Subject to Completion
Preliminary Pricing Supplement dated April 29, 2013
Amendment No. 1: This Amendment No. 1, dated May 7, 2013, is being filed solely to correct the expected Initial Valuation Date for the Notes.
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$[
]
Contingent Quarterly Payment Callable Yield Notes
due
May 31, 2018 Linked to the Lesser Return of the EURO STOXX 50
®
Index and the Russell 2000
®
Index
Global Medium-Term Notes, Series
A, No. E-7861
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Terms used in this preliminary pricing supplement, but not defined herein, shall have the meanings ascribed to them in
the prospectus supplement.
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Issuer:
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Barclays Bank PLC
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Initial Valuation Date:
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May 28, 2013
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Issue Date:
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May 31, 2013
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Final Valuation Date*:
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May 25, 2018
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Maturity Date**:
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May 31, 2018
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Denominations:
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Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof
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Reference Assets:
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EURO STOXX 50
®
Index (the EURO STOXX
50 Index) and Russell 2000
®
Index (the Russell 2000 Index)
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Index
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Bloomberg Ticker
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Initial Level
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Barrier Level
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Coupon Barrier Level
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EURO STOXX 50 Index
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SX5E<Index>
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[
]
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[
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[
]
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Russell 2000 Index
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RTY<Index>
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[
]
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[
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[
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The EURO STOXX 50 Index and the Russell 2000 Index are each referred to in this preliminary pricing supplement as an Index and collectively as the
Indices.
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Quarterly Contingent Rate:
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2.25% (equal to an annualized rate of 9.00%)
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Quarterly Contingent Payment:
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On each Quarterly Contingent Payment Date, unless the Notes have been previously redeemed (pursuant to the Early Redemption at the Option of the Issuer provision), you
will receive a Quarterly Contingent Payment equal to the Quarterly Contingent Rate
times
the principal amount of your Notes
if and only if
the Closing Level of the Lesser Performing Index on the related Valuation Date is greater than
or equal to its Coupon Barrier Level.
If the Closing Level of the Lesser Performing Index on any quarterly Valuation Date is less than its Coupon Barrier Level, you will
not
receive any Quarterly Contingent Payment on the
related Quarterly Contingent Payment Date, and if the Closing Level of the Lesser Performing Index is less than its Coupon Barrier Level on all Valuation Dates, you will not receive any Quarterly Contingent Payments over the term of the Notes.
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Valuation Dates:
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The 25
th
day of each February, May, August and November (or if such day is not an Index Business Day, the next following Index Business Day), beginning on August 26, 2013 and ending on May 25, 2018 (the
final valuation date), subject to postponement for certain market disruption events.
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Quarterly Contingent Payment Dates:***
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The Quarterly Contingent Payment date for any Valuation Date will be the fifth Business Day after such Valuation Date, except that the Quarterly Contingent Payment date for the
Final Valuation Date will be the Maturity Date.
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Early Redemption at the Option of the Issuer:
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Beginning on the Quarterly Contingent Payment Date following the Valuation Date scheduled to occur in May 2014, and on each Quarterly Contingent Payment Date thereafter, the Issuer
may redeem your Notes (in whole but not in part) at its sole discretion without your consent at the Redemption Price set forth below, provided the Issuer gives at least five business days prior written notice to the trustee. If the Issuer
exercises its redemption option, the Quarterly Contingent Payment Date on which the Issuer so exercises the redemption option will be referred to as the Early Redemption Date.
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Redemption Price:
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If the Issuer exercises its redemption option on any Quarterly Contingent Payment Date that it may exercise such option (pursuant to the Early Redemption at the Option of the
Issuer provision), you will receive on the applicable Early Redemption Date 100% of the principal amount of your Notes together with any Quarterly Contingent Payment that may be due on such date.
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Business Day Convention:
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Following; Unadjusted
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Business Day
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New York and London
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Payment at Maturity:
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If your Notes are not early redeemed by us pursuant to the Early Redemption at the Option of the Issuer provisions, you will
receive (subject to our credit risk), in addition to the final Quarterly Contingent Payment, a cash payment determined as follows:
If the Final Level of the Lesser Performing Index is
greater than or equal to the Barrier Level with respect to such Index, $1,000 per $1,000 principal amount Note that you hold.
If the Final Level of the Lesser Performing Index is less
than the Barrier Level with respect to such Index, an amount per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 × Index Return of the Lesser Performing Index]
You may lose some or all of the principal amount of your Notes at
maturity. If the Final Level of the Lesser Performing Index is less than the Barrier Level with respect to such Index, your Notes will be fully exposed to any decline in the level of the Lesser Performing Index from its Initial Level to its Final
Level. If the Final Level of the Lesser Performing Index is less than the Barrier Level with respect to such Index, the payment at maturity will be based solely on the Index Return of the Lesser Performing Index, and the performance of the Index
that is not the Lesser Performing Index will not be taken into account for purposes of calculating any payment at maturity under the Notes. Any payment on the Notes, including any payment due at maturity, is subject to the creditworthiness of the
Issuer and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see Credit of Issuer in this preliminary pricing
supplement.
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Closing Level:
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With respect to the EURO STOXX 50 Index, for any Index Business Day, the closing value of the EURO STOXX 50 Index published at the
regular weekday close of trading on that Index Business Day as displayed on Bloomberg Professional
®
service page
SX5E <Index> or any successor page on Bloomberg Professional
®
service or any successor
service, as applicable.
With respect to the Russell 2000 Index, for any Index Business Day, the closing value of the Russell 2000 Index
published at the regular weekday close of trading on that Index Business Day as displayed on Bloomberg
Professional
®
service page RTY <Index> or any successor page on Bloomberg Professional
®
service or any successor service, as applicable.
In certain circumstances, the closing value of an Index will be based on the alternate calculation of the Index as described in Reference AssetsAdjustments Relating to Securities with the
Reference Asset Comprised of an Index or Indices of the accompanying Prospectus Supplement.
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Coupon Barrier Level:
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With respect to an Index, 70.00% of its corresponding Initial Level. The Coupon Barrier Level for each Index is set forth in the table above, which appears under the caption
Reference Assets.
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Barrier Level:
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With respect to an Index, 60.00% of its corresponding Initial Level. The Barrier Level for each Index is set forth in the table above, which appears under the caption
Reference Assets.
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Index Business Day:
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With respect to an Index, a day, as determined by the Calculation Agent, on which each of the relevant exchanges on which each Index component is traded is scheduled to be open for
trading and trading is generally conducted on each such relevant exchange.
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Business Day:
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Any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or London generally, are authorized or obligated by
law or executive order to close.
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Lesser Performing Index:
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The Index with the lower Index Return, as calculated in the manner set forth below.
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Index Return:
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With respect to each Index and with respect to each Valuation Date (including the Final Valuation Date), the performance of such Index
from its Initial Level to its Closing Level on such day, calculated as follows:
Closing Level Initial Level
Initial Level
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Initial Level:
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With respect to each Index, the Closing Level of such Index on the Initial Valuation Date, as set forth in the table above under the caption Reference
Assets.
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Final Level:
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With respect to an Index, the Closing Level of the Index on the Final Valuation Date.
