You should read this pricing supplement together with the information supplement dated July 19, 2013, prospectus dated July 19, 2013, as supplemented by the prospectus supplement dated July 19, 2013 relating to our Global Medium-Term Securities, Series
A, of which these Securities are a part. This pricing supplement, together with the documents listed below, contains the terms of the Securities and supersedes all prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in
Risk Factors in the prospectus supplement, as the Securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the
Securities.
If the terms discussed in this pricing supplement differ from those in the information
supplement, prospectus and the prospectus supplement, the terms discussed herein will control.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not materialize, typically including volatility, interest rates, and our internal funding rates. Our internal
funding rates (which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at which our benchmark debt securities
trade in the secondary market. Our estimated value on the Trade Date is based on our internal funding rates. Our estimated value of the Securities may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the
secondary market.
Our estimated value of the Securities on the Trade Date is less than the initial issue price of the Securities. The difference between the initial issue price of the Securities and our estimated value of the Securities results from several factors,
including any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our
affiliates expect to earn in connection with structuring the Securities, the estimated cost which we may incur in hedging our obligations under the Securities, and estimated development and other costs which we may incur in connection with the
Securities.
Our estimated value on the Trade Date is not a prediction of the price at which the Securities may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Securities in the secondary market. Subject to
normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the Securities in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after the Trade Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market, if any, and the value that we may initially use for customer account
statements, if we provide any customer account statements at all, may exceed our estimated value on the Trade Date for a temporary period expected to be approximately 8 months after the initial issue date of the Securities because, in our discretion, we
may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Securities and other costs in connection with the Securities which we will no longer expect to incur over the term of the Securities. We
made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, including the tenor of the Securities and any agreement we may have with the distributors of the Securities. The amount of our
estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the
initial issue date of the Securities based on changes in market conditions and other factors that cannot be predicted.
PS-3
Final
Terms
1
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Issuer:
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Barclays Bank PLC
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Issue Price:
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$10.00 per Security for brokerage accounts; $9.75 per Security for advisory accounts.
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Principal Amount:
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$10 per Security. The payment at maturity will be based on the principal amount per Security.
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Term:
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3 years
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Reference Asset:
2
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The Securities are linked to the S&P 500
®
Index (the “Underlying Index”).
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Payment at Maturity (per $10.00):
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•
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If the Index Return is positive,
the Issuer will repay the principal amount plus pay a return equal to the Index Return multiplied by the Multiplier, but no more than the Maximum
Gain. Accordingly, the payment at maturity per $10 principal amount Security would be calculated as follows:
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$10 + [$10 x the lesser of
(a) Index Return x Multiplier and
(b) the Maximum Gain]
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•
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If the Index Return is zero or
negative and the Index Ending Level
is equal to or greater than the Trigger
Level,
the Issuer will repay the full principal
amount at maturity of $10.00 per $10 principal amount Security.
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•
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If the Index Return is negative and
the Index Ending Level is less than
the Trigger Level,
meaning the Index Return is less than -25%, the Issuer will repay less than
the full principal amount at maturity, if anything, resulting in a loss of principal that is proportionate to the depreciation of the Underlying Index over the term of the Securities. Accordingly, the payment at maturity per $10
principal amount Security would be calculated as follows:
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$10 + [$10 x Index Return]
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If the Index Ending Level is below the
Trigger Level, your principal is fully
exposed to any decline in the
Underlying Index and you
will lose
some or all of the principal amount
of the Securities at maturity.
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Multiplier:
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1.5
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Maximum Gain:
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29.07%
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Index Return:
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Index Ending Level – Index Starting Level
Index Starting Level
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Index Starting Level:
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1,691.65, which is the closing level of the Index on the Trade Date.
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Index Ending Level:
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The closing level of the Index on the Final Valuation Date.
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Trigger Level:
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1,268.74, which is 75% of the Index Starting Level.
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1
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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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2
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For a description of adjustments that may affect the reference asset, see “Reference
Assets — Indices — Adjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices”
in the prospectus supplement.
