ADDITIONAL INFORMATION REGARDING OUR ESTIMATED VALUE OF THE NOTES
The range of the estimated values of the Notes referenced above may not correlate on a linear basis with the Interest Rate range set forth in this
preliminary pricing supplement. We determined the size of such range based on prevailing market conditions, as well as the anticipated duration of the marketing period for the Notes. The final terms for the Notes will be determined on the date the
Notes are initially priced for sale to the public (the initial valuation date) based on prevailing market conditions on the initial valuation date, and will be communicated to investors either orally or in a final pricing supplement.
Our internal pricing models take into account a number of variables and are based on a number of subjective assumptions, which may or may not
materialize, typically including volatility, interest rates
,
and our internal funding rates. Our internal funding rates (which are our internally published borrowing rates based on variables such as market benchmarks, our appetite for
borrowing, and our existing obligations coming to maturity) may vary from the levels at which our benchmark debt securities trade in the secondary market. Our estimated value on the initial valuation date is based on our internal funding rates. Our
estimated value of the Notes may be lower if such valuation were based on the levels at which our benchmark debt securities trade in the secondary market.
Our estimated value of the Notes on the initial valuation date is expected to be less than the initial issue price of the Notes. The difference between the initial issue price of the Notes and our
estimated value of the Notes is expected to result from several factors, including any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to
be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and
estimated development and other costs which we may incur in connection with the Notes.
Our estimated value on the initial valuation date is
not a prediction of the price at which the Notes may trade in the secondary market, nor will it be the price at which Barclays Capital Inc. may buy or sell the Notes in the secondary market. Subject to normal market and funding conditions, Barclays
Capital Inc. or another affiliate of ours intends to offer to purchase the Notes in the secondary market but it is not obligated to do so.
Assuming that all relevant factors remain constant after initial valuation date, the price at which Barclays Capital Inc. may initially buy or sell the
Notes in the secondary market, if any, and the value that we may initially use for customer account statements, if we provide any customer account statements at all, may exceed our estimated value on the initial valuation date for a temporary period
expected to be approximately three (3) months after the initial issue date of the Notes because, in our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our obligations under the Notes
and other costs in connection with the Notes which we will no longer expect to incur over the term of the Notes. We made such discretionary election and determined this temporary reimbursement period on the basis of a number of factors, including
the tenor of the Notes and any agreement we may have with the distributors of the Notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be allocated ratably throughout the reimbursement period, and
we may discontinue such reimbursement at any time or revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market conditions and other factors that cannot be predicted.
We urge you to read the
Selected Risk Considerations
beginning on page PPS-9 of this preliminary pricing
supplement.
You may revoke your offer to purchase the Notes at any time prior to the initial valuation date. We reserve the right to
change the terms of, or reject any offer to purchase, the Notes prior to their initial valuation date. 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.
PPS-4
HYPOTHETICAL PAYMENT AT MATURITY CALCULATIONS
The following steps illustrate the hypothetical payment at maturity calculations. The hypothetical payment at maturity calculations set forth below are
for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the Notes.
Step
1: Determine which Reference Asset is the Lesser Performing Index.
To determine which Reference Asset is the Lesser Performing Index on
the Final Valuation Date, the Calculation Agent will need to calculate the Index Return of each Reference Asset on the Final Valuation Date. The Reference Asset with the lowest Index Return will be the Lesser Performing Index and its Index Return
will determine the payment due at maturity.
The Index Return of a Reference Asset on the Final Valuation Date is equal to the performance of
such Reference Asset 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
Step 2: Calculate the Payment at Maturity based on the
Final Level and Index Return of the Lesser Performing Index.
The payment at maturity will depend on whether the Index Return of the Lesser
Performing Index is greater than, equal to or less than -15.00. If the Index Return of the Lesser Performing Index is equal to or greater than -15.00%, you will receive at maturity (subject to our credit risk) a cash payment of $1,000 per $1,000
principal amount Note (in addition to the final interest payment on the Notes). However, if the Index Return of the Lesser Performing Index is less than -15.00%, you will receive, a cash payment at maturity per $1,000 principal amount Note equal to
(a) $1,000
plus
(b) (i) $1,000
times
(ii) the Index Return of the Lesser Performing Index
plus
the Buffer Percentage
times
(iii) the Downside Leverage Factor.
