the performance of the other Reference Assets will not
be taken into consideration. For example, if the Final Value of the Lowest Performing Reference Asset is less than its respective Barrier Level, even though either or both of the other Reference Assets that are not the Lowest Performing Reference
Asset appreciate from their Initial Values to their Final Values, the calculation of the payment at maturity will not take into account such appreciation and your Notes will be fully exposed to any decline of the Lowest Performing Reference Asset
from its Initial Value to its Final Value. Similarly, if all the Reference Assets have negative Reference Asset Returns, any payment at maturity will depend solely on whether the Final Value of the Lowest Performing Reference Asset is less than its
Barrier Level and will not be limited in any way by virtue of the Reference Asset Returns of the other Reference Assets being greater than the Reference Asset Return of the Lowest Performing Reference Asset or by virtue of the Final Value of the
other Reference Assets not being less than their Barrier Levels. Accordingly, your investment in the Notes may result in a return that is less, and may be substantially less, than an investment that is linked to the Reference Asset(s) that are not
the Lowest Performing Reference Assets.
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The Payment at Maturity of Your Notes is Not Based on the Closing Value of the Lowest Performing Reference Asset at Any Time Other than on the Final
Valuation Date
The Closing Value of the Lowest Performing Reference Asset on the Final Valuation Date (subject to adjustments as described in the prospectus supplement) or the Final Value will be the relevant value when determining the
payment due at maturity. Therefore, if the Closing Value of the Lowest Performing Reference Asset fell precipitously on the Final Valuation Date, causing the Closing Value of the Lowest Performing Reference Asset to fall below its respective Barrier
Level, the payment at maturity, if any, that you will receive for your Notes may be significantly less than it would otherwise have been had such payment been linked to the Closing Value of the Lowest Performing Reference Asset prior to such drop.
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You Will Not Receive More Than the Principal Amount of Your Notes at Maturity
At maturity, in addition to the final quarterly contingent
payment, if any, you will not receive more than the principal amount of your Notes, even if the Reference Asset Returns of any or all of the Reference Assets is greater than 0%. The total payment you receive over the term of the Notes will never
exceed the principal amount of your Notes plus the quarterly contingent payments, if any, paid during the term of the Notes.
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Potential Return Limited to the Quarterly Contingent Payments
The return, if any, on the Note is limited to the Quarterly Contingent
Payment(s). You will not participate in any appreciation in the value of any Reference Asset. Moreover, a Quarterly Contingent Payment will not be made on any Quarterly Payment Date if the Closing Value of the Lowest Performing Reference Asset is
below its Coupon Barrier Level on the respective Valuation Date. As such, it is possible that you will not receive any Quarterly Contingent Payments during the term of the Notes.
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Potential Early Exit
While the original term of the Notes is as indicated on the cover page of this pricing supplement, on any Quarterly
Contingent Payment Date, the Issuer may redeem your Notes (in whole but not in part) at its sole discretion without your consent, provided the Issuer gives at least five business days prior written notice to the trustee. If the Issuer
exercises its redemption option on such date, you will receive on the applicable Early Redemption Date 100% of the principal amount of your Notes. No Quarterly Contingent Payments will be due after the relevant Early Redemption Date and you may not
be able to reinvest any amounts received on the Early Redemption Date in a comparable investment with similar risk and yield. The Issuers right to redeem the Notes may also adversely impact your ability to sell your Notes and the price at
which they may be sold. The Issuers election to redeem the Notes may further limit your ability to sell your Notes and realize any market appreciation of the value of your Notes.
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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 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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PS-10
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Suitability of the Notes for Investment
You should reach a decision whether to invest in the Notes after carefully considering, with your
advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this pricing supplement, the prospectus supplement, the index supplement and the prospectus. Neither the Issuer nor any dealer
participating in the offering makes any recommendation as to the suitability of the Notes for investment.