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Investment Timeline
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF THE PRINCIPAL AMOUNT OF THE SECURITIES. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE
CREDITWORTHINESS OF BARCLAYS BANK PLC. IF BARCLAYS BANK PLC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
PS-4
Hypothetical Return Table and Examples at Maturity
The examples and table below illustrate the payment at maturity for a $10.00 Security on a hypothetical offering of Securities, with the assumptions set forth below. The Index Ending Level will be determined on the Final
Valuation Date. Numbers appearing in the examples and table below have been rounded for ease of analysis. These examples and table below do not take into account any tax consequences from investing in the Securities.
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Term:
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3 years
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Index Starting Level:
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1,691.65
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Trigger Level:
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1,268.74 (75% of the Index Starting Level)
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Maximum Gain:
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29.07
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Multiplier:
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1.5
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Index Ending Level
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Index Return
1
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Payment at Maturity
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Total Return on
the Securities at
Maturity per $10.00
Issue Price
2
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Total Return on
the Securities at
Maturity per $9.75
Issue Price
3
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3,383.30
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100.00%
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$12.907
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29.07%
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32.38%
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3,214.14
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90.00%
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$12.907
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29.07%
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32.38%
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3,044.97
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80.00%
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$12.907
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29.07%
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32.38%
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2,875.81
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70.00%
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$12.907
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29.07%
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32.38%
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2,706.64
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60.00%
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$12.907
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29.07%
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32.38%
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2,537.48
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50.00%
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$12.907
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29.07%
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32.38%
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2,452.89
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45.00%
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$12.907
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29.07%
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32.38%
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2,368.31
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40.00%
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$12.907
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29.07%
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32.38%
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2,199.15
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30.00%
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$12.907
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29.07%
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32.38%
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2,029.98
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20.00%
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$12.907
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29.07%
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32.38%
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2,019.49
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19.38%
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$12.907
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29.07%
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32.38%
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1,860.82
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10.00%
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$11.50
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15.00%
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17.95%
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1,776.23
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5.00%
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$10.75
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7.50%
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10.26%
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1,691.65
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0.00%
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$10.00
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0.00%
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2.56%
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1,607.07
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-5.00%
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$10.00
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0.00%
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2.56%
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1,522.49
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-10.00%
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$10.00
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0.00%
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2.56%
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1,353.32
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-20.00%
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$10.00
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0.00%
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2.56%
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1,268.74
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-25.00%
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$10.00
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0.00%
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2.56%
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1,184.16
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-30.00%
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$7.00
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-30.00%
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-28.21%
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1,014.99
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-40.00%
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$6.00
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-40.00%
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-38.46%
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845.83
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-50.00%
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$5.00
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-50.00%
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-48.72%
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676.66
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-60.00%
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$4.00
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-60.00%
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-58.97%
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507.50
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-70.00%
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$3.00
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-70.00%
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-69.23%
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338.33
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-80.00%
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$2.00
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-80.00%
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-79.49%
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169.17
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-90.00%
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$1.00
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-90.00%
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-89.74%
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0.00
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-100.00%
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0.00
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-100.00%
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-100.00%
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1
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The Index Return excludes any cash dividend payments.
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2
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The “total return” is the number, expressed as a percentage, that results
from comparing the payment at maturity per $10 principal amount Security to the purchase price of $10 per Security for all brokerage
accounts.
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3
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The “total return” is the number, expressed as a percentage, that results
from comparing the payment at maturity per $10 principal amount Security to the purchase price of $9.75 per Security, which is
the purchase price for investors in advisory accounts. See “Supplemental Plan of Distribution” on page PS-13 of this
pricing supplement.
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Example 1
— The closing level of the Underlying Index increases 5.00% from the Index Starting Level of 1,691.65 to an Index Ending Level of 1,776.23, resulting in an Index Return of 5.00%.
Because the Index Return of 5.00% is positive and such Index Return multiplied by 1.5 is less than the Maximum Gain of 29.07%, the Issuer will pay a payment at maturity calculated as follows per $10 principal amount Security:
$10 + [$10 x the lesser of (a) Index Return x Multiplier and (b) the Maximum Gain]
$10+ [$10 x 5.00% x 1.5] = $10 + $0.75 = $10.75
The payment at maturity of $10.75 per $10 principal amount Security represents a return on the principal amount of 7.50%,
which corresponds to a total return on the Securities of 7.50% for brokerage account holders and 10.26% for advisory account holders.