The payment at maturity will be
based solely on the performance of the Lesser Performing Index and the performance of the other Index will not be taken into account for purposes of calculating any payment due at maturity under the Notes. As such, if the Index Return of the Lesser
Performing Index has depreciated by more than 15.00% relative to its Initial Level, you will be fully exposed to such decline on an accelerated basis and may lose the full principal amount of your Notes at maturity.
The following table illustrates the hypothetical payments at maturity assuming a range of performances for the Reference Assets. The numbers appearing in
the table have been rounded for ease of analysis and do not take into account any tax consequences from investing in the Notes. Note that, for purposes of the hypothetical payment at maturity calculations set forth below, we are assuming:
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Initial Level of the S&P 500 Index: 1,636.36
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Initial Level of the Russell 2000 Index: 989.69
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Buffer Percentage: 15.00%
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Downside Leverage Factor: 1.1765
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S&P 500
Index
Final Level
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Russell
2000 Index
Final Level
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Index
Return of
the S&P
500 Index
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Index
Return of
the
Russell
2000
Index
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Index Return of
the Lesser
Performing
Index
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Payment at Maturity*
(Not including any quarterly
contingent payment)
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2618.18
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1484.54
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60.00%
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50.00%
|
|
50.00%
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$1,000.00
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2290.90
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1484.54
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40.00%
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50.00%
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40.00%
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$1,000.00
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2127.27
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1583.50
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30.00%
|
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60.00%
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30.00%
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$1,000.00
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2209.09
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1187.63
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35.00%
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20.00%
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20.00%
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$1,000.00
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1800.00
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1187.63
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10.00%
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20.00%
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10.00%
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$1,000.00
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1881.81
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1039.17
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15.00%
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5.00%
|
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5.00%
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$1,000.00
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1636.36
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1039.17
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0.00%
|
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5.00%
|
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0.00%
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$1,000.00
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1636.36
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989.69
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0.00%
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0.00%
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0.00%
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$1,000.00
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1800.00
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940.21
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10.00%
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-5.00%
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-5.00%
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$1,000.00
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1472.72
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1088.66
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-10.00%
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10.00%
|
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-10.00%
|
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$1,000.00
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1718.18
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841.24
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5.00%
|
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-15.00%
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-15.00%
|
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$1,000.00
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1309.09
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1088.66
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-20.00%
|
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10.00%
|
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-20.00%
|
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$941.18
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1145.45
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940.21
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-30.00%
|
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-5.00%
|
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-30.00%
|
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$823.53
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1309.09
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593.81
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-20.00%
|
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-40.00%
|
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-40.00%
|
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$705.88
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1718.18
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494.85
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5.00%
|
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-50.00%
|
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-50.00%
|
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$588.23
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654.54
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890.72
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-60.00%
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-10.00%
|
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-60.00%
|
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$470.58
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490.91
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1187.63
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-70.00%
|
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20.00%
|
|
-70.00%
|
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$352.93
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981.82
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197.94
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-40.00%
|
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-80.00%
|
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-80.00%
|
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$235.28
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327.27
|
|
98.97
|
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-80.00%
|
|
-90.00%
|
|
-90.00%
|
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$117.63
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0.00
|
|
1039.17
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-100.00%
|
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5.00%
|
|
-100.00%
|
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$0.00
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*
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per $1,000 principal amount Note
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PPS-5
The following examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The S&P 500 Index increases from an Initial Level 1,636.36 of to a Final Level of 1,800.00 and the Russell 2000 Index
increases from an Initial Level of 989.69 to a Final Level of 1,187.63.
Because the Index Return of the S&P 500 Index of 10.00% is
less than the Index Return of the Russell 2000 Index of 20.00%, the S&P 500 Index is the Lesser Performing Index Asset. Because the Index Return of the Lesser Performing Index is not less than -15.00%, the investor receives a payment at maturity
of $1,000 per $1,000 principal amount Note (plus the final interest payment on the Notes).
Example 2: The S&P 500 Index increases from
an Initial Level 1,636.36 of to a Final Level of 1,800.00 and the Russell 2000 Index decreases from an Initial Level of 989.69 to a Final Level of 940.21
Because the Index Return of the Russell 2000 Index of -5.00% is less than the Index Return of the S&P 500 Index of 10.00%, the Russell 2000 Index is the Lesser Performing Index. Because the Index
Return of the Lesser Performing Index is not less than -15.00%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount Note (plus the final interest payment on the Notes).
