Filed Pursuant to Rule 424(b)(2)
File Number 333-169119
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Pricing Supplement to the Prospectus
dated August 31, 2010
and the Prospectus Supplement
dated May 27, 2011
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The information in this preliminary pricing supplement is not complete and may be changed. This
preliminary pricing supplement and the accompanying prospectus and prospectus supplement do not constitute an offer to sell these securities, and we are not soliciting an offer to buy these securities in any state where the offer or
sale is not permitted.
Subject to completion
Preliminary Pricing Supplement dated May 21, 2013
$[
]
Barclays ETN+ FI Enhanced Europe 50 ETN
Linked to the STOXX Europe 50
®
USD (Gross Return) Index
Barclays ETN+ FI Enhanced Europe 50 Exchange Traded Notes (the
ETNs
) that Barclays Bank PLC may
issue from time to time are linked to a leveraged participation in the performance of the STOXX Europe
50
®
USD (Gross Return) Index (the
Index
). The ETNs do not pay any interest during
their term and do not guarantee any return of principal at maturity, upon redemption or upon an automatic termination event. Unless an automatic termination event (as defined below) occurs, you will receive a cash payment at maturity or upon
redemption based on a leveraged participation in the performance of the Index (calculated as described below).
You may lose some or all
of your principal if you invest in the ETNs. Any payment on the ETNs at or prior to maturity is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party.
If we were to price the ETNs for initial sale to the public as of the date of this preliminary pricing supplement, our hypothetical estimated value
of the ETNs at the time of such initial pricing would be $100 per ETN. See
Risk Factors
beginning on page PS-15 of this pricing supplement for risks relating to an investment in the ETNs.
The principal terms of the ETNs are as follows:
Issuer:
Barclays Bank PLC
Series:
Global Medium-Term Notes, Series A
Principal Amount per ETN:
$100
Inception and Issue Dates:
The ETNs will be sold on
[
]
(the
inception date
) and are expected to be first
issued on
[
]
(the
issue date
).
Maturity Date:
[
]
.
Secondary Market:
We plan to apply to list the ETNs on the
NYSE Arca stock exchange (
NYSE Arca
) under the ticker symbol FEEU. If our application is approved, to the extent that the ETNs are listed and an active secondary market in the ETNs exists, we expect that investors will
purchase and sell the ETNs primarily in this secondary market.
CUSIP number
: 06742C129
ISIN
: US06742C1291
Underlying
Index:
The return on the ETNs is linked to a leveraged participation in the performance of the Index. The Index is composed of 50 European blue-chip companies (the
Index Constituents
) selected from within the STOXX Europe 600
Index (the
Parent Index
). The Parent Index contains the 600 largest stocks traded on the major exchanges of 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Luxembourg,
the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The Index is calculated, maintained and published by STOXX Limited (the
index sponsor
), which launched the Index on March 27, 2012. The intraday
level and the official closing level of the Index are reported by the index sponsor on Bloomberg page SX5PGV <Index>.
Payment at Maturity:
If you hold your ETNs to maturity, you will receive a cash payment per ETN at maturity in U.S. dollars in an amount equal to
(a) the closing indicative note value on the final valuation date
minus
(b) the settlement charge on the final valuation date.
Closing Indicative Note Value:
On the initial valuation date, the closing indicative note value will equal $100. The closing indicative note value
for each ETN on any subsequent valuation date will equal (a) the long index amount on such valuation date
minus
(b) the financing level on such valuation date,
provided
that if such calculation
results in a negative value, the closing indicative note value will be $0.
Long Index Amount:
On the initial valuation date,
the long index amount for each ETN will equal $200, which is equal to the initial leverage factor of 2
times
the principal amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of
(a) the long index amount on the immediately preceding valuation date
times
(b) the index performance factor on such valuation date
minus
(c) the rebalancing amount (if any) on such valuation date. The long index amount
will be published on each valuation date under the ticker symbol FEEU.LIA.
Initial Leverage Factor
: The initial leverage
factor will equal 2.
Leverage Factor
: On any valuation date, the leverage factor will equal (a) the long index amount on such
valuation date
divided by
(b) the closing indicative note value on such valuation date. The leverage factor will be published under the ticker symbol FEEU.LF.
Index Performance Factor:
The index performance factor on the initial valuation date will equal 1. On any subsequent valuation date, the index
performance factor will equal (a) the closing level of the Index on such valuation date
divided by
(b) the closing level of the Index on the immediately preceding valuation date.
Financing Level:
On the initial valuation date, the financing level for each ETN will equal $100. On any subsequent valuation date, the financing
level for each ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
(c) the rebalancing fee (if any) on such valuation date
minus
(d) the rebalancing amount (if any) on such valuation date. The financing level will be published on each valuation date under the ticker symbol FEEU.FL.
Daily Investor Fee:
On the initial valuation date, the daily investor fee for each ETN will equal $0. On any subsequent valuation date, the daily investor fee for each ETN will equal (a) the
sum of (i) the product of (1) the long index amount on the immediately preceding valuation date
times
(2) the exposure fee rate
plus
(ii) 0.05%
times
the closing indicative note value on the immediately
preceding valuation date
times
(b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current valuation date
divided by
(c) 360.
Exposure Fee Rate:
The exposure fee rate will equal the sum of (a) 0.76% plus (b) the 3-month LIBOR rate (as hereinafter defined)
effective on the relevant valuation date. For purposes of the ETNs,
3-month LIBOR rate
shall mean the rate for deposits in U.S. dollars for a period of three months as of approximately 11:00 am London time on the relevant
valuation date which appears on
Cover Page, continued:
Bloomberg screen US0003M. If a three month rate for deposits in U.S. dollars ceases to be published on Bloomberg screen US0003M, but the same or a comparable successor
rate shall otherwise be published by the British Bankers Association or another benchmark administrator authorized and regulated by the U.K. Financial Conduct Authority (a
successor rate
), then the 3-month LIBOR rate shall be such
successor rate. If no such successor rate is published, or the calculation agent determines, in its sole discretion, that the successor rate is not comparable to the 3-month LIBOR rate as in effect on the inception date, then the calculation agent
shall determine the 3-month LIBOR rate using the methodology provided for in relation to USD LIBOR Reference Banks in the accompanying Prospectus Supplement. If, notwithstanding the foregoing, the 3-month LIBOR rate is not
available for the relevant valuation date, the most recent 3-month LIBOR rate available as of the immediately preceding valuation date shall be used.
Index Exposure Rebalancing
Rebalancing Event:
If, on any valuation date,
between the hours of 9:30 a.m. and 4:00 p.m. New York City time, the intraday index level is less than or equal to the rebalancing trigger calculated on the immediately preceding valuation date, a rebalancing event is deemed to have occurred on such
valuation date.
Intraday Index Level
: The intraday index level is the most recent intraday level of the Index reported by the index
sponsor.
Rebalancing Trigger:
On any valuation date, the rebalancing trigger will equal (a) 1.6
times
(b) the
closing level of the Index on such valuation date
times
(c) the financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The rebalancing trigger will be published under the ticker
symbol FEEU.RT.
Rebalancing Event Date:
The rebalancing event date means any valuation date on which a rebalancing event
occurs.
Rebalancing Date:
A rebalancing date is the first valuation date immediately following a rebalancing event date on which all
the Index Exchanges are open for trading.
Rebalancing Amount:
On any valuation date that is not a rebalancing date, the rebalancing
amount will be equal to zero. On any valuation date that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date
times
(b) the index
performance factor on such valuation date
minus
(c) the product of (i) the initial leverage factor
times
(ii) the closing indicative note value on the immediately preceding valuation date.
Rebalancing Fee:
On any valuation date that is not a rebalancing date, the rebalancing fee will be equal to zero. On any valuation date that is a
rebalancing date, the rebalancing fee for each ETN will be equal to the product of (a) the rebalancing fee rate
multiplied by
(b) the rebalancing amount on such valuation date.
Rebalancing Fee Rate:
The rebalancing fee rate will equal 0.05%.
Early Redemption
Holder Redemption:
Subject to the notification
requirements under Specific Terms of the ETNsHolder Redemption Procedures in this pricing supplement, you may redeem your ETNs on any redemption date during the term of the ETNs. If you redeem your ETNs, you will receive a cash
payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. You must redeem at least 10,000 ETNs at one time in order to exercise your right to
redeem your ETNs on any redemption date.
Issuer Redemption
: We may redeem ETNs (in whole only, but not in part) at our
sole discretion on any trading day on or after the inception date until and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs to be redeemed not less than ten calendar days prior to the redemption
date specified by us in such notice. If we redeem ETNs, you will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative note value on the valuation date that is three trading days prior to the redemption date
specified in the notice.
Redemption Date:
In the case of holder redemption, the redemption date is the third business day
following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date. In case of issuer redemption, the
redemption date is the date specified by us in the issuer redemption notice, which will in no event be prior to the tenth calendar day following the date on which we deliver such notice, but in any case not later than the maturity date. In case of
an automatic termination event, the redemption date will be the fifth business day following the automatic termination date;
provided
that if calculation of the automatic redemption value is postponed as a result of a market disruption event,
the redemption date will be the fifth business day after the automatic redemption value is calculated.
Automatic Termination Event:
We
will automatically redeem your ETNs (in whole only, but not in part) if, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the automatic termination trigger calculated on the
valuation date immediately preceding the beginning of such index business day. We will redeem your ETNs on the relevant redemption date and will deliver a notice of redemption to the Depositary Trust Company (
DTC
) in the form
attached as Annex C that will specify such date. Upon such redemption, you will receive a cash payment equal to the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs after the occurrence of the rebalancing event but prior to the end
of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic termination event without giving regard to the rebalancing event.
Automatic Termination Trigger:
On any valuation date, the automatic termination trigger will equal (a) 1.4
times
(b) the closing
level of the Index on such valuation date
times
(c) the financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The automatic termination trigger will be published under the ticker
symbol FEEU.ATT.
Automatic Termination Date:
An automatic termination date is any index business day on which an automatic
termination event occurs.
Automatic Redemption Value:
The automatic redemption value will be determined by the calculation agent, in
its sole discretion, acting in good faith and in a commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are available as soon as practicable following the
occurrence of an automatic termination event. The calculation agent will approximate the intraday index performance factor on the basis of such quotations and calculate, in the manner described under Intraday Indicative Note Value, a
corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value.
Cover Page, continued:
Settlement Charge:
The settlement charge is a charge imposed upon holder redemption and the
payment at maturity, and is equal to 0.05% times the long index amount on the applicable valuation date. In addition, upon any holder redemption of more than 100,000 ETNs at one time with a redemption date on or prior to the date that is 360
calendar days from the inception date, the settlement charge will include,
in addition to the amount specified in the preceding sentence
, an amount equal to (a) 0.05%
times
(b) the long index amount on the applicable
valuation date
times
(c) (i) 360
minus
the number of calendar days from, and including, the inception date to, and including, the applicable valuation date
divided by
(ii) 360. The settlement charge is intended to
allow us to recoup the brokerage and other transaction costs that we will incur in connection with making a payment on the ETNs. The proceeds we receive from the settlement charge may be more or less than such costs.
Business Day:
A business day means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New
York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
Valuation
Date:
A valuation date means each trading day from
[
]
to
[
]
, subject to postponement as a result of
market disruption events, such postponement not to exceed five trading days. We refer to
[
]
as the
initial valuation date
and
[
]
as the
final valuation date
.
Trading Day:
A trading
day with respect to the ETNs is a day on which (a) it is an index business day, (b) trading is generally conducted on NYSE Arca, and (c) is a business day in New York City.
Index Business Day
: An index business day means each continuous period during which the index sponsor publishes an intraday index level. As of the date of this pricing supplement, an index business
day typically begins at 3:00 a.m. New York City time and ends at 11:35 a.m. New York City time on a particular calendar date, without adjustment for daylight savings time in any jurisdiction.
Index Exchanges
: An Index Exchange means each exchange on which any of the Index Constituents are traded.
Because your investment in the ETNs is leveraged, any decrease in the level of the Index will result in a significantly greater decrease in the
repayment amount, and you may receive less than your original investment in the ETNs at maturity or upon redemption or an automatic termination event. Moreover, because the daily investor fee, the rebalancing fee and the settlement charge may
substantially reduce the amount of your return at maturity or upon redemption or an automatic termination event, the level of the Index must increase significantly in order for you to receive at least the principal amount of your investment at
maturity or upon redemption or an automatic termination event. If the level of the Index decreases or does not increase sufficiently to offset the negative effect of the daily investor fee, the rebalancing fee and the settlement charge you will
receive less than the principal amount of your investment at maturity or upon redemption or an automatic termination event.
If the
level of the Index decreases sufficiently to trigger an automatic termination event, your ETNs will be automatically redeemed at the automatic redemption value. Following the calculation of the automatic redemption value, you will not benefit from
any subsequent increase in the Index level.
Sale to Public:
We intend to sell a portion of the ETNs on the inception date at 100%
of the stated principal amount through Barclays Capital Inc., our affiliate, as principal in the initial distribution. Following the inception date, the remainder of the ETNs will be offered and sold from time to time through Barclays Capital Inc.,
as agent. Sales of the ETNs by us after the inception date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. Barclays Capital Inc. will not receive an agents commission in
connection with sales of the ETNs. Please see Supplemental Plan of Distribution in this pricing supplement for more information.
We may use this pricing supplement in the initial sale of the ETNs. In addition, Barclays Capital Inc. or another of our affiliates may use
this pricing supplement in market-making transactions in any ETNs after their initial sale.
Unless we or our agent informs you otherwise in the confirmation of sale or in a notice delivered at the same time as the confirmation of sale, this
pricing supplement is being used in a market-making transaction.
Although the ETNs are interest bearing debt obligations of
Barclays Bank PLC, they are not deposit liabilities of Barclays Bank PLC and are not insured by the United States Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other
jurisdiction. In addition, the ETNs are not expected to be treated as indebtedness for U.S. federal income tax purposes.
Neither the
Securities and Exchange Commission nor any state securities commission has approved or disapproved of these ETNs or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
Patent Pending
Pricing Supplement dated [
]
Issued in denominations of $100
TABLE OF CONTENTS
PRICING SUPPLEMENT SUMMARY
The following is a summary of terms of the Barclays ETN+ FI Enhanced Europe 50 Exchange Traded Notes (the
ETNs
)
that are linked to a leveraged participation in the performance of the STOXX Europe 50
®
USD (Gross
Return) Index (the
Index
), as well as a discussion of risks and other considerations you should take into account when deciding whether to invest in the ETNs. The information in this section is qualified in its entirety by the
more detailed explanations set forth elsewhere in this pricing supplement and the accompanying prospectus and prospectus supplement. References to the prospectus mean our accompanying prospectus, dated August 31, 2010, and
references to the prospectus supplement mean our accompanying prospectus supplement, dated May 27, 2011, which supplements the prospectus.
We may, without your consent, create and issue additional securities having the same terms and conditions as the ETNs. We may consolidate the additional securities to form a single class with the
outstanding ETNs.
This section summarizes the following aspects of the ETNs:
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What are the ETNs and how do they work?
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How do you redeem your ETNs?
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What are some of the risks of the ETNs?
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Is this the right investment for you?
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What are the tax consequences?
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What Are the ETNs and How Do They Work?
The ETNs are medium-term notes that are
uncollateralized debt obligations of Barclays Bank PLC (the
Issuer
) and are linked to a leveraged participation in the performance of the Index over the term of the ETNs. Accordingly, the ETNs generally appreciate in value as the
level of the Index increases, provided such increase is sufficient to offset the negative effect of the daily investor fee and any applicable rebalancing fee and settlement charge.
The ETNs seek to approximate the returns that might be available to investors through a leveraged long investment in the Index (for example, through a leveraged long position in
the Index Constituents). A leveraged long investment strategy involves the practice of borrowing money from a third party lender at an agreed-upon rate of interest and using the borrowed money together with investor capital to purchase
assets. A leveraged long investment strategy terminates with the sale of the underlying assets and repayment of the third party lender, provided that the proceeds of the sale of underlying assets are sufficient to repay the loan. By implementing a
leveraged strategy, the leveraged investor seeks to benefit from an anticipated increase in the value of the assets between the purchase and sale of such assets, and assumes that the increase in value of the underlying assets will exceed the
cumulative interest due to the third party lender over the term of the loan. A leveraged investor will incur a loss if the value of the assets does not increase sufficiently to cover payment of the interest charges.
In order to seek to replicate a leveraged long investment strategy in the Index, the terms of the ETNs provide that, on each valuation date
following the initial valuation date, an amount equal to the closing indicative note value on the immediately preceding valuation date ($x) is leveraged through a notional loan of an amount equal to the financing level on the immediately
preceding valuation date ($y). Investors are thus considered to have notionally borrowed $y, which, together with the initial $x investment, represents a notional investment of $x + $y (represented by the long index amount) in the Index
on the relevant valuation date. During the term of your ETNs, the leveraged portion of the notional investment, $y (represented by the financing level), accrues a daily investor fee for the benefit of the Issuer, the cumulative effect of which is
reflected, together with any rebalancing fee deducted in connection with a rebalancing event, in the financing level. The daily investor fee seeks to compensate the Issuer for providing the long leveraged exposure to the Index and
reflects, among other things, the amount of interest that leveraged investors might incur if they sought to borrow funds at a similar rate from a third party lender. Upon maturity or redemption, the investment in the Index is notionally sold at the
then current value of the Index, and the investor then notionally repays the Issuer an amount equal to the principal of the notional loan plus the applicable daily investor fee, as well as a settlement charge intended to allow the Issuer to recoup
the brokerage and other transaction costs that might be incurred in connection with making a payment on the ETNs. The payment at maturity or redemption under the ETNs, therefore, generally represents the profit or loss that the investor would
receive by applying a leveraged long investment strategy, after taking into account, and making assumptions for, applicable financing costs, fees and charges.
PS-1
The ETNs are designed to generally target a return at a fixed multiple of two times the performance of the
Index over the term of the ETNs. The ETNs include a rebalancing feature, however, that will have the effect of deleveraging the exposure of the ETNs to the Index if a rebalancing event occurs, meaning that, on any valuation date, the intraday index
level is less than or equal to the rebalancing trigger calculated on the immediately preceding valuation date. This feature acts to reset the leveraged exposure to the Index to approximately 2.0 on the relevant rebalancing date (without accounting
for changes in the Index level on the rebalancing date). This means that as of the rebalancing date after the rebalancing event, a constant percentage increase in the Index level will have a lesser positive effect on the value of the ETNs relative
to an increase occurring before the rebalancing event. In addition, each time a rebalancing event occurs, a rebalancing fee equal to 0.05% of the relevant rebalancing amount (which represents the change in the notional exposure to the Index as a
result of a rebalancing event) will be charged.
Additionally, in order to mitigate the risk to the Issuer that the value of the ETNs equals a
negative value, an automatic early termination of the ETNs is provided for under the automatic termination event provisions hereunder.