PS-5
Example 2
— The closing level of the Underlying Index increases 30.00% from the Index Starting Level of 1,691.65 to an Index Ending Level of 2,199.15, resulting in an Index Return of 30.00%.
Because the Index Return of 30.00% is positive and such Index Return multiplied by 1.5 is greater than the Maximum Gain of 29.07%, the Issuer will pay a payment at maturity calculated as follows per $10 principal amount
Security:
$10 + [$10 x the lesser of (a) Index Return x Multiplier and (b) the Maximum Gain]
$10+ [$10 x 29.07%] = $10 + $2.907 = $12.907
The payment at maturity of $12.907 per $10 principal amount Security, which is the maximum payment on the Securities, represents a return on the principal amount equal to the Maximum Gain of 29.07%, which corresponds to a
total return on the Securities of 29.07% for brokerage account holders and 32.38% for advisory account holders.
Example 3
— The closing level of the Underlying Index decreases 5.00% from the Index Starting Level of 1,691.65 to an Index Ending Level of 1,607.07, resulting in an Index Return of -5.00%.
Because the Index Return is negative and the Index Ending Level is equal to or greater than the Trigger Level, the Issuer will repay the full principal amount at maturity of $10.00 per $10 principal amount Security.
The payment at maturity of $10.00 per $10 principal amount Security represents a return on the principal amount of 0.00%, which corresponds to a total return on the Securities of 0.00% for brokerage account holders and 2.56%
for advisory account holders.
Example 4
— The closing level of the Underlying Index decreases 40.00% from the Index Starting Level of 1,691.65 to an Index Ending Level of 1,014.99, resulting in an Index Return of -40.00%.
Because the Index Return is negative and the Index Ending Level is less than the Trigger Level, the Issuer will pay a payment at maturity calculated as follows per $10 principal amount Security:
$10 + [$10 x Index Return]
$10 + [$10 x -40.00%] = $10 + -$4.00 = $6.00
The payment at maturity of $6.00 per $10 principal amount Security represents a loss on the principal amount of 40%, which is equal to the Index Return of -40.00%, and corresponds to a total loss on the Securities of 40.00%
for brokerage account holders and 38.46% for advisory account holders.
If the Index Ending Level is below the Trigger Level, at maturity the Issuer will pay less than the full principal amount, if anything, resulting in a loss of principal that is proportionate to the full depreciation of the
Underlying Index from the Trade Date to the Final Valuation Date.
PS-6
What are the material tax consequences of the Securities?
The material tax consequences of your investment in the Securities are summarized below. The discussion below supplements the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying
prospectus supplement. Except as noted under “Non-U.S. Holders” below, this section applies to you only if you are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Securities as capital assets for tax
purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Securities in the initial issuance
of the Securities).
The U.S. federal income tax consequences of your investment in the Securities are uncertain and the Internal Revenue Service could assert that the Securities should be taxed in a manner that is different than described below.
Pursuant to the terms of the Securities, 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 Securities as a pre-paid cash-settled executory contract with
respect to the Underlying Index. If your Securities are so treated, you should generally recognize capital gain or loss upon the sale or maturity of your Securities in an amount equal to the difference between the amount you receive at such time and the
amount you paid for your Securities. Such gain or loss should generally be long-term capital gain or loss if you have held your Securities for more than one year.
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Securities in the manner described above. This opinion assumes that the description of the terms of the Securities in
this pricing supplement is materially correct.
As discussed further in the accompanying prospectus supplement, the Treasury Department and the Internal Revenue Service are actively considering various alternative treatments that may apply to instruments such as the
Securities, possibly with retroactive effect.
For a further discussion of the tax treatment of your Securities as well as possible alternative characterizations, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations —
Certain Notes Treated as Forward Contracts or Executory Contracts” in the accompanying prospectus supplement. You should consult your tax advisor as to the possible alternative treatments in respect of the Securities. For additional, important
considerations related to tax risks associated with investing in the Securities, you should also examine the discussion in “Key Risks — Taxes”, in this pricing supplement.