Example 3: The S&P 500 Index decreases from an Initial Level 1,636.36 to a Final Level of 1,309.09 and the Russell 2000 Index increases from an
Initial Level of 989.69 to a Final Level of 1,088.66.
Because the Index Return of the S&P 500 Index of -20.00% is less than the Index
Return of the Russell 2000 Index of 10.00%, the S&P 500 Index is the Lesser Performing Index. Because the Index Return of the Lesser Performing Index is less than -15.00%, the investor receives a payment at maturity of $941.18 per $1,000
principal amount Note (plus the final interest payment on the Notes), calculated as follows:
$1,000 + [$1,000 × (Index
Return of the Lesser Performing Index + Buffer Percentage) × Downside Leverage Factor]
$1,000 + [$1,000 × (-20.00%
+ 15.00%) × 1.1765] = $941.18
Example 4: The S&P 500 Index decreases from an Initial Level 1,636.36 to a Final Level of 1,309.09
and the Russell 2000 Index decreases from an Initial Level of 989.69 to a Final Level of 593.81.
Because the Index Return of the Russell
2000 Index of -40.00% is less than the Index Return of the S&P 500 Index of -20.00%, the Russell 2000 Index is the Lesser Performing Index. Because the Index Return of the Lesser Performing Index is less than -15.00%, the investor receives a
payment at maturity of $705.88 per $1,000 principal amount Note (plus the final interest payment on the Notes), calculated as follows:
$1,000 + [$1,000 × (Index Return of the Lesser Performing Index + Buffer Percentage) × Downside Leverage Factor]
$1,000 + [$1,000 × (-40.00% + 15.00%) × 1.1765] = $705.88
Examples 3 and 4 above
demonstrate that the payment at maturity on your Notes (excluding the final interest payment) will be based solely on the Index Return of the Lesser Performing Index. Example 3 demonstrates that, if the Index Return of the Lesser Performing Index is
less than -15.00%, the Notes will be exposed on an accelerated basis to the negative performance of such Index, even if the Index Return of the other Index is positive. Example 4 further demonstrates that if the Index Returns of both Reference
Assets are less than -15.00%, the payment at maturity on the Notes (excluding the final interest payment) will be exposed on an accelerated basis to the negative performance of the Lesser Performing Index. In either case, the investor will lose some
or all of the principal amount of their Notes, and the amount of such loss will not be mitigated in any way by virtue of the fact that the Index Return of the other Index is higher than the Index Return of the Lesser Performing Index.
PPS-6
SELECTED PURCHASE CONSIDERATIONS
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Market Disruption Events
The Final Valuation Date and the Maturity Date are subject to adjustment in the event of a Market
Disruption Event with respect to any Index. If the Calculation Agent determines that a Market Disruption Event occurs or is continuing in respect of any Index on the Final Valuation Date, the Final Valuation Date will be postponed. If such
postponement occurs, the Closing Levels of the Indices will be determined using the Closing Levels of the Indices on the first following Index Business Day on which no Market Disruption Event occurs or is continuing in respect of all Indices. In no
event, however, will the Final Valuation Date be postponed by more than five days that would have been an Index Business Days but for the occurrence of a Market Disruption Event. If the Calculation Agent determines that a Market Disruption Event
occurs or is continuing in respect of any Index on such fifth day, the Calculation Agent will determine the Closing Level of the Index(ices) unaffected by such Market Disruption Event using the Closing Level of such Index(ices) on such fifth day,
and will make an estimate of the Closing Level of the Index(ices) affected by such Market Disruption Event that would have prevailed on such fifth day in the absence of such Market Disruption Event. In the event that the Final Valuation Date is
postponed, the Maturity Date will be the third Business Day following the Final Valuation Date, as postponed.
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For a description of what constitutes a Market Disruption Event with respect to the Indices, see Reference
AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities in the accompanying prospectus supplement.
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Adjustments to the Indices
The payment you will receive at maturity may be subject to adjustment in certain circumstances. For a
description of adjustments that may affect the Indices, see Reference AssetsIndicesAdjustments Relating to Securities with the Reference Asset Comprised of an Index in the accompanying prospectus supplement.
