CALCULATION OF REGISTRATION FEE
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee(1)
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Medium-Term Notes, Series A
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$2,000,000
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$78.60
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(1)
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Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
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Pricing Supplement dated July 9, 2008
(To the
Prospectus dated August 31, 2007, the Prospectus Supplement dated
September 4, 2007, Index Supplement dated September 4, 2007 and the Information
Supplement dated December 12, 2007)
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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-145845
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$2,000,000
Buffered Super Track
SM
Notes due July 13,
2010
Linked to the Performance of the iShares
®
MSCI EAFE Index
Fund
Medium-Term Notes, Series A, No. E-2331
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Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the
prospectus supplement.
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Issuer:
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Barclays Bank PLC(Rated AA/Aa1
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Initial Valuation Date:
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July 9, 2008
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Issue Date:
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July 14, 2008
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Final Valuation Date:
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July 8, 2010
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Maturity Date:
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July 13, 2010* (resulting in a term to maturity of approximately 24 months)
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Denominations:
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Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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Reference Asset:
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iShares
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MSCI EAFE Index Fund (the ETF) (Bloomberg ticker symbol EFA UP <Equity>)
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Initial Price:
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66.18, the closing price per share of the ETF on the initial valuation date
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Final Price
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The closing price per share of the ETF on the final valuation date
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Upside Leverage Factor:
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2
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Maximum Return:
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23.50%
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Buffer Percentage:
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15%
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Payment at Maturity:
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If the final price is greater than the initial price, you will receive a cash payment that provides you with a return per $1,000 principal amount
Note equal to the Reference Asset Return multiplied by 2, subject to a maximum return on the Notes of 23.50%. For example, if the Reference Asset Return is 11.75% or more, you will receive the maximum return on the Note of 23.50%, which entitles you
to the maximum payment of $1,2350 for every $1,000 principal amount Note that you hold. Accordingly, if the Reference Asset Return is positive, your payment per $1,000 principal amount Note will be calculated as follows, subject to the maximum
return:
$1,000 + [$1,000 x (Reference Asset Return x Upside Leverage
Factor)]
If the Reference Asset Return is less than 0% and equal to or
greater than -15%, you will receive the principal amount of your Notes; and
if the
Reference Asset Return is less than -50%, you will receive a cash payment equal to (a) the principal amount of your Notes
plus
(b) the principal amount
multiplied by
the sum of (i) the Reference Asset Return and (ii) the buffer
percentage:
$1,000 + [$1,000 x (Reference Asset Return +
15%)]
If the Reference Asset declines by more than
15%, you will lose 1% of the principal amount of your Notes for every 1% that the Reference Asset declines. You may lose up to 85% of your initial investment.
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Reference Asset Return:
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The performance of the reference asset from the initial price to the final price, calculated as follows:
Final Price Initial Price
Initial Price
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Calculation Agent:
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Barclays Bank PLC
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Business Day:
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New York
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CUSIP/ISIN:
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06738R6H4 and US06738R6H41
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The Notes are expected to carry the same rating as the Medium-Term Notes Program, Series A, which is rated AA by Standard & Poor's, a division of the McGraw-Hill
Companies, Inc, and will be rated Aa1 by Moodys Investor Services, Inc. The rating is subject to downward revision, suspension or withdrawal at any time by the assigning rating organization. The rating (1) does not take into account
market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked), and (2) is not a recommendation
to buy, sell or hold securities.
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*
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Subject to postponement in the event of a market disruption event and as described under Market Disruption Events in this pricing supplement.
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Investing in the Notes involves a number of risks. See Risk Factors beginning on page S-3 of the prospectus supplement
and
Selected Risk Considerations
beginning on page PS-4 of this pricing supplement.
The Notes will not be
listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this pricing supplement is truthful or
complete. Any representation to the contrary is a criminal offense.
We may use this pricing supplement in the initial sale of Notes. In addition,
Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale.
Unless we or our agent informs you otherwise in the confirmation of sale, this
pricing supplement is being used in a market resale transaction
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The Notes constitute our direct, unconditional, unsecured and
unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other
jurisdiction.