“Specified Foreign Financial Asset”
Reporting. Under legislation enacted in 2010, owners of “specified foreign financial assets” with an aggregate value in excess of $50,000 (and in some
circumstances, a higher threshold) may be required to file an information report with respect to such assets with their tax returns. “Specified foreign financial assets” generally include any financial accounts maintained by foreign financial
institutions, as well as any of the following (which may include your Securities), 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 Securities.
Non-U.S. Holders.
The Treasury Department has issued proposed regulations under Section 871(m) of the Internal Revenue Code which could ultimately require us to treat all or a portion of any payment in respect of your
Securities as a “dividend equivalent” payment that is subject to withholding tax at a rate of 30% (or a lower rate under an applicable treaty). You could also be required to make certain certifications in order to avoid or minimize such
withholding obligations, and you could be subject to withholding (subject to your potential right to claim a refund from the Internal Revenue Service) if such certifications were not received or were not satisfactory. You should consult your tax advisor
concerning the potential application of these regulations to payments you receive with respect to the Securities when these regulations are finalized.
Key Risks
An investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing directly in the Underlying Index or the component stocks of the Underlying Index. Some of the risks that
apply to an investment in the Securities offered hereby are summarized below, but we urge you to read the more detailed explanation of risks relating to the Securities generally in the “Risk Factors” section of the prospectus supplement. You
should reach an investment decision only after you have carefully considered with your advisors the suitability of an investment in the Securities in light of your particular circumstances.
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You Risk Losing Some or All of Your Principal
— The Securities differ
from ordinary debt securities in that the Issuer will not necessarily repay the full principal amount of the Securities. The Issuer
will only pay you the principal amount of your Securities if the Index Ending Level is greater than or equal to the Trigger Level
and will only make such payment at maturity. If the Index Ending Level is below the Trigger Level, meaning the Index Return is
less than -25%, you will be exposed to the full negative Index Return and the Issuer will pay you less than the full principal
amount, if anything, resulting in a loss of the principal amount that is proportionate to the depreciation of the Underlying Index
from the Trade Date to the Final Valuation Date. Accordingly, if the Index Ending Level has declined by more than 25% from the
Index Starting Level over the term of the Securities, you risk losing 100% of your principal.
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Contingent Repayment of Principal Applies Only If You Hold the Securities to Maturity
— Barclays Bank PLC will pay you at least the principal amount of your Securities under the certain limited circumstances
described in this pricing supplement only if you hold your Securities to maturity. The market value of the Securities may fluctuate
between the date you purchase them and the Final Valuation Date. If you are able to sell your Securities in the secondary market
prior to maturity, you may have to sell them at a loss even if the level of the Underlying Index is above the Trigger Level. You
should be willing to hold your Securities to maturity. Contingent repayment of principal at maturity is subject to the creditworthiness
of Barclays Bank PLC and is not, either directly or indirectly, an obligation of any third party.
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PS-7
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The Multiplier Applies Only if You Hold the Securities to Maturity
—
You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary
market, the price you receive will likely not reflect the full economic value of the Multiplier or the Securities themselves,
and the return you realize may be less than 1.5 times the Underlying Index’s return even if such return is positive and
does not exceed the Maximum Gain. You can receive the full benefit of the Multiplier and earn the potential Maximum Gain on the
principal amount from the Issuer only if you hold your Securities to maturity.
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Your Maximum Return on the Securities Is Limited by the Maximum Gain
—
If the Index Ending Level is greater than the Index Starting Level, for each $10 principal amount of Securities, the Issuer will
pay you at maturity $10 plus an additional amount that will not exceed a predetermined percentage of the principal amount, regardless
of the appreciation of the Underlying Index, which may be significant. We refer to this percentage as the Maximum Gain, which
is equal to 29.07%. Therefore, you will not benefit from any positive Index Return in excess of an amount that, when multiplied
by the Multiplier, exceeds the Maximum Gain, and your return on the Securities may be less than the return on a direct investment
in the Underlying Index or its underlying components.