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Downside Exposure to the U.S. Equities Underlying the Respective Indices
All payments due under the Notes, if any, are linked to the Lesser
Performing Index. As such, the investor is exposed to the performance (which may be negative) of the S&P 500 Index and the Russell 2000 Index The S&P 500 Index consists of 500 component stocks selected to provide a performance benchmark for
the U.S. equity markets. The Russell 2000 Index is designed to track the performance of the small capitalization segment of the U.S. equity market.
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For additional information regarding the Reference Assets, please see Information Regarding the Reference Assets in this preliminary pricing supplement.
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Material U.S. Federal Income Tax Considerations
The material tax consequences of your investment in the Notes are summarized below. The
discussion below supplements the discussion under Certain U.S. Federal Income Tax Considerations in the accompanying prospectus supplement. Except as noted under Non-U.S. Holders below, this section applies to you only if you
are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise
excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Notes in the initial issuance of the Notes). In addition, this discussion does not apply to you if you purchase your Notes for more or less than the
principal amount of the Notes.
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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 treat your Notes as an investment unit consisting of (i) a fixed-rate debt instrument that we issued to you for an amount equal to the principal amount of the Notes (the Deposit)
and (ii) a put option in respect of the Reference Assets (the Put Option) which you sold to us in exchange for a portion of the stated interest on the Notes (the Put Premium). On the cover page of this preliminary
pricing supplement, we have determined the amount of each interest payment that represents interest on the Deposit (this amount is denoted as Deposit Income) and the amount that represents Put Premium (this amount is denoted as Put
Premium). The terms of your Notes require you and us to allocate the interest payments as set forth on the cover page, but this allocation is not binding on the Internal Revenue Service. Except as otherwise noted below, the discussion below
assumes that your Notes will be treated in the manner described above.
In the opinion of our special tax counsel,
Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described above. This opinion assumes that the description of the terms of the Notes in this preliminary pricing supplement 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.
PPS-7
Amounts treated as interest on the Deposit will be subject to tax as ordinary income at the
time you receive or accrue such payments, depending on your method of accounting for tax purposes. For a further discussion of the tax considerations applicable to fixed-rate debt instruments, please see the discussion under the heading
Certain U.S. Federal Income Tax ConsiderationsU.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes in the accompanying prospectus supplement. Amounts treated as Put Premium should
generally be deferred and accounted for upon the sale or maturity of the Notes, as discussed below.
The receipt of cash upon
maturity of your Notes (excluding cash attributable to the final quarterly interest payment on the Notes) would likely be treated as (i) payment in full of the principal amount of the Deposit, which would likely not result in the recognition of
gain or loss, and (ii) the lapse (if you receive the principal amount of the Notes) or the cash settlement (if you receive less than the principal amount of the Notes) of the Put Option. Under such characterization, you should generally
recognize short-term capital gain or loss in an amount equal to the difference between (i) the amount of Put Premium paid to you over the term of the Notes (including the Put Premium received at maturity) and (ii) the excess (if any) of
(a) the principal amount of your Notes over (b) the amount of cash you receive at maturity (excluding cash attributable to the final quarterly interest payment on the Notes).
Upon a sale of your Notes, you would be required to apportion the value of the amount you receive between the Deposit and Put Option on
the basis of the values thereof on the date of the sale. You would recognize gain or loss with respect to the Deposit in an amount equal to the difference between (i) the amount apportioned to the Deposit (excluding amounts attributable to
accrued and unpaid interest on the Deposit) and (ii) your adjusted tax basis in the Deposit. Such gain or loss should generally be long-term capital gain or loss if you have held your Notes for more than one year.
Upon a sale of your Notes, the amount of cash that you receive that is apportioned to the Put Option, if any, (together with any amount of
Put Premium received in respect thereof and deferred as described above) would be treated as short-term capital gain. If the value of the Deposit on the date of the sale of your Notes is in excess of the amount you receive upon such sale, you would
likely be treated as having made a payment to the purchaser equal to the amount of such excess in order to extinguish your rights and obligations under the Put Option. In such a case, you would likely recognize short-term capital gain or loss in an
amount equal to the difference between the Put Premium you previously received in respect of the Put Option and the amount of the deemed payment made by you to extinguish the Put Option.
Any character mismatch arising from your inclusion of ordinary income in respect of the interest on the Deposit and capital loss (if any)
upon the sale 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.