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Holding the Notes is not the Same as Owning Directly the Reference Assets, or the Underlying Constituents of the Reference Assets; No Dividend
Payments or Voting Rights
Holding the Notes is not the same as investing directly in any of the Reference Assets or the underlying constituents/components of the Reference Assets. The return on your Notes will not reflect the return you
would realize if you actually purchased the Reference Assets or underlying constituents/components of the Reference Assets. As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other
rights that holders of the ETF, the underlying constituents of the ETF, or the stocks comprising either of the Indices, would have.
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Historical Performance of the Reference Assets Should Not Be Taken as Any Indication of the Future Performance of the Reference Assets Over the Term
of the Notes
The historical performance of a Reference Asset is not an indication of the future performance of that Reference Asset over the term of the Notes. The historical correlation between Reference Assets is not an indication of the
future correlation between them over the term of the Notes. Therefore, the performance of the Reference Asset over the term of the Notes may bear no relation or resemblance to the historical performance of any of the Reference Assets.
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The Notes Provide Exposure to U.S. Equities of the S&P 500
®
Index and the Russell 2000
®
Index
The Notes are linked to the performance of the S&P 500 Index and the Russell 2000 Index (as well as the ETF, see Certain Consideration Related to ETFs Whose Underlying Constituents Are, Non- U.S. Securities that Trade in
Non-U.S. Markets, Including Emerging Markets). The Russell 2000 Index is designed to track the performance of the small capitalization segment of the U.S. equity market. The stock prices of smaller companies may be more volatile than stock
prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay
dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. For additional information about the Russell 2000 Index, see the information set forth
under Information Regarding the IndicesDescription of the Russell 2000 Index in this pricing supplement. The S&P 500 Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity
markets. For additional information about the S&P 500 Index, see Information Regarding the IndicesDescription of the S&P 500 Index in this pricing supplement and the information set forth under Non Proprietary
IndicesEquity IndicesS&P 500
®
Index in the accompanying index supplement.
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Certain Features of Exchange-Traded Funds Will Impact the Value of the ETF and the Value of the Notes:
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Management risk
. This is the risk that the respective investment strategies for the ETF, the implementation of which is subject to a number of
constraints, may not produce the intended results. An investment in an exchange-traded fund involves risks similar to those of investing in any fund of equity securities traded on an exchange, such as market fluctuations caused by such factors as
economic and political developments, changes in interest rates and perceived trends in security prices. However, because the ETF is not actively managed, it generally does not take defensive positions in declining markets or would not
sell a security because the securitys issuer was in financial trouble. Therefore, the performance of the ETF could be lower than other types of mutual funds that may actively shift their portfolio assets to take advantage of market
opportunities or to lessen the impact of a market decline.
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Derivatives risk
. The ETF may invest in futures contracts, options on futures contracts, other types of options and swaps and other derivatives.
A derivative is a financial contract, the value of which depends on, or is derived from, the value of an underlying asset such as commodities. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to
sudden fluctuations in market prices, and thus the ETFs losses, and, as a consequence, the losses of your Notes, may be greater than if the ETF invested only in conventional securities.
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Exchange-Traded Funds May Underperform Their Respective Underlying Assets/Indices
The performance of the ETF may not
replicate the performance of, and may underperform, its underlying index. The ETF will reflect transaction costs and fees that will reduce its relative performances. Moreover, it is also possible that the ETF may not fully replicate or may, in
certain circumstances, diverge significantly from the performance of its underlying index.