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Price to Public
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Agents Commission
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Proceeds to Barclays Bank PLC
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Per Note
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100%
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1.75%
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98.25%
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Total
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$2,000,000
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$35,000
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$1,965,000
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ADDITIONAL TERMS SPECIFIC TO THE NOTES
You should read this pricing supplement together with the prospectus dated August 31, 2007, as supplemented by the prospectus supplement dated September 4, 2007 relating to our Medium-Term Notes, Series A,
of which these Notes are a part, the index supplement dated September 4, 2007 and the information supplement dated December 12, 2007. This pricing supplement, together with the documents listed below, contains the terms of the Notes and
supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other
educational materials of ours. You should carefully consider, among other things, the matters set forth in the information supplement and in Risk Factors in the prospectus supplement, as the Notes involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may
access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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Prospectus supplement dated September 4, 2007 and prospectus dated August 31, 2007:
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http://www.sec.gov/Archives/edgar/data/312070/000119312507194615/d424b3.htm
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Index supplement dated September 4, 2007:
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http://www.sec.gov/Archives/edgar/data/312070/000119312507194645/d424b3.htm
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Information supplement dated December 12, 2007:
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http://www.sec.gov/Archives/edgar/data/312070/000119312507263911/d424b3.htm
Our SEC file number is 1-10257. As used in this pricing supplement, the Company, we, us, or our refers to Barclays Bank
PLC.
What is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Reference Asset?
The following table illustrates the hypothetical total return at maturity on the Notes. The total return as used in this pricing supplement is the number,
expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Note to $1,000. The hypothetical total returns set forth below are based on the initial price of 66.18. The hypothetical total returns set
forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
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Final Price
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Reference Asset
Return
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Payment at Maturity
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Total Return on the
Notes
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132.36
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100.00%
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$1,235.00
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23.50%
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125.74
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90.00%
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$1,235.00
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23.50%
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119.12
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80.00%
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$1,235.00
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23.50%
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112.51
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70.00%
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$1,235.00
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23.50%
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105.89
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60.00%
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$1,235.00
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23.50%
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99.27
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50.00%
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$1,235.00
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23.50%
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92.65
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40.00%
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$1,235.00
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23.50%
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86.03
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30.00%
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$1,235.00
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23.50%
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79.42
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20.00%
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$1,235.00
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23.50%
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76.11
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15.00%
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$1,235.00
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23.50%
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72.80
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10.00%
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$1,200.00
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20.00%
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66.18
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0.00%
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$1,000.00
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0.00%
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59.56
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-10.00%
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$1,000.00
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0.00%
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56.25
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-15.00%
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$1,000.00
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0.00%
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52.94
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-20.00%
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$950.00
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-5.00%
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46.33
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-30.00%
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$850.00
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-15.00%
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39.71
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-40.00%
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$750.00
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-25.00%
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33.09
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-50.00%
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$650.00
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-35.00%
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26.47
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-60.00%
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$550.00
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-45.00%
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19.85
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-70.00%
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$450.00
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-55.00%
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13.24
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-80.00%
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$350.00
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-65.00%
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6.62
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-90.00%
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$250.00
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-75.00%
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0.00
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-100.00%
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$150.00
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-85.00%
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PS2
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The
reference asset increases from an initial price of 66.18 to a final price of 72.80.
Because the final price of 72.80 is greater than the initial price
of 66.18 and the reference asset return of 10.00% multiplied by 2 does not exceed the maximum return of 23.50%, the investor receives a payment at maturity of $1,200.00 per $1,000 principal amount Note, resulting in a 20% return on the note.
$1,000 + [$1,000 x (10.00% x 2)] = $1,200.00
Example 2: The reference asset increases from an initial price of 66.18 to a final price of 86.03.
Because the reference asset return of
30.00% multiplied by 2 exceeds the maximum return of 23.50%, the investor receives a payment at maturity of $1,235.00 per $1,000 principal amount Note, the maximum payment on the Notes, resulting in a 23.50% return on the note.
Example 3: The reference asset decreases from an initial price of 66.18 to a final price of 59.56.
Because the final price of 59.56 is less than the initial price of 66.18, the reference asset return of -10% is negative but greater than -15%, the investor will receive a payment at maturity of $1,000 per $1,000
principal amount Note, resulting in a 0% return on the note..
Example 4: The reference asset increases from an initial price of 66.18 to a final price
of 46.33.
Because the final price of 46.33 is less than the initial price of 66.18 the reference asset return of -30% is negative and lesser than -15%,
the investor will receive a payment at maturity of $850 per $1,000 principal amount Note, resulting in a -15% return on the note.