Alternative Treatments
. There are no regulations, published rulings or judicial decisions addressing the treatment for U.S. federal
income tax purposes of instruments with terms that are substantially the same as the Notes, and the Internal Revenue Service could assert that the Notes should be taxed differently than in the manner described above. For example, it is possible that
the Notes could be treated as a debt instrument that is subject to the special tax rules governing contingent payment debt instruments. If your Notes are so treated, you generally will 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. If your Notes are so treated, you would recognize gain or loss upon the sale or maturity of your Notes in an amount equal
to the difference, if any, between the amount you receive at such time and your adjusted basis in your Notes. Any gain you recognize upon the sale or maturity of your Notes would be ordinary income and any loss recognized by you at such time would
generally be ordinary loss to the extent of interest you included in income in the current or previous taxable years with respect to your Notes, and thereafter would be capital loss. For a further discussion of the tax considerations applicable to
contingent payment debt instruments, please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsU.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax
PurposesContingent Payment Debt Instruments in the accompanying prospectus supplement.
It is also possible that
the Notes could be treated as a pre-paid income-bearing executory contract in respect of the Reference Assets, in which case you may be required to include the entire quarterly interest payment on the Notes in ordinary income (and not just the
interest on the Deposit).
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 in effect be required to include all of the stated interest in income, rather than only the portion thereof denoted as
Deposit Income on the cover page of the Preliminary Pricing Supplement, and any gain or loss that you recognize upon the maturity of your Notes would likely be treated as ordinary income or loss.
PPS-8
For a further discussion of the tax treatment of your Notes as well as other possible
alternative characterizations, please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsCertain Notes Treated as Deposits and Put Options 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 ConsiderationsTaxes, in this preliminary pricing supplement.
Specified Foreign
Financial Asset Reporting.
Under legislation enacted in 2010, owners of specified foreign financial assets (which may include your Notes) 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, 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 interest 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 interest payments it makes to you if there is any possible characterization of the payments that would not be exempt from withholding under the
treaty. Non-U.S. holders will also be subject to the general rules regarding information reporting and backup withholding as described under the heading Certain U.S. Federal Income Tax ConsiderationsInformation Reporting and Backup
Withholding in the accompanying prospectus supplement.
In addition, the Treasury Department has issued proposed
regulations under Section 871(m) of the Internal Revenue Code which could ultimately require us to treat all or a portion of any payment in respect of your Notes as a dividend equivalent payment that is subject to withholding tax at
a rate of 30% (or a lower rate under an applicable treaty). However, such withholding would potentially apply only to payments made after December 31, 2013. You could also be required to make certain certifications in order to avoid or minimize
such withholding obligations, and you could be subject to withholding (subject to your potential right to claim a refund from the Internal Revenue Service) if such certifications were not received or were not satisfactory. You should consult your
tax advisor concerning the potential application of these regulations to payments you receive with respect to the Notes when these regulations are finalized.
SELECTED RISK
CONSIDERATIONS
An
investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Reference Assets or the underlying components of the Reference Assets. These risks are explained in more detail in the
Risk Factors section of the prospectus supplement, including the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All Securities;
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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;
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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 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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You Will be Exposed to Any Decline From the Initial Level to the Final Level of the Lesser Performing Index on an Accelerated Basis; You May Lose Up
to 100% of Your Principal
The Notes do not guarantee any return of principal. If the Lesser Performing Index declines by more than 15.00% from its Initial Level to its Final Level, you will lose 1.1765% of the principal amount of your Notes
for every 1.00% that the Index Return of the Lesser Performing Index falls below -15.00%. As such, you may lose up to 100% of the principal amount of your Notes (without taking into account any interest payments on the Notes).
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PPS-9
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The Payment at Maturity on the Notes is not Linked to the Value of any Reference Asset Other than the Final Level of the Lesser Performing
Index
Any payment due at maturity on your Notes will be linked solely to the performance of the Lesser Performing Index and the performance of the other Reference Assets will not be taken into consideration. For example, if the Final Level
of the Lesser Performing Index is less than 15.00% of its Initial Level, even though the other Index appreciates from its Initial Level to its Final Level, the calculation of the payment at maturity will not take into account such appreciation and
your Notes will be fully exposed to any decline of the Lesser Performing Index from its Initial Level to its Final Level. Similarly, if both the Reference Assets have negative Index Returns, any payment at maturity will depend solely on whether the
Final Level of the Lesser Performing Index is less than 15.00% of its Initial Level and will not be limited in any way by virtue of the Index Return of the other Reference Asset being greater than the Index Return of the Lesser Performing Index or
by virtue of the Final Level of the other Reference Asset not being less than 15.00% of its Initial Level. Accordingly, your investment in the Notes may result in a return that is less, and may be substantially less, than an investment that is
linked to the Reference Asset that is not the Lesser Performing Index.