The
Index
The Index is composed of 50 European blue-chip companies (the
Index Constituents
) selected from within the STOXX
Europe 600 Index (the
Parent Index
). The Parent Index contains the 600 largest stocks traded on the major exchanges of 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy,
Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The Index is calculated, maintained and published by STOXX Limited (the
index sponsor
), which launched the Index on March 27, 2012.
The intraday level and the official closing level of the Index are reported by the index sponsor on Bloomberg page SX5PGV <Index>.
Inception, Issuance and Maturity
The ETNs will be first sold on
[
]
, which we refer to as the
inception date
. The ETNs are expected to be first issued on
[
]
, which
we refer to as the
issue date
, and will be due on
[
]
.
Payment at Maturity
If you hold your ETNs to maturity, you will receive a cash payment in
U.S. dollars at maturity in an amount equal to (a) the closing indicative note value on the final valuation date
minus
(b) the settlement charge on the final valuation date.
Payment Upon Holder Redemption or Issuer Redemption
If you or we have not previously
redeemed your ETNs, and subject to the occurrence of an intervening automatic termination event and to certain other restrictions, you may redeem your ETNs on any redemption date during the term of the ETNs. If you redeem your ETNs, you will receive
a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. You must redeem at least 10,000 ETNs at one time in order to exercise your
right to redeem your ETNs on any redemption date, or your broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) must bundle your ETNs
for redemption with those of other investors to reach this minimum.
Prior to maturity, we may redeem the ETNs (in whole only, but not in
part) at our sole discretion on any trading day on or after the inception date until and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs to be redeemed not less than 10 calendar days prior to
the redemption date specified by us in such notice. If we redeem ETNs, you will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative note value on the valuation date that is three trading days prior to the
redemption date specified in the notice.
A
redemption date
is:
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In the case of holder redemption, the redemption date is the third business day following each valuation date (other than the final valuation date).
The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.
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In the case of issuer redemption, the redemption date is the date specified by us in the issuer redemption notice, which will in no event be prior to
the tenth calendar day following the date on which we deliver such notice.
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PS-2
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In the case of an automatic termination event, the redemption date is the fifth business day following the automatic termination date;
provided
that if calculation of the automatic redemption value is postponed as a result of a market disruption event, the redemption date will be the fifth business day after the automatic redemption value is calculated.
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Payment Upon the Occurrence of an Automatic Termination Event
We will automatically redeem your ETNs (in whole only, but not in part) if, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the
automatic termination trigger calculated on the valuation date immediately preceding the beginning of such index business day. We will redeem your ETNs on the relevant redemption date and will deliver a notice of redemption to the Depositary Trust
Company (
DTC
) in the form attached as Annex C that will specify such date. Upon such redemption, you will receive a cash payment equal to the automatic redemption value.
The
automatic termination trigger
on any valuation date will equal (a) 1.4
times
(b) the closing level of the Index on such valuation date
times
(c) the
financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The automatic termination trigger will be published under the ticker symbol FEEU.ATT.
An
automatic termination date
is any index business day on which an automatic termination event occurs.
The
automatic redemption value
will be determined by the calculation agent, in its sole discretion, acting in good faith and in a
commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are available as soon as practicable following the occurrence of a automatic termination event. The
calculation agent will approximate the intraday index performance factor on the basis of such quotations and calculate, in the manner described under Intraday Indicative Note Value, a corresponding intraday indicative note value, which
shall be deemed to be the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs
after the occurrence of the rebalancing event but prior to the end of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic termination event without giving regard to the
rebalancing event.
Calculation of the Closing Indicative Note Value
The
closing indicative note value
per ETN on the initial valuation date will equal $100. The closing indicative note value for each ETN on any subsequent valuation date will equal
(a) the long index amount on such valuation date
minus
(b) the financing level on such valuation date,
provided
that if such calculation results in a negative value, the closing indicative note value will be $0. The closing
indicative note value will be published on each valuation date under the ticker symbol FEEU.RDNV.
The
long index
amount
per ETN on the initial valuation date will equal $200, which is equal to initial leverage factor of 2
times
the principal amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the
product of (a) the long index amount on the immediately preceding valuation date
times
(b) the index performance factor on such valuation date
minus
(c) the rebalancing amount (if any) on such valuation date. The long
index amount will be published on each valuation date under the ticker symbol FEEU.LIA.
The
initial leverage
factor
will equal 2.
The
leverage factor
per ETN on any valuation date will equal (i) the long index amount
on such valuation date
divided by
(ii) closing indicative note value on such valuation date. The leverage factor will be published under the ticker symbol FEEU.LF.
The
index performance factor
per ETN on the initial valuation date will equal 1. On any subsequent valuation date, the index performance factor will equal (a) the closing level of
the Index on such valuation date
divided by
(b) the closing level of the Index on the immediately preceding valuation date.
The
financing level
for each ETN on the initial valuation date will equal $100. On any subsequent valuation date, the financing level for each ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
(c) the rebalancing fee (if any) on such valuation date
minus
(d) the rebalancing amount (if any) on such valuation date. The financing level will be
published on each valuation date under the ticker symbol FEEU.FL.
PS-3
The
daily investor fee
per ETN on the initial valuation date will equal $0. On any
subsequent valuation date, the daily investor fee for each ETN will equal (a) the sum of (i) the product of (1) the long index amount on the immediately preceding valuation date
times
(2) the exposure fee rate
plus
(ii) 0.05%
times
the closing indicative note value on the immediately preceding valuation date
times
(b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current
valuation date
divided by
(c) 360.
The
exposure fee rate
per ETN will equal the sum of (a) 0.76% plus
(b) the 3-month LIBOR rate (as hereinafter defined) effective on the relevant valuation date. For purposes of the ETNs,
3-month LIBOR rate
shall mean the rate for deposits in U.S. dollars for a period of three months as of
approximately 11:00 am London time on the relevant valuation date which appears on Bloomberg screen US0003M. If a three month rate for deposits in U.S. dollars ceases to be published on Bloomberg screen US0003M, but the same
or a comparable successor rate shall otherwise be published by the British Bankers Association or another benchmark administrator authorized and regulated by the U.K. Financial Conduct Authority (a
successor rate
), then the
3-month LIBOR rate shall be such successor rate. If no such successor rate is published, or the calculation agent determines, in its sole discretion, that the successor rate is not comparable to the 3-month LIBOR rate as in effect on the inception
date, then the calculation agent shall determine the 3-month LIBOR rate using the methodology provided for in relation to USDLIBORReference Banks in the accompanying Prospectus Supplement. If, notwithstanding the foregoing,
the 3-month LIBOR rate is not available for the relevant valuation date, the most recent 3-month LIBOR rate available as of the immediately preceding valuation date shall be used.
The
settlement charge
is a charge imposed upon holder redemption and the payment at maturity, and is equal to 0.05% times the long index amount on the applicable valuation date. In
addition, upon any holder redemption of more than 100,000 ETNs at one time with a redemption date on or prior to the date that is 360 calendar days from the inception date, the settlement charge will include,
in addition to the amount specified
in the preceding sentence
, an amount equal to (a) 0.05%
times
(b) the long index amount on the applicable valuation date
times
(c) (i) 360
minus
the number of calendar days from, and including, the
inception date to, and including, the applicable valuation date
divided by
(ii) 360. The settlement charge is intended to allow us to recoup the brokerage and other transaction costs that we will incur in connection with making a payment
on the ETNs. The proceeds we receive from the settlement charge may be more or less than such costs.
Index Exposure Rebalancing
A
rebalancing event
will occur if, on any valuation date, between the hours of 9:30 a.m. and 4:00 p.m. New York City
time, the intraday index level is less than or equal to the rebalancing trigger calculated on the immediately preceding valuation date, a rebalancing event is deemed to have occurred on such valuation date.
The
intraday index level
is the most recent intraday level of the Index reported by the index sponsor.
The
rebalancing trigger
on any valuation date will equal (a) 1.6
times
(b) the closing level of the Index on such
valuation date
times
(c) the financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The rebalancing trigger will be published under the ticker symbol FEEU.RT.
A
rebalancing event date
means any valuation date on which a rebalancing event occurs.
A
rebalancing date
is the first valuation date immediately following a rebalancing event date on which all the Index Exchanges are
open for trading.
The
rebalancing amount
for each ETN on any valuation date that is not a rebalancing date will be equal
to zero. On any valuation date that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date
times
(b) the index performance factor on
such valuation date
minus
(c) the product of (i) the initial leverage factor
times
(ii) the closing indicative note value on the immediately preceding valuation date.
PS-4
The
rebalancing fee
for each ETN on any valuation date that is not a rebalancing date
will be equal to zero. On any valuation date that is a rebalancing date, the rebalancing fee for each ETN will be equal to the product of (a) the rebalancing fee rate
multiplied by
(b) the rebalancing amount on such valuation date.
The
rebalancing fee rate
will equal 0.05%.
A
business day
means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in New York City or London, as applicable, generally are
authorized or obligated by law, regulation, or executive order to close.
A
valuation date
means each trading day from
[
]
to
[
]
, subject to postponement as a result of market disruption events, such postponement not to
exceed five trading days. We refer to
[
]
as the
initial valuation date
and
[
]
as the
final valuation date
.
A
trading day
with respect to the ETNs means a day on which (a) it is an
index business day, (b) trading is generally conducted on NYSE Arca, and (c) is a business day in New York City.
An
index
business day
means each continuous period during which the index sponsor publishes an intraday index level. As of the date of this pricing supplement, an index business day typically begins at 3:00 a.m. New York City time and ends at 11:35
a.m. New York City time on a particular calendar date, without adjustment for daylight savings time in any jurisdiction. The specific hours on which an index business day begins and ends may be subject to adjustment if the Index Exchanges included
in the Index change.
An
Index Exchange
means each exchange on which any of the Index Constituents are traded.
Because your investment in the ETNs is leveraged, any decrease in the level of the Index will result in a significantly greater decrease in the
repayment amount, and you may receive less than your original investment in the ETNs at maturity or upon redemption or an automatic termination event. Moreover, because the daily investor fee, the rebalancing fee and the settlement charge may
substantially reduce the amount of your return at maturity or upon redemption or an automatic termination event, the level of the Index must increase significantly in order for you to receive at least the principal amount of your investment at
maturity or upon redemption or an automatic termination event. If the level of the Index decreases or does not increase sufficiently to offset the negative effect of the daily investor fee, the rebalancing fee and the settlement charge you will
receive less than the principal amount of your investment at maturity or upon redemption or an automatic termination event.
If the
level of the Index decreases sufficiently to trigger an automatic termination event, your ETNs will be automatically redeemed at the automatic redemption value. Following the calculation of the automatic redemption value, you will not benefit from
any subsequent increase in the Index level.
How Do You Redeem Your ETNs?
To redeem your ETNs, you must instruct your broker or other person through whom you hold your ETNs to take the following steps:
|
|
deliver a notice of redemption, which is attached as Annex A, to us via email by no later than 4:00 p.m., New York City time, on the business day
prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of redemption, which is attached as Annex B;
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deliver the signed confirmation of redemption to us via facsimile in the specified form by 5:00 p.m., New York City time, on the same day. We or
our affiliate must acknowledge receipt in order for your confirmation to be effective;
|
|
|
instruct your DTC custodian to book a delivery vs. payment trade with respect to your ETNs on the applicable valuation date at a price per ETN equal to
the closing indicative note value on the applicable valuation date, facing Barclays DTC 5101; and
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|
cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable
redemption date (the third business day following the applicable valuation date).
|
PS-5
Different brokerage firms may have different deadlines for accepting instructions from their customers.
Accordingly, you should consult the brokerage firm through which you own your interest in the ETNs in respect of such deadlines. If we do not receive your notice of redemption by 4:00 p.m., New York City time, or your confirmation of redemption
by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective, and we will not redeem your ETNs on the applicable redemption date. Any redemption instructions for which we (or
our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable. Additionally, if an automatic termination event occurs between the time at which you deliver a notice of redemption to us and the
close of business on the applicable valuation date, your notice of redemption will be deemed ineffective and your ETNs will be automatically redeemed on the relevant redemption date at an amount equal to the automatic redemption value.
What Are Some of the Risks of the ETNs?
An investment in the ETNs involves risks. Some of these risks are summarized here, but we urge you to read the more detailed explanation of risks in
Risk Factors in this pricing supplement.
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Uncertain Principal Repayment and Potential Negative Effects of Leverage
Because your investment in the ETNs is leveraged, any decrease in
the level of the Index will result in a significantly greater decrease in the repayment amount and may result in a payment at maturity or upon redemption or an automatic termination event that is less than your original investment or may result in
an automatic redemption at an amount that is less than your original investment if an automatic termination event occurs. Moreover, if the level of the Index decreases or does not increase sufficiently to offset the negative effect of the daily
investor fee, the rebalancing fee (if any) and the settlement charge, you may receive less than your original investment in the ETNs at maturity or upon redemption or an automatic termination event.
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|
Market Risk
The return on the ETNs is linked to a leveraged participation in the performance of the Index, which is linked to equity
securities. Equity security prices may change unpredictably, affecting the level of the Index and, consequently, the value of your ETNs in unforeseeable ways.
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No Interest Payments
You will not receive any periodic interest payments on the ETNs.
|
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|
A Trading Market for the ETNs May Not Exist
We plan to apply to list the ETNs on NYSE Arca but we cannot guarantee that such application
will be approved, and a trading market in the ETNs may not exist at any time. Even if there is a secondary market for the ETNs, whether as a result of any listing of the ETNs or on an over-the-counter basis, it may not provide enough liquidity to
trade or sell your ETNs easily. In addition, certain affiliates of Barclays Bank PLC intend to engage in limited purchase and resale transactions in the ETNs. However, they are not required to do so and if they decide to engage in such transactions,
they may stop at any time. We are not required to maintain any listing of the ETNs on any securities exchange and may cause the ETNs to be de-listed at our discretion.
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Issuer Redemption
Subject to the procedures described in this pricing supplement, we have the right to redeem or call the ETNs
(in whole only, but not in part) at our sole discretion without your consent on any trading day on or after the inception date until and including maturity.
|
Is This the Right Investment for You?
The ETNs may be a suitable investment for you if:
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You are willing to accept the risk of a leveraged investment in general and of a leveraged investment linked to the performance of the prices of the
Index Constituents in particular;
|
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|
You are willing to accept the risk of an investment that features an automatic termination event that results in an automatic redemption of the ETNs if
the intraday index level is less than or equal to the applicable automatic termination trigger;
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|
You believe the level of the Index will increase by an amount sufficient to offset the daily investor fee, any applicable rebalancing fees and the
settlement charges during the term of the ETNs;
|
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|
You seek an investment with a return linked to the performance of the Index;
|
PS-6
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You do not seek current income from this investment;
|
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|
You do not seek a guaranteed return of principal; and
|
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|
You are comfortable with the creditworthiness of Barclays Bank PLC, as Issuer of the ETNs.
|
The ETNs may not be a suitable investment for you if:
|
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You are not willing to be exposed to a leveraged investment in general or to a leveraged investment linked to the performance of the prices of the
Index Constituents in particular;
|
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|
You are not willing to accept the risk of an investment that features an automatic termination event that results in an automatic redemption of the
ETNs if the intraday index level is less than or equal to the applicable automatic termination trigger;
|
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|
You believe the level of the Index will decrease or will not increase by an amount sufficient to offset the daily investor fee, any applicable
rebalancing fees and the settlement charges during the term of the ETNs;
|
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|
You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings;
|
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|
You seek current income from this investment;
|
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|
You seek a guaranteed return of principal; or
|
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|
You are not comfortable with the creditworthiness of Barclays Bank PLC, as Issuer of the ETNs.
|
What Are the Tax Consequences?
Absent a
change in law or an administrative or judicial ruling to the contrary, pursuant to the terms of the ETNs, by purchasing the ETNs, you agree to treat the ETNs for all U.S. federal income tax purposes as a pre-paid executory contract with respect to
the Index. If the ETNs are so treated, you should generally recognize capital gain or loss upon the sale, redemption or maturity of your ETNs in an amount equal to the difference between the amount you receive at such time and your tax basis in the
ETNs.
The U.S. federal income tax consequences of your investment in the ETNs are uncertain. In the opinion of our counsel,
Sullivan & Cromwell LLP, it would be reasonable to treat the ETNs as described above. However, it is possible that the Internal Revenue Service may assert an alternative treatment.
Because of this uncertainty, we urge you to consult your
own tax advisor as to the tax consequences of your investment in the ETNs.
For a more complete discussion of the U.S. federal income tax
consequences of your investment in the ETNs, including possible alternative treatments for your ETNs, see Material U.S. Federal Income Tax Considerations below.
Conflicts of Interest
Barclays Capital Inc. is an affiliate of Barclays Bank PLC and, as
such, has a conflict of interest in this offering within the meaning of NASD Rule 2720, as administered by the Financial Industry Regulatory Authority (
FINRA
). Consequently, this offering is being conducted in
compliance with the provisions of Rule 2720 (or any successor rule thereto). For more information, please refer to Plan of DistributionConflict of Interest in the accompanying prospectus supplement.
PS-7
Hypothetical Examples
The following hypothetical examples show how the
ETNs might have performed based on the performance of an Index as applied to five hypothetical periods comprising 20 quarters, or five years in total, each presented on a quarterly basis. The hypothetical examples are calculated using weekly
performance data, and each quarter is assumed to be composed of 13 weeks. The hypothetical examples illustrate the effect of a leveraged investment in the Index and the impact, on a quarterly accrued basis, of the daily investor fee, the settlement
charge (which does not include the additional amount that would be payable upon any holder redemption of more than 100,000 ETNs with a redemption date on or prior to the date that is one year from the inception date) and, if applicable, the
rebalancing fee on the payment at maturity or upon redemption. The figures presented in these hypothetical examples are intended to reflect the prevailing value of each relevant ETN term as of the relevant numbered quarterly date of the ETNs
following the initial valuation date (indicated in Column A of each hypothetical example as Quarter 0).
The hypothetical
examples in this section do not take into account the effects of applicable taxes. The after-tax return you receive on your ETNs will depend on the U.S. tax treatment of your ETNs and on your particular circumstances. Accordingly, the after-tax rate
of return of your ETNs could be different than the after-tax return of a direct investment in the components of the Index or the Index.
These hypothetical examples are provided for illustrative purposes only. Past performance of the Index and the hypothetical performance of the ETNs
are not indicative of the future results of the Index or the ETNs.
PS-8
Hypothetical Examples
Example 1:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 1.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level increased by 4.00% per annum from a level of 1,000.00 (the
initial Index level for purposes of this example) to a final Index level of 1,216.65 at the hypothetical ETN maturity.