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Calculation Agent:
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Barclays Bank PLC
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CUSIP/ISIN:
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06741TTT4 and US06741TTT42
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*
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Subject to postponement in the event of a market disruption event with respect to either Index described under Reference AssetsIndicesMarket
Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the prospectus supplement
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**
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Subject to postponement in the event of a market disruption event with respect to either Index and as described under Terms of the Notes Maturity
Date and Reference AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the prospectus supplement.
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***
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If such day is not a Business Day, payment will be made on the immediately following Business Day with the same force and effect as if made on the specified date. No
additional interest will accrue as a result of delayed payment.
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Investing in the Notes involves a
number of risks. See Risk Factors beginning on page S-6 of the prospectus supplement, Risk Factors beginning on page IS-2 of the index supplement and
Selected Risk Considerations
beginning on page PPS-10 of this preliminary 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 preliminary pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
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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3.00%
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97.00%
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Total
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$
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$
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$
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Barclays Capital Inc. will receive commissions from the Issuer equal to 3.00% of the principal amount of the Notes, or $30.00 per $1,000 principal amount, and may
retain all or a portion of these commissions or use all or a portion of these commissions to pay selling concessions or fees to other dealers.
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Dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions or fees or commissions. In such circumstances, Barclays Capital Inc. will also
forgo some or all commissions paid to it by the Issuer. As such, the public offering price for investors purchasing the Notes in fee-based advisory accounts may be as low as $970.00 per Note.
You may revoke your offer to purchase the Notes at any time prior to the pricing as described on the
cover of this preliminary pricing supplement. We reserve the right to change the terms of, or reject any offer to purchase the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be
asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
ADDITIONAL TERMS SPECIFIC TO THE NOTES
You should read this preliminary pricing supplement
together with the prospectus dated August 31, 2010, as supplemented by the prospectus supplement dated May 27, 2011 and the index supplement dated May 31, 2011 relating to our Global Medium-Term Notes, Series A, of which these Notes
are a part. This preliminary pricing supplement, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or
indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under Risk
Factors in the prospectus supplement and the index supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in
the Notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our
filings for the relevant date on the SEC website):
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Prospectus dated August 31, 2010:
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http://www.sec.gov/Archives/edgar/data/312070/000119312510201448/df3asr.htm
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Prospectus Supplement dated May 27, 2011:
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http://www.sec.gov/Archives/edgar/data/312070/000119312511152766/d424b3.htm
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Index Supplement dated May 31, 2011:
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http://www.sec.gov/Archives/edgar/data/312070/000119312511154632/d424b3.htm
Our SEC file number is 1-10257. As used in this preliminary pricing supplement, the Company, we, us, or
our refers to Barclays Bank PLC.
HYPOTHETICAL QUARTERLY CONTINGENT PAYMENT EXAMPLES
The payment of a Quarterly Contingent Payment on any Quarterly Contingent Payment Date will be dependent on the Closing Level of each Index on the
related Valuation Date and the corresponding return of each Index as measured from that Valuation Date to the Initial Valuation Date. The Index with the lower Index Return on a Valuation Date will be deemed the Lesser Performing Index and the
corresponding Closing Level of such Index will be evaluated relative to the Coupon Barrier Level of such Index. If the Closing Level of the Lesser Performing Index on a Valuation Date is less than its corresponding Coupon Barrier Level, then there
will not be a Quarterly Contingent Payment made on the corresponding Quarterly Contingent Payment Date. Alternatively, if the Closing Level of the Lesser Performing Index on a Valuation Date is greater than or equal to its corresponding Coupon
Barrier Level, then a Quarterly Contingent Payment will be made on the corresponding Quarterly Contingent Payment Date.
If the Closing Level of the Lesser Performing Index on each Valuation Date is less than the corresponding Coupon Barrier Level
of such Index, then no Quarterly Contingent Payments will be made over the term of the Notes.
If the Issuer exercises the Early Redemption at the Option of the Issuer, no Quarterly Contingent Payments will be made following the date
of such exercise.
Quarterly Contingent Payment Calculations
Step 1: Determine Which Index is the Lesser Performing Index Based on the Index Return of each Index.
To determine which Index is the Lesser Performing Index on each Valuation Date, the Calculation Agent will need to calculate the Index Return of each Index on the respective Valuation Date. The Index
Return of each Index is equal to the performance of such Index as measured from its Initial Level to its Closing Level on such Valuation Date, calculated as follows:
Closing Level Initial Value
Initial Value
The Index with the lowest Index Return on such Valuation Date will be deemed the Lesser Performing Index.
PPS-2
Step 2: Determine Whether the Closing Level of the Lesser Performing Index is Greater
than or Equal to its Corresponding Coupon Barrier Level.
Upon determining which Index is the Lesser Performing Index, the Calculation
Agent will take the Closing Level of such Index and evaluate it relative to its Coupon Barrier Level (that is, whether the Closing Level on that day is greater than or equal to its applicable Coupon Barrier Level). If the Closing Level of the Lesser
Performing Index is greater than or equal to its corresponding Coupon Barrier Level, a Quarterly Contingent Payment will be made (as calculated in Step 3 below) and payable on the corresponding Quarterly Contingent Payment Date.
If the Closing
Level of the Lesser Performing Index is less than the corresponding Coupon Barrier Level of such Index, then no Quarterly Contingent Payment will be made on the corresponding Quarterly Contingent Payment Date.
Step 3: Calculate the Quarterly Contingent Payment, if Any:
If on the respective Valuation Date, the Closing Level of the Lesser Performing Index is greater than or equal to its corresponding Coupon Barrier level, we will pay a Quarterly Contingent Payment equal
to the Quarterly Contingent Rate
multiplied
by the stated of the stated principal amount; otherwise no Quarterly Contingent Payment will be due on the corresponding Quarterly Contingent Payment Date. The Quarterly Contingent Payment will be
calculated as follows:
1,000 × Quarterly Contingent Rate
1,000 × 2.25% = $22.50
No adjustments to the amount of the Quarterly Contingent Payment will be made in the event a Quarterly Contingent Payment Date is not a Business Day.
Payment will be made on the immediately following Business Day with the same force and effect as if made on the specified date.
Examples
of Quarterly Contingent Payment Calculations
The tables and examples below illustrate the determination as to whether a Quarterly
Contingent Payment will be made on a series of 20 hypothetical Valuation Dates. The hypothetical examples set forth below are based on the following assumptions: a total of 20 quarterly Valuation Dates; a Quarterly Contingent Rate of 2.25%
(equivalent to an annualized rate of 9.00%); the Notes are held until the Maturity Date and the Issuer has not exercised the Early Redemption at the Option of the Issuer; and no Market Disruption Event with respect to either of the
Indices has occurred or is continuing on any Valuation Date, including the Final Valuation Date. Numbers in the table and examples below have been rounded for ease of analysis. The examples below also do not take into account the effects of
applicable taxes.
Table 1
During the Term of the Note, On Certain Valuation Dates, the Closing Level of the Lesser
Performing Index has been Less Than its Respective Coupon Barrier Level and on Certain Valuation Dates, the Closing Level of the Lesser Performing Index has been Greater than or Equal to its Respective Coupon Barrier Level. As a Result, During the
Term of the Note on Certain Valuation Dates a Quarterly Contingent Payment Will Be Due and On Other Valuation Dates, No Quarterly Contingent Payment Will Be Due.
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Valuation Dates
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Is the Closing Level of
the Lesser Performing
Index Below its
Coupon
Barrier Level?