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Certain Consideration Related to ETFs Whose Underlying Constituents Are Non- U.S. Securities that Trade in Non-U.S. Markets
Some or all of
the equity securities that are held by the ETF have been issued by non- U.S. issuers. Investments in securities linked to the value of non-U.S. securities involve risks associated with the securities markets in those countries. In particular
securities issued by foreign companies in foreign securities markets may be more volatile and may be subject to different political, market, economic, exchange rate, regulatory and other risks which may have a negative impact on the performance of
the financial products linked to such securities, which may have an adverse effect on the Notes. Also, the public availability of information concerning the issuers of such securities will vary depending on their home jurisdiction and the reporting
requirements imposed by their respective regulators. In addition, the issuers of these securities
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PS-11
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may be subject to accounting, auditing and financial reporting standards and requirement that differ from those applicable to United States reporting companies. Further, the securities composing
the ETF (the Component Securities) are mostly equities of European, Australasia and Far East companies which are subject to various factors that affect those geographic regions. For example, a financial crisis could erupt in Europe,
which could cause sharp declines in the currencies, stock markets and other asset prices in that geographic region, threatening the particular financial systems, disrupting economies and causing political upheaval. A financial crisis or other event
in thatgeographic region could have a negative impact on the ETF and, consequently, the market value of the Notes may be adversely affected.
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Currency Exchange Risk
Because the prices of some or all of the Component Securities are converted into U.S. dollars for the purposes of
calculating the value of the ETF, holders of the Notes will be exposed to currency exchange rate risk with respect to each of the relevant currencies. An investors net exposure will depend on the extent to which such currencies strengthen or
weaken against the U.S. dollar and the weight of the Component Securities in the relevant ETF denominated in each such currency. If, taking into account such weighting, the U.S. dollar strengthens against those currencies, the value of the ETF will
be adversely affected and any return on the Notes may be reduced.
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Adjustments to the Indices or ETFs (including the underlying index tracked by the ETF) could adversely affect the value of the
Notes
Those responsible for calculating and maintaining the Indices or ETF or the underlying index tracked by the ETF can add, delete or substitute the components of the Indices or ETF (or the underlying index tracked by the ETF), or
make other methodological changes that could change the value of the Indices or ETF (or the underlying index tracked by the ETF). In addition, the publisher of an Index may discontinue or suspend calculation or publication of such Index or the ETF
may be delisted from its relevant exchange or liquidated or otherwise terminated at any time. Any of these actions could adversely affect the value of the Reference Assets and, consequently, the value of the Notes. For a description of the actions
that may be taken by the Calculation Agent in the event that an Index publisher discontinues or suspends calculation of an Index or an ETF is liquidated or otherwise terminated, please see Selected Purchase ConsiderationsMarket
Disruption Events and Adjustments in this pricing supplement.
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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 at a rate that may exceed the quarterly contingent payments (if any) that you receive on the Notes and whether all or part of the
gain you may recognize upon the sale, redemption 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 (i) increase the likelihood that you will be required to accrue income in respect of the Notes even if you do not receive any payments
with respect to the Notes until redemption or maturity and (ii) require you to accrue income in respect of the Notes in excess of any quarterly contingent payments received on the Notes. The outcome of this process is uncertain. In addition,
any character mismatch arising from your inclusion of ordinary income in respect of any quarterly contingent payments and capital loss (if any) upon the sale, redemption or maturity of your Notes may result in adverse tax consequences to you because
an investor's ability to deduct capital losses is subject to significant limitations. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.
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PS-12
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Many Economic and Market Factors Will Impact the Value of the Notes
In addition to the levels of the Reference Assets on any Reference
Asset Business 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 Reference Assets;
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the time to maturity of the Notes;
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the market price and dividend rate on the common stocks underlying the Indices and ETF;
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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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INFORMATION REGARDING THE REFERENCE ASSETS
Description of the S&P 500
®
Index
All information regarding
the S&P 500 Index 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 Indices). The S&P 500 Index is calculated, maintained and published by
S&P Dow Jones Indices. The S&P 500 Index is reported by Bloomberg under the ticker symbol SPX <Index>.
The S&P 500 Index 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 S&P 500 Index, 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 Indices chooses companies for inclusion in the S&P 500 Index 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 Indices 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 S&P 500 Index include: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecommunication Services and Utilities.
S&P Dow Jones Indices may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500 Index to achieve the objectives stated above.