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Credit of Issuer
— The Securities are unsecured debt obligations of the
Issuer, Barclays Bank PLC and are not, either directly or indirectly, an obligation of any third party. Any payment to be made
on the Securities, including any repayment of principal, depends on the ability of Barclays Bank PLC to satisfy its obligations
as they come due. As a result, the actual and perceived creditworthiness of Barclays Bank PLC may affect the market value of the
Securities and, in the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you
under the terms of the Securities and you could lose your entire investment.
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Owning the Securities is Not the Same as Owning the Stocks Comprising the Index
— The return on your Securities may not reflect the return you would realize if you actually owned the stocks included
in the Index. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions
or other rights that holders of stocks included in the Index would have.
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No Interest Payments
— The Issuer will not make periodic interest payments
on the Securities, and the return on the Securities is limited to the performance of the Underlying Index from the Trade Date
to the Final Valuation Date.
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Dealer Incentives
— We, our affiliates and agents act in various capacities
with respect to the Securities. We and other of our affiliates may act as a principal, agent or dealer in connection with the
Securities. Such affiliates, including the sales representatives, will derive compensation from the distribution of the Securities
and such compensation may serve as an incentive to sell these Securities instead of other investments. We will pay compensation
of $0.25 per Security to the principals, agents and dealers in connection with the distribution of the Securities to brokerage
accounts. No compensation will be paid in connection with the distribution of Securities to advisory accounts.
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Limited Liquidity
— The Securities will not be listed on any securities
exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer to purchase the Securities in the secondary
market but are not required to do so and may cease any such market making activities at any time. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Because other dealers are not
likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities 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 Securities.
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Potential Conflicts
— We and our affiliates play a variety of roles in
connection with the issuance of the Securities, including acting as calculation agent and hedging our obligations under the Securities.
In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse
to your interests as an investor in the Securities.
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Taxes
— The U.S. federal income tax treatment of the Securities is uncertain
and the Internal Revenue Service could assert that the Securities should be taxed in a manner that is different than described
above. As discussed further in the accompanying prospectus supplement, the Internal Revenue Service issued a notice in 2007 indicating
that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue interest
over the term of an instrument such as the Securities and whether all or part of the gain you may recognize upon the sale or maturity
of an instrument such as the Securities should be treated as ordinary income. Similarly, the Internal Revenue Service and the
Treasury Department have current projects open with regard to the tax treatment of pre-paid forward contracts and contingent notional
principal contracts. While it is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments
such as the Securities (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 Securities even though you will not receive any payments with respect to the Securities until maturity. The outcome
of this process is uncertain. You should consult your tax advisor as to the possible alternative treatments in respect of
the Securities.
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Potentially Inconsistent Research, Opinions or Recommendations by Barclays, UBS
Financial Services Inc. or Their Respective Affiliates
— Barclays, UBS Financial Services Inc. or their respective affiliates
and agents may publish research from time to time on financial markets and other matters that may influence the value of the Securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. Any research,
opinions or recommendations expressed by Barclays, UBS Financial Services Inc. or their respective affiliates or agents may not
be consistent with each other and may be modified from time to time without notice. You should make your own independent investigation
of the merits of investing in the Securities and the Underlying Index.
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Potential Barclays Bank PLC Impact on Price
— Trading or transactions
by Barclays Bank PLC or its affiliates in the stocks composing the Underlying Index, or in futures, options, exchange traded funds
or other derivative products on the stocks comprising the Index may adversely affect the market value of the stocks comprising
the Underlying Index, the level of the Underlying Index, and, therefore, the market value of the Securities.
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PS-8
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The Payment at Maturity on Your Securities is Not Based on the Level of the Underlying
Index at Any Time Other than the Final Valuation Date
— The Index Ending Level and the Index Return will be based solely
on the closing level of the Underlying Index on the Final Valuation Date (subject to adjustments as described in the prospectus
supplement). Therefore, if the level of the Underlying Index drops precipitously on the Final Valuation Date, the payment at maturity
on your Securities that the Issuer pays you may be significantly less than it would otherwise have been had the payment at maturity
been linked to the level of the Underlying Index at a time prior to such drop. Although the level of the Underlying Index on the
maturity date or at other times during the life of your Securities may be higher than the level of the Underlying Index on the
Final Valuation Date, you will not benefit from the level of the Underlying Index at any time other than the Final Valuation Date.