1
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Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
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No
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Yes
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2.25%
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$22.50
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Second
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Yes
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No
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0.00%
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$0.00
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Third
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Yes
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No
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0.00%
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$0.00
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Fourth
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No
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Yes
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2.25%
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$22.50
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Fifth
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Yes
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No
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0.00%
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$0.00
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Sixth
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No
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Yes
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2.25%
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$22.50
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Seventh
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No
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Yes
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2.25%
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$22.50
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Eighth
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Yes
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No
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0.00%
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$0.00
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Ninth
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No
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Yes
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2.25%
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$22.50
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Tenth
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No
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Yes
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2.25%
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$22.50
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Eleventh
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Yes
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No
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0.00%
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$0.00
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Twelfth
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Yes
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No
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0.00%
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$0.00
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Thirtieth
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No
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Yes
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2.25%
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$22.50
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Fourteenth
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Yes
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No
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0.00%
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$0.00
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Fifteenth
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No
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Yes
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2.25%
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$22.50
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Sixteenth
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No
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Yes
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2.25%
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$22.50
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Seventeenth
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Yes
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No
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0.00%
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$0.00
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Eighteenth
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Yes
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No
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0.00%
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$0.00
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Nineteenth
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Yes
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No
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0.00%
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$0.00
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Twentieth (Final Valuation Date)
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No
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Yes
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2.25%
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$22.50
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Total Quarterly Contingent Payments received per Note: $225.00
1
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For each Index, the Coupon Barrier Level is equal to 70.00% of its Initial Level.
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PPS-3
2
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A Quarterly Contingent Payment will be made if the Closing Level of the Lesser Performing Index on the related Valuation Date is greater than or equal
to its Coupon Barrier Level.
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3
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The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
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Table 2
With Respect to Each Valuation Date, the Closing Level of the Lesser Performing Index Has Been Greater than or Equal to its
Respective Coupon Barrier Level. This Example Illustrates the Maximum Possible Quarterly Contingent Payments that Would be Due During the Term of the Notes.
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Valuation Dates
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Is the Closing Level of
the Lesser Performing
Index Below its
Coupon
Barrier Level?
1
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Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
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No
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Yes
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2.25%
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$22.50
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Second
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No
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Yes
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2.25%
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$22.50
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Third
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No
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Yes
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2.25%
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$22.50
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Fourth
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No
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Yes
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2.25%
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$22.50
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Fifth
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No
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Yes
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2.25%
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$22.50
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Sixth
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No
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Yes
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2.25%
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$22.50
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Seventh
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No
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Yes
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2.25%
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$22.50
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Eighth
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No
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Yes
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2.25%
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$22.50
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Ninth
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No
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Yes
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2.25%
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$22.50
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Tenth
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No
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Yes
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2.25%
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$22.50
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Eleventh
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No
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Yes
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2.25%
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$22.50
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Twelfth
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No
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Yes
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2.25%
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$22.50
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Thirtieth
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No
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Yes
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2.25%
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$22.50
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Fourteenth
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No
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Yes
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2.25%
|
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$22.50
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Fifteenth
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No
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Yes
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2.25%
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$22.50
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Sixteenth
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No
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Yes
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2.25%
|
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$22.50
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Seventeenth
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No
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Yes
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2.25%
|
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$22.50
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Eighteenth
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No
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Yes
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2.25%
|
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$22.50
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Nineteenth
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No
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Yes
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2.25%
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$22.50
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Twentieth (Final Valuation Date)
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No
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Yes
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2.25%
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$22.50
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Total Quarterly Contingent Payments received per Note: $450.00
1
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For each Index, the Coupon Barrier Level is equal to 70.00% of its Initial Level.
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2
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A Quarterly Contingent Payment will be made if the Closing Level of the Lesser Performing Index on the related Valuation Date is greater than or equal
to its Coupon Barrier Level.
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3
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The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
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PPS-4
Table 3
With Respect to Each Valuation Date, the Closing Level of the Lesser Performing
Index Has Been Less than its Respective Coupon Barrier Level. This Example Illustrates the Minimum Possible Quarterly Contingent Payments that Would be Due During the Term of the Notes, Which is $0.00.
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Valuation Dates
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Is the Closing Level of
the Lesser Performing
Index Below its
Coupon
Barrier Level?
1
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Will a Quarterly
Contingent Payment be
Made?
2
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Quarterly
Contingent Rate
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Amount of Quarterly
Contingent Payment
(per $1,000 principal
amount)
3
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First
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Yes
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No
|
|
N/A
|
|
$0.00
|
Second
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Third
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Fourth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Fifth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Sixth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Seventh
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Eighth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Ninth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Tenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Eleventh
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Twelfth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Thirtieth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Fourteenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Fifteenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Sixteenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Seventeenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Eighteenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Nineteenth
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Twentieth (Final Valuation Date)
|
|
Yes
|
|
No
|
|
N/A
|
|
$0.00
|
Total Quarterly Contingent Payments received per Note: $0.00
1
|
For each Index, the Coupon Barrier Level is equal to 70.00% of its Initial Level.
|
2
|
A Quarterly Contingent Payment will be made if the Closing Level of the Lesser Performing Index on the related Valuation Date is greater than or equal
to its Coupon Barrier Level.
|
3
|
The Quarterly Contingent Payment per Note equals the Quarterly Contingent Rate
times
the $1,000 principal amount.
|
HYPOTHETICAL PAYMENT AT MATURITY CALCULATIONS
The following steps illustrate the hypothetical payment at maturity calculations. The hypothetical payment at maturity calculations set forth below are for illustrative purposes only and may not be the
actual payment at maturity applicable to a purchaser of the Notes. The numbers appearing in the following table have been rounded for ease of analysis. Note that, for purposes of the hypothetical payment at maturity calculations set forth below, we
are assuming that (i) the Initial Level of the EURO STOXX 50 Index is 2,683.43, (ii) the Initial Level of the Russell 2000 Index is 935.25, (iii) the Barrier Level with respect to the EURO STOXX 50 Index is 1,610.06 (the Initial Level
of the EURO STOXX 50 Index multiplied by 60.00%, rounded to the nearest hundredth), (iv) the Barrier Level with respect to the Russell 2000 Index is 561.15 (the Initial Level of the Russell 2000 Index multiplied by 60.00%, rounded to the
nearest hundredth), and (v) the Notes are not redeemed prior to maturity pursuant to Early Redemption at the Option of the Issuer as described above. The calculations set forth below do not take into account any tax consequences
from investing in the Notes.
Step 1: Determine Which Index is the Lesser Performing Index Based on the Index Return of each Index.
To determine which Index is the Lesser Performing Index on the Final Valuation Date, the Calculation Agent will need to calculate the
Index Return of each Index on such date. The Index Return of an Index is equal to the performance of such Index from its Initial Level to its Closing Level on the Final Valuation Date (referred to as the Final Level), calculated by the
Calculation Agent as follows:
Final Level Initial Level
Initial Level
The Index with
the lower Index Return will be the Lesser Performing Index and its Final Level will be evaluated relative to its Barrier Level to determine the payment due at maturity.
Step 2: Calculate the Payment at Maturity based on the Final Level and Index Return of the Lesser Performing Index.
The payment at maturity, in addition to the final Quarterly Contingent Payment, if any, will depend on whether the Final Level of the Lesser Performing Index is greater than, equal to or less than the
Barrier Level with respect to such Index. You will receive (subject to our credit risk) a payment at maturity equal to the principal amount of your Notes only if the Final Level of the Lesser Performing Index is greater than or equal to the Barrier
Level with respect to such Index.