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The Payment at Maturity of Your Notes is Not Based on the Closing Level of the Lesser Performing Index at Any Time Other than on the Final Valuation
Date
The Closing Level of the Lesser Performing Index on the Final Valuation Date (subject to adjustments as described in the prospectus supplement) or the Final Level will be the relevant value when determining the payment due at maturity.
Therefore, if the Closing 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 its respective Barrier Level, the payment at maturity, if any, that
you will receive for your Notes may be significantly less than it would otherwise have been had such payment been linked to the Closing 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 Interest Payment, you
will not receive more than the principal amount of your Notes, even if the Index Return of either or both of the Indices 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 Interest Payments, paid during the term of the Notes.
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Return Limited to the Quarterly Interest Payments
Your return is limited to the quarterly Interest Payments. You will not participate in
any appreciation in the level of either Index.
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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 and the prospectus. Neither the Issuer nor any dealer participating
in the offering makes any recommendation as to the suitability of the Notes for investment.
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Holding the Notes is not the Same as Owning Directly the Reference Assets, or the Underlying Constituents of the Reference Assets; No Dividend
Payments or Voting Rights
Holding the Notes is not the same as investing directly in any of the Reference Assets or the underlying constituents of the Reference Assets. The return on your Notes will not reflect the return you would realize
if you actually purchased the underlying constituents of the Reference Assets. As a holder of the Notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the stocks comprising
the Indices, would have.
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Historical Performance of the Reference Assets Should Not Be Taken as Any Indication of the Future Performance of the Reference Assets Over the Term
of the Notes
The historical performance of a Reference Asset is not an indication of the future performance of the Reference Assets over the term of the Notes. The historical correlation between Reference Assets is not an indication of the
future correlation between them over the term of the Notes. Therefore, the performance of the Reference Assets over the term of the Notes may bear no relation or resemblance to the historical performance of the Reference Assets.
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Equity Market Risks
The Indices may fluctuate in accordance with changes in the financial condition of the relevant issuers of the
component stocks that comprise the Indices, the value of common stocks generally and other factors. The financial condition of the issuers of the component stocks that comprise the Indices may become impaired or the general condition of the equity
market may deteriorate, either of which may cause a decrease in the level of the Indices, and thus in the market value of the Notes. Common stocks are susceptible to general equity market fluctuations, to speculative trading by third parties and to
volatile increases and decreases in value as market confidence in and perceptions regarding the security or securities comprising the Indices change. Investor perceptions regarding the issuer of an equity security comprising an Index are based on
various and unpredictable factors, including expectations regarding government, economic, monetary and fiscal policies, inflation and interest rates, economic expansion or contraction, and global or regional political, economic, and banking crises.
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PPS-10
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Certain Considerations Related to Equity Indices Whose Underlying Constituents Are Small Capitalization Stocks
The Russell 2000 Index is
designed to track the performance of the small capitalization segment of the U.S. equity market. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor
that limits downward stock price pressure under adverse market conditions.
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Adjustments to the Indices Could Adversely Affect the Value of the Notes
Those responsible for calculating and maintaining the
Indices can add, delete or substitute the components of the Indices, or make other methodological changes that could change the value of the Indices. In addition, the publisher of an Index may discontinue or suspend calculation or publication of
such Index. Any of these actions could adversely affect the value of the Reference Assets and, consequently, the value of the Notes. For a description of the actions that may be taken by the Calculation Agent in the event that an Index publisher
discontinues or suspends calculation of an Index, please see Selected Purchase ConsiderationsMarket Disruption Events and Selected Purchase ConsiderationsAdjustments to the Indices in this preliminary pricing
supplement.