$1,000 +
[$1,000 (-30%+15%)] = $850
Selected Purchase Considerations
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Market Disruption Events and Adjustments
The final observation date, the maturity date and the payment at maturity are subject to adjustment as
described under Market Disruption Events in this pricing supplement.
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Appreciation Potential
The Notes provide the opportunity to enhance equity returns by multiplying a positive reference asset return by two, up to the
maximum return on the Notes of 23.50%, or $1,235 for every $1,000 principal amount Note. Because the Notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.
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Limited Protection Against Loss
Payment at maturity of the principal amount of the Notes is protected against a decline in the reference asset return of
up to 15%.
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Diversification Among Emerging Market Equities of the iShares
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MSCI EAFE Index Fund
The return on the Notes is linked to the performance of the iShares
®
MSCI EAFE Index Fund, which seeks investment results that correspond generally to
the price and yield performance, before fees and expenses, of the MSCI EAFE Index (the Underlying Index), which is designed to measure equity market performance in Europe, Asia, Australia and the Far East. For additional information on
the iShares
®
MSCI EAFE Index Fund, see the information set forth under Description of the Reference Asset in this pricing supplement. For additional information on the
Underlying Index, see the information set forth under MSCI-EAFE Index in the Index Supplement.
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Certain U.S. Federal Income Tax Considerations
The United States federal income tax consequences of your investment in the Notes are uncertain and the
Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described below. Pursuant to the terms of the Notes, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or
judicial ruling to the contrary, to characterize your Notes as a pre-paid cash-settled executory contract with respect to the ETF. Subject to the discussion of Section 1260 below, if your Notes are so treated, you should generally recognize
capital gain or loss upon the sale or maturity of your Notes in an amount equal to the difference between the amount you receive at such time and the amount you paid for your Notes. Such gain or loss would generally be long term capital gain or loss
if you have held your Notes for more than one year.
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PS3
Although not entirely clear, it is possible that the purchase and ownership of the Notes should be treated as a
constructive ownership transaction with respect to the ETF, which would be subject to the constructive ownership rules of Section 1260 of the Internal Revenue Code. If your Notes were subject to the constructive ownership rules,
then any long-term capital gain that you realize upon the sale or maturity of your Notes that is attributable to the appreciation of the shares of the ETF over the term of your Notes would be recharacterized as ordinary income (and you would be
subject to an interest charge on deferred tax liability with respect to such capital gain) to the extent that such capital gain exceeds the amount of long-term capital gain that you would have realized had you purchased the actual shares of the ETF
on the date that you purchased your Notes and sold the ETF shares on the date of the sale or maturity of the Notes (the Excess Gain Amount). Because the maturity payment under the Notes will only reflect the appreciation or depreciation
in the value of the shares of the ETF and will not be determined by reference to any short-term capital gains or ordinary income, if any, that is recognized by holders of shares of the ETF, we believe that it is more likely than not that the Excess
Gain Amount will be equal to zero, and that the application of the constructive ownership rules will accordingly not have any adverse effects to you. Because the application of the constructive ownership rules is unclear, however, you are strongly
urged to consult your tax advisor with respect to the possible application of the constructive ownership rules to your investment in the Notes.
As
discussed further in the accompanying information supplement, the Treasury Department and the Internal Revenue Service are actively considering various alternative treatments that may apply to instruments such as the Notes, possibly with retroactive
effect. In addition, legislation has recently been introduced in Congress that, if enacted, would require holders that acquire the Notes after the bill is enacted to accrue interest income over the term of the Notes despite the fact that there will
be no interest payments over the term of the Notes. It is not possible to predict whether this bill or a similar bill will be enacted in the future and whether any such bill would affect the tax treatment of your Notes.
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described above. This opinion
assumes that the description of the terms of the Notes in this pricing supplement is materially correct.
For a further discussion of the tax treatment of
your Notes as well as possible alternative characterizations, please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsCertain Notes Treated as Forward Contracts or Executory Contracts in the
accompanying prospectus supplement and the discussion under the heading United States Federal Tax Considerations in the accompanying information supplement. For additional, important considerations related to tax risks associated with
investing in the Notes, you should also examine the discussion in Selected Risk ConsiderationsTaxes, in this pricing supplement. You should further consult your tax advisor as to the possible alternative treatments in respect of
the Notes.