If the Final Level of the Lesser Performing Index is less than the Barrier Level with respect to such
Index, you will receive (subject to our credit risk) a payment at maturity that is less, and possibly significantly less, than the principal amount of your Notes, calculated by the Calculation Agent as the sum of the (i) the principal amount of
your Notes, plus (ii) the product of (a) the principal amount of your Notes multiplied by (b) the Index Return of the Lesser Performing Index.
The payment at maturity will be based solely on the Index Return of the Lesser
Performing Index and the performance of the Index that is not the Lesser Performing Index will
PPS-5
not be taken into account for purposes of calculating any payment at maturity under the Notes. As such, if the Final Level of the Lesser Performing Index has depreciated by more than 40% relative
to its Initial Level, you may lose some or all of the principal amount of your Notes at maturity.
The following table illustrates the
hypothetical payments at maturity assuming a range of performances for the Indices:
|
|
|
|
|
|
|
|
|
|
|
Russell 2000
Index
Final Level
|
|
EURO STOXX
50 Index
Final Level
|
|
Russell 2000
Index Return
|
|
EURO
STOXX 50
Index Return
|
|
Index Return of
The Lesser
Performing
Index
|
|
Payment at Maturity*
(Not including any Quarterly
Contingent Payments)
|
1,917.26
|
|
5,366.86
|
|
105.00%
|
|
100.00%
|
|
100.00%
|
|
$1,000.00
|
1,776.98
|
|
5,232.69
|
|
90.00%
|
|
95.00%
|
|
90.00%
|
|
$1,000.00
|
1,730.21
|
|
4,830.17
|
|
85.00%
|
|
80.00%
|
|
80.00%
|
|
$1,000.00
|
1,589.93
|
|
4,696.00
|
|
70.00%
|
|
75.00%
|
|
70.00%
|
|
$1,000.00
|
1,543.16
|
|
4,293.49
|
|
65.00%
|
|
60.00%
|
|
60.00%
|
|
$1,000.00
|
1,402.88
|
|
4,159.32
|
|
50.00%
|
|
55.00%
|
|
50.00%
|
|
$1,000.00
|
1,356.11
|
|
3,756.80
|
|
45.00%
|
|
40.00%
|
|
40.00%
|
|
$1,000.00
|
1,215.83
|
|
3,622.63
|
|
30.00%
|
|
35.00%
|
|
30.00%
|
|
$1,000.00
|
1,169.06
|
|
3,220.12
|
|
25.00%
|
|
20.00%
|
|
20.00%
|
|
$1,000.00
|
1,028.78
|
|
3,005.44
|
|
10.00%
|
|
12.00%
|
|
10.00%
|
|
$1,000.00
|
935.25
|
|
2,683.43
|
|
0.00%
|
|
0.00%
|
|
0.00%
|
|
$1,000.00
|
1,028.78
|
|
2,549.26
|
|
10.00%
|
|
-5.00%
|
|
-5.00%
|
|
$1,000.00
|
1,776.98
|
|
2,549.26
|
|
90.00%
|
|
-5.00%
|
|
-5.00%
|
|
$1,000.00
|
953.96
|
|
2,146.74
|
|
2.00%
|
|
-20.00%
|
|
-20.00%
|
|
$1,000.00
|
701.44
|
|
2,280.92
|
|
-25.00%
|
|
-15.00%
|
|
-25.00%
|
|
$1,000.00
|
748.20
|
|
1,878.40
|
|
-20.00%
|
|
-30.00%
|
|
-30.00%
|
|
$1,000.00
|
607.91
|
|
1,878.40
|
|
-35.00%
|
|
-30.00%
|
|
-35.00%
|
|
$1,000.00
|
748.20
|
|
1,610.06
|
|
-20.00%
|
|
-40.00%
|
|
-40.00%
|
|
$1,000.00
|
514.39
|
|
1,610.06
|
|
-45.00%
|
|
-40.00%
|
|
-45.00%
|
|
$550.00
|
467.63
|
|
1,207.54
|
|
-50.00%
|
|
-55.00%
|
|
-55.00%
|
|
$450.00
|
561.15
|
|
1,073.37
|
|
-40.00%
|
|
-60.00%
|
|
-60.00%
|
|
$400.00
|
280.58
|
|
3,085.94
|
|
-70.00%
|
|
15.00%
|
|
-70.00%
|
|
$300.00
|
233.81
|
|
536.69
|
|
-75.00%
|
|
-80.00%
|
|
-80.00%
|
|
$200.00
|
93.53
|
|
402.51
|
|
-90.00%
|
|
-85.00%
|
|
-90.00%
|
|
$100.00
|
46.76
|
|
0.00
|
|
5.00%
|
|
-100.00%
|
|
-100.00%
|
|
$0.00
|
*
|
per $1,000 principal amount Note
|
The following
examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The EURO STOXX 50 Index increases
from an Initial Level of 2,683.43 to a Final Level of 3,005.44 and the Russell 2000 Index increases from an Initial Level of 935.25 to a Final Level of 1,028.78.
The Index Returns of both Indices are positive. The Final Level of the Lesser Performing Index is greater than or equal to its Barrier Level and the investor receives a payment at maturity of $1,000 per
$1,000 principal amount Note.
Example 2: The EURO STOXX 50 Index decreases from an Initial Level of 2,683.43 to a Final Level of 2,549.26
and the Russell 2000 Index increases from an Initial Level of 935.25 to a Final Level of 1,028.78.
Because the Index Return of the EURO
STOXX 50 Index is negative and the Index Return of the Russell 2000 Index is positive, the EURO STOXX 50 Index is the Lesser Performing Index. The Final Level of the Lesser Performing Index is equal to 2,549.26 which is greater than its Barrier
Level of 1,610.06. Because the Final Level of the Lesser Performing Index is not less than the Barrier Level with respect to such Index, the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note.
PPS-6
Example 3: The EURO STOXX 50 Index increases from an Initial Level of 2,683.43 to a Final Level of
3,085.94 and the Russell 2000 Index decreases from an Initial Level of 935.25 to a Final Level of 280.58.
Because the Index Return of the
Russell 2000 Index of -70.00% is less than the Index Return of the EURO STOXX 50 Index of 15.00%, the Russell 2000 Index is the Lesser Performing Index and the Index Return of the Lesser Performing Index is equal to -70.00%. The Final Level of the
Lesser Performing Index is equal to 280.58, which is less than its Barrier Level of 561.15. Because the Final Level of the Lesser Performing Index is less than the Barrier Level with respect to such Index, regardless of the positive Index Return of
the EURO STOXX 50 Index, the investor receives a payment at maturity of $300.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × Index Return of the Lesser Performing Index]
$1,000 +
[$1,000 × -70.00%] = $300.00
Example 4: The EURO STOXX 50 Index decreases from an Initial Level of 2,683.43 to a Final Level of
1,073.37 and the Russell 2000 Index decreases from an Initial Level of 935.25 to a Final Level of 561.15.