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A
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B
|
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C
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D
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E
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F
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G
|
Quarter
|
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Index
Level
|
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Long Index
Amount
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Quarterly
Investor
Fees
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Financing
Level
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Closing
Indicative
Note Value
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Payment
Including
Settlement
Charge
|
A
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B
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C
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Quarterly
Total
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Running
Total
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C - E
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F (0.05% × C)
|
0
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1,000.00
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$200.00
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$100.00
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$100.00
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$99.90
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1
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1,009.85
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$201.97
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$0.51
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$100.51
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$101.46
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$101.35
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2
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1,019.80
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$203.96
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$0.52
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$101.03
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$102.93
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$102.82
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3
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1,029.85
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$205.97
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$0.53
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$101.56
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$104.41
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$104.31
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4
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1,040.00
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$208.00
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$0.53
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$102.09
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$105.91
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$105.81
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5
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1,050.25
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$210.05
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$0.54
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$102.63
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$107.42
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$107.32
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6
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1,060.60
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|
$212.12
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|
$0.54
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$103.17
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$108.95
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$108.85
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7
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1,071.05
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$214.21
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|
$0.55
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$103.71
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$110.50
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|
$110.39
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8
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1,081.60
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$216.32
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|
$0.55
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|
$104.27
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$112.05
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$111.95
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9
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1,092.26
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|
$218.45
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|
$0.56
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$104.82
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$113.63
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$113.52
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10
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1,103.02
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$220.60
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$0.56
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$105.39
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$115.22
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$115.11
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11
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1,113.89
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$222.78
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$0.57
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$105.95
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$116.82
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$116.71
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12
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1,124.86
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$224.97
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|
$0.57
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$106.53
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$118.44
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$118.33
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13
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1,135.95
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$227.19
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$0.58
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$107.11
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$120.08
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|
$119.97
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14
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1,147.14
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|
$229.43
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|
$0.59
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|
$107.69
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|
$121.73
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|
$121.62
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15
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1,158.44
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|
$231.69
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|
$0.59
|
|
$108.29
|
|
$123.40
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|
$123.29
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16
|
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1,169.86
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|
$233.97
|
|
$0.60
|
|
$108.88
|
|
$125.09
|
|
$124.97
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17
|
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1,181.39
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|
$236.28
|
|
$0.60
|
|
$109.49
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|
$126.79
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|
$126.67
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18
|
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1,193.03
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|
$238.61
|
|
$0.61
|
|
$110.10
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|
$128.51
|
|
$128.39
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19
|
|
1,204.78
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|
$240.96
|
|
$0.62
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|
$110.71
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$130.25
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|
$130.13
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20
|
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1,216.65
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$243.33
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$0.62
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|
$111.33
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$132.00
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$131.88
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Annualized Index Return
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4.00%
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Index Total Return
|
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21.67%
|
Annualized Return on the ETNs
|
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5.71%
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Total Return on the ETNs
|
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32.00%
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PS-9
Hypothetical Examples
Example 2:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 4.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level increased by 4.00% per annum from a level of 1,000.00 (the
initial Index level for purposes of this example) to a final Index level of 1,216.65 at the hypothetical ETN maturity.
Example 2 shows the
effect of a different exposure fee rate on the closing indicative note value, as compared to Example 1. This example highlights that even if the underlying Index increases, the aggregate effect of the daily investor fee, which is variable, and the
settlement charge may result in a closing indicative note value at maturity or upon redemption that is less than the principal amount per ETN.
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A
|
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B
|
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C
|
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D
|
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E
|
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F
|
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G
|
Quarter
|
|
Index
Level
|
|
Long Index
Amount
|
|
Quarterly
Investor
Fees
|
|
Financing
Level
|
|
Closing
Indicative
Note Value
|
|
Payment
Including
Settlement
Charge
|
A
|
|
B
|
|
C
|
|
Quarterly
Total
|
|
Running
Total
|
|
C - E
|
|
F (0.05% × C)
|
0
|
|
1,000.00
|
|
$200.00
|
|
|
|
$100.00
|
|
$100.00
|
|
$99.90
|
1
|
|
1,009.85
|
|
$201.97
|
|
$2.02
|
|
$102.02
|
|
$99.95
|
|
$99.85
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2
|
|
1,019.80
|
|
$203.96
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|
$2.04
|
|
$104.06
|
|
$99.90
|
|
$99.80
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3
|
|
1,029.85
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|
$205.97
|
|
$2.06
|
|
$106.12
|
|
$99.85
|
|
$99.74
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4
|
|
1,040.00
|
|
$208.00
|
|
$2.08
|
|
$108.21
|
|
$99.79
|
|
$99.69
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5
|
|
1,050.25
|
|
$210.05
|
|
$2.10
|
|
$110.31
|
|
$99.74
|
|
$99.64
|
6
|
|
1,060.60
|
|
$212.12
|
|
$2.12
|
|
$112.43
|
|
$99.69
|
|
$99.58
|
7
|
|
1,071.05
|
|
$214.21
|
|
$2.14
|
|
$114.57
|
|
$99.64
|
|
$99.53
|
8
|
|
1,081.60
|
|
$216.32
|
|
$2.16
|
|
$116.74
|
|
$99.58
|
|
$99.47
|
9
|
|
1,092.26
|
|
$218.45
|
|
$2.19
|
|
$118.92
|
|
$99.53
|
|
$99.42
|
10
|
|
1,103.02
|
|
$220.60
|
|
$2.21
|
|
$121.13
|
|
$99.47
|
|
$99.36
|
11
|
|
1,113.89
|
|
$222.78
|
|
$2.23
|
|
$123.36
|
|
$99.42
|
|
$99.31
|
12
|
|
1,124.86
|
|
$224.97
|
|
$2.25
|
|
$125.61
|
|
$99.36
|
|
$99.25
|
13
|
|
1,135.95
|
|
$227.19
|
|
$2.27
|
|
$127.88
|
|
$99.31
|
|
$99.19
|
14
|
|
1,147.14
|
|
$229.43
|
|
$2.29
|
|
$130.18
|
|
$99.25
|
|
$99.14
|
15
|
|
1,158.44
|
|
$231.69
|
|
$2.32
|
|
$132.49
|
|
$99.20
|
|
$99.08
|
16
|
|
1,169.86
|
|
$233.97
|
|
$2.34
|
|
$134.83
|
|
$99.14
|
|
$99.02
|
17
|
|
1,181.39
|
|
$236.28
|
|
$2.36
|
|
$137.20
|
|
$99.08
|
|
$98.96
|
18
|
|
1,193.03
|
|
$238.61
|
|
$2.39
|
|
$139.58
|
|
$99.02
|
|
$98.90
|
19
|
|
1,204.78
|
|
$240.96
|
|
$2.41
|
|
$141.99
|
|
$98.97
|
|
$98.85
|
20
|
|
1,216.65
|
|
$243.33
|
|
$2.43
|
|
$144.42
|
|
$98.91
|
|
$98.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Index Return
|
|
4.00%
|
|
Index Total Return
|
|
21.67%
|
Annualized Return on the ETNs
|
|
-0.22%
|
|
Total Return on the ETNs
|
|
-1.09%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS-10
Hypothetical Examples
Example 3:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 1.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level decreased by 2.00% per annum from a level of 1,000.00 (the
initial Index level for purposes of this example) to a final Index level of 903.92 at the hypothetical ETN maturity. In this example, no rebalancing event has occurred during the term of the ETNs.
|
|
|
|
|
|
|
|
|
|
|
|
|
A
|
|
B
|
|
C
|
|
D
|
|
E
|
|
F
|
|
G
|
Quarter
|
|
Index
Level
|
|
Long Index
Amount
|
|
Quarterly
Investor
Fees
|
|
Financing
Level
|
|
Closing
Indicative
Note Value
|
|
Payment
Including
Settlement
Charge
|
A
|
|
B
|
|
C
|
|
Quarterly
Total
|
|
Running
Total
|
|
C - E
|
|
F (0.05% × C)
|
0
|
|
1,000.00
|
|
$200.00
|
|
|
|
$100.00
|
|
$100.00
|
|
$99.90
|
1
|
|
994.96
|
|
$198.99
|
|
$0.51
|
|
$100.51
|
|
$98.48
|
|
$98.38
|
2
|
|
989.95
|
|
$197.99
|
|
$0.51
|
|
$101.02
|
|
$96.97
|
|
$96.87
|
3
|
|
984.96
|
|
$196.99
|
|
$0.51
|
|
$101.53
|
|
$95.47
|
|
$95.37
|
4
|
|
980.00
|
|
$196.00
|
|
$0.50
|
|
$102.03
|
|
$93.97
|
|
$93.87
|
5
|
|
975.06
|
|
$195.01
|
|
$0.50
|
|
$102.53
|
|
$92.48
|
|
$92.39
|
6
|
|
970.15
|
|
$194.03
|
|
$0.50
|
|
$103.03
|
|
$91.00
|
|
$90.91
|
7
|
|
965.26
|
|
$193.05
|
|
$0.50
|
|
$103.52
|
|
$89.53
|
|
$89.43
|
8
|
|
960.40
|
|
$192.08
|
|
$0.49
|
|
$104.02
|
|
$88.06
|
|
$87.97
|
9
|
|
955.56
|
|
$191.11
|
|
$0.49
|
|
$104.51
|
|
$86.61
|
|
$86.51
|
10
|
|
950.75
|
|
$190.15
|
|
$0.49
|
|
$104.99
|
|
$85.16
|
|
$85.06
|
11
|
|
945.96
|
|
$189.19
|
|
$0.48
|
|
$105.48
|
|
$83.71
|
|
$83.62
|
12
|
|
941.19
|
|
$188.24
|
|
$0.48
|
|
$105.96
|
|
$82.28
|
|
$82.18
|
13
|
|
936.45
|
|
$187.29
|
|
$0.48
|
|
$106.44
|
|
$80.85
|
|
$80.76
|
14
|
|
931.73
|
|
$186.35
|
|
$0.48
|
|
$106.92
|
|
$79.43
|
|
$79.34
|
15
|
|
927.04
|
|
$185.41
|
|
$0.47
|
|
$107.39
|
|
$78.02
|
|
$77.92
|
16
|
|
922.37
|
|
$184.47
|
|
$0.47
|
|
$107.86
|
|
$76.61
|
|
$76.52
|
17
|
|
917.72
|
|
$183.54
|
|
$0.47
|
|
$108.33
|
|
$75.21
|
|
$75.12
|
18
|
|
913.10
|
|
$182.62
|
|
$0.47
|
|
$108.80
|
|
$73.82
|
|
$73.73
|
19
|
|
908.50
|
|
$181.70
|
|
$0.46
|
|
$109.26
|
|
$72.44
|
|
$72.34
|
20
|
|
903.92
|
|
$180.78
|
|
$0.46
|
|
$109.73
|
|
$71.06
|
|
$70.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Index Return
|
|
-2.00%
|
|
Index Total Return
|
|
-9.61%
|
Annualized Return on the ETNs
|
|
-6.61%
|
|
Total Return on the ETNs
|
|
-28.94%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS-11
Hypothetical Examples
Example 4:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 4.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level decreased by 2.00% per annum from a level
of 1,000.00 (the initial Index level for purposes of this example) to a final Index level of 903.92 at the hypothetical ETN maturity. In this example, the effects of two rebalancing events, reflected by an adjustment to the long index amount and the
financing level, are shown: one as of the end of the 10
th
quarter and one as of the end of the 20
th
quarter.
Example 4 shows the effect of a different exposure fee rate on the closing indicative note value, as compared to Example 3.
|
|
|
|
|
|
|
|
|
|
|
|
|
A
|
|
B
|
|
C
|
|
D
|
|
E
|
|
F
|
|
G
|
Quarter
|
|
Index
Level
|
|
Long Index
Amount
|
|
Quarterly
Investor
Fees
|
|
Financing
Level
|
|
Closing
Indicative
Note Value
|
|
Payment
Including
Settlement
Charge
|
A
|
|
B
|
|
C
|
|
Quarterly
Total
|
|
Running
Total
|
|
C - E
|
|
F (0.05% × C)
|
0
|
|
1,000.00
|
|
$200.00
|
|
|
|
$100.00
|
|
$100.00
|
|
$99.90
|
1
|
|
994.96
|
|
$198.99
|
|
$2.01
|
|
$102.01
|
|
$96.98
|
|
$96.89
|
2
|
|
989.95
|
|
$197.99
|
|
$2.00
|
|
$104.00
|
|
$93.98
|
|
$93.89
|
3
|
|
984.96
|
|
$196.99
|
|
$1.99
|
|
$105.99
|
|
$91.00
|
|
$90.90
|
4
|
|
980.00
|
|
$196.00
|
|
$1.98
|
|
$107.97
|
|
$88.03
|
|
$87.93
|
5
|
|
975.06
|
|
$195.01
|
|
$1.97
|
|
$109.93
|
|
$85.08
|
|
$84.98
|
6
|
|
970.15
|
|
$194.03
|
|
$1.96
|
|
$111.89
|
|
$82.14
|
|
$82.04
|
7
|
|
965.26
|
|
$193.05
|
|
$1.95
|
|
$113.84
|
|
$79.22
|
|
$79.12
|
8
|
|
960.40
|
|
$192.08
|
|
$1.94
|
|
$115.77
|
|
$76.31
|
|
$76.21
|
9
|
|
955.56
|
|
$191.11
|
|
$1.93
|
|
$117.70
|
|
$73.41
|
|
$73.32
|
10
|
|
950.75
|
|
$142.29
|
|
$1.84
|
|
$71.64
|
|
$70.65
|
|
$70.58
|
11
|
|
945.96
|
|
$141.57
|
|
$1.43
|
|
$73.07
|
|
$68.50
|
|
$68.43
|
12
|
|
941.19
|
|
$140.86
|
|
$1.42
|
|
$74.49
|
|
$66.37
|
|
$66.30
|
13
|
|
936.45
|
|
$140.15
|
|
$1.41
|
|
$75.90
|
|
$64.24
|
|
$64.17
|
14
|
|
931.73
|
|
$139.44
|
|
$1.41
|
|
$77.31
|
|
$62.13
|
|
$62.06
|
15
|
|
927.04
|
|
$138.74
|
|
$1.40
|
|
$78.71
|
|
$60.03
|
|
$59.96
|
16
|
|
922.37
|
|
$138.04
|
|
$1.39
|
|
$80.10
|
|
$57.94
|
|
$57.87
|
17
|
|
917.72
|
|
$137.34
|
|
$1.38
|
|
$81.48
|
|
$55.86
|
|
$55.79
|
18
|
|
913.10
|
|
$136.65
|
|
$1.38
|
|
$82.86
|
|
$53.79
|
|
$53.72
|
19
|
|
908.50
|
|
$135.96
|
|
$1.37
|
|
$84.23
|
|
$51.73
|
|
$51.67
|
20
|
|
903.92
|
|
$101.34
|
|
$1.21
|
|
$51.42
|
|
$49.92
|
|
$49.87
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Index Return
|
|
-2.00%
|
|
Index Total Return
|
|
-9.61%
|
Annualized Return on the ETNs
|
|
-12.97%
|
|
Total Return on the ETNs
|
|
-50.08%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS-12
Hypothetical Examples
Example 5:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 1.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level decreased by 6.00% per annum from a level
of 1,000.00 (the initial Index level for purposes of this example) to a final Index level of 733.90 at the hypothetical ETN maturity. In this example, the effect of one rebalancing event, reflected by an adjustment to the long index amount and the
financing level, is shown as of the end of the 12
th
quarter.
Example 5 shows the effect of a greater decrease in the Index level on a per annum basis on the closing indicative note value, as
compared to Example 3.
|
|
|
|
|
|
|
|
|
|
|
|
|
A
|
|
B
|
|
C
|
|
D
|
|
E
|
|
F
|
|
G
|
Quarter
|
|
Index
Level
|
|
Long Index
Amount
|
|
Quarterly
Investor
Fees
|
|
Financing
Level
|
|
Closing
Indicative
Note Value
|
|
Payment
Including
Settlement
Charge
|
A
|
|
B
|
|
C
|
|
Quarterly
Total
|
|
Running
Total
|
|
C - E
|
|
F (0.05% × C)
|
0
|
|
1,000.00
|
|
$200.00
|
|
|
|
$100.00
|
|
$100.00
|
|
$99.90
|
1
|
|
984.65
|
|
$196.93
|
|
$0.51
|
|
$100.51
|
|
$96.42
|
|
$96.32
|
2
|
|
969.54
|
|
$193.91
|
|
$0.50
|
|
$101.01
|
|
$92.90
|
|
$92.80
|
3
|
|
954.65
|
|
$190.93
|
|
$0.49
|
|
$101.50
|
|
$89.43
|
|
$89.33
|
4
|
|
940.00
|
|
$188.00
|
|
$0.48
|
|
$101.99
|
|
$86.01
|
|
$85.92
|
5
|
|
925.57
|
|
$185.11
|
|
$0.48
|
|
$102.46
|
|
$82.65
|
|
$82.56
|
6
|
|
911.36
|
|
$182.27
|
|
$0.47
|
|
$102.93
|
|
$79.34
|
|
$79.25
|
7
|
|
897.37
|
|
$179.47
|
|
$0.46
|
|
$103.40
|
|
$76.08
|
|
$75.99
|
8
|
|
883.60
|
|
$176.72
|
|
$0.45
|
|
$103.85
|
|
$72.87
|
|
$72.78
|
9
|
|
870.04
|
|
$174.01
|
|
$0.45
|
|
$104.30
|
|
$69.71
|
|
$69.62
|
10
|
|
856.68
|
|
$171.34
|
|
$0.44
|
|
$104.74
|
|
$66.60
|
|
$66.51
|
11
|
|
843.53
|
|
$168.71
|
|
$0.43
|
|
$105.17
|
|
$63.53
|
|
$63.45
|
12
|
|
830.58
|
|
$124.64
|
|
$0.35
|
|
$63.55
|
|
$61.09
|
|
$61.03
|
13
|
|
817.83
|
|
$122.73
|
|
$0.32
|
|
$63.86
|
|
$58.86
|
|
$58.80
|
14
|
|
805.28
|
|
$120.84
|
|
$0.31
|
|
$64.18
|
|
$56.67
|
|
$56.61
|
15
|
|
792.92
|
|
$118.99
|
|
$0.31
|
|
$64.48
|
|
$54.51
|
|
$54.45
|
16
|
|
780.75
|
|
$117.16
|
|
$0.30
|
|
$64.79
|
|
$52.38
|
|
$52.32
|
17
|
|
768.76
|
|
$115.36
|
|
$0.30
|
|
$65.08
|
|
$50.28
|
|
$50.22
|
18
|
|
756.96
|
|
$113.59
|
|
$0.29
|
|
$65.37
|
|
$48.22
|
|
$48.16
|
19
|
|
745.34
|
|
$111.85
|
|
$0.29
|
|
$65.66
|
|
$46.19
|
|
$46.13
|
20
|
|
733.90
|
|
$110.13
|
|
$0.28
|
|
$65.95
|
|
$44.19
|
|
$44.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Index Return
|
|
-6.00%
|
|
Index Total Return
|
|
-26.61%
|
Annualized Return on the ETNs
|
|
-15.07%
|
|
Total Return on the ETNs
|
|
-55.81%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS-13
Hypothetical Examples
Example 6:
In this example, we assume a principal amount per ETN of $100, an initial leverage factor of 2 and a constant exposure fee rate of 1.00% throughout the
term of the ETNs.