Selected Risk Considerations
An investment
in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the ETF or any of the component stocks of the ETF or of the Underlying Index. These risks are explained in more detail in the Risk
Factors section of the prospectus supplement, including the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All Notes; and
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Risk FactorsAdditional Risks Relating to Notes Which Pay No Interest; and
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Risk FactorsAdditional Risks Relating to Notes with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds,
That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds.
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In addition to the risks described above, you should consider the following:
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Your Investment in the Notes May Result in a Loss
The Notes do not guarantee any return of principal. The payment at maturity is linked to the
performance of the ETF and will depend on whether, and the extent to which, the share performance is positive or negative. Your investment will be fully exposed to any decline in the performance of the reference asset beyond the 15% buffer
percentage as compared to the initial closing price of the reference asset. You will lose up to 85% of your initial investment if the reference asset return declines by more than 15%.
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The Notes Are Subject to Emerging Markets Risk
Investments in securities linked to emerging market equity securities involve many risks, including, but
not limited to: economic, social, political, financial and military conditions in the emerging market; regulation by national, provincial, and local governments; less liquidity and smaller market capitalizations than exist in the case of many large
U.S. companies; different accounting and disclosure standards; and political uncertainties. Securities of
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PS4
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emerging market companies may be more volatile and may be affected by market developments differently than U.S. companies. Government interventions to
stabilize securities markets and cross-shareholdings may affect prices and volume of trading of the securities of emerging market companies. Economic, social, political, financial and military factors could, in turn, negatively affect such
companies value. These factors could include changes in the emerging market governments economic and fiscal policies, possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to the emerging
market companies or investments in their securities, and the possibility of fluctuations in the rate of exchange between currencies. Moreover, emerging market economies may differ favorably or unfavorably from the U.S. economy in a variety of ways,
including growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. You should carefully consider the risks related to emerging markets, to which the Notes are highly susceptible, before making a
decision to invest in the Notes.
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No Dividend Payments or Voting Rights
As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of shares of the ETF or of the stocks composing the ETF or the Underlying Index would have. Among other things, the return on the shares of the ETF could include substantial dividend payments, which you
will not receive as an investor in your Notes, and an investment in the shares of the ETF is likely to have tax consequences that are different from an investment in your Notes.
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Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity
While the payment at maturity described in this pricing
supplement is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result,
the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions will likely be lower than the original issue price, and any sale prior to the
maturity date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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Exposure to Fluctuations in Foreign Exchange Rates
The value of your Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar
and the currencies in which the stocks composing the ETF are denominated. Therefore, if the applicable currencies depreciate relative to the U.S. dollar over the term of the Notes, you may lose money even if the local currency value of the stocks
underlying the ETF goes up.
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Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to
offer to purchase the Notes in the secondary market but are not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make
a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes.
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Certain Features of Exchange-Traded Funds Will Impact the Value of the Notes
The performance of the ETF does not fully replicate the performance of the
Financial Select Sector Index (the Underlying Index), and the ETF may hold securities not included in the Underlying Index. The value of the ETF to which your Notes is linked is subject to:
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Management risk
. This is the risk that SSgA Funds Management, Incs investment strategy for the ETF, the implementation of which is subject to a number
of constraints, may not produce the intended results.
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Derivatives risk
. The ETF may invest in stock index futures contracts and other derivatives. A derivative is a financial contract, the value of which depends
on, or is derived from, the value of an underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices, and thus the
ETFs losses, and, as a consequence, the losses of your Notes, may be greater than if the ETF invested only in conventional securities.
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The Reference Asset May Underperform the Underlying Index
The performance of the iShares
®
MSCI EAFE Index Fund may not replicate the performance of, and may underperform, the Underlying Index. Unlike the Underlying Index, the iShares
®
MSCI EAFE Index Fund will reflect transaction costs and fees that will reduce its relative performance. Moreover, it is also possible that the iShares
®
MSCI EAFE Index Fund may not fully replicate or may, in certain circumstances, diverge significantly from the performance of the Underlying Index; for example, due to the temporary unavailability of certain
securities in the secondary market, the performance of any derivative instruments contained in the iShares
®
MSCI EAFE Index Fund , differences in trading hours between the
iShares
®
MSCI EAFE Index Fund and the Underlying Index or due to other circumstances. Because the return on your Notes, both with respect to the coupon payment and with respect to
the payment due at maturity is linked to the performance of the iShares
®
MSCI EAFE Index Fund and not the Underlying Index, the return on your securities may be less than that of an
alternative investment linked directly to the Underlying Index.