Because the Index Return of the
EURO STOXX 50 Index of -60.00% is lower than the Index Return of the Russell 2000 Index of -40.00%, the EURO STOXX 50 Index is the Lesser Performing Index and the Index Return of the Lesser Performing Index is equal to -60.00%. The Final Level of
the Lesser Performing Index is equal to 1,073.37, which is less than its Barrier Level of 1,610.06. Because the Final Level of the Lesser Performing Index is less than the Barrier Level with respect to such Index, the investor receives a payment at
maturity of $400.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × Index Return of the
Lesser Performing Index]
$1,000 + [$1,000 × -60.00%] = $400.00
SELECTED PURCHASE CONSIDERATIONS
|
|
|
Market Disruption Events and Adjustments
The Valuation Dates, the Maturity Date and the payment at maturity are subject to adjustment in
the event of a Market Disruption Event with respect to either Index. If the Calculation Agent determines that on a Valuation Date (including the Final Valuation Date), a Market Disruption Event occurs or is continuing in respect of either Index,
such Valuation Date will be postponed. If such postponement occurs, the Closing Levels of the Indices shall be determined using the Closing Levels of the Indices on the first following scheduled trading day on which no Market Disruption Event occurs
or is continuing in respect of either Index. In no event, however, will the Final Valuation Date be postponed by more than five scheduled trading days. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing in
respect of either Index on the fifth scheduled trading day, the Calculation Agent will determine the Closing Level of the Index unaffected by such Market Disruption Event using the Closing Level of such Index on such fifth scheduled trading day, and
will make an estimate of the Closing Level of the Index affected by such Market Disruption Event that would have prevailed on that fifth scheduled trading day in the absence of such Market Disruption Event.
|
|
|
|
For a description of what constitutes a Market Disruption Event with respect to an Index, see Reference AssetsIndicesMarket
Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities of the prospectus supplement; and
|
|
|
|
For a description of further adjustments that may affect the Indices, see Reference AssetsIndicesAdjustments Relating to Securities
with the Reference Asset Comprised of an Index of the prospectus supplement.
|
|
|
|
Exposure to the Equities Comprising the Respective Indices
The payment at maturity, if any, is linked to the Lesser Performing Index. As
such, the investor may be exposed to the performance (which may be negative) of either the EURO STOXX 50 Index or the Russell 2000 Index (depending on which is the Lesser Performing Index). The EURO STOXX 50 Index is comprised of fifty European
blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. For additional information about the EURO STOXX 50 Index, see Information Regarding the Indices Description of the EURO STOXX 50
®
Index below and Non-Proprietary IndicesEquity IndicesEURO STOXX 50
®
Index in the accompany index supplement.
|
The Russell 2000 Index is designed to track the performance of the small capitalization segment of the U.S. equity
market. For additional information about the Russell 2000 Index, see the information set forth under Information Regarding the IndicesDescription of the Russell 2000 Index in this preliminary pricing supplement.
|
|
|
Material U.S. Federal Income Tax Considerations
The material tax consequences of your investment in the Notes are summarized below. The
discussion below supplements the discussion under Certain U.S. Federal Income Tax Considerations in the accompanying prospectus supplement. Except as noted under Non-U.S. Holders below, this section
|
PPS-7
applies to you only if you are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are
a member of a class of holders subject to special rules or are otherwise excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Notes in the initial issuance of the Notes). In addition, this discussion
does not apply to you if you purchase your Notes for less than the principal amount of the Notes.
The U.S. federal income tax
consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described below. Pursuant to the terms of the Notes, Barclays Bank PLC and you
agree, in the absence of a change in law or an administrative or judicial ruling to the contrary, to characterize your Notes as a contingent income-bearing executory contract with respect to the Indices.
If your Notes are properly treated as a contingent income-bearing executory contract, it would be reasonable (i) to treat any
Quarterly Contingent Payments you receive on the Notes as items of ordinary income taxable in accordance with your regular method of accounting for U.S. federal income tax purposes and (ii) to recognize capital gain or loss upon the sale,
redemption or maturity of your Notes in an amount equal to the difference (if any) between the amount you receive at such time (other than amounts attributable to any Quarterly Contingent Payment) and your basis in the Notes for U.S. federal income
tax purposes. Such gain or loss should generally be long-term capital gain or loss if you have held your Notes for more than one year, and otherwise should generally be short-term capital gain or loss. Short-term capital gains are generally subject
to tax at the marginal tax rates applicable to ordinary income. Any character mismatch arising from your inclusion of ordinary income in respect of any Quarterly Contingent Payments and capital loss (if any) upon the sale, redemption or maturity of
your Notes may result in adverse tax consequences to you because an investor's ability to deduct capital losses is subject to significant limitations.
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described above. This opinion assumes that the description of the
terms of the Notes in these preliminary terms is materially correct.
NO STATUTORY, JUDICIAL OR ADMINISTRATIVE AUTHORITY
DIRECTLY DISCUSSES HOW YOUR NOTES SHOULD BE TREATED FOR U.S. FEDERAL INCOME TAX PURPOSES. AS A RESULT, THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF YOUR INVESTMENT IN THE NOTES ARE UNCERTAIN. ACCORDINGLY, WE URGE YOU TO CONSULT YOUR TAX ADVISOR AS TO
THE TAX CONSEQUENCES OF INVESTING IN THE NOTES.
Alternative Treatments
. As discussed further in the accompanying
prospectus supplement, the Treasury Department and the Internal Revenue Service are actively considering various alternative treatments that may apply to instruments such as the Notes, possibly with retroactive effect. Other alternative treatments
for your Notes may also be possible under current law. For example, it is possible that the Notes could be treated as debt instruments subject to the special tax rules governing contingent payment debt instruments. Under the contingent payment debt
instrument rules, you generally would be required to accrue interest on a current basis in respect of the Notes over their term based on the comparable yield and projected payment schedule for the Notes and pay tax accordingly, even though these
amounts may exceed the Quarterly Contingent Payments (if any) that are made on the Notes. You would also be required to make adjustments to your accruals if the actual amounts that you receive in any taxable year differ from the amounts shown on the
projected payment schedule. In addition, any gain you may recognize on the sale, redemption or maturity of the Notes would be taxed as ordinary interest income and any loss you may recognize on the sale, redemption or maturity of the Notes would
generally be ordinary loss to the extent of the interest you previously included as income without an offsetting negative adjustment and thereafter would be capital loss. You should consult your tax advisor as to the special rules that govern
contingent payment debt instruments.
It is also possible that your Notes could be treated as an investment unit consisting of
(i) a debt instrument that is issued to you by us and (ii) a put option in respect of the Indices that is issued by you to us. You should consult your tax advisor as to the possible consequences of this alternative treatment.
In addition, it is possible that (i) you should not include the Quarterly Contingent Payments (if any) in income as you receive them
and instead you should reduce your basis in your Notes by the amount of the Quarterly Contingent Payments that you receive; (ii) you should not include the Quarterly Contingent Payments (if any) in income as you receive them and instead, upon
the sale, redemption or maturity of your Notes, you should recognize short-term capital gain or loss in an amount equal to the difference between (a) the amount of the Quarterly Contingent Payments made to you over the term of the Notes
(including any Quarterly Contingent Payment received at redemption or maturity or the amount of cash that you receive upon a sale that is attributable to the Quarterly Contingent Payments to be made on the Notes) and (b) the excess (if any) of
(1) the amount you paid for your Notes over (2) the amount of cash you receive upon the sale, redemption or maturity (excluding
PPS-8
any Quarterly Contingent Payment received at redemption or maturity or the amount of cash that you receive upon a sale that is attributable to the Quarterly Contingent Payments to be made on the
Notes); or (iii) if a Quarterly Contingent Payment is made at redemption or maturity, such Quarterly Contingent Payment should not separately be taken into account as ordinary income but instead should increase the amount of capital gain or
decrease the amount of capital loss that you recognize at such time.