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The Estimated Value of Your Securities Might Be Lower If Such Estimated Value Were
Based on the Levels at which Our Debt Securities Trade in the Secondary Market
— The estimated value of your Securities
on the Trade Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary
from the levels at which our benchmark debt securities trade in the secondary market. As a result of this difference, the estimated
value referenced above may be lower if such estimated value were based on the levels at which our benchmark debt securities trade
in the secondary market. Also, this difference in funding rate as well as certain factors, such as sales commissions, selling
concessions, estimated costs and profits mentioned below, reduces the economic terms of the Securities to you.
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The Estimated Value of Your Securities is Lower than the Initial Issue Price of
Your Securities
— The estimated value of your Securities on the Trade Date is lower than the initial issue price of
your Securities. The difference between the initial issue price of your Securities and the estimated value of the Securities is
a result of certain factors, such as any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any
selling concessions, discounts, commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit
that we or any of our affiliates expect to earn in connection with structuring the Securities, the estimated cost which we may
incur in hedging our obligations under the Securities, and estimated development and other costs which we may incur in connection
with the Securities.
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The Estimated Value of the Securities is Based on Our Internal Pricing Models,
which May Prove to be Inaccurate and may be Different from the Pricing Models of Other Financial Institutions
— The
estimated value of your Securities on the Trade Date is based on our internal pricing models, which take into account a number
of variables and are based on a number of subjective assumptions, which may or may not materialize. These variables and assumptions
are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions’
pricing models and the methodologies used by us to estimate the value of the Securities may not be consistent with those of other
financial institutions which may be purchasers or sellers of Securities in the secondary market. As a result, the secondary market
price of your Securities may be materially different from the estimated value of the Securities determined by reference to our
internal pricing models.
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The Estimated Value of Your Securities is not a Prediction of the Prices at which
You May Sell Your Securities in the Secondary Market, if any, and Such Secondary Market Prices, If Any, Will Likely be Lower than
the Initial Issue Price of Your Securities and may be Lower than the Estimated Value of Your Securities
— The estimated
value of the Securities will not be a prediction of the prices at which Barclays Capital Inc., other affiliates of ours or third
parties may be willing to purchase the Securities from you in secondary market transactions (if they are willing to purchase,
which they are not obligated to do). The price at which you may be able to sell your Securities 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 Securities. Further, as secondary market prices of
your Securities take into account the levels at which our debt securities trade in the secondary market, and do not take into
account our various costs related to the Securities such as fees, commissions, discounts, and the costs of hedging our obligations
under the Securities, secondary market prices of your Securities will likely be lower than the initial issue price of your Securities.
As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the
Securities from you in secondary market transactions, if any, will likely be lower than the price you paid for your Securities,
and any sale prior to the maturity date could result in a substantial loss to you.
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The Temporary Price at which We May Initially Buy the Securities in the Secondary
Market and the Value We May Initially Use for Customer Account Statements, If We Provide Any Customer Account Statements At All,
may not be Indicative of Future Prices of Your Securities
— Assuming that all relevant factors remain constant after
the Trade Date, the price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market (if
Barclays Capital Inc. makes a market in the Securities, which it is not obligated to do) and the value that we may initially use
for customer account statements, if we provide any customer account statements at all, may exceed our estimated value of the Securities
on the Trade Date, as well as the secondary market value of the Securities, for a temporary period after the initial issue date
of the Securities. The price at which Barclays Capital Inc. may initially buy or sell the Securities in the secondary market and
the value that we may initially use for customer account statements may not be indicative of future prices of your Securities.
Please see “Additional Information Regarding Our Estimated Value of the Securities” on page PS-2 for further information.
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We and Our Affiliates May Engage in Various Activities or Make Determinations That
Could Materially Affect Your Securities in Various Ways and Create Conflicts of Interest
— We and our affiliates establish
the offering price of the Securities for initial sale to the public, and the offering price is not based upon any independent
verification or valuation. Additionally, the role played by Barclays Capital Inc., as a dealer in the Securities, could present
it with significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Securities. For example, Barclays
Capital Inc. or its representatives may derive compensation or financial benefit from the distribution of the Securities and such
compensation or financial benefit may serve as an incentive to sell these Securities instead of other investments. We may pay
dealer compensation to any of our affiliates acting as agents or dealers in connection with the distribution of the Securities.