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Potential Conflicts
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent
and hedging our obligations under the Notes. In performing these roles, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
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Taxes
The federal income tax treatment of the Notes is uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a
manner that is different than described above. On December 7, 2007, the Internal Revenue Service issued a
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PS5
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notice indicating that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue interest over
the term of an instrument such as the Notes even though you will not receive any payments with respect to the Notes until maturity and whether all or part of the gain you may recognize upon sale or maturity of an instrument such as the Notes could
be treated as ordinary income. The outcome of this process is uncertain and could apply on a retroactive basis. In addition, legislation has recently been introduced in Congress that, if enacted, would require holders that acquire the Notes after
the bill is enacted to accrue interest income over the term of the Notes despite the fact that there will be no interest payments over the term of the Notes. It is not possible to predict whether this bill or a similar bill will be enacted in the
future and whether any such bill would affect the tax treatment of your Notes. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.
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Many Economic and Market Factors Will Impact the Value of the Notes
In addition to the price of the ETF on any day, the value of the Notes will be
affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the ETF;
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the time to maturity of the Notes;
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the dividend rate on the stocks underlying the ETF;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events, including risks specific to emerging markets;
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the exchange rate and the volatility of the exchange rate between the U.S. dollar and currencies in which the stocks underlying the ETF are denominated; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Program Credit Rating
The Notes are issued under the Medium-Term
Notes Program, Series A (the Program). The Notes are expected to carry the rating of the Program, which is rated AA by Standard & Poor's, a division of the McGraw-Hill Companies, Inc (S&P), and will be rated Aa1
by Moodys Investor Services, Inc. (Moodys). An AA rating from S&P generally indicates that the issuers capacity to meet its financial commitment on the obligations arising from the Program is very strong. An Aa1
rating by Moodys indicates that the Program is currently judged by Moodys to be an obligation of high quality and is subject to very low credit risk. The credit rating is a statement of opinion and not a statement of fact and is subject
to downward revisions, suspension or withdrawal at any time by the assigning rating agency. The rating (1) does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks
associated with the potential negative performance of any reference asset to which the Notes are linked), and (2) is not a recommendation to buy, sell or hold securities.
PS6
Description of the Reference Asset
We have derived all information contained in this pricing supplement regarding iShares
®
MSCI EAFE Index Fund, including, without limitation, its make-up, method of calculation and changes in its components, from the Prospectus for the iShares MSCI EAFE Index Fund dated December 1, 2007 and the
Supplement thereto dated January 17, 2008 issued by iShares, Inc. (iShares
®
). Such information reflects the policies of, and is subject to change by, iShares
®
, Barclays Global Investors, N.A. (BGI) and Barclays Global Fund Advisors (BGFA). The iShares
®
MSCI EAFE Index
Fund is an investment portfolio maintained and managed by iShares
®
. BGFA is the investment advisor to the iShares
®
MSCI EAFE
Index Fund. The iShares
®
MSCI EAFE Index Fund is an exchange traded fund that trades on the NYSE Arca under the ticker symbol EFA.
iShares
®
is a registered investment company that
consists of numerous separate investment portfolios, including the iShares
®
MSCI EAFE Index Fund. Information provided to or filed with the SEC by iShares
®
pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SECs website at
http://www.sec.gov. For additional information regarding iShares
®
, BGFA, the iShares
®
MSCI EAFE Index Fund, please see the
Prospectus. In addition, information about iShares and the iShares
®
MSCI EAFE Index Fund may be obtained from the iShares
®
website at www.ishares.com.
Investment Objective and Strategy
The iShares
®
MSCI EAFE Index Fund (the ETF)
seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian, and Far Eastern markets, as measured by the MSCI EAFE Index (the
Underlying Index). The Underlying Index was developed by Morgan Stanley Capital International Inc. (MSCI) as an equity benchmark for international stock performance. As of December 31, 2007, the ETFs three largest
holdings by country were United Kingdom, Japan and France, respectively.