In the following hypothetical example, the Index level decreased by 6.00% per annum from a level
of 1,000.00 (the initial Index level for purposes of this example) to an Index level of 843.53 as of the end of the
11
th
quarter following the initial valuation date. The
Index level subsequently continued to decrease by such an extent that an automatic termination event occurred on the
1
st
calendar day of the 12
th
quarter following the initial valuation date. At the time of such
hypothetical automatic termination event, the intraday index level had decreased to 733.87, which was less than the automatic termination trigger of 736.21 calculated on the valuation date immediately preceding the beginning of the index business
day on which the automatic termination event shown here occurred.
|
|
|
|
|
|
|
|
|
|
|
|
|
A
|
|
B
|
|
C
|
|
D
|
|
E
|
|
F
|
|
G
|
Quarter
|
|
Index
Level
|
|
Long Index
Amount
|
|
Quarterly
Investor
Fees
|
|
Financing
Level
|
|
Closing
Indicative
Note Value
|
|
Payment
Including
Settlement
Charge
|
A
|
|
B
|
|
C
|
|
Quarterly
Total
|
|
Running
Total
|
|
C - E
|
|
F (0.05% × C)
|
0
|
|
1,000.00
|
|
$200.00
|
|
|
|
$100.00
|
|
$100.00
|
|
$99.90
|
1
|
|
984.65
|
|
$196.93
|
|
$0.51
|
|
$100.51
|
|
$96.42
|
|
$96.32
|
2
|
|
969.54
|
|
$193.91
|
|
$0.50
|
|
$101.01
|
|
$92.90
|
|
$92.80
|
3
|
|
954.65
|
|
$190.93
|
|
$0.49
|
|
$101.50
|
|
$89.43
|
|
$89.33
|
4
|
|
940.00
|
|
$188.00
|
|
$0.48
|
|
$101.99
|
|
$86.01
|
|
$85.92
|
5
|
|
925.57
|
|
$185.11
|
|
$0.48
|
|
$102.46
|
|
$82.65
|
|
$82.56
|
6
|
|
911.36
|
|
$182.27
|
|
$0.47
|
|
$102.93
|
|
$79.34
|
|
$79.25
|
7
|
|
897.37
|
|
$179.47
|
|
$0.46
|
|
$103.40
|
|
$76.08
|
|
$75.99
|
8
|
|
883.60
|
|
$176.72
|
|
$0.45
|
|
$103.85
|
|
$72.87
|
|
$72.78
|
9
|
|
870.04
|
|
$174.01
|
|
$0.45
|
|
$104.30
|
|
$69.71
|
|
$69.62
|
10
|
|
856.68
|
|
$171.34
|
|
$0.44
|
|
$104.74
|
|
$66.60
|
|
$66.51
|
11
|
|
843.53
|
|
$168.71
|
|
$0.43
|
|
$105.17
|
|
$63.53
|
|
$63.45
|
|
|
|
|
|
|
|
|
|
|
|
Date
|
|
Intraday
Index
Level
|
|
Automatic
Termination
Trigger
|
|
Investor
Fees
Quarter to
Date
|
|
Financing Level as
of the previous
Valuation Date
|
|
Intraday
Indicative Note
Value*
|
Intraday on Calendar Day 1 of Quarter 12
|
|
733.87
|
|
736.21
|
|
$0.00
|
|
$105.17
|
|
$41.60
|
*
|
Intraday indicative note value as of the time of the automatic termination event shown for informational purposes only. The automatic redemption value payable on the
redemption date will be determined by the calculation agent as described under Specific Terms of the ETNsAutomatic Termination Event.
|
PS-14
RISK FACTORS
The ETNs are unsecured indebtedness of Barclays Bank PLC and are not secured debt. The ETNs are riskier than ordinary unsecured debt securities. The
return on the ETNs is linked to a leveraged participation in the performance of the Index. Investing in the ETNs is not equivalent to taking direct leveraged positions in the Index Constituents or the Index itself. See The Index in this
pricing supplement for more information.
This section describes the most significant risks relating to an investment in the ETNs.
We urge you to read the following information about these risks, together with the other information in this pricing supplement and the accompanying prospectus and prospectus supplement, before investing in the ETNs.
Risks Relating to the Return on the ETNs
Leverage Increases the Sensitivity of Your ETNs to Changes in the Level of the Index
Because your investment in the ETNs is leveraged, changes in the level of the Index will have a greater impact on the payout on your ETNs than on a
payout on securities that are not so leveraged. In particular, any decrease in the level of the Index will result in a significantly greater decrease in your payment at maturity or upon redemption or an automatic termination event, and you will
suffer losses on your investment in the ETNs substantially greater than you would if your ETNs did not contain a leverage component.
Unlike Certain Leveraged Exchange Traded Funds, Your ETNs Do Not Include a Daily Reset Mechanism, and Accordingly the Daily Performance of
the ETNs Does Not Reflect a Compounded Return
Your ETNs operate differently than certain leveraged exchange traded funds
(
ETFs
) that have a daily reset mechanism that seeks to provide investors in such ETFs a return based on a fixed multiple of the performance of an underlying reference asset on a given day. The reset
mechanism of such ETFs is applied so that the return on investments in such ETFs will correspond to a fixed multiple (e.g., three times) of the daily return on the underlying reference asset on any given day, before fees and expenses. The reset
mechanism of such leveraged ETFs has the impact of compounding the performance of the underlying reference asset on a daily basis. This compounding effect can be positive for the investor, particularly if there are consistently positive returns each
day for the underlying reference asset.
Your ETNs do not operate in this manner, as they do not have a daily reset mechanism. Nor do your
ETNs target a fixed multiple (e.g., two times) of the daily return in the performance of the Index. Instead, the ETNs are designed to target a return of a multiple of two times the performance of the Index over the term of the ETNs. As a
consequence, the daily returns on the performance of the Index are not compounded.
The ETNs include a rebalancing feature, however, that will
have the effect of deleveraging the exposure of the ETNs to the Index if a rebalancing event occurs, meaning that, on any valuation date, the intraday index level is less than or equal to the rebalancing trigger calculated on the immediately
preceding valuation date. This feature acts to reset the leveraged exposure to the Index to approximately 2.0 on the relevant rebalancing date (without accounting for changes in the Index level on the rebalancing date). For more information, please
see the risk factor Upon the Occurrence of a Rebalancing Event, the Leveraged Exposure of the ETNs to the Performance of the Index Will Be Reduced.
The Ratio Between the Value of Your ETNs and the Notional Exposure of Each ETN to the Index Will Fluctuate During the Term of Your ETNs
As mentioned in the previous risk factor, your ETNs do not incorporate a scheduled reset mechanism that regularly adjusts the notional exposure to the performance of the Index in order to
achieve certain short-term performance characteristics, such as delivering a fixed daily multiple of Index percentage returns. Such reset mechanisms typically act to keep a constant ratio between the value of each security and the
exposure to the relevant index underlying such security.
Since your ETNs do not reset or rebalance except upon the occurrence of a
rebalancing event, the extent to which your ETNs participate in the performance of the Index, as measured by multiples of daily percentage returns or, equivalently, as measured by the ratio between the notional exposure to the performance of the
Index and the value of each ETN, is likely to differ from a multiple equal to the initial leverage factor of two. Consequently, both on any given day and over longer periods, your investment in the ETNs
PS-15
may underperform compared to a comparable investment where the daily return tracks a multiple equal to the initial leverage factor of two times the performance of the underlying reference asset.
For more information on how you will be able to obtain an indication of the participation of the ETNs in the performance of the Index on a daily basis, see Valuation of the ETNsIntraday Leverage Factor.
Upon the Occurrence of a Rebalancing Event, the Leveraged Exposure of the ETNs to the Performance of the Index Will Be Reduced
A rebalancing event, which may occur multiple times throughout the term of the ETNs, will have the effect of reducing the leveraged exposure of the ETNs
to the Index with the aim of resetting the leveraged exposure to the Index to approximately 2.0 on the relevant rebalancing date (without accounting for changes in the Index level on the rebalancing date). This means that as of the rebalancing date
after the rebalancing event, a constant percentage increase in the Index level will have a lesser positive effect on the value of the ETNs relative to before the rebalancing event. This effect may be magnified if multiple rebalancing events occur.
In addition, each time a rebalancing event occurs, a rebalancing fee equal to 0.05% of the relevant rebalancing amount (which represents the change in the notional exposure to the Index as a result of a rebalancing event) will be added to the
financing level, which will have the effect of reducing the closing indicative note value and, therefore, the value of the ETNs at maturity or upon redemption.
We Will Automatically Redeem Your ETNs if, on Any Index Business Day Prior to or on the Final Valuation Date, the Intraday Index Level Is Less than or Equal to the Automatic Termination Trigger
If, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the automatic
termination trigger calculated on the valuation date immediately preceding the beginning of such index business day, an automatic termination event will be deemed to have occurred and the ETNs will be automatically redeemed (in whole only, but not
in part) in an amount equal to the automatic redemption value. Upon the occurrence of an automatic termination event, the ETNs will be automatically redeemed even if the intraday index level is greater than the automatic termination trigger at any
time after the occurrence of the automatic termination event. The automatic redemption value will be determined by the calculation agent, in its sole discretion, acting in good faith and in a commercially reasonable manner, using the latest publicly
available quotations for the intraday prices of the relevant Index Constituents that are available as soon as practicable following the occurrence of an automatic termination event. The calculation agent will approximate the intraday index
performance factor on the basis of such quotations and calculate, in the manner described above, a corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value.
The Occurrence of an Automatic Termination Event May Adversely Affect the Value of, and the Ability to Sell or Redeem, the ETNs
As discussed above, we will automatically redeem the ETNs (in whole only, but not in part) upon the occurrence of an automatic termination event. The
payment you receive following the redemption of your ETNs in this situation will be significantly less than the principal amount of your ETNs and, if the level of the Index continues to decrease precipitously from the occurrence of the automatic
termination event to the time at which the calculation agent determines the automatic redemption value, may equal $0. The automatic redemption of the ETNs upon the occurrence of automatic termination event may adversely impact your ability to sell
your ETNs, and/or the price at which you may be able to sell your ETNs, following the occurrence of an automatic termination event. Additionally, if you elect to redeem your ETNs and an automatic termination event occurs after your election but
prior to the close of business on the applicable valuation date, your election to redeem will be deemed ineffective, and your ETNs will be automatically redeemed on the relevant redemption date at an amount equal to the automatic redemption value.
If an Automatic Termination Event Occurs, Your Payment on the Relevant Redemption Date May Be Less Than the Intraday Indicative Note Value
at the Time of the Automatic Termination Event
As discussed above, we will automatically redeem the ETNs (in whole only, but not in part)
if the intraday index level is less than or equal to the applicable automatic termination trigger. The intraday index level is based on the most recent intraday level of the Index reported by the index sponsor. After the occurrence of an automatic
PS-16
termination event, the calculation agent will determine the automatic redemption value in its sole discretion, acting in good faith and in a commercially reasonable manner, using the latest
publicly available quotations for the intraday prices of the relevant Index Constituents that are available as soon as practicable following the occurrence of an automatic termination event. The calculation agent will approximate the intraday index
performance factor on the basis of such quotations and calculate, in the manner described above, a corresponding intraday indicative note value, which shall be deemed to be the automatic redemption value. At the time when an automatic termination
event occurs, certain equity markets on which the Index Constituents are traded may be closed, in which case intraday prices of certain Index Constituents may not be available. In such case, the calculation agent, in its sole discretion, may not be
able to determine the automatic redemption value until such time as all the exchanges on which such Index Constituents are traded have opened for trading. As a result, there may be a delay, perhaps a significant one, between the time at which an
automatic termination event occurs and the time at which the calculation agent determines the automatic redemption value. It is possible that the market prices of the relevant Index Constituents may vary significantly between the time of the
automatic termination event and the time the automatic redemption value is calculated, including potentially as a result of our trading activities during this period, as described further in the risk factor Trading and Other Transactions by
Barclays Bank PLC or Its Affiliates in the Index Constituents or Instruments Linked to the Index or the Index Constituents May Also Impair the Market Value of the ETNs, Could Trigger an Automatic Termination Event and, Upon the Occurrence of an
Automatic Termination Event, Could Adversely Affect the Automatic Redemption Value of the ETNs. As a result, you may receive a payment following an automatic termination event that is significantly less than the intraday indicative note value
at the time of the automatic termination event. The minimum automatic redemption value is $0 per ETN, meaning that you can lose up to your entire principal amount following the occurrence of an automatic termination event.
An Automatic Termination Event May Occur Outside of the Hours During Which the ETNs are Traded on NYSE Arca
In addition, the terms of the ETNs provide that an automatic termination event will occur, meaning that we will automatically redeem the ETNs (in whole
only, but not in part) if, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the applicable automatic termination trigger. Because certain equity markets on which the Index
Constituents are traded are open for trading in different time zones around the world and the intraday index level relative to the automatic termination trigger will be observed by the calculation agent outside the hours during which the ETNs are
traded on NYSE Arca, it is possible that an automatic termination event may occur outside the hours during which the ETNs are traded on NYSE Arca.
If the ETNs Are Automatically Redeemed Following the Occurrence of an Automatic Termination Event, You Will Not Benefit From Any Subsequent Increase in the Level of the Index
If, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the applicable automatic
termination trigger, an automatic termination event will be deemed to have occurred and the ETNs will be automatically redeemed. Following the occurrence of an automatic termination event, you will not benefit from any subsequent increase in the
level of the Index even if such increase occurs prior to the redemption date. Instead, you will receive a payment on the relevant redemption date equal to the automatic redemption value.
Your Payment at Maturity or Upon Redemption or an Automatic Termination Event Will Be Significantly Reduced by the Effect of the Daily Investor Fee, any Rebalancing Fee and the Settlement Charge
Regardless of the Performance of the Index
Your payment at maturity or upon redemption or an automatic termination event will be
significantly reduced by the effect of the daily investor fee, any rebalancing fee and the settlement charge on the closing indicative note value of your ETNs. The daily investor fee accrues on a daily basis during the term of the ETNs through the
calculation of the financing level. The net effect of the daily investor fee accumulates over time and has the effect of reducing the closing indicative note value by increasing the financing level throughout the term of the ETNs. In addition, a
rebalancing fee is added to the financing level each time the exposure of the ETNs to the Index is adjusted
PS-17
following a rebalancing event. A rebalancing event may occur multiple times throughout the term of the ETNs, so a rebalancing fee could be charged multiple times throughout the term of the ETNs.
Upon maturity or holder redemption of the ETNs, a settlement charge will reduce the applicable closing indicative note value that determines the amount of the payment to you.
As such, the level of the Index must increase significantly in order to offset the effect of the daily investor fee, any rebalancing fee and the settlement charge. If the level of the Index does not
increase sufficiently, your return at maturity or upon redemption or an automatic termination event may be less than that of a comparable investment in securities with lower fees and costs and may also be less than the principal amount of your
investment in the ETNs.
The Daily Investor Fee is Based In Part Upon LIBOR Which is a Floating Rate That May Increase Significantly During
the Term of the ETNs
Your payment at maturity or upon redemption or an automatic termination event will be reduced by the daily investor
fee, which accumulates over time and has the effect of reducing the closing indicative note value by increasing the financing level throughout the term of the ETNs. The daily investor fee is linked, in part, to the 3-month LIBOR rate, which is a
floating rate that fluctuates continuously. As a result, if the 3-month LIBOR rate increases during the term of the ETNs, the daily investor fee will increase at a faster rate, which will reduce the amount payable on your ETNs at maturity or upon
redemption or an automatic termination event and may adversely affect the market value of your ETNs.
Changes in the Method Pursuant to
Which the LIBOR Rates Are Determined May Adversely Affect the Value of the ETNs
Regulators and law enforcement agencies from a number of
governments have been conducting investigations relating to the calculation of LIBOR across a range of maturities and currencies, and certain financial institutions that are member banks surveyed by the British Bankers Association (the
BBA
) in setting daily LIBOR, including Barclays, have entered into agreements with the U.S. Department of Justice, the U.S. Commodity Futures Trading Commission and/or the U.K. Financial Services Authority in order to resolve the
investigations. In addition, in September 2012, the U.K. government published the results of its review of LIBOR, commonly referred to as the Wheatley Review. The Wheatley Review made a number of recommendations for changes with respect
to LIBOR, including the introduction of statutory regulation of LIBOR, the transfer of responsibility for LIBOR from the BBA to an independent administrator, changes to the method of compilation of lending rates, new regulatory oversight and
enforcement mechanisms for rate-setting and the corroboration of LIBOR, as far as possible, by transactional data. Based on the Wheatley Review, on March 25, 2013, final rules for the regulation and supervision of LIBOR by the U.K. Financial
Conduct Authority (the
FCA
) were published (the
FCA Rules
). In particular, the FCA Rules include requirements that (1) an independent LIBOR administrator monitor and survey LIBOR submissions to identify
breaches of practice standards and/or potentially manipulative behavior, and (2) firms submitting data to LIBOR establish and maintain a clear conflicts of interest policy and appropriate systems and controls. The FCA Rules took effect on
April 2, 2013. It is not possible to predict the effect of the FCA Rules, any changes in the methods pursuant to which the LIBOR rates are determined and any other reforms to LIBOR that will be enacted in the U.K. and elsewhere, each of which
may adversely affect the trading market for LIBOR-based securities. In addition, any changes announced by the FCA, the BBA or any other successor governance or oversight body, or future changes adopted by such body, in the method pursuant to which
the LIBOR rates are determined may result in a sudden or prolonged increase or decrease in the reported LIBOR rates. If that were to occur and to the extent that the value of the ETNs is affected by reported LIBOR rates, the amount of the daily
investor fee and the value of the ETNs may be affected. Further, uncertainty as to the extent and manner in which the Wheatley Review recommendations will continue to be adopted and the timing of such changes may adversely affect the current trading
market for LIBOR-based securities and the value of the ETNs.
The Cumulative Effect of the Daily Investor Fee, any Rebalancing Fees and the
Settlement Charge May Be Greater Than the Charges and Fees You May Incur in Connection With an Alternative Investment
The closing
indicative note value, and therefore your payment at maturity or upon redemption, is reduced by the cumulative effect of the daily investor fee, any rebalancing fees and the settlement charge. See Your Payment at
PS-18
Maturity or Upon Redemption or an Automatic Termination Event Will Be Significantly Reduced by the Effect of the Daily Investor Fee, the Rebalancing Fee and the Settlement Charge Regardless of
the Performance of the Index above for more information regarding the calculation of the cumulative effect of the daily investor fee, any rebalancing fees and the settlement charge. If the cumulative effect of the daily investor fee, any
rebalancing fees and the settlement charge is greater than the charges and fees you may have otherwise incurred or accrued in connection with an alternative investment in the Index or the Index Constituents over the same term, your return on the
ETNs may be less than your return on such alternative investment.