Furthermore, it is also possible that the Notes could be
treated as notional principal contracts that are comprised of a swap component and a loan component. If the Notes were treated as notional principal contracts, you could be required to accrue income over the term of your Notes in respect of the loan
component (which may exceed the Quarterly Contingent Payments, if any, that are made on the Notes), and any gain or loss that you recognize upon the maturity of your Notes would likely be treated as ordinary income or loss.
You should consult your tax advisor with respect to these possible alternative treatments.
For a further discussion of the tax treatment of your Notes as well as other possible alternative characterizations, please see the
discussion under the heading Certain U.S. Federal Income Tax ConsiderationsCertain Notes Treated as Forward Contracts or Executory Contracts in the accompanying prospectus supplement. You should consult your tax advisor as to the
possible alternative treatments in respect of the Notes. For additional, important considerations related to tax risks associated with investing in the Notes, you should also examine the discussion in Selected Risk ConsiderationsThe U.S.
federal income tax treatment of an investment in the Notes is uncertain, in these preliminary terms.
Medicare
Tax
. As discussed under Certain U.S. Federal Income Tax ConsiderationsMedicare Tax in the accompanying prospectus supplement, certain U.S. holders will be subject to a 3.8% Medicare tax on their net investment
income if their modified adjusted gross income for the taxable year is over a certain threshold. Net investment income will include any gain that a U.S. holder recognizes upon the sale, redemption or maturity of the Notes, unless such income
is derived in the ordinary course of the conduct of a trade or business (other than a trade or business that consists of certain passive or trading activities). It is not clear, however, whether the Medicare tax would apply to any Quarterly
Contingent Payments that you receive on the Notes, unless such Quarterly Contingent Payments are derived in the ordinary course of the conduct of a trade or business (in which case the Quarterly Contingent Payments should be treated as net
investment income if they are derived in a trade or business that consists of certain trading or passive activities and should otherwise not be treated as net investment income). Accordingly, U.S. holders that do not hold the Notes in the ordinary
conduct of a trade or business should consult their tax advisors regarding the application of the Medicare tax to the Quarterly Contingent Payments.
Specified Foreign Financial Asset Reporting.
Under legislation enacted in 2010, owners of specified foreign financial assets with an aggregate value in excess of $50,000
(and in some circumstances, a higher threshold) may be required to file an information report with respect to such assets with their tax returns. Specified foreign financial assets generally include any financial accounts maintained by
foreign financial institutions, as well as any of the following (which may include your Notes), but only if they are not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-U.S. persons,
(ii) financial instruments and contracts held for investment that have non-U.S. issuers or counterparties and (iii) interests in foreign entities. Holders are urged to consult their tax advisors regarding the application of this
legislation to their ownership of the Notes.
Non-U.S. Holders
. Barclays currently does not withhold on payments to
non-U.S. holders. However, if Barclays determines that there is a material risk that it will be required to withhold on any such payments, Barclays may withhold on any Quarterly Contingent Payments at a 30% rate, unless you have provided to Barclays
(i) a valid Internal Revenue Service Form W-8ECI or (ii) a valid Internal Revenue Service Form W-8BEN claiming tax treaty benefits that reduce or eliminate withholding. If Barclays elects to withhold and you have provided Barclays with a
valid Internal Revenue Service Form W-8BEN claiming tax treaty benefits that reduce or eliminate withholding, Barclays may nevertheless withhold up to 30% on any Quarterly Contingent Payments it makes to you if there is any possible characterization
of the payments that would not be exempt from withholding under the treaty. Non-U.S. holders will also be subject to the general rules regarding information reporting and backup withholding as described under the heading Certain U.S. Federal
Income Tax ConsiderationsInformation Reporting and Backup Withholding in the accompanying prospectus supplement.
In addition, the Treasury Department has issued proposed regulations under Section 871(m) of the Internal Revenue Code which could ultimately require us to treat all or a portion of any payment in
respect of your Notes, to the extent attributable to U.S. source dividends, as a dividend equivalent payment that is subject to withholding tax at a rate of 30% (or a lower rate under an applicable treaty). However, such withholding
would potentially apply only to payments made after December 31, 2013. You could also be required to make certain certifications in order to avoid or minimize such withholding obligations, and you could be subject to withholding (subject to
your potential right to claim a refund from the Internal Revenue Service) if such certifications were not received or were not satisfactory. You should consult your tax advisor concerning the potential application of these regulations to payments
you receive with respect to the Notes when these regulations are finalized.
PPS-9
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Indices or the index
components of the Indices. These risks are explained in more detail in the Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All Securities;
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Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are Equity Securities or Shares or Other Interests in
Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds;
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Risk FactorsAdditional Risks Relating to Securities with More Than One Reference Asset, Where the Performance of the Security Is Based on
the Performance of Only One Reference Asset;
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Risk FactorsAdditional Risks Relating to Notes Which Are Not Characterized as Being Fully Principal Protected or Are Characterized as Being
Partially Protected or Contingently Protected; and
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Risk FactorsAdditional Risks Relating to Notes with a Barrier Percentage or a Barrier Level.
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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; No Principal Protection
The Notes do not guarantee any return of principal. The payment
at maturity depends on whether the Final Value of the Lesser Performing Reference Asset is equal to, greater than, or less than its Barrier Value. If the Final Value of the Lesser Performing Reference Asset is less its Barrier Value, your Notes will
be fully exposed to any such decline of the Lesser Performing Reference Asset from its Initial Value to its Final Value and you may lose a portion or all of your principal. Specifically, if the Final Value of the Lesser Performing Reference Asset is
less than its Barrier Value (a decline of 40% compared to its Initial Value), you will lose 1% of your principal amount for every 1% decline in the Final Value of the Lesser Performing Reference Asset as compared to its Initial Value.
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If Your Notes Are Not Called Pursuant to the Early Redemption at the Option of the Issuer Provision, the Payment at Maturity on Your
Notes will be Based Solely on the Reference Asset Return of the Lesser Performing Reference Asset
If the Notes are not redeemed by the Issuer (pursuant to the Early Redemption at the Option of the Issuer provision) , any payment
at maturity (including any final Quarterly Contingent Payment) due on your Notes will be linked solely to the Reference Asset Return of the Lesser Performing Reference Asset. As such, the payment at maturity, if any, will not reflect the performance
of the Reference Asset that is not the Lesser Performing Reference Asset. For example, if the Final Value of the Lesser Performing Reference Asset is less than the its Barrier Value, even though the Reference Asset that is not the Lesser Performing
Reference Asset appreciates from its Initial Value to its Final Value, the calculation of the payment at maturity will not take into account such appreciation and your Notes will be fully exposed to the decline of the Lesser Performing Reference
Asset from its Initial Value to its Final Value. Similarly, if both Reference Assets have negative Reference Asset Returns, any payment at maturity will depend solely on whether the Final Value of the Lesser Performing Reference Asset is less than
its respective Barrier Value and will not be limited in any way (i) by virtue of the Reference Asset Return of the other Reference Asset being greater than the Reference Asset Return of the Lesser Performing Reference Asset; or (ii) by
virtue of the Final Value of the other Reference Asset not being less than its Barrier Value. Accordingly, your investment in the Notes will result in a return that is less, and may be substantially less, than an investment that is linked to the
Reference Asset that is not the Lesser Performing Reference Asset.