The ETF uses a representative sampling strategy (as described below under
Representative Sampling) to try to track the Underlying Index. The ETF generally will invest at least 90% of its assets in the securities of the Underlying Index or in American Depositary Receipts (ADRs) and Global
Depositary Receipts (GDRs) representing such securities. In addition, in order to improve its portfolio liquidity and its ability to track the Underlying Index, the ETF may invest up to 10% of its assets in (1) securities that are
not included in the Underlying Index or in ADRs and GDRs representing such securities and (2) shares of other iShares funds that seek to track the performance of equity securities of constituent countries of the Underlying Index. BGFA will not
charge portfolio management fees on that portion of the ETF assets invested in shares of other iShares funds.
Representative Sampling
The ETF pursues a representative sampling strategy in attempting to track the performance of Underlying Index, and generally does not hold
all of the equity securities included in the Underlying Index. The ETF invests in a representative sample of securities in the Underlying Index, which have a similar investment profile as the Underlying Index. Securities selected have aggregate
investment characteristics (based on market capitalization and industry weightings), fundamental characteristics (such as return variability, earnings valuation and yield) and liquidity measures similar to those of the Underlying Index.
Correlation
The Underlying Index is a theoretical
financial calculation, while the ETF is an actual investment portfolio. The performance of the ETF and the Underlying Index will vary somewhat due to transaction costs, asset valuations, foreign currency valuations, market impact, corporate actions
(such as mergers and spin-offs) and timing variances. A figure of 100% would indicate perfect correlation. The difference between 100% and the ETFs actual correlation with the Underlying Index is called tracking error. ETF, using a
representative sampling strategy, can be expected to have a greater tracking error than a fund using replication indexing strategy. Replication is a strategy in which a fund invests in substantially all of the securities in its
Underlying Index in approximately the same proportions as in the Underlying Index.
Industry Concentration Policy
The ETF will not concentrate its investments (
i.e.
, hold 25% or more of its total assets in the stocks of a particular industry or group of industries), except
that, to the extent practicable, the ETF will concentrate to approximately the same extent that the Underlying Index concentrates in the stocks of such particular industry or group of industries.
Holdings Information
As of May 30, 2008, 98.71%
of the ETFs holdings consisted of equity securities, 0.15% consisted of cash and 1.14% was in other assets, including dividends booked but not yet received. The following tables summarize the ETFs top holdings in individual companies and
by sector as of such date.
PS7
Top holdings in individual securities as of May 30, 2008
|
|
|
Company
|
|
Percentage of
Total Holdings
|
BP PLC
|
|
1.70%
|
HSBC Holdings PLC
|
|
1.48%
|
Nestle SA-Reg
|
|
1.41%
|
Total SA
|
|
1.40%
|
Vodafone Group PLC
|
|
1.26%
|
Royal Dutch Shell PLC-A SHS
|
|
1.15%
|
Toyota Motor Corp
|
|
1.03%
|
BHP Billiton LTD
|
|
1.03%
|
E. On AG
|
|
0.98%
|
Banco Santander SA
|
|
0.97%
|
Novartis AG-Reg
|
|
0.92%
|
Top holdings by sector as of May 30, 2008
|
|
|
Company
|
|
Percentage of
Total Holdings
|
Financials
|
|
25.08%
|
Industrials
|
|
12.32%
|
Materials
|
|
11.33%
|
Consumer Discretionary
|
|
10.20%
|
Energy
|
|
8.78%
|
Consumer Staples
|
|
7.94%
|
Health Care
|
|
6.16%
|
Utilities
|
|
5.88%
|
Telecommunication Services
|
|
5.67%
|
Information Technology
|
|
5.32%
|
The information above was compiled from the iShares
®
website. We make no representation or warranty as to the accuracy of the information above. The information on the iShares
®
website
is not, and should not be considered, incorporated by reference herein.
iShares
®
is a registered mark of BGI. The Notes are not sponsored, endorsed, sold, or promoted by BGI. BGI makes no representations or warranties to the owners of the Notes or any member of the public
regarding the advisability of investing in the Notes. BGI has no obligation or liability in connection with the operation, marketing, trading or sale of the Notes.