The Daily Investor Fee May Be Greater Than Financing Costs That You
Would Incur If You Borrowed Funds From a Third Party
The daily investor fee includes a variable component that seeks to compensate the
Issuer for, among other things, providing investors with the potential to receive a leveraged participation in movements in the level of the Index and is intended to include an approximation of the financing costs that investors may have otherwise
incurred had they sought to borrow funds at a similar rate from a third party to invest in the Index. However, there is no guarantee that the daily investor fee will correspond to the lowest level of financing costs that may be available to
you. If the cumulative effect of the daily investor fee exceeds the financing costs and any associated fees you could otherwise incur or accrue from borrowing available funds from a third party for the same time period, your return on the ETNs
may be less than your return on an investment in a different instrument linked to the performance of the Index where you used funds borrowed on more favorable terms from the third party to leverage your investment in such instrument.
You Will Not Benefit from Any Increase in the Level of the Index If Such Increase Is Not Reflected in the Level of the Index on the Applicable
Valuation Date
If the Index does not increase by an amount sufficient to offset the effect of the daily investor fee, any rebalancing
fees and the settlement charge between the initial valuation date and the applicable valuation date (including the final valuation date), we will pay you less than the principal amount of your ETNs at maturity or upon redemption or an automatic
termination event. This will be true even if the level of the Index as of some date or dates prior to the applicable valuation date would have been sufficiently high to provide the ETNs with a valuation equal to or greater than the principal amount
of the ETNs.
Changes in Our Credit Ratings May Affect the Market Value of Your ETNs
The ETNs are senior, unsecured debt obligations of the Issuer, Barclays Bank PLC, and are not, either directly or indirectly, an obligation of any third
party or guaranteed by any third party. Any payment on the ETNs, including any payment at maturity or upon redemption or an automatic termination event, is subject to the creditworthiness of the Issuer. Our credit ratings are an assessment of our
ability to pay our obligations, including those on the ETNs. Consequently, actual or anticipated changes in our credit ratings may affect the market value of your ETNs. However, because the return on your ETNs is dependent upon certain factors in
addition to our ability to pay our obligations on your ETNs, an improvement in our credit ratings will not reduce the other investment risks related to your ETNs.
You Will Not Receive Interest Payments on the ETNs
You will not receive any periodic
interest payments on your ETNs. Your ETNs will be paid in cash, and you will have no right to receive delivery of any equity securities.
Risks Relating to the Index
An Investment in the ETNs Will Be Subject to Risks
Associated with Non-U.S. Securities Markets
The Index Constituents have been issued by non-U.S. companies. Investments in securities
linked to the values of such Index Constituents involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, and
generally, non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies.
PS-19
The prices of such Index Constituents may be affected by political, economic, financial and social factors
in such markets, including changes in a countrys government, economic and fiscal policies, currency exchange laws and other foreign laws or restrictions. Moreover, the economies in such countries may differ favorably or unfavorably from the
economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. Such countries may be subjected to different and, in some cases, more adverse economic
environments. In particular, the Index Constituents are issued by companies located in Europe. Certain countries and markets in Europe are and have been undergoing severe financial stress, and the political, legal and regulatory ramifications are
impossible to predict.
Some or all of the foregoing factors may influence the closing levels of the Index. The impact of any of the factors
set forth above may enhance or offset some or all of any change resulting from another factor or factors. You cannot predict the future performance of the Index based on their historical performance. The value of the Index may decrease such that you
may not receive any return of your investment. There can be no assurance that the closing levels of the Index will not decrease, or will not increase sufficiently, so that at maturity or upon redemption or an automatic termination event you will not
lose some or all of your investment.
An Investment in the ETNs Will Be Subject to Currency Exchange Risk
Because the prices of the Index Constituents are converted into U.S. dollars for the purposes of calculating the value of the Index, the holders of the
ETNs will be exposed to currency exchange rate risk with respect to each of the currencies in which such Index Constituents trade. An investors net exposure will depend on the extent to which such currencies strengthen or weaken against the
U.S. dollar and the relative weight of such Index Constituents denominated in each such currency. If, taking into account such weighting, the U.S. dollar strengthens against such currencies, the value of the Index will be adversely affected and the
payment at maturity or upon redemption or an automatic termination event of the ETNs may be reduced.
Of particular importance to potential
currency exchange risk are:
|
|
|
existing and expected rates of inflation;
|
|
|
|
existing and expected interest rate levels;
|
|
|
|
the balance of payments; and
|
|
|
|
the extent of governmental surpluses or deficits in the component countries and the United States.
|
All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various component countries and the
United States and other countries important to international trade and finance.
Changes in the Volatility of Exchange Rates, and the
Correlation Between Those Rates and the Value of the Index are Likely To Affect the Market Value of the ETNs
The exchange rate between
the U.S. dollar and each of the currencies in which the Index Constituents are denominated refers to a foreign exchange spot rate that measures the relative values of two currenciesthe particular currency in which an Index Constituent is
denominated and the U.S. dollar. This exchange rate reflects the amount of the particular currency in which such Index Constituent is denominated that can be purchased for one U.S. dollar and thus increases when the U.S. dollar appreciates relative
to the particular currency in which such Index Constituent is denominated. The volatility of the exchange rate between the U.S. dollar and each of the currencies in which the such Index Constituents are denominated refers to the size and frequency
of changes in that exchange rate.
Because the Index is calculated, in part, by converting the closing prices of such Index Constituents into
U.S. dollars, the volatility of the exchange rate between the U.S. dollar and each of the currencies in which such Index Constituents are denominated could affect the market value of the ETNs and the payment you receive at maturity or upon
redemption or an automatic termination event.
The correlation of the exchange rate between the U.S. dollar and each of the currencies in
which such Index Constituents are denominated and the value of the Index refers to the relationship between the percentage changes in that exchange rate and the percentage changes in the value of the Index. The direction of the correlation (whether
positive or negative) and the extent of the correlation between the percentage changes in the exchange rate between the U.S.
PS-20
dollar and each of the currencies in which such Index Constituents are denominated and the percentage changes in the value of the Index could affect the value of your ETNs and the payment you
receive at maturity or upon redemption or an automatic termination event.
The ETNs Will Be Subject to Significant Movements in Underlying
Foreign Exchange and Equity Markets Outside of the Hours During Which the ETNs are Traded on NYSE Arca
The equity markets on which the
Index Constituents are traded are located in Europe and, therefore, are open for trading in different time zones than that of NYSE Arca. Significant price and currency exchange rate movements may take place in the underlying foreign exchange and
equity markets during hours when the ETNs are not traded on NYSE Arca, and those movements may be reflected in the market value of the ETNs when trading of the ETNs commences on NYSE Arca.
Historical Levels of the Index Should Not Be Taken as an Indication of the Future Performance of the Index During the Term of the ETNs
It is impossible to predict whether the Index will rise or fall. The actual performance of the Index over the term of the ETNs, as well as the amount payable at maturity or upon redemption, may bear
little relation to the historical level of the Index.
Risks Relating to Liquidity and the Secondary Market
The Estimated Value of the ETNs Is Not a Prediction of the Prices at Which the ETNs May Trade in the Secondary Market, If Any Such Market Exists, and
Such Secondary Market Prices, If Any, May Be Lower Than the Principal Amount of the ETNs and May Be Lower Than Such Estimated Value of the ETNs
The estimated value of the ETNs will not be a prediction of the prices at which the ETNs may be redeemed or at which the ETNs may trade in secondary market transactions, if any such market exists,
including on NYSE Arca. The price at which you may be able to sell the ETNs in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions, and any bid and ask spread for similar sized
trades, and may be substantially less than our estimated value of the ETNs at the time of pricing as of the inception date. For more information regarding additional factors that may influence the market value of the ETNs, please see the risk factor
The Market Value of the ETNs May Be Influenced by Many Unpredictable Factors.
There May Not Be an Active Trading Market in the
ETNs; Sales in the Secondary Market May Result in Significant Losses
Although we plan to apply to list the ETNs on NYSE Arca, we cannot
guarantee that such application will be approved, and a trading market for the ETNs may not exist at any time. Even if there is a secondary market for the ETNs, whether as a result of any listing of the ETNs or on an over-the-counter basis, it may
not provide enough liquidity to trade or sell your ETNs easily. In addition, although certain affiliates of Barclays Bank PLC may engage in limited purchase and resale transactions in the ETNs, they are not required to do so, and if they decide to
engage in such transactions, they may stop at any time. We are not required to maintain any listing of the ETNs on any securities exchange and may cause the ETNs to be de-listed at our discretion.
The Liquidity of the Market for the ETNs May Vary Materially Over Time
As stated on the cover of this pricing supplement, we sold a portion of the ETNs on the inception date, and the remainder of the ETNs will be offered and sold from time to time through Barclays Capital
Inc., our affiliate, as agent. Also, the number of ETNs outstanding or held by persons other than our affiliates could be reduced at any time due to holder redemptions of the ETNs. Accordingly, the liquidity of the market for the ETNs could vary
materially over the term of the ETNs. While you may elect to redeem your ETNs prior to maturity, holder redemption is subject to the conditions and procedures described elsewhere in this pricing supplement, including the condition that you must
redeem at least 10,000 ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date.
There Are Restrictions
on the Minimum Number of ETNs You May Redeem and on the Dates on Which You May Redeem Them
You must redeem at least 10,000 ETNs at one
time in order to exercise your right to redeem your ETNs on a redemption date. You may only redeem your ETNs on a redemption date if we receive a notice of redemption from you by no later than 4:00 p.m., New York City time, and a
PS-21
confirmation of redemption by no later than 5:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we do not receive your notice of redemption by
4:00 p.m., New York City time, or your confirmation of redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your ETNs on the
applicable redemption date. Your notice of redemption and confirmation of redemption will not be effective until we confirm receipt. Additionally, if an automatic termination event occurs after we receive your notice of redemption but prior to the
close of business on the applicable valuation date, your notice of redemption will be deemed ineffective and we will automatically redeem your ETNs on the relevant redemption date at an amount equal to the automatic redemption value. See
Specific Terms of the ETNsHolder Redemption Procedures in this pricing supplement for more information.
The Market Value
of the ETNs May Be Influenced by Many Unpredictable Factors
The market value of your ETNs may fluctuate between the date you purchase
them and the applicable valuation date. You may also sustain a significant loss if you sell your ETNs in the secondary market. We expect that generally the value of the Index Constituents will affect the market value of the ETNs more than any other
factors. Several other factors, many of which are beyond our control, will influence the market value of the ETNs. Factors that may influence the market value of the ETNs include:
|
|
prevailing market prices and forward volatility levels of the stock markets on which the Index Constituents are listed or traded, the Index
Constituents, and prevailing market prices of options on the Index or any other financial instruments related to the Index;
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supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker;
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the time remaining to the maturity of the ETNs;
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economic, financial, political, regulatory, geographical or judicial events that affect the level of the Index or the market price or forward
volatility of the stock markets on which the Index Constituents are listed or traded, the Index Constituents, and the Index;
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the perceived creditworthiness of Barclays Bank PLC;
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supply and demand in the listed and over-the-counter equity derivative markets; or
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supply and demand as well as hedging activities in the equity-linked structured product markets.
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These factors interrelate in complex ways, and the effect of one factor on the market value of your ETNs may offset or enhance the effect of another
factor.
Risks Relating to Conflicts of Interest and Hedging
There Are Potential Conflicts of Interest Between You and the Calculation Agent
Initially, Barclays Bank PLC serves as the calculation agent. The calculation agent will, among other things, decide the amount of the return paid out to
you on your ETNs at maturity or upon redemption or an automatic termination event. For a more detailed description of the calculation agents role, see Specific Terms of the ETNsRole of Calculation Agent in this pricing
supplement.
If the index sponsor were to discontinue or suspend calculation or publication of the Index, it may become difficult to determine
the market value of the ETNs. If events such as these occur, or if the level of the Index is not available or cannot be calculated for any reason, the calculation agent may be required to make a good faith estimate in its sole discretion of the
level of the Index or to postpone the relevant valuation date or the maturity date. The calculation agent will exercise its judgment when performing its functions. Since determinations by the calculation agent may affect the market value of the
ETNs, the calculation agent may have a conflict of interest if it needs to make any such determination.
The Policies of the Index Sponsor
and Changes That Affect the Composition and Valuation of the Index Could Affect the Amount Payable on Your ETNs and Their Market Value
The policies of the index sponsor concerning the calculation of the level of the Index and any additions, deletions or substitutions of equity
PS-22
securities and the manner in which changes affecting the equity securities are reflected in the Index, could affect the level of the Index and, therefore, the amount payable on your ETNs at
maturity or upon redemption or an automatic termination event and the market value of your ETNs prior to maturity.
The index sponsor can add,
delete or substitute the Index Constituents or make other methodological changes that could change the level of the Index. The changing of Index Constituents may affect the Index, as a newly added equity security may perform significantly better or
worse than the Index Constituent it replaces. Additionally, the index sponsor may alter, discontinue or suspend calculation or dissemination of the Index. Any of these actions could adversely affect the value of ETNs linked to the Index. The index
sponsor has no obligation to consider your interests in calculating or revising the Index. See The Index below.
If events such as
these occur, or if the level of the Index is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may be required to make a good faith estimate in its sole discretion of the value
of the Index. The circumstances in which the calculation agent will be required to make such a determination are described more fully under Specific Terms of the ETNsMarket Disruption Events and Specific Terms of the
ETNsRole of Calculation Agent.
Barclays Bank PLC and Its Affiliates Have No Affiliation with the Index Sponsor and Are Not
Responsible for Its Public Disclosure of Information, Which May Change Over Time
We and our affiliates are not affiliated with the index
sponsor in any way and have no ability to control or predict its actions, including any errors in, or discontinuation of disclosure regarding methods or policies relating to the calculation of the Index in its capacity as the index sponsor. The
index sponsor is not under any obligation to continue to calculate the Index or required to calculate any successor index. If the index sponsor discontinues or suspends the calculation of the Index, it may become difficult to determine the value of
the ETNs or the amount payable at maturity or upon redemption. The calculation agent may designate a successor index selected in its sole discretion. If the calculation agent determines in its sole discretion that no successor index comparable to
the Index exists, the amount you receive at maturity or upon redemption of the ETNs will be determined by the calculation agent in its sole discretion. See Reference AssetsIndicesAdjustments Relating to Securities with the
Reference Asset Comprised of an Index or Indices in the accompanying prospectus supplement. Substantially all disclosure in this pricing supplement regarding the Index, including its make-up, method of calculation and changes in its
components, is derived from publicly available information. We have not independently verified this information. You, as an investor in the ETNs, should make your own investigation into the Index and the index sponsor. The index sponsor has no
obligation to consider your interests as a holder of the ETNs.
If a Market Disruption Event Has Occurred or Exists on a Valuation Date or
Immediately Following an Automatic Termination Event on Any Calendar Day, the Calculation Agent Can Postpone the Determination of, As Applicable, the Closing Indicative Note Value, the Automatic Redemption Value or the Maturity Date or a Redemption
Date
The determination of the value of the ETNs on a valuation date, including the final valuation date, may be postponed if the
calculation agent determines that a market disruption event has occurred or is continuing on such valuation date. In no event, however, will a valuation date be postponed by more than five trading days. As a result, the maturity date or a redemption
date for the ETNs could also be postponed, although not by more than five trading days. If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is continuing on such
day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole discretion of the value of the Index for such day. See Specific Terms of the ETNsMarket Disruption Events
in this pricing supplement.
Similarly, if the calculation agent is prevented from determining the automatic redemption value because a market
disruption event occurs or is continuing following the occurrence of an automatic termination event, the calculation agent may determine the automatic redemption value when the market disruption event has ceased to occur. However, if such market
disruption event is continuing on the fifth trading day after the automatic termination date, the calculation agent may make a good faith estimate in its sole discretion of the value of the Index and will determine the automatic redemption value
PS-23
prior to the close of trading on the fifth trading day. See also If the ETNs Are Automatically Redeemed Following the Occurrence of an Automatic Termination Event, You Will Not Benefit From
Any Subsequent Increase in the Level of the Index.
Trading and Other Transactions by Barclays Bank PLC or Its Affiliates in the
Index Constituents or Instruments Linked to the Index or to the Index Constituents May Also Impair the Market Value of the ETNs, Could Trigger an Automatic Termination Event and, Upon the Occurrence of an Automatic Termination Event, Could Adversely
Affect the Automatic Redemption Value of the ETNs
As described below under Use of Proceeds and Hedging in this pricing
supplement, we or one or more of our affiliates may hedge our obligations under the ETNs by purchasing or selling the Index Constituents or listed or over-the-counter options, futures, swaps or other derivative financial instruments linked to the
Index or the Index Constituents, and we may adjust these hedges by, among other things, purchasing or selling any of the foregoing. Any of these hedging activities may adversely affect the market price of those instruments and, therefore, the level
of the Index, the market value of the ETNs, the intraday indicative note value of the ETNs and/or, upon the occurrence of an automatic termination event, the automatic redemption value of the ETNs. It is possible that we or one or more of our
affiliates could receive substantial returns from these hedging activities while the market value of the ETNs declines.
We or one or more of
our affiliates may also engage in trading in Index Constituents or listed or over-the-counter options, futures, swaps or other derivative financial instruments linked to the Index or the Index Constituents on a regular basis as part of our general
broker-dealer and other businesses, for proprietary accounts, for hedging or reducing risk of loss to us or an affiliate, for other accounts under management or to facilitate transactions for customers. Any of these activities could adversely affect
the level of the Index, the market price of those instruments and, therefore, the market value of the ETNs and/or the intraday indicative note value, which could trigger the occurrence of an automatic termination event. In addition, we would expect
to continue to engage in these activities from the occurrence of an automatic termination event to the time at which the calculation agent determines the automatic redemption value, and accordingly such activities could have an adverse effect on the
automatic redemption value of the ETNs. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of any of the foregoing. By
introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the ETNs, the intraday index level and/or the intraday indicative note value of the ETNs, which could
trigger the occurrence of an automatic termination event.
With respect to any of the activities described above, neither Barclays Bank PLC
nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time. See Our Business Activities May Create Conflicts of Interest below for more details.