Furthermore, we and our affiliates make markets in and trade various financial instruments or products for their own accounts
and for the account of their clients and otherwise provide investment banking and other financial services with respect to these
financial instruments and products. These financial instruments and products may include securities, instruments or assets that
may serve as the underliers, basket underliers or constituents of the underliers of the Securities. Such market making, trading
activities, other investment banking and financial services may negatively impact the value of the Securities. Furthermore, in
any such market making, trading activities, and other services, we or our affiliates may take positions or take actions that are
inconsistent with, or adverse to, the investment objectives of the holders of the Securities. We and our affiliates have no obligation
to take the needs of any buyer, seller or holder of the Securities into account in conducting these activities.
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Many Economic and Market Factors Will Affect the Value of the Securities
—
In addition to the level of the Underlying Index on any day, the value of the Securities 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 Underlying Index;
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the time to maturity of the Securities;
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the market price and dividend rate on the component stocks of the Underlying Index;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Securities; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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PS-10
S&P 500
®
Index
All information regarding the S&P 500
®
Index (referred to in this section as the “Index) set forth in this pricing supplement reflects the policies of, and is subject to change by, S&P Dow Jones
Indices LLC (“S&P Dow Jones Indices”). The Index is calculated, maintained and published by S&P Dow Jones Indices. The Index is reported by Bloomberg under the ticker symbol “SPX <Index>”.
The Index is intended to provide an indication of the pattern of stock price movement in the U.S. equities market. The daily calculation of the level of the Index, discussed below in further detail, is based on the aggregate
market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
Composition of the Index
S&P Dow Jones Indices chooses companies for inclusion in the Index with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population
of the U.S. equities market. Relevant criteria employed by S&P Dow Jones Indices for new additions include the financial viability of the particular company, the extent to which that company represents the industry group to which it is assigned,
adequate liquidity and reasonable price, an unadjusted market capitalization of US$4.0 billion or more, U.S. domicile, a public float of at least 50% and company classification (i.e. U.S. common equities listed on the NYSE and the NASDAQ stock market and
not closed-end funds, holding companies, tracking stocks, partnerships, investment vehicles, royalty trusts, preferred shares, unit trusts, equity warrants, convertible bonds or investment trusts). The ten main groups of companies that comprise the Index
include: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecommunication Services and Utilities. S&P Dow Jones Indices may from time to time, in its sole discretion, add
companies to, or delete companies from, the Index to achieve the objectives stated above.
The Index does not reflect the payment of dividends on the stocks included in the Index. Because of this the return on the Securities will not be the same as the return you would receive if you were to purchase those stocks
and hold them for a period equal to the term of the Securities.
Computation of the Index
As of September 16, 2005, S&P Dow Jones Indices has used a full float-adjusted formula to calculate the Index. With a float-adjusted index, the share counts used in calculating the Index will reflect only those shares that
are available to investors, not all of a company’s outstanding shares.
The float-adjusted Index is calculated as the quotient of (1) the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor
(“IWF”) and (2) the index divisor.
The investable weight factor is calculated by dividing (1) the available float shares by (2) the total shares outstanding. Available float shares reflect float adjustments made to the total shares outstanding. Float
adjustments seek to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the stock’s price and their
evaluation of the company’s future prospects.
Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies. Generally, these “control holders” will include officers and directors, private
equity, venture capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted shares, employee stock option plans, employee and family trusts, foundations associated with the
company, holders of unlisted share classes of stock, government entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However,
holdings by certain asset managers, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds,
independent foundations and savings and investment plans, will ordinarily be considered part of the float. Effective as of September 2012, all shareholdings representing more than 5% of a stock’s outstanding shares, other than holdings by these
asset managers, were removed from the float for purposes of calculating the Index.
Treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust to allow investors in countries outside
the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class
are treated as a control block.