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The Payment at Maturity of Your Notes is Not Based on the Index Return of the Lesser Performing Index at Any Time Other than the Final Level on the
Final Valuation Date
The Final Level of the Lesser Performing Index will be based solely on the Closing Level of the Lesser Performing Index on the Final Valuation Date (subject to adjustments as described in the prospectus supplement).
Therefore, if the level of the Lesser Performing Index fell precipitously on the Final Valuation Date, causing the Closing Level of the Lesser Performing Index to fall below the Barrier Level with respect to such Index, the payment at maturity, if
any, that you will receive for your Notes may be significantly less than it would otherwise have been had such payment been linked to the level of the Lesser Performing Index prior to such drop.
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You Will Not Receive More Than the Principal Amount of Your Notes at Maturity
At maturity, in addition to the final Quarterly Contingent
Payment, if any, you will not receive more than the principal amount of your Notes, even if the Reference Asset Returns of either or both of the Reference Assets is greater than 0%. The total payment you receive over the term of the Notes will never
exceed the principal amount of your Notes plus the Quarterly Contingent Payments, if any, paid during the term of the Notes.
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Potential Return Limited to the Quarterly Contingent Payments
The return on the Notes, if any, is limited to the Quarterly Contingent
Payment(s), if any. You will not participate in any appreciation in the level of any Index. Moreover, a Quarterly Contingent Payment will not be made on any Quarterly Contingent Payment Date if the Closing Level of the Lesser Performing Index is
below its Coupon Barrier Level on the respective Valuation Date. It is possible that you will not receive any Quarterly Contingent Payments during the term of the Notes.
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PPS-10
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Potential Early Exit
While the original term of the Notes is as indicated on the cover page of this pricing supplement, beginning on the
Quarterly Contingent Payment Date following the Valuation Date scheduled to occur in May 2014, and each Quarterly Contingent Payment Date thereafter, the Issuer may redeem your Notes (in whole but not in part) at its sole discretion without your
consent, provided the Issuer gives at least five Business Days prior written notice to the trustee. As such, the term of the Notes may be as short as one (1) year.
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If the Issuer exercises its redemption option on any Quarterly Contingent Payment Date, you will receive on the applicable Early Redemption Date 100%
of the principal amount of your Notes together with any Quarterly Contingent Payment that may be due on such date. This amount may be less than the payment that you would have otherwise been entitled to receive at maturity, and you may not be able
to reinvest any amounts received on the Early Redemption Date in a comparable investment with similar risk and yield. No additional payments will be due after the relevant Early Redemption Date. The Issuers right to redeem the Notes may also
adversely impact your ability to sell your Notes and the price at which they may be sold. The Issuers election to redeem the Notes may further limit your ability to sell your Notes and realize any market appreciation of the value of your
Notes.
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Credit of Issuer
The Notes are senior unsecured debt obligations of the issuer, Barclays Bank PLC and are not, either directly or
indirectly, an obligation of any third party. Any payment to be made on the Notes depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. In the event Barclays Bank PLC were
to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
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Suitability of the Notes for Investment
You should reach a decision whether to invest in the Notes after carefully considering, with your
advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this preliminary pricing supplement, the prospectus supplement, the index supplement and the prospectus. Neither the Issuer nor any
dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment.
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No Direct 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 currency in which the stocks composing the EURO STOXX 50 Index are denominated, although any currency fluctuations could affect the performance of the EURO STOXX 50 Index. Therefore, if the applicable currency
appreciates or depreciates relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment or incur any reduction in your payment at maturity.
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Non-U.S. Securities Markets Risks
The component stocks of the EURO STOXX 50 Index are issued by foreign companies in foreign securities
markets. These stocks may be more volatile and may be subject to different political, market, economic, exchange rate, regulatory and other risks which may have a negative impact on the performance of the financial products linked to the Index,
which may have an adverse effect on the Notes. Also, the public availability of information concerning the issuers of the component stocks of the EURO STOXX 50 Index will vary depending on their home jurisdiction and the reporting requirements
imposed by their respective regulators. In addition, the issuers of such component stocks may be subject to accounting, auditing and financial reporting standards and requirement that differ from those applicable to United States reporting
companies.
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Historical Performance of the Indices Should Not Be Taken as Any Indication of the Future Performance of the Indices Over the Term of the
Notes
The historical performance of the Indices is not an indication of the future performance of the Indices over the term of the Notes. Therefore, the performance of the Indices over the term of the Notes may bear no relation or
resemblance to the historical performance of the Indices.
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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 securities comprising the Indices would have.
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Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC
intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the
development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes,
the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity
While the payment at maturity described in
this preliminary pricing supplement is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents commission and the cost of hedging our obligations under the Notes through one or more of our
affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions will likely be lower than the price you paid for your
Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
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PPS-11
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Potential Conflicts
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as
calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
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Taxes
The U.S. federal income tax treatment of the Notes is uncertain and the Internal Revenue Service could assert that the Notes should
be taxed in a manner that is different than described above. As discussed further in the accompanying prospectus supplement, the Internal Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering
whether, among other issues, you should be required to accrue interest over the term of an instrument such as the Notes at a rate that may exceed the Quarterly Contingent Payments (if any) that you receive on the Notes and whether all or part of the
gain you may recognize upon the sale, redemption or maturity of an instrument such as the Notes should be treated as ordinary income. Similarly, the Internal Revenue Service and the Treasury Department have current projects open with regard to the
tax treatment of pre-paid forward contracts and contingent notional principal contracts. While it is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the Notes (and while any such guidance may
be issued on a prospective basis only), such guidance could be applied retroactively and could in any case (i) increase the likelihood that you will be required to accrue income in respect of the Notes even if you do not receive any payments
with respect to the Notes until redemption or maturity and (ii) require you to accrue income in respect of the Notes in excess of any Quarterly Contingent Payments you receive on the Notes. The outcome of this process is uncertain. In addition,
any character mismatch arising from your inclusion of ordinary income in respect of any Quarterly Contingent Payments and capital loss (if any) upon the sale, redemption or maturity of your Notes may result in adverse tax consequences to you because
an investor's ability to deduct capital losses is subject to significant limitations. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.
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Many Economic and Market Factors Will Impact the Value of the Notes
In addition to the levels of the Indices on any index business day, the
value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Indices;
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the time to maturity of the Notes;
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the market price and dividend rate on the common stocks underlying the Indices;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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PPS-12
INFORMATION REGARDING THE INDICES
Description of the EURO STOXX 50
®
Index
The
EURO STOXX 50 Index is composed of 50 European blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stock traded on the major exchanges of 18 European
countries and are organized into the following 19 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial
goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications; travel & leisure; and utilities. For additional information about EURO STOXX 50
Index, see the information set forth under Non-Proprietary IndicesEquity IndicesEURO STOXX
50
®
Index in the accompanying index supplement.
Historical Information Regarding the EURO STOXX 50
®
Index
The
following table sets forth the high and low Closing Levels of the EURO STOXX 50
®
Index, as well as
end-of-quarter Closing Levels, during the periods indicated below.