Our Business Activities May Create Conflicts of Interest
We and our affiliates expect to play a variety of roles in connection with the issuance of the ETNs. As noted above, we and our affiliates expect to engage in trading activities related to the Index
Constituents, futures or options on the Index or the Index Constituents, or other derivative instruments with returns linked to the performance of the Index or Index Constituents that are not for the account of holders of the ETNs or on their
behalf. These trading activities may present a conflict between the holders interest in the ETNs and the interests that we and our affiliates will have in our and our affiliates proprietary accounts, in facilitating transactions,
including options and other derivatives transactions, for our and our affiliates customers and in accounts under our and our affiliates management. These trading activities, if they influence the value of the Index, could be adverse to
the interests of the holders of the ETNs. Moreover, we and our affiliates have published and in the future expect to publish research reports with respect to some or all of the Index Constituents and equity securities generally. This research is
modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the ETNs. The research should not be viewed as a recommendation or endorsement of the ETNs in any way and
investors must make their own independent investigation of the merits of this investment. Any of these activities by us,
PS-24
Barclays Capital Inc. or our other affiliates may affect the market price of the Index Constituents and the level of the Index and, therefore, the market value of the ETNs. With respect to any of
the activities described above, neither Barclays Bank PLC nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
The Tax Consequences Are Uncertain
The U.S. federal income tax treatment of the ETNs is
uncertain and the Internal Revenue Service could assert that the ETNs should be taxed in a manner that is different than described in this pricing supplement. As discussed further below, 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 ETNs and whether all or part of the gain you may recognize upon
the sale, redemption or maturity of an instrument such as the ETNs could 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 ETNs (and while any such guidance may be issued on a prospective
basis only), such guidance could be applied retroactively and could in any case increase the likelihood that you will be required to accrue income over the term of an instrument such as the ETNs even though you will not receive any payments with
respect to the ETNs until redemption or maturity. The outcome of this process is uncertain. Similarly, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as the ETNs after the
bill was enacted to accrue interest income on a current basis. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your ETNs.
Moreover, it is possible that the Internal Revenue Service could seek to tax your ETNs by reference to your deemed ownership of the underlying assets
that comprise the Index. In such case, you could be required to recognize ordinary income in respect of the dividends that you would have received had you made an actual leveraged investment in the underlying components of the Index, and could be
required to recognize capital gain or loss, at least a portion of which could be short-term capital gain or loss, in respect of a portion of your ETNs at any time when an adjustment is made to the notional investment tracked by your ETNs (including
a rebalancing event). Under this alternative treatment, the amount you realize upon the sale, redemption or maturity of your ETNs would not be reduced by the notional interest that you would be deemed to pay on the ETNs. Although you may be entitled
to deduct some or all of such notional interest as investment interest under this characterization of the ETNs, the deductibility of investment interest is subject to limitations. Even if you are not treated as the owner of a leveraged investment in
the underlying components of the Index, it is possible that you could be required to include the dividends that you would have received had you made a leveraged investment in the underlying components of the Index as items of ordinary income, either
upon the sale, redemption or maturity of the ETNs or over the term of your ETNs, even though you will not receive any payments from us until the redemption or maturity of your ETNs.
For a discussion of the U.S. federal income tax treatment applicable to your ETNs as well as other potential alternative characterizations for your ETNs, please see the discussion under Material
U.S. Federal Income Tax Considerations below. You should consult your tax advisor as to the possible alternative treatments in respect of the ETNs.
THE INDEX
Except as otherwise noted, all
information regarding the STOXX Europe 50
®
USD (Gross Return) Index (the
STOXX Europe 50
®
Index
or the
Index
) set forth in this pricing supplement reflects the policies of, and
is subject to change by, STOXX Limited (
STOXX
or the
index sponsor
), a company owned by Deutsche Börse AG and SIX Group AG. The Index is calculated, maintained and published by STOXX. The Index is reported
by Bloomberg under the ticker symbol SX5PGV <Index>. It is also published in The Wall Street Journal and disseminated on the STOXX website, www.stoxx.com. The Index is derived from the STOXX Europe 600 Index (the
Parent
Index
), which is further subdivided into 19 STOXX Regional Total Market Index (TMI) Supersector Indices (the
Supersector Indices
).
PS-25
The Index is composed of 50 European blue-chip companies from within the Parent Index (the
Index
Constituents
). The Parent Index contains the 600 largest stocks traded on the major exchanges of 18 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Luxembourg, the Netherlands,
Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. Stocks are organized into the following 19 Supersector Indices according to the ICB industry classification: automobiles & parts; banks; basic resources; chemicals;
construction & materials; financial services; food & beverage; health care; industrial goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology;
telecommunications; travel & leisure; and utilities.
Publication of the Index was introduced on March 27, 2012, with a base value of
1,000 as of December 29, 2000.
The information in this section is intended to be a summary of the significant features of the Index and
is not a complete description. For a detailed explanation of the methodology underlying the Index and other information about how the Index is maintained, see the STOXX Index Methodology Guide (Portfolio Based Indices), which is
available at http://www.stoxx.com. In connection with any offering of the ETNs, neither we nor any of our agents or dealers have participated in the preparation of the information describing the Index or the Index Constituents nor have we or they
made any due diligence inquiry with respect to the index sponsor. Neither we nor any of our agents or dealers makes any representation or warranty as to the accuracy or completeness of such information or any other publicly available information
regarding the Index or the index sponsor.
You, as an investor in the ETNs, should make your own investigation into the Index, the Index
Constituents and the index sponsor. The index sponsor is not involved in any offer of ETNs in any way and has no obligation to consider your interests as a holder of the ETNs. The index sponsor has no obligation to continue to publish the Index and
may discontinue or suspend publication of the Index at any time in its sole discretion.
Historical performance of the Index is not an
indication of future performance. Future performance of the Index may differ significantly from historical performance, either positively or negatively.
Information contained on the websites mentioned in this section is not incorporated by reference in, and should not be considered part of, this pricing supplement or the accompanying prospectus supplement
and prospectus.
Composition of the Index
The Index is compiled and calculated as follows. It is calculated using the Laspeyres formula, which measures price changes against a fixed base quantity weight. The Index is weighted by
free-float market capitalization. Each Index Constituents weight is capped at 10% of the Indexs total free-float market capitalization. The weighting cap factors are published on Wednesday two trading days prior to quarterly review
implementation using Tuesdays closing prices. Free-float weights are reviewed quarterly and the Index Constituents are reviewed annually in September. The review cut-off date is the last trading day of August.
Step 1:
Within each of the 19 Supersector Indices, the component stocks are ranked by free-float market capitalization. The largest stocks
are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding Supersector Index. If the next-ranked stock brings the coverage closer to 60% in absolute terms,
then it is also added to the selection list. Any remaining stocks that are current Index Constituents are added to the selection list.
Step 2:
The stocks on the selection list are ranked by free-float market capitalization. In exceptional cases, the STOXX management board
can add stocks to and remove them from the selection list.
Step 3:
The largest 40 stocks on the selection list are chosen as
Index Constituents. Any remaining current Index Constituents ranked by size between 41 and 60 on the selection list are added as Index Constituents. If the number of stocks selected is still below 50, then the largest remaining stocks on the
selection list are added until the Index contains 50 Index Constituents.
PS-26
The Index has an index divisor, which is adjusted to maintain the continuity of the Indexs value
across changes due to corporate actions such as:
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the issuance of dividends;
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the occurrence of stock splits;
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the stock repurchase by the issuer; and
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The Index
is a gross return index, which means that that the level of the Index reflects both price performance and dividends. The amount of any dividends is fully reinvested in the Index as a gross amount, without any deduction for withholding
taxes.
Historical Performance of the Index
The following table and graph illustrate the performance of the Index since December 29, 2000. The Index was launched on March 27, 2012 and the base date for the Index is December 29, 2000.
All data relating to the period prior to the launch date of the Index is an historical estimate by the index sponsor using available data as to how the Index may have performed in the pre-launch date period had the index sponsor begun calculating
the Index on the base date of the Index using the methodology it currently uses. Such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table and graph
illustrate:
1.
|
on a hypothetical basis, how the Index would have performed from December 29, 2000 to and excluding March 27, 2012 based on the selection criteria and
methodology described above; and
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2.
|
on an actual basis, how the Index has performed from and including March 27, 2012 onwards.
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Date
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Level of the Index
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December 29, 2000
|
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1,000.00
|
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December 28, 2001
|
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779.96
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December 30, 2002
|
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615.52
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December 31, 2003
|
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845.42
|
|
December 31, 2004
|
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980.22
|
|
December 30, 2005
|
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1,061.17
|
|
December 29, 2006
|
|
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1,353.12
|
|
December 31, 2007
|
|
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1,546.97
|
|
December 31, 2008
|
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870.41
|
|
December 31, 2009
|
|
|
1,165.26
|
|
December 31, 2010
|
|
|
1,130.87
|
|
December 30, 2011
|
|
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1,045.75
|
|
December 31, 2012
|
|
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1,208.77
|
|
May 16, 2013
|
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1,324.42
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-27
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PS-28
License Agreement
We have entered into a non-exclusive license agreement with STOXX whereby we, in exchange for a fee, are permitted to use the Index in connection with certain securities, including the ETNs. We are not
affiliated with STOXX; the only relationship between STOXX and us is any licensing of the use of STOXXs indices and the trademarks relating to them.
The license agreement between STOXX and us provides that the following language must be set forth herein (references to the securities are references to the ETNs):
STOXX and its licensors (the
Licensors
) have no relationship to Barclays Bank PLC, other than the licensing
of the STOXX Europe 50
®
Index and the related trademarks for use in connection with the securities.
STOXX and its Licensors do
not
:
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Sponsor, endorse, sell or promote the securities.
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Recommend that any person invest in the securities or any other securities.
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Have any responsibility or liability for or make any decisions about the timing, amount or pricing of securities.
|
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Have any responsibility or liability for the administration, management or marketing of the securities.
|
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|
Consider the needs of the securities or the owners of the securities in determining, composing or calculating the STOXX Europe 50
®
Index or have any obligation to do so.
|
STOXX and its Licensors will not have any liability in connection with the securities. Specifically,
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STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:
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The results to be obtained by the securities, the owner of the securities or any other person in connection with the use of the STOXX Europe 50
®
Index and the data included in the STOXX Europe 50
®
Index;
|
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The accuracy or completeness of the STOXX Europe 50
®
Index and its data;
|
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The merchantability and the fitness for a particular purpose or use of the STOXX Europe 50
®
Index and its data;
|
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|
STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the STOXX Europe 50
®
Index or its data;
|
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Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses,
even if STOXX or its Licensors knows that they might occur.
|
The licensing agreement between Barclays Bank PLC
and STOXX is solely for their benefit and not for the benefit of the owners of the securities or any other third parties.
Modifications to the Index or the Parent Index
The index sponsor may revise the method of
calculating the Index, the Parent Index or other matters as described above. The effect of any such changes is described below under Specific Terms of the ETNsDiscontinuance or Modification of the Index. The index sponsor or the
calculation agent may also make determinations relating to market disruption and force majeure events as described below.
If the index
sponsor determines, in its sole discretion, that an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, the index sponsor will calculate the level of the Index
or the Parent Index based on the closing prices published by the exchange or, if no closing price is available, the last regular trade reported for each stock before the exchange closed. In all cases, the prices will be from the primary exchange for
each stock in the Index or the Parent Index. If an exchange fails to open due to unforeseen circumstances, the Index or the Parent Index will use the prior days closing prices. If all exchanges fail to open, the index sponsor may determine not
to publish the Index or the Parent Index for that day.
PS-29
VALUATION OF THE ETNs
The market value of the ETNs will be affected by several factors, many of which are beyond our control. Factors that may influence the market value of
the ETNs include, but are not limited to, prevailing market prices and forward volatility levels of the stock markets on which the Index Constituents are traded, the Index Constituents, and prevailing market prices of options on the Index, the Index
Constituents or any other financial instruments related to the Index; supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker; the time remaining to the maturity of the ETNs; interest rates;
economic, financial, political, regulatory, geographical or judicial events that affect the level of the Index or the market price or forward volatility of the stock markets on which the Index Constituents are traded, the Index Constituents, and the
Index; the perceived creditworthiness of Barclays Bank PLC; supply and demand in the listed and over-the-counter equity derivative markets; or supply and demand as well as hedging activities in the equity-linked structured product markets. See
Risk Factors in this pricing supplement for a discussion of the factors that may influence the market value of the ETNs prior to maturity.
Intraday Indicative Note Value
An intraday indicative note value meant to
approximate the intrinsic economic value of the ETNs will be calculated by NYSE Arca or a successor on an ongoing basis from the initial valuation date to the final valuation date. During the hours on which trading is generally conducted on NYSE
Arca, NYSE Arca or a successor will calculate and publish the intraday indicative note value every 15 seconds via the facilities of the Consolidated Tape Association. The ticker symbols for the intraday indicative note value of the ETNs is
FEEU.IV.
In connection with the ETNs, we use the term intraday indicative note value to refer to the value, per ETN,
at any point in time until maturity or redemption of the ETNs as determined based on the following equation:
Intraday Indicative Note
Value = Intraday Long Index AmountFinancing Level as of the valuation date immediately preceding the beginning of the relevant index business day;
provided
that if such calculation results in a negative value, the Intraday
Indicative Note Value will be $0;
where:
Intraday Long Index Amount = For each ETN at any time during an index business day, the product of (a) the long index amount on the valuation date immediately preceding the beginning of such index
business day
times
(b) the intraday index performance factor at such time.
Intraday Index Performance Factor = At any time during
an index business day, (a) the intraday index level at such time
divided by
(b) the closing level of the Index on the valuation date immediately preceding the beginning of such index business day.
Financing Level = The financing level of the ETNs as described in this pricing supplement.
The intraday indicative note value is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or termination of your ETNs, nor will it reflect hedging or
transaction costs, credit considerations, market liquidity or bid-offer spreads. Furthermore, as the intraday indicative note value is calculated using the financing level as of the close of the immediately preceding trading day, the intraday
indicative note value calculated at any given time will not reflect the daily investor fee or any rebalancing fee that may have accrued over the course of the trading day on which such intraday indicative note value is calculated, nor any applicable
settlement charge. Published Index levels from the index sponsor may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current level of the Index and therefore the intraday indicative note value
for the ETNs. The actual trading price of the ETNs may be different from their intraday indicative note value.
As discussed in
Specific Terms of the ETNsPayment Upon Holder Redemption Or Issuer Redemption, you may, subject to certain restrictions, choose to redeem your ETNs on any redemption date during the term of the ETNs. If you redeem your ETNs on a
particular redemption date, you will receive a cash payment on such date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. You must redeem at least 10,000 ETNs at one time in order
to exercise your right to redeem your ETNs on any redemption date. The holder redemption feature is intended to induce arbitrageurs to counteract any trading of the ETNs at a discount to their closing indicative note value, though there can be no
assurance that arbitrageurs will employ the redemption feature in this manner.
PS-30
Intraday Leverage Factor
The ETNs are designed to target a multiple equal to the initial leverage factor of two times the performance of the Index over the term of the ETNs, less the accrued investor fee, any applicable
rebalancing fees and settlement charges. This target is achieved by linking the payment upon maturity or redemption for the ETNs to the value of a notional leveraged long position in the Index at a multiple equal to the initial leverage
factor of two. Specifically, this leveraged long position is reflected in the calculation of the long index amount, which on the initial valuation date is equal to the principal amount per ETN
multiplied by
the initial
leverage factor. However, as the exposure of the ETNs to the Index will not be reset during the term of the ETNs except upon the occurrence of a rebalancing event, there is likely to be a fluctuating ratio of (1) the then current value of the
notional exposure per ETN to the performance of the Index (i.e., as reflected by the intraday long index amount)
relative to
(2) the then current intraday indicative note value per ETN (which takes into account both the intraday long
index amount and the financing level). Therefore, the daily or intraday return on your ETNs will reflect a variable multiple of the daily or intraday return on the performance of the Index that is equal to the ratio of the intraday long index amount
relative to the intraday indicative note value. See Risk FactorsThe Ratio Between the Value of Your ETNs and the Notional Exposure to the Index Will Fluctuate During the Term of Your ETNs in this pricing supplement for more
information.
The intraday leverage factor of the ETNs, which is intended to approximate the ratio of (1) the value of the
notional exposure per ETN to the performance of the Index
relative to
(2) the value of each ETN, will be calculated and published every 15 seconds by NYSE Arca or a successor during the hours on which trading is generally conducted on
NYSE Arca. The ticker symbol for the intraday leverage factor of the ETNs is FEEU.LF.
The ETNs also include a rebalancing feature
that will have the effect of reducing the ratio of (1) the value of the notional exposure per ETN to the performance of the Index
relative to
(2) the value of each ETN if a rebalancing event occurs, meaning that, on any valuation
date, the intraday index level is less than or equal to the rebalancing trigger calculated on the immediately preceding valuation date. This feature acts to reset the leveraged exposure to the Index to approximately 2.0 on the relevant rebalancing
date (without accounting for changes in the Index level on the rebalancing date).
The intraday leverage factor for the ETNs will
be calculated according to the following equation:
Intraday Leverage Factor = Intraday Long Index Amount / Intraday Indicative Note Value.
By calculating the intraday leverage factor in this manner, the intraday leverage factor also serves to approximate the variable multiple of
returns in the Index performance that will be reflected in the value of the ETNs on any given day.
The following are two hypothetical
examples of intraday leverage factor calculations:
Example 1:
Assuming an initial leverage factor of 2, a principal amount of $100, an
intraday index performance factor of 1.10 and a financing level of $105.00:
Intraday Long Index Amount: 2 × $100.00 × 1.10 =
$220.00
Intraday Indicative Note Value: $220.00 - $105.00 = $115.00
Therefore, the intraday leverage factor equals 1.91, which is $220.00 / $115.00.
Example 2:
Assuming an initial leverage factor of 2, a principal amount of $100, an intraday index performance factor of 0.90 and a financing level of $105.00:
Intraday Long Index Amount: 2 ×$100.00 ×0.90 = $180.00
Intraday Indicative Note
Value: $180.00 - $105.00 = $75.00
Therefore, the intraday leverage factor equals 2.40, which is $180.00 / $75.00.
The intraday leverage factor for the ETNs will be published solely for informational purposes. It is not intended to serve as a basis for determining a
price or quotation for the ETNs, or as a basis for an offer or solicitation for the purchase, sale, redemption or termination of the ETNs.
NYSE Arca Calculations
NYSE Arca is not affiliated with Barclays Bank PLC and does not
approve, endorse, review or recommend Barclays Bank PLC or the ETNs.
The intraday indicative note value, the intraday leverage factor and
other information furnished in connection with the ETNs will be derived from sources deemed reliable, but NYSE Arca and its suppliers do not guarantee the correctness or
PS-31
completeness of the intraday indicative note value, the intraday leverage factor or other information furnished in connection with the ETNs. NYSE ARCA MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO
RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, BARCLAYS BANK PLCS CUSTOMERS, HOLDERS OF THE ETNS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INTRADAY INDICATIVE NOTE VALUE, THE INTRADAY LEVERAGE FACTOR OR ANY DATA INCLUDED THEREIN. NYSE
ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INTRADAY INDICATIVE NOTE VALUE, THE INTRADAY LEVERAGE FACTOR OR ANY DATA INCLUDED THEREIN.
NYSE Arca and its employees, subcontractors, agents, suppliers and vendors shall have no liability or responsibility, contingent or
otherwise, for any injury or damages, whether caused by the negligence of either NYSE Arca or its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the intraday indicative note value, the intraday
leverage factor or any data included therein, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. NYSE Arca shall not be responsible for or have any liability for any injuries or damages caused by
errors, inaccuracies, omissions or any other failure in, or delays or interruptions of, the intraday indicative note value, the intraday leverage factor or any data included therein, from whatever cause. NYSE Arca is not responsible for the
selection of or use of the Index or the ETNs, the accuracy and adequacy of the Index or information used by Barclays Bank PLC and the resultant output thereof.