For each stock, the IWF is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control holders. This
calculation is subject to a 5% minimum threshold for control blocks. For example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the company’s shares, S&P Dow Jones
Indices would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares,
S&P Dow Jones Indices would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control. For companies with multiple classes of stock, the multiple classes are combined into one
class with an adjusted share count. In these cases, the stock price is based on one class, usually the most liquid class, and the share count is based on the total shares outstanding.
Changes in a company’s total shares outstanding of 5.0% or more due to public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably possible. Other changes of 5.0% or more (for
example, due to company stock repurchases, private placements, an acquisition of a privately held company, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations, or other recapitalizations) are made
weekly and are announced on Wednesdays for implementation after the close of trading on the following Wednesday (one week later). Changes of less than 5.0% are accumulated and made quarterly on the third Friday of March, June, September, and
December.
PS-11
Changes due to mergers or acquisitions of publicly held companies are made as soon as reasonably possible, regardless of the size of the change, although de minimis merger and acquisition share changes may be accumulated and
implemented with the quarterly share rebalancing. Corporate actions such as stock splits, stock dividends, spinoffs and rights offerings are generally applied after the close of trading on the day prior to the ex-date. Share changes resulting from
exchange offers are made on the ex-date. Changes in investable weight factors of more than five percentage points caused by corporate actions will be made as soon as possible. Changes in investable weight factors of less than five percentage points will
be made annually, in September when revised investable weight factors are reviewed. A share freeze is implemented the week of the rebalancing effective date, the third Friday of the last month of each quarter, during which shares are not changed except
for certain corporate actions (merger activity, stock splits, rights offerings and certain dividend payable events).
As discussed above, the value of the Index is the quotient of (1) the total float-adjusted market capitalization of the Index’s constituents (i.e., the sum of the products of (a) the price of each common stock, (b) the
total shares outstanding of each common stock and (c) the investable weight factor) and (2) the index divisor. Continuity in index values is maintained by adjusting the divisor for all changes in the constituents’ share capital after the base date,
which is the period from 1941 to 1943. This includes additions and deletions to the index, rights issues, share buybacks and issuances, and spin-offs. The index divisor’s time series is, in effect, a chronological summary of all changes affecting
the base capital of the Index since the base date. The index divisor is adjusted such that the index value at an instant just prior to a change in base capital equals the index value at an instant immediately following that change. Some corporate
actions, such as stock splits require simple changes in the common shares outstanding and the stock prices of the companies in the Index and do not require adjustments to the index divisor.
Additional information on the Index is available on the following website: http://us.spindices.com. Information included on this website is not part of, or incorporated by reference in, this pricing supplement.
License Agreement
“Standard & Poor’s
®
, S&P 500
®
and S&P
®
are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow
Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by
Barclays Bank PLC. The S&P 500
®
Index (the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by Barclays Bank PLC.
The Securities are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones
Indices makes no representation or warranty, express or implied, to the owners of the Securities or any member of the public regarding the advisability of investing in securities generally or in the Securities particularly or the ability of the Index to
track general market performance. S&P Dow Jones Indices’ only relationship to Barclays Bank PLC with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or
its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices and/or its third party licensor(s) without regard to Barclays Bank PLC or the Securities. S&P Dow Jones Indices has no obligation to take the
needs of Barclays Bank PLC or the owners of the Securities into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of
the Securities or the timing of the issuance or sale of the Securities or in the determination or calculation of the equation by which the Securities are to be converted into cash. S&P Dow Jones Indices has no obligation or liability in connection
with the administration, marketing or trading of the Securities. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an
investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. In addition, CME Group Inc. and its affiliates may trade
financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the Index and the Securities.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND
EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO
ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P
DOW JONES INDICES AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
PS-12
Historical Information
The following graph sets forth the historical performance of the S&P 500
®
Index based on the daily closing levels of the S&P 500
®
Index from January 1, 2003 through July 26, 2013. The closing level of the S&P
500
®
Index on July 26, 2013 was 1,691.65.
We obtained the closing levels of the S&P 500
®
Index below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg, L.P. The historical levels of the S&P
500
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level on any day during the term of the Securities, including on the Final Valuation Date. We cannot give you assurance
that the performance of the S&P 500
®
Index will result in the return of any of your initial investment.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.