Discontinuance of the ETF
If the ETF (or any successor fund (as defined herein)) is de-listed from the New York Stock Exchange (or any
other relevant exchange), liquidated or otherwise terminated, the calculation agent will substitute an exchange-traded fund (such substituted exchange-traded fund being referred to herein as a successor fund) that the calculation agent
determines, in its sole discretion, is comparable to the discontinued ETF (or discontinued successor fund). If a successor fund is selected, that successor fund will be substituted for the discontinued ETF (or discontinued successor fund) for all
purposes of the Notes. Upon any selection by the calculation agent of a successor fund, the calculation agent may adjust any variable described in this document, including, without limitation, the number of reference shares that each Note
represents, the apportioned dividends on the final observation date, the share performance on the final observation date or the closing price on any given date, as, in the good faith judgment of the calculation agent, may be and for such time as may
be necessary to render the successor fund comparable to the discontinued ETF (or discontinued successor fund) for purposes of the Notes. Upon any selection by the calculation agent of a successor fund, the calculation agent will provide written
notice to the trustee, and the trustee will furnish written notice thereof, to the extent the trustee is required to under the senior debt indenture, to each Noteholder, or in the case of global notes, the depositary, as holder of the global notes,
stating the selection made.
If the ETF (or any successor fund) is de-listed, liquidated or otherwise terminated and the calculation agent determines that
no successor fund is available, then the calculation agent may, at its sole discretion, accelerate the maturity date to the day which is four business days after the date of such de-listing, liquidation or termination, as applicable. In the event of
such an acceleration, we shall pay to you the amount payable at maturity, and for the purposes of that calculation, the final price will be deemed to be the closing price on the trading day corresponding to the date of the de-listing, liquidation or
termination (or, if such date is not a trading day, the immediately preceding trading day), unless the calculation agent determines in his sole discretion that another day is more appropriate
PS8
to, as closely as reasonably possible, replicate the discontinued ETF (or discontinued successor fund), in which case, the final price shall be the closing
price on such other day. In the event that the calculation agent decides to accelerate the maturity date and to make use of a closing price other than the price on the trading day corresponding to the date of de-listing, liquidation or termination
(or the immediately preceding trading day, as applicable), the calculation agent will, in its sole discretion, calculate the appropriate closing price of the discontinued ETF (or discontinued successor fund) on any day that such calculation is
required by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the discontinued ETF (or discontinued successor fund).
The calculation agent will be solely responsible for the method of determining and/or calculating the closing price of the ETF (or any successor fund) and of any related determinations and calculations, and its
determinations and calculations with respect thereto will be conclusive in the absence of manifest error and binding on any investor in the Notes.
The
calculation agent will provide information as to the method of calculating the closing price of the ETF (or any successor fund) upon written request by any investor in the Notes.
Antidilution Adjustments
If an event occurs which, in the sole discretion of the calculation agent, has a diluting
or concentrative effect on the theoretical value of the ETF shares, the calculation agent may adjust any variable described in this document, including, without limitation, the number of reference shares that each Note represents, the apportioned
dividends on the final observation date, the share performance on the final observation date or the closing price on any given date, and will make such adjustments as it deems necessary to negate such diluting or concentrative effect. All such
adjustments will occur in the manner described under Reference AssetsSecurities or Linked SharesShare Adjustments Relating to Notes with an Equity Security as the Reference AssetAntidilution Adjustments in
the prospectus supplement.
Market Disruption Events
The final observation date may be postponed and thus the determination of the value of the Notes, as well as the maturity date and the coupon payment date, as applicable, and may be subject to further adjustment if the calculation agent
determines that, on the final observation date, a market disruption event has occurred or is continuing in respect of the ETF. Any of the following will be a market disruption event:
|
|
|
a suspension, absence or limitation of trading in the ETF on the relevant exchange (as defined below), as determined by the calculation agent;
|
|
|
|
any event that disrupts or impairs, as determined by the calculation agent, the ability of market participants to effect transactions in, or obtain market values
for, the ETF on the relevant exchange;
|
|
|
|
the closure on any day of the relevant exchange where the relevant exchange is scheduled to be open for trading for its regular trading session (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 the earlier closing time is announced by the relevant exchange at
least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such scheduled trading day for the relevant exchange and (ii) 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 the relevant exchange;
|
|
|
|
any scheduled trading day on which the relevant exchange fails to open for trading during its regular trading session; or
|
|
|
|
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 Notes that we or our affiliates have effected or may effect as described under Use of Proceeds and Hedging in the prospectus supplement;
|
and, in any of these events, the calculation agent determines that the event was material.
A limitation on the hours or numbers of days of trading, but only if the limitation results from an announced change in the regular business hours of the relevant market, will not be deemed a market disruption event.