SPECIFIC TERMS OF THE ETNs
In this section, references to
holders mean those who own the ETNs registered in their own names, on the books that we or the trustee maintain for this purpose, and not those who own beneficial interests in the ETNs registered in street name or in the ETNs issued in
book-entry form through The Depository Trust Company (
DTC
) or another depositary. Owners of beneficial interests in the ETNs should read the section entitled Description of Debt SecuritiesLegal Ownership; Form of Debt
Securities in the accompanying prospectus.
The ETNs are part of a series of debt securities entitled Global Medium-Term Notes,
Series A (the
medium-term notes
) that we may issue under the indenture, dated September 16, 2004, between Barclays Bank PLC and The Bank of New York Mellon, as trustee, from time to time. This pricing supplement
summarizes specific financial and other terms that apply to the ETNs. Terms that apply generally to all medium-term notes are described in Description of Medium-Term Notes and Terms of the Notes in the accompanying prospectus
supplement, and terms that apply generally to all index-linked notes are described in Reference AssetsIndices in the accompanying prospectus supplement. The terms described here (i.e., in this pricing supplement) supplement those
described in the accompanying prospectus, prospectus supplement and any related free writing prospectuses and, if the terms described here are inconsistent with those described in those documents, the terms described here are controlling.
Please note that the information about the price to the public and the proceeds to Barclays Bank PLC on the front cover of this pricing
supplement relates only to the initial sale of the ETNs. If you have purchased the ETNs in a market-making transaction after the initial sale, information about the price and date of sale to you will be provided in a separate confirmation of sale.
We describe the terms of the ETNs in more detail below.
Inception and Issuance
The ETNs will be first sold on
[
]
, which we refer to as the
inception date
. The ETNs are expected to be first issued on
[
]
, which
we refer to as the
issue date
, and will be due on
[
]
.
Coupon
We will not pay you interest during the term of the ETNs.
Denomination
We will
offer the ETNs in denominations of $100.
Payment at Maturity
If you hold your ETNs to maturity, you will receive a cash payment in U.S. dollars at maturity in an amount equal to (a) the closing indicative note value on the final valuation date
minus
(b) the settlement charge on the final valuation date.
PS-32
The
closing indicative note value
per ETN on the initial valuation date will equal $100.
The closing indicative note value for each ETN on any subsequent valuation date will equal (a) the long index amount on such valuation date
minus
(b) the financing level on such valuation date,
provided
that if such
calculation results in a negative value, the closing indicative note value will be $0. The closing indicative note value will be published on each valuation date under the ticker symbol FEEU.RDNV.
The
long index amount
per ETN on the initial valuation date will equal $200, which is equal to the initial leverage factor of 2
times
the principal amount per ETN. On any subsequent valuation date, the long index amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date
times
(b) the index
performance factor on such valuation date
minus
(c) the rebalancing amount on such valuation date. The long index amount will be published on each valuation date under the ticker symbol FEEU.LIA.
The
initial leverage factor
will equal 2.
The
leverage factor
per ETN on any valuation date will equal (i) the long index amount on such valuation date
divided by
(ii) closing indicative note value on such
valuation date. The leverage factor will be published under the ticker symbol FEEU.LF.
The
index performance
factor
per ETN on the initial valuation date will equal 1. On any subsequent valuation date, the index performance factor will equal (a) the closing level of the Index on such valuation date
divided by
(b) the closing
level of the Index on the immediately preceding valuation date.
The
financing level
for each ETN on the initial valuation
date will equal $100. On any subsequent valuation date, the financing level for each ETN will equal (a) the financing level on the immediately preceding valuation date
plus
(b) the daily investor fee on such valuation date
plus
(c) the rebalancing fee on such valuation date
minus
(d) the rebalancing amount on such valuation date. The financing level will be published on each valuation date under the ticker symbol FEEU.FL.
The
daily investor fee
per ETN on the initial valuation date will equal $0. On any subsequent valuation date, the daily
investor fee for each ETN will equal (a) the sum of (i) the product of (1) the long index amount on the immediately preceding valuation date
times
(2) the exposure fee rate
plus
(ii) 0.05%
times
the
closing indicative note value on the immediately preceding valuation date
times
(b) the number of calendar days from, but excluding, the immediately preceding valuation date to, and including, the current valuation date
divided by
(c) 360.
The
exposure fee rate
per ETN will equal the sum of (a) 0.76% plus (b) the 3-month LIBOR rate (as
hereinafter defined) effective on the relevant valuation date. For purposes of the ETNs,
3-month LIBOR rate
shall mean the rate for deposits in U.S. dollars for a period of three months as of approximately 11:00 am London time on
the relevant valuation date which appears on Bloomberg screen US0003M. If a three month rate for deposits in U.S. dollars ceases to be published on Bloomberg screen US0003M, but the same or a comparable successor rate shall
otherwise be published by the British Bankers Association or another benchmark administrator authorized and regulated by the U.K. Financial Conduct Authority (a
successor rate
), then the 3-month LIBOR rate shall be such successor
rate. If no such successor rate is published, or the calculation agent determines, in its sole discretion, that the successor rate is not comparable to the 3-month LIBOR rate as in effect on the inception date, then the calculation agent shall
determine the 3-month LIBOR rate using the methodology provided for in relation to USDLIBORReference Banks in the accompanying Prospectus Supplement. If, notwithstanding the foregoing, the 3-month LIBOR rate is not available
for the relevant valuation date, the most recent 3-month LIBOR rate available as of the immediately preceding valuation date shall be used.
The
settlement charge
is a charge imposed upon holder redemption and the payment at maturity, and is equal to 0.05% times the long
index amount on the applicable valuation date. In addition, upon any holder redemption of more than 100,000 ETNs at one time with a redemption date on or prior to the date that is 360 calendar days from the inception date, the settlement charge will
include,
in addition to the amount specified in the preceding sentence
, an amount equal to (a) 0.05%
times
(b) the long index amount on the applicable valuation date
times
(c) (i) 360
minus
the number
of calendar days from, and including, the inception date to, and including, the applicable valuation date
divided by
(ii) 360. The settlement charge is intended to allow us to recoup the brokerage and other transaction costs that we will
incur in connection with making a payment on the ETNs. The proceeds we receive from the settlement charge may be more or less than such costs.
PS-33
A
business day
means a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a
day on which banking institutions in New York City or London, as applicable, generally are authorized or obligated by law, regulation, or executive order to close.
A
valuation date
means each trading day from
[
]
to
[
]
, subject to postponement as a result of market disruption events, such postponement not to exceed five trading days. We refer to
[
]
as the
initial valuation date
and
[
]
as the
final valuation
date
.
A
trading day
with respect to the ETNs means a day on which (a) it is an index business day,
(b) trading is generally conducted on NYSE Arca, and (c) is a business day in New York City.
An
index business
day
means each continuous period during which the index sponsor publishes an intraday index level. As of the date of this pricing supplement, an index business day typically begins at 3:00 a.m. New York City time and ends at 11:35 a.m. New
York City time on a particular calendar date, without adjustment for daylight savings time in any jurisdiction. The specific hours on which an index business day begins and ends may be subject to adjustment if the Index Exchanges included in the
Index change.
An
Index Exchange
means each exchange on which any of the Index Constituents are traded.
Maturity Date
If the
maturity date stated on the cover of this pricing supplement is not a business day, the maturity date will be the next following business day. If the fifth business day before this day does not qualify as a valuation date (as described above), then
the maturity date will be the fifth business day following the final valuation date. The calculation agent may postpone the final valuation dateand therefore the maturity dateif a market disruption event occurs or is continuing on a day
that would otherwise be the final valuation date.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty
interest will not accrue or be payable with respect to that deferred payment.
Index Exposure Rebalancing
A
rebalancing event
will occur if, on any valuation date, between the hours of 9:30 a.m. and 4:00 p.m. New York City time, the
intraday index level is less than or equal to the rebalancing trigger calculated on the immediately preceding valuation date.
The
intraday index level
is the most recent intraday level of the Index reported by the index sponsor.
The
rebalancing trigger
on any valuation date will equal (a) 1.6
times
(b) the closing level of the Index on such valuation date
times
(c) the financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The rebalancing trigger will be published under the ticker symbol FEEU.RT.
A
rebalancing event date
means any valuation date on which a rebalancing event occurs.
A
rebalancing date
is the first valuation date immediately following a rebalancing event date on which all the Index Exchanges are
open for trading.
The
rebalancing amount
for each ETN on any valuation date that is not a rebalancing date will be equal
to zero. On any valuation date that is a rebalancing date, the rebalancing amount for each ETN will equal the product of (a) the long index amount on the immediately preceding valuation date
times
(b) the index performance factor on
such valuation date
minus
(c) the product of (i) the initial leverage factor
times
(ii) the closing indicative note value on the immediately preceding valuation date.
The
rebalancing fee
for each ETN on any valuation date that is not a rebalancing date will be equal to zero. On any valuation date
that is a rebalancing date, the rebalancing fee for each ETN will be equal to the product of (a) rebalancing fee rate
multiplied by
(b) rebalancing amount on such valuation date.
The
rebalancing fee rate
will equal 0.05%.
Payment Upon Holder Redemption Or Issuer Redemption
If you or we have not previously
redeemed your ETNs, and subject to the occurrence of an intervening automatic termination event and to certain other restrictions, you may redeem your ETNs on any redemption date during the term of the ETNs. If you redeem your ETNs, you will receive
a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative note value minus the settlement charge on the applicable valuation date. You must redeem at least 10,000 ETNs at one time in order to exercise your
right to redeem your ETNs on any redemption date, or your broker or other
PS-34
financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) must bundle your ETNs for redemption with
those of other investors to reach this minimum. Notwithstanding the foregoing, if an automatic termination event, as described under Automatic Termination Event, occurs between the time at which you deliver a notice of redemption
to us and the close of business on the applicable valuation date, your notice of redemption will be deemed ineffective and your ETNs will be automatically redeemed on the relevant redemption date as described under Automatic Termination
Event.
Prior to maturity we may redeem the ETNs (in whole only, but not in part) at our sole discretion on any trading day on or after
the inception date until and including maturity. To exercise our right to redeem, we must deliver notice to the holders of the ETNs to be redeemed not less than 10 calendar days prior to the redemption date specified by us in such notice. If we
redeem ETNs, you will receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative note value on the valuation date that is three trading days prior to the redemption date specified in the notice.
A
redemption date
is:
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In the case of holder redemption, the redemption date is the third business day following each valuation date (other than the final valuation date).
The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.
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In the case of issuer redemption, the redemption date is the date specified by us in the issuer redemption notice, which will in no event be prior to
the tenth calendar day following the date on which we deliver such notice, but in any case not later than the maturity date.
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In the case of an automatic termination event, the redemption date is the fifth business day following the automatic termination date;
provided
that if calculation of the automatic redemption value is postponed as a result of a market disruption event, the redemption date will be the fifth business day after the automatic redemption value is calculated.
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Holder Redemption Procedures
You may, subject to the minimum redemption amount described above, elect to redeem your ETNs on any redemption date. To redeem your ETNs, you must instruct your broker or other person through whom you
hold your ETNs to take the following steps:
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deliver a notice of redemption, which is attached as Annex A, to us via email by no later than 4:00 p.m., New York City time, on the business day
prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of redemption, which is attached as Annex B;
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deliver the signed confirmation of redemption to us via facsimile in the specified form by 5:00 p.m., New York City time, on the same day. We or
our affiliate must acknowledge receipt in order for your confirmation to be effective;
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instruct your DTC custodian to book a delivery vs. payment trade with respect to your ETNs on the valuation date at a price per ETN equal to the
closing indicative note value on the applicable valuation date, facing Barclays DTC 5101; and
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cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable
redemption date (the third business day following the applicable valuation date).
|
Different brokerage firms may have
different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the ETNs in respect of such deadlines. If we do not receive your notice of redemption by
4:00 p.m., New York City time, or your confirmation of redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective, and we will not redeem your ETNs on the
applicable redemption date. Any redemption instructions for which we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable. Additionally, if an automatic termination event occurs
between the time at which you deliver a notice of redemption to us and the close of business on the applicable valuation date, your notice of redemption will be deemed ineffective and your ETNs will be automatically redeemed on the relevant
redemption date at an amount equal to the automatic redemption value.
PS-35
Automatic Termination Event
The ETNs will be redeemed automatically (in whole only, but not in part) if, on any index business day prior to or on the final valuation date, the intraday index level is less than or equal to the
automatic termination trigger calculated on the valuation date immediately preceding the beginning of such index business day. We will redeem your ETNs on the relevant redemption date and will deliver a notice of redemption to the Depositary Trust
Company (
DTC
) in the form attached as Annex C that will specify such date. Upon such redemption, you will receive a cash payment equal to the automatic redemption value.
The
automatic termination trigger
on any valuation date will equal (a) 1.4
times
(b) the closing level of the Index on such valuation date
times
(c) the
financing level on such valuation date
divided by
(d) the long index amount on such valuation date. The automatic termination trigger will be published under the ticker symbol FEEU.ATT.
An
automatic termination date
is any index business day on which an automatic termination event occurs.
The
automatic redemption value
will be determined by the calculation agent, in its sole discretion, acting in good faith and in a
commercially reasonable manner, using the latest publicly available quotations for the intraday prices of the relevant Index Constituents that are available as soon as practicable following the occurrence of a automatic termination event. The
calculation agent will approximate the intraday index performance factor on the basis of such quotations and calculate, in the manner described under Intraday Indicative Note Value, a corresponding intraday indicative note value, which
shall be deemed to be the automatic redemption value.
If a rebalancing event has occurred and then an automatic termination event occurs
after the occurrence of the rebalancing event but prior to the end of the trading day on the corresponding rebalancing date, then the ETNs will be automatically redeemed pursuant to the automatic termination event without giving regard to the
rebalancing event.
Market Disruption Events
If the calculation agent is prevented from determining the automatic redemption value because a market disruption event occurs or is continuing following the occurrence of an automatic termination event,
the calculation agent may determine the automatic redemption value when the market disruption event has ceased to occur. However, if such market disruption event is continuing on the fifth trading day after the automatic termination date, the
calculation agent may make a good faith estimate in its sole discretion of the value of the Index and will determine the automatic redemption value prior to the close of trading on the fifth trading day. See also If the ETNs Are Automatically
Redeemed Following the Occurrence of an Automatic Termination Event, You Will Not Benefit From Any Subsequent Increase in the Level of the Index.
Valuation dates with respect to the ETNs may be postponed and thus the determination of the Index level may be postponed if the calculation agent determines that, on the respective date, a market
disruption event has occurred or is continuing in respect of the Index. Any of the following will be a market disruption event with respect to the Index:
|
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a suspension, absence or limitation of trading in the Index Constituents constituting 20% or more, by weight, of the Index;
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a suspension, absence or limitation of trading in futures or options contracts relating to the Index on their respective markets;
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any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to (1) effect transactions in, or
obtain market values for, Index Constituents constituting 20% or more, by weight, of the Index, or (2) effect transactions in, or obtain market values for, futures or options contracts relating to the Index on their respective markets;
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the closure on any day of the primary market for futures or options contracts relating to the Index or Index Constituents constituting 20% or more, by
weight, of the Index on a scheduled trading day prior to the scheduled weekday closing time of that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier closing time is
announced by the primary market at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such primary market on such scheduled
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PS-36
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trading day for such primary market and (2) the submission deadline for orders to be entered into the relevant exchange system for execution at the close of trading on such scheduled trading
day for such primary market;
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any scheduled trading day on which (1) the primary markets for Index Constituents constituting 20% or more, by weight, of the Index or
(2) the exchanges or quotation systems, if any, on which futures or options contracts on the Index are traded, fails to open for trading during its regular trading session; or
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any other event, if the calculation agent determines that the event interferes with our ability or the ability of any of our affiliates to unwind all
or a portion of a hedge with respect to the ETNs that we or our affiliates have effected or may effect as described below under Use of Proceeds and Hedging in this pricing supplement;
|
and, in any of these events, the calculation agent determines that the event was material.
The following events will not be market disruption events:
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a limitation on the hours or number of days of trading on which any Index Constituent is traded, but only if the limitation results from an announced
change in the regular business hours of the relevant market; or
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a decision to permanently discontinue trading in futures or options contracts relating to the Index.
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For this purpose, an absence of trading on an exchange or market will not include any time when the relevant exchange or market is itself
closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in futures or options contracts related to the Index, if available, in the primary market for those contracts, by reason of any of:
|
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a price change exceeding limits set by that market,
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an imbalance of orders relating to those contracts, or
|
|
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a disparity in bid and ask quotes relating to those contracts,
|
will constitute a suspension or material limitation of trading in futures or options contracts related to the Index in the primary market for those contracts.
In addition to the market disruption events described above, a market disruption event will also occur if the index sponsor does not publish the level of
the Index on an index business day or the Index is otherwise not available.
Default Amount on Acceleration
If an event of default occurs and the maturity of the ETNs is accelerated, we will pay the default amount in respect of the principal of the ETNs at
maturity. We describe the default amount below under Default Amount.
For the purpose of determining whether the holders of
our medium-term notes, of which the ETNs are a part, are entitled to take any action under the indenture, we will treat the stated principal amount of each ETN outstanding as the principal amount of that ETN. Although the terms of the ETNs may
differ from those of the other medium-term notes, holders of specified percentages in principal amount of all medium-term notes, together in some cases with other series of our debt securities, will be able to take action affecting all the
medium-term notes, including the ETNs. This action may involve changing some of the terms that apply to the medium-term notes, accelerating the maturity of the medium-term notes after a default or waiving some of our obligations under the indenture.
We discuss these matters in the accompanying prospectus under Description of Debt SecuritiesModification and Waiver and Senior Events of Default; Subordinated Events of Default and Defaults; Limitations of
Remedies.
Default Amount
The default amount for the ETNs on any day will be an amount, determined by the calculation agent in its sole discretion, equal to the cost of having a qualified financial institution, of the kind and
selected as described below, expressly assume all our payment and other obligations with respect to the ETNs as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent
economic value to you with respect to the ETNs. That cost will equal:
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the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
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the reasonable expenses, including reasonable attorneys fees, incurred by the holders of the ETNs in preparing any documentation necessary for
this assumption or undertaking.
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PS-37
During the default quotation period for the ETNs, which we describe below, the holders of the ETNs and/or we
may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount
referred to in the first bullet point above will equal the lowestor, if there is only one, the onlyquotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the
party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two
business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.
Default Quotation Period
The default quotation period is the period beginning on the day
the default amount first becomes due and ending on the third business day after that day, unless:
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no quotation of the kind referred to above is obtained, or
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every quotation of that kind obtained is objected to within five business days after the due date as described above.