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Quarter/Period Ending
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Quarterly
High
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Quarterly
Low
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Quarterly
Close
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March 31, 2008
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4,339.23
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3,431.82
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3,628.06
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June 30, 2008
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3,882.28
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3,340.27
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3,352.81
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September 30, 2008
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3,445.66
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3,000.83
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3,038.20
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December 31, 2008
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3,113.82
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2,165.91
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2,447.62
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March 31, 2009
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2,578.43
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1,809.98
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2,071.13
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June 30, 2009
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2,537.35
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2,097.57
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2,401.69
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September 30, 2009
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2,899.12
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2,281.47
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2,872.63
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December 31, 2009
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2,992.08
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2,712.30
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2,964.96
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March 31, 2010
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3,017.85
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2,631.64
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2,931.16
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June 30, 2010
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3,012.65
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2,488.50
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2,573.32
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September 30, 2010
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2,827.27
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2,507.83
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2,747.90
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December 31, 2010
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2,890.64
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2,650.99
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2,792.82
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March 31, 2011
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3,068.00
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2,721.24
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2,910.91
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June 30, 2011
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3,011.25
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2,715.88
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2,848.53
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September 30, 2011
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2,875.67
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1,995.01
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2,140.41
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December 30, 2011
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2,476.92
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2,090.25
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2,316.55
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March 30, 2012
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2,608.42
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2,286.45
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2,477.28
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June 29, 2012
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2,501.18
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2,068.66
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2,264.72
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September 28, 2012
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2,594.56
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2,151.54
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2,454.26
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December 31, 2012
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2,659.95
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2,427.32
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2,635.93
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March 31, 2013
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2,749.27
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2,570.52
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2,624.02
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April 26, 2013*
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2,704.41
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2,553.49
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2,683.43
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*
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For the period commencing April 1, 2013 and ending on April 26, 2013
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PPS-13
The following graph sets forth the historical performance of EURO STOXX
50
®
Index the based on daily Closing Levels from January 2, 2008 through April 26, 2013. The Closing
Level of the EURO STOXX 50
®
Index on April 26, 2013 was 2,683.43
We obtained the EURO STOXX
50
®
Index closing levels above from Bloomberg, L.P, without independent verification. The historical levels of
the EURO STOXX 50
®
Index should not be taken as an indication of future performance, and no assurance can be
given as to the Closing Level of the EURO STOXX 50
®
Index on any Valuation Date. We cannot give you assurance
that the performance of the EURO STOXX 50
®
Index will result in the return of any of your principal.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PPS-14
Description of the Russell 2000
®
Index
RUSSELL 2000
®
INDEX
All information regarding the Russell 2000
®
Index set forth in this pricing supplement reflects the policies of, and is subject to change by, Russell Investments (Russell), the index sponsor. The
Russell 2000
®
Index was developed by Russell and is calculated, maintained and published by Russell. The Russell
2000
®
Index is reported by Bloomberg under the ticker symbol RTY <Index>.
The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000
®
Index (the Russell 3000), it consists of approximately 2,000 of the smallest companies (based on a
combination of their market capitalization and the current index membership) included in the Russell 3000 and represented, as of March 31, 2013, approximately 10% of the total market capitalization of the Russell 3000. The Russell 3000, in
turn, comprises the 3,000 largest U.S. companies as measured by total market capitalization, which together represented, as of March 31, 2013, approximately 98% of the investable U.S. equity market.
Selection of Stocks Underlying the Russell 2000
®
Index
Security Inclusion Criteria
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U.S. company
. All companies eligible for inclusion in the Russell 2000
®
Index must be classified as a U.S. company under Russells country-assignment methodology. If a company is incorporated, has a stated headquarters location, and
company stock trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible for this purpose), then the company is assigned to its country of incorporation. If any of the three factors are not the same,
Russell defines three Home Country Indicators (HCIs): country of incorporation, country of headquarters, and country of the most liquid exchange as defined by a two-year average daily dollar trading volume (ADDTV) from all
exchanges within a country. After the HCIs are defined, the next step in the country assignment involves an analysis of assets by location. Russell cross-compares the primary location of the companys assets with the three HCIs. If the primary
location of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information to determine the country in which the companys assets are primarily located, Russell will
use the primary location of the companys revenues to cross-compare with the three HCIs and assign a country in a similar manner. Beginning in 2011, Russell will use the average of two years of assets or revenues data, in order to reduce
potential turnover. Assets and revenues data are retrieved from each companys annual report as of the last trading day in May. If conclusive country details cannot be derived from assets or revenues data, Russell will assign the company to the
country of its headquarters, which is defined as the address of the companys principal executive offices, unless that country is a Benefit Driven Incorporation BDI country, in which case the company will be assigned to the country
of its most liquid stock exchange. BDI countries include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Faroe Islands, Gibraltar, Isle of Man, Liberia,
Marshall Islands, Netherlands Antilles, Panama, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
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Trading requirements
. All securities eligible for inclusion in the Russell 3000 must trade on a major U.S. exchange. Bulletin Board, pink-sheet
or over-the-counter traded securities are not eligible for inclusion.
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Minimum closing price
. Stock must trade at or above US$1.00 on their primary exchange on the last trading day in May to be considered eligible
for inclusion in the Russell 3000 during annual reconstitution or during initial public offering (IPO) eligibility. If a stocks closing price is less than US$1.00 on the last day of May, it will be considered eligible if the average of the
daily closing prices (from its primary exchange) during the month of May is equal to or greater than US$1.00. Nonetheless, a stocks closing price (on its primary exchange) on the last trading day in May will be used to calculate market
capitalization and index membership. Initial public offerings are added each quarter and must have a closing price at or above US$1.00 on the last day of their eligibility period in order to qualify for index inclusion.
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Primary exchange pricing.
If a stock, new or existing, does not have a closing price at or above US$1.00 (on its primary exchange) on the last
trading day in May, but does have a closing price at or above US$1.00 on another major U.S. exchange, that stock will be eligible for inclusion.
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Minimum total market capitalization.
Companies with a total market capitalization of less than US$30 million are not eligible for the Russell
2000
®
Index.
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Minimum available shares/float requirement.
Companies with only a small portion of their shares available in the marketplace are not eligible
for the Russell Indices. Companies with 5% or less will be removed from eligibility.
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PPS-15
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Company structure
. Royalty trusts, limited liability companies, closed-end investment companies, blank check companies, special purpose
acquisition companies (SPACs) and limited partnerships are excluded from inclusion in the Russell 3000. Business development companies (BDCs) are eligible.
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Shares excluded
. Preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrant rights and trust
receipts are not eligible for inclusion.
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Deadline for inclusion
. Stocks must be listed on the last trading day in May and Russell must have access to documentation on that date
supporting the companys eligibility for inclusion. This information includes corporate description, verification of incorporation, number of shares outstanding and other information needed to determine eligibility. IPOs will be considered for
inclusion on a quarterly basis.
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All Russell indices, including the Russell 2000
®
Index, are reconstituted annually to reflect changes in the marketplace. The companies that meet the eligibility
criteria are ranked on the last trading day of May of every year based on market capitalization using data available at that time, with the reconstitution taking effect as of the first trading day following the last Friday of June of that year. If
the last Friday in June is the 28th, 29th or 30th day of June, reconstitution will occur the Friday prior.