The S&P 500 Index does not reflect the payment of dividends on the stocks included in the S&P 500 Index. 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 Indices 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 S&P 500 Index will reflect only those shares that are available to
investors, not all of a companys outstanding shares.
The float-adjusted Index 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,
PS-13
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 S&P 500 Index.
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 Indices 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 Indices 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 Wednesdays for implementation after the close of trading on the following
Wednesday (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 S&P 500 Index is the quotient of (1) the total float-adjusted market capitalization of the S&P 500 Indexs 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 S&P 500 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 S&P 500 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://us.spindices.com. Information included on this website is not part of, or incorporated by reference in, this pricing supplement.
PS-14
Historical Information Regarding the S&P 500
®
Index
The following table sets forth the high and low closing levels as well as end-of-quarter closing levels of the S&P 500 Index, during the periods indicated below.
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Quarter/Period Ending
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Quarterly
High
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Quarterly
Low
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Quarterly
Close
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March 31, 2008
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1,447.16
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1,273.37
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1,322.70
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June 30, 2008
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1,426.63
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1,278.38
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1,280.00
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September 30, 2008
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1,305.32
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1,106.39
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1,166.36
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December 31, 2008
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1,161.06
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752.44
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903.25
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March 31, 2009
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934.70
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676.53
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797.87
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June 30, 2009
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946.21
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811.08
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919.32
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September 30, 2009
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1,071.66
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879.13
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1,057.08
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December 31, 2009
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1,127.78
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1,025.21
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1,115.10
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March 31, 2010
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1,174.17
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1,056.74
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1,169.43
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June 30, 2010
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1,217.28
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1,030.71
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1,030.71
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September 30, 2010
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1,148.67
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1,022.58
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1,141.20
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December 31, 2010
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1,259.78
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1,137.03
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1,257.64
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March 31, 2011
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1,343.01
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1,256.88
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1,325.83
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June 30, 2011
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1,363.61
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1,265.42
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1,320.64
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September 30, 2011
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1,353.22
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1,119.46
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1,202.09
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December 30, 2011
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1,285.09
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1,099.23
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1,257.60
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March 30, 2012
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1,416.51
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1,277.06
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1,408.47
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June 29, 2012
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1,419.04
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1,278.04
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1,362.16
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September 28, 2012
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1,465.77
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1,334.76
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1,440.67
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December 31, 2012
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1,461.40
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1,353.33
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1,426.19
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March 31, 2013
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1,569.19
|
|
|
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1,457.15
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|
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1,569.19
|
|
April 9, 2013*
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1,570.25
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|
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1,553.28
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|
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1,568.61
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*
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For the period commencing April 1, 2013 and ending on April 9, 2013
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PS-15
The following graph sets forth the historical performance of the
S&P 500 Index based on daily closing levels from January 1, 2008 through April 9, 2013. The closing level of the S&P 500
®
Index on April 9, 2013 was 1,568.61.
We obtained the S&P 500
®
Index closing levels above from Bloomberg, L.P, without independent verification. The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the Closing
Value of the S&P 500
®
Index on any Valuation Date. We cannot give you assurance that the performance of the
S&P 500
®
Index will result in the return of any of your principal.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
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). These trademarks 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 S&P
500 Index is a product of S&P Dow Jones Indices LLC, and has been licensed for use by Barclays Bank PLC.
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 S&P 500 Index to track general market performance. S&P
Dow Jones Indices only relationship to Barclays Bank PLC with respect to the S&P 500 Index is the licensing of the S&P 500 Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third
party licensors. The S&P 500 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 S&P 500 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 S&P 500 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 S&P 500 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 S&P 500 Index. It is possible that this trading activity will affect the value of the S&P 500
Index and the Notes.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P
500 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
PS-16
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 S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED
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DOW JONES INDICES AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
PS-17
Description of the Russell 2000
®
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 index sponsor. 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 February 28, 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 February 28, 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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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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PS-18
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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.