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If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which
prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior
sentence and this sentence.
In any event, if the default quotation period and the subsequent two business day objection period have not ended
before the final valuation date, then the default amount will equal the principal amount of the ETNs.
Qualified Financial Institutions
For the purpose of determining the default amount at any time, a qualified financial institution must be a financial institution organized
under the laws of any jurisdiction in the United States of America or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:
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A-1 or higher by Standard & Poors Ratings Services or any successor, or any other comparable rating then used by that rating agency, or
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P-1 or higher by Moodys Investors Service or any successor, or any other comparable rating then used by that rating agency.
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Further Issuances
We may, without your consent, create and issue additional securities having the same terms and conditions as the ETNs. We may consolidate the additional securities to form a single class with the
outstanding ETNs. If there is substantial demand for the ETNs, we may issue additional ETNs frequently.
Discontinuance or
Modification of the Index
If the index sponsor discontinues publication of the Index and any other person or entity publishes an index
that the calculation agent determines is comparable to the Index and the calculation agent approves such index as a successor index, then the calculation agent will determine the level of the Index on the applicable valuation date and the amount
payable at maturity or upon redemption by reference to such successor index.
If the calculation agent determines that the publication of the
Index is discontinued and there is no successor index, or that the closing level of the Index is not available for any reason, on the date on which the level of the Index is required to be determined, the calculation agent will determine the amount
payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the Index.
If the
calculation agent determines that the Index or the method of calculating the Index has been changed at any time in any respect, and whether the change is made by the index sponsor under its existing policies or following a modification of those
policies, is due to the publication of a successor index, or is due to any other reasonthen the calculation agent will be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are
appropriate to ensure that the level of the Index used to determine the amount payable on the maturity date is equitable.
All determinations
and adjustments to be made by the calculation agent may be made in the calculation agents sole discretion. See Risk Factors in this pricing supplement for a discussion of certain conflicts of interest which may arise with respect
to the calculation agent.
PS-38
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated by you and approved by us, or at the office of the trustee in New
York City, but only when the ETNs are surrendered to the trustee at that office. We also may make any payment or delivery in accordance with the applicable procedures of DTC.
Role of Calculation Agent
Initially, Barclays Bank PLC serves as the calculation agent.
We may change the calculation agent without notice. The calculation agent will, in its sole discretion, make all determinations regarding the value of the ETNs, including at maturity or upon redemption or redemption arising from an automatic
termination event, market disruption events, valuation dates, business days, trading days, index business days, the closing indicative note value, the long index amount, the financing level, the daily investor fee, the leverage factor, the default
amount, the maturity date, the amount payable in respect of your ETNs at maturity, upon redemption and upon the occurrence of an automatic termination event and any other calculations or determinations to be made by the calculation agent. Absent
manifest error, all determinations of the calculation agent will be final and binding on you and us, without any liability on the part of the calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result
of any of the above determinations by the calculation agent.
The calculation agent reserves the right to make adjustments to correct errors
contained in previously published information and to publish the corrected information, but is under no obligation to do so and shall have no liability in respect of any errors or omissions contained in any subsequent publication.
CLEARANCE AND SETTLEMENT
DTC participants that hold the ETNs through DTC on behalf of investors will follow the settlement practices applicable to equity securities in DTCs settlement system with respect to the primary
distribution of the ETNs and secondary market trading between DTC participants.
USE OF PROCEEDS
AND HEDGING
We will use the net proceeds we receive from the sale of the ETNs for the purposes we describe in the accompanying prospectus
supplement under Use of Proceeds and Hedging. We or our affiliates may also use those proceeds in transactions intended to hedge our obligations under the ETNs as described below.
In anticipation of the sale of the ETNs, we or our affiliates expect to enter into hedging transactions involving purchases or sales of the Index Constituents or listed or over-the-counter options,
futures, swaps or other derivative financial instruments linked to the Index and the Index Constituents. In addition, from time to time after we issue the ETNs, we or our affiliates may enter into additional hedging transactions or unwind those
hedging transactions we have entered into. In this regard, we or our affiliates may:
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acquire or dispose of long or short positions in listed or over-the-counter options, futures, or other derivative financial instruments linked to the
Index or any Index Constituents;
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acquire or dispose of long or short positions in Index Constituents; or
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any combination of the above two.
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We or our affiliates may acquire a long or short position in securities similar to the ETNs from time to time and may, in our or their sole discretion, hold or resell those securities.
Our affiliate, Barclays Capital Inc., may make a market in the ETNs. In connection with any such market making activities, Barclays Capital Inc. may
acquire long or short positions in the ETNs, including through options or other derivative financial instruments linked to the ETNs, and may hedge such long or short positions by selling or purchasing the ETNs or entering into options or other
derivative financial instruments linked to the ETNs.
We or our affiliates may close out our or their hedge positions on or before the final
valuation date, including closing out such hedge positions on or before the close of business on an automatic termination date after the occurrence of an automatic termination event. That step may involve sales or purchases of Index Constituents or
listed or over-the-counter options, futures, swaps or other derivative financial instruments linked to the Index and the Index Constituents.
The hedging activity discussed above may affect the level of the Index and, as a consequence, adversely affect the market value of the ETNs linked to
the Index from time to time and the amount payable at maturity or upon redemption. See Risk Factors in this pricing supplement for a discussion of possible adverse effects related to our hedging activities.
PS-39
MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS
The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus supplement, and is the
opinion of Sullivan & Cromwell LLP, our counsel. It applies to you only if you are a U.S. holder (as defined below) and you hold your ETNs as capital assets for tax purposes. This section does not apply to you if you are a member of a class
of holders subject to special rules, such as:
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a dealer in securities or currencies;
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a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings;
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a life insurance company;
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a tax-exempt organization;
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a regulated investment company;
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a partnership or other pass-through entity;
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a person that owns an ETN as a hedge or that is hedged against interest rate risks;
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a person that owns an ETN as part of a straddle or conversion transaction for tax purposes; or
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a U.S. holder (as defined below) whose functional currency for tax purposes is not the U.S. dollar.
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This section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the
Internal Revenue Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis.
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the ETNs in your particular circumstances, including the application of
state, local or other tax laws and the possible effects of changes in federal or other tax laws.
This section describes the tax
consequences to a U.S. holder. You are a U.S. holder if you are a beneficial owner of an ETN and you are for U.S. federal income tax purposes:
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a citizen or resident of the United States;
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a domestic corporation;
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an estate whose income is subject to U.S. federal income tax regardless of its source; or
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a trust if a U.S. court can exercise primary supervision over the trusts administration and one or more U.S. persons are authorized to control
all substantial decisions of the trust.
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In the opinion of our counsel, Sullivan & Cromwell LLP, it would be
reasonable to treat the ETNs as a pre-paid executory contract with respect to the Index. Pursuant to the terms of the ETNs, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or judicial ruling to the contrary,
to treat the ETNs for all U.S. federal income tax purposes in accordance with such characterization. If the ETNs are so treated, you should generally recognize capital gain or loss upon the sale, redemption or maturity of your ETNs in an amount
equal to the difference between the amount you receive at such time and your tax basis in the ETNs. In general, your tax basis in your ETNs will be equal to the price you paid for your ETNs. Capital gain of a noncorporate U.S. holder is generally
taxed at preferential rates in cases where the holder has a holding period of greater than one year.
No statutory, judicial or
administrative authority directly discusses how your ETNs 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 ETNs are uncertain and alternative characterizations
are possible. Accordingly, we urge you to consult your tax advisor in determining the tax consequences of an investment in your ETNs in your particular circumstances, including the application of state, local or other tax laws and the possible
effects of changes in federal or other tax laws.
Alternative Treatments
There is no judicial or administrative authority discussing how your ETNs should be treated for U.S. federal income tax purposes. Therefore, the Internal Revenue Service might assert that your ETNs should
be treated in a manner that differs
PS-40
from that described above. For example, the Internal Revenue Service might assert that your ETNs should be treated as debt instruments subject to the special tax rules governing contingent
payment debt instruments. If your ETNs are so treated, you would be required to accrue interest income over the term of your ETNs based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and
conditions similar to your ETNs. You would recognize gain or loss upon the sale, redemption or maturity of your ETNs in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted basis in your ETNs. In
general, your adjusted basis in your ETNs would be equal to the amount you paid for your ETNs, increased by the amount of interest you previously accrued with respect to your ETNs. Any gain you recognize upon the sale, redemption or maturity of your
ETNs would be ordinary income and any loss recognized by you at such time would be ordinary loss to the extent of interest you included in income in the current or previous taxable years in respect of your ETNs, and thereafter, would be capital
loss.
Moreover, it is possible that the Internal Revenue Service could seek to tax your ETNs by reference to your deemed ownership of the
underlying assets that comprise the Index. In such case, you could be required to recognize ordinary income in respect of the dividends that you would have received had you made an actual leveraged investment in the underlying components of the
Index, and could be required to recognize capital gain or loss, at least a portion of which could be short-term capital gain or loss, in respect of a portion of your ETNs at any time when an adjustment is made to the notional investment tracked by
your ETNs (including a rebalancing event). Under this alternative treatment, the amount you realize upon the sale, redemption or maturity of your ETNs would not be reduced by the notional interest that you would be deemed to pay on the ETNs, which
would equal the exposure fee rate. Although you may be entitled to deduct some or all of such notional interest as investment interest under this characterization of the ETNs, the deductibility of investment interest is subject to limitations. Even
if you are not treated as the owner of a leveraged investment in the underlying components of the Index, it is possible that you could be required to include the dividends that you would have received had you made a leveraged investment in the
underlying components of the Index as items of ordinary income, either upon the sale, redemption or maturity of the ETNs or over the term of your ETNs, even though you will not receive any payments from us until the redemption or maturity of your
ETNs.
In addition, it is possible that the Internal Revenue Service could assert that any gain or loss that you recognize upon redemption or
maturity of your ETNs should be treated as ordinary gain or loss, or that you should be required to accrue interest over the term of your ETNs. It is also possible that the ETNs could be treated as notional principal contracts. If your ETNs were
treated as notional principal contracts, you could be required to accrue income over the term of your ETNs, and any gain you recognize upon the maturity of your ETNs would generally be treated as ordinary income. In addition, it is possible that you
could be required to recognize gain or loss upon a rebalancing event, or at any other time when the Index is modified, adjusted, discontinued or replaced with a successor index.
Further, it is possible that the Internal Revenue Service could assert that your holding period in respect of your ETNs should end on the date on which the amount you are entitled to receive upon the
redemption or maturity of your ETNs is determined, even though you will not receive any amounts from the issuer in respect of your ETNs prior to the redemption or maturity of your ETNs. In such case, you may be treated as having a holding period in
respect of your ETNs that is less than one year even if you receive cash upon the redemption or maturity of your ETNs at a time that is more than one year after the beginning of your holding period.
In addition, the Internal Revenue Service could potentially assert that you should be required to treat amounts attributable to the investor fee and
rebalancing fee as amounts of expense. The deduction of any such deemed expenses would generally be subject to the 2% floor on miscellaneous itemized deductions. Such amounts would correspondingly increase the amount of gain or decrease the amount
of loss that you recognize with respect to your ETNs. Under this alternative treatment, you could also be required to recognize amounts of gain or loss over the term of your ETNs as if you had sold a portion of your ETNs to pay the accrued fees.
In 2007, the Internal Revenue Service released a notice that may affect the taxation of the ETNs. According to the notice, the Internal
Revenue Service and the Treasury Department are actively considering whether the holder of an instrument such as the ETNs should be required
PS-41
to accrue ordinary income on a current basis. The notice also states that the Internal Revenue Service and the Treasury Department are considering other relevant issues, including whether gain or
loss from such instruments should be treated as ordinary or capital, whether foreign holders of instruments such as the ETNs should be subject to withholding tax on any deemed income accruals, and whether the special constructive ownership
rules of Section 1260 of the Internal Revenue Code might be applied to such instruments.
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 ETNs (and while any such guidance may be issued on a prospective basis only), such guidance could be applied retroactively and could in any case increase the likelihood that you will be required to accrue income
over the term of an instrument such as the ETNs even though you will not receive any payments with respect to the ETNs until maturity. The outcome of this process is uncertain. Except to the extent otherwise provided by law, we intend to treat the
ETNs for U.S. federal income tax purposes in accordance with the treatment described in this section unless and until such time as the Internal Revenue Service and the Treasury Department determine that some other treatment is more appropriate.
Similarly, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as
the ETNs after the bill was enacted to accrue interest income on a current basis. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your ETNs.
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 the ETNs), 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 ETNs.
Information Reporting and Backup Withholding
Please see the discussion under Certain U.S. Federal Income Tax ConsiderationsInformation Reporting and Backup Withholding in the accompanying prospectus supplement for a description of
the applicability of the information reporting and backup withholding rules to payments made on your ETNs.
SUPPLEMENTAL PLAN OF DISTRIBUTION
We sold a portion of the ETNs on the inception date at 100% of the stated principal amount through
Barclays Capital Inc., our affiliate, as principal in the initial distribution. The remainder of the ETNs will be offered and sold from time to time through Barclays Capital Inc., as agent. Sales of the ETNs by us after the inception date will be
made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. Barclays Capital Inc. will not receive an agents commission in connection with sales of the ETNs.
In connection with this offering, we may sell the ETNs to dealers (including our affiliate Barclays Capital Inc.) as principal, and such dealers
(including our affiliate Barclays Capital Inc.) may then resell such ETNs to the public at varying prices that the dealers will determine at the time of resale. In addition, such dealers may make a market in the ETNs, although none of them is
obligated to do so and any of them may stop doing so at any time without notice. This prospectus (including this pricing supplement and the accompanying prospectus and prospectus supplement) may be used by such dealers in connection with
market-making transactions. In these transactions, dealers may resell an ETN covered by this prospectus that they acquire from us or from other holders after the original offering and sale of the ETNs, or they may sell an ETN covered by this
prospectus in short sale transactions.
Barclays Capital Inc., or another affiliate of ours, or a third party distributor, may purchase and
hold some of the ETNs for subsequent resale at variable prices after the initial issue date of the ETNs. In offering ETNs for sale after the initial issue date of the ETNs, there may be circumstances where investors may be offered
PS-42
ETNs from one distributor (including Barclays Capital Inc. or an affiliate) at a more favorable price than from other distributors. Furthermore, from time to time, Barclays Capital Inc. or
an affiliate may offer and sell ETNs to purchasers of a large quantity of the ETNs at a more favorable price than it would offer to a purchaser acquiring a smaller quantity of the ETNs.
Broker-dealers and other persons are cautioned that some of their activities may result in their being deemed participants in the distribution of the ETNs in a manner that would render them statutory
underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act of 1933, as amended (the
Securities Act
). Among other activities, broker-dealers and other persons may make short sales of the
ETNs and may cover such short positions by borrowing ETNs from us or our affiliates or by purchasing ETNs from us or our affiliates subject to our obligation to repurchase such ETNs at a later date. As a result of these activities, these market
participants may be deemed statutory underwriters. A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the activities of the participant in the particular
case, and the example mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject a market participant to the prospectus-delivery and liability provisions of the
Securities Act. This prospectus will be deemed to cover any short sales of ETNs by market participants who cover their short positions with ETNs borrowed or acquired from us or our affiliates in the manner described above.
PS-43
ANNEX A
NOTICE OF REDEMPTION
To: etndesk@barclays.com
Subject: Notice of Redemption for Barclays ETN+ FI Enhanced Europe 50 Exchange Traded Notes Linked to the STOXX Europe 50
®
USD (Gross Return) Index, CUSIP No. 06742C129
[BODY OF EMAIL]
Name of holder:
[ ]
Number of ETNs to
be redeemed: [ ]
Applicable Valuation Date: [ ], 20[ ]
Contact Name: [ ]
Telephone #: [ ]
Acknowledgement: I acknowledge that the ETNs specified above will not be redeemed unless all of the requirements specified in the pricing supplement
relating to the ETNs are satisfied.
A-1
ANNEX B
CONFIRMATION OF REDEMPTION
Dated:
Barclays Bank PLC
Barclays Bank PLC, as
Calculation Agent
Fax: 212-412-1232
Dear Sir/Madam:
The undersigned holder of Barclays Bank PLCs $[
insert aggregate principal amount
] Global Medium-Term Notes, Series A, Barclays ETN+ FI Enhanced Europe 50 Exchange Traded Notes Linked to the
STOXX Europe 50
®
USD (Gross Return) Index, CUSIP No. 06742C129 (the
ETNs
),
redeemable for a cash amount under the terms of the ETNs, hereby irrevocably elects to exercise, on the redemption date of
, with respect to the number of ETNs indicated below, as of the date hereof, the redemption right as described in the
prospectus relating to the ETNs (the
Prospectus
). Terms not defined herein have the meanings given to such terms in the Prospectus.
The undersigned certifies to you that it will (i) instruct its DTC custodian with respect to the ETNs (specified below) to book a delivery vs. payment trade on the valuation date with respect to the
number of ETNs specified below at a price per ETN equal to the closing indicative note value minus the settlement charge on the applicable valuation date, facing Barclays DTC 5101 and (ii) cause the DTC custodian to deliver the trade as booked
for settlement via DTC at or prior to 10:00 a.m., New York City time, on the redemption date.
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Very truly yours,
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[NAME OF HOLDER]
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Name:
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Title:
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Telephone:
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Fax:
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E-mail:
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Number of ETNs surrendered for redemption:
DTC # (and any relevant
sub-account):
Contact Name:
Telephone:
(You must redeem at least 10,000 ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date.)
B-1
ANNEX C
REDEMPTION NOTICE FOR AUTOMATIC TERMINATION EVENT
To: The
Depository Trust Company (DTC)
Subject: Notice of Redemption for Automatic Termination Event for Barclays ETN+ FI
Enhanced Europe 50 Exchange Traded Notes Linked to the STOXX Europe 50
®
USD (Gross Return) Index, CUSIP
No. 06742C129
Barclays Bank PLC hereby notifies DTC of the redemption of its Barclays ETN+ FI Enhanced Europe 50
Exchange Traded Notes Linked to the STOXX Europe 50
®
USD (Gross Return) Index, CUSIP No. 06742C129
(the
ETNs
) as a result of the occurrence of an automatic termination event. The ETNs will be redeemed (in whole only, but not in part) on [
], 20[
] (i.e., five business days after the automatic termination date), and the payment upon redemption will be $[
] per ETN (i.e., the automatic redemption
value). All terms not defined in this notice shall have the meaning ascribed thereto in the prospectus relating to the ETNs.
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BARCLAYS BANK PLC
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Name:
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Title:
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cc: The Bank of New York Mellon (as trustee)
C-1
$[
]
BARCLAYS BANK PLC
Barclays ETN+ FI ENHANCED EUROPE 50 ETN
G
LOBAL
M
EDIUM
-T
ERM
N
OTES
, S
ERIES
A
Pricing
Supplement
[
]
(to Prospectus dated August 31, 2010 and
Prospectus Supplement dated May 27, 2011)