In contrast, a suspension or limitation of trading in the ETF on the relevant, by reason of any of:
|
|
|
a price change exceeding limits set by that market,
|
|
|
|
an imbalance of orders, or
|
|
|
|
a disparity in bid and ask quotes
|
will constitute a
suspension or material limitation of trading.
Relevant exchange means the primary exchange or market of trading for the ETF or the shares of
any successor fund. The relevant exchange for the ETF as of the date of this pricing supplement is the NYSE Arca.
PS9
If the calculation agent determines that a market disruption event occurs or is continuing on the final observation date,
the final observation date will be the first following business day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no event, however, will the final observation date be postponed by
more than five business days. If the calculation agent determines that a market disruption event occurs or is continuing on the fifth business day, the calculation agent will make an estimate of (1) the closing price for the ETF that would have
prevailed on that fifth business day in the absence of the market disruption event and (2) the apportioned dividends during the period from but excluding the initial observation date to and including that fifth business day, for purposes of
calculation of the payment at maturity and the coupon, respectively.
Historical Information
The following table sets forth the quarterly high and low closing prices, as well as end-of-quarter closing prices, of the ETF for each quarter in the period from
September 30, 2002 through July 9, 2008. The ETF closing price on July 9, 2008 was $66.18
We obtained the ETF closing prices below from
Bloomberg, L.P. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg, L.P. The historical prices of the ETF should not be taken as an indication of future performance, and no assurance
can be given as to the closing price on the final observation date. We also cannot give you assurance that the performance of the ETF will result in the return of any of your initial investment.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
36.81
|
|
$
|
30.44
|
|
$
|
30.44
|
December 31, 2002
|
|
$
|
34.90
|
|
$
|
31.10
|
|
$
|
33.09
|
March 31, 2003
|
|
$
|
34.28
|
|
$
|
28.77
|
|
$
|
30.15
|
June 30, 2003
|
|
$
|
37.75
|
|
$
|
30.39
|
|
$
|
36.19
|
September 30, 2003
|
|
$
|
40.38
|
|
$
|
35.91
|
|
$
|
39.02
|
December 31, 2003
|
|
$
|
45.60
|
|
$
|
39.46
|
|
$
|
45.60
|
March 31, 2004
|
|
$
|
48.23
|
|
$
|
45.03
|
|
$
|
47.23
|
June 30, 2004
|
|
$
|
48.06
|
|
$
|
43.27
|
|
$
|
47.67
|
September 30, 2004
|
|
$
|
47.51
|
|
$
|
44.59
|
|
$
|
47.16
|
December 31, 2004
|
|
$
|
53.45
|
|
$
|
47.14
|
|
$
|
53.30
|
March 31, 2005
|
|
$
|
55.36
|
|
$
|
51.14
|
|
$
|
52.92
|
June 30, 2005
|
|
$
|
53.92
|
|
$
|
51.12
|
|
$
|
52.35
|
September 30, 2005
|
|
$
|
58.57
|
|
$
|
51.24
|
|
$
|
58.09
|
December 30, 2005
|
|
$
|
60.95
|
|
$
|
54.58
|
|
$
|
59.42
|
March 31, 2006
|
|
$
|
65.52
|
|
$
|
60.25
|
|
$
|
64.99
|
June 30, 2006
|
|
$
|
70.65
|
|
$
|
59.40
|
|
$
|
65.35
|
September 29, 2006
|
|
$
|
68.52
|
|
$
|
60.94
|
|
$
|
67.78
|
December 29, 2006
|
|
$
|
74.66
|
|
$
|
67.61
|
|
$
|
73.26
|
March 30, 2007
|
|
$
|
77.18
|
|
$
|
70.95
|
|
$
|
76.27
|
June 29, 2007
|
|
$
|
81.79
|
|
$
|
76.05
|
|
$
|
80.63
|
September 30, 2007
|
|
$
|
85.50
|
|
$
|
67.99
|
|
$
|
82.56
|
December 31, 2007
|
|
$
|
86.49
|
|
$
|
78.00
|
|
$
|
78.50
|
March 30, 2008
|
|
$
|
79.22
|
|
$
|
65.63
|
|
$
|
71.90
|
June 30, 2008
|
|
$
|
78.76
|
|
$
|
68.06
|
|
$
|
68.70
|
July 9, 2008*
|
|
$
|
68.37
|
|
$
|
65.93
|
|
$
|
66.18
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 9, 2008.
|
PS10
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