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Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC
intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the
development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes,
the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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The Estimated Value of Your Notes is Expected to be Lower Than the Initial Issue Price of Your Notes
The estimated value of your Notes on
the initial valuation date is expected to be lower, and may be significantly lower, than the initial issue price of your Notes. The difference between the initial issue price of your Notes and the estimated value of the Notes is expected as a result
of certain factors, such as any sales commissions expected to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts, commissions or fees expected to be allowed or paid to non-affiliated intermediaries, the
estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our obligations under the Notes, and estimated development and other costs which we may incur
in connection with the Notes.
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The Estimated Value of the Notes is Based on Our Internal Pricing Models, Which May Prove to be Inaccurate and May be Different from the Pricing
Models of Other Financial Institutions
The estimated value of your Notes on the initial valuation date is based on our internal pricing models, which take into account a number of variables and are based on a number of subjective
assumptions, which may or may not materialize. These variables and assumptions are not evaluated or verified on an independent basis. Further, our pricing models may be different from other financial institutions pricing models and the
methodologies used by us to estimate the value of the Notes may not be consistent with those of other financial institutions which may be purchasers or sellers of Notes in the secondary market. As a result, the secondary market price of your Notes
may be materially different from the estimated value of the Notes determined by reference to our internal pricing models.
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The Estimated Value of Your Notes Is Not a Prediction of the Prices at Which You May Sell Your Notes in the Secondary Market, if any, and Such
Secondary Market Prices, If Any, Will Likely be Lower Than the Initial Issue Price of Your Notes and Maybe Lower Than the Estimated Value of Your Notes
The estimated value of the Notes will not be a prediction of the prices at which
Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions (if they are willing to purchase, which they are not obligated to do). The price at which you may be able
to sell your Notes in the secondary market at any time will be influenced by many factors that cannot be predicted, such as market conditions (see Many Economic and Market Factors Will Impact the Value of the Notes below), and any bid
and ask spread for similar sized trades, and may be substantially less than our estimated value of the Notes. Further, as secondary market prices of your Notes take into account the levels at which our debt securities trade in the secondary market,
and do not take into account our various costs related to the Notes such as fees, commissions, discounts, and the costs of hedging our obligations under the Notes, secondary market prices of your Notes will likely be lower than the initial issue
price of your Notes. As a result, the price, at which Barclays Capital Inc., other affiliates of ours or third parties may be willing to purchase the Notes from you in secondary market transactions, if any, 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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The Temporary Price at Which We May Initially Buy The Notes in the Secondary Market And the Value We May Initially Use for Customer Account
Statements, If We Provide Any Customer Account Statements At All, May Not Be Indicative of Future Prices of Your Notes
Assuming that all relevant factors remain constant after the initial valuation date, the price at which Barclays Capital
Inc. may initially buy or sell the Notes in the secondary market (if Barclays Capital Inc. makes a market in the Notes, which it is not obligated to do) and the value that we may initially use for customer account statements, if we provide any
customer account statements at all, may exceed our estimated value of the Notes on the initial
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PPS-11
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valuation date, as well as the secondary market value of the Notes, for a temporary period after the initial issue date of the Notes. The price at which Barclays Capital Inc. may initially buy or
sell the Notes in the secondary market and the value that we may initially use for customer account statements may not be indicative of future prices of your Notes.
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We and Our Affiliates May Engage in Various Activities or Make Determinations That Could Materially Affect Your Notes in Various Ways and Create
Conflicts of Interest
We and our affiliates establish the offering price of the Notes for initial sale to the public, and the offering price is not based upon any independent verification or valuation. Additionally, the role played by
Barclays Capital Inc., as a dealer in the Notes, could present it with significant conflicts of interest with the role of Barclays Bank PLC, as issuer of the Notes. For example, Barclays Capital Inc. or its representatives may derive compensation or
financial benefit from the distribution of the Notes and such compensation or financial benefit may serve as an incentive to sell these Notes instead of other investments. We may pay dealer compensation to any of our affiliates acting as agents or
dealers in connection with the distribution of the Notes. Furthermore, we and our affiliates make markets in and trade various financial instruments or products for their own accounts and for the account of their clients and otherwise provide
investment banking and other financial services with respect to these financial instruments and products. These financial instruments and products may include securities, instruments or assets that may serve as the underliers, basket underliers or
constituents of the underliers of the Notes. Such market making, trading activities, other investment banking and financial services may negatively impact the value of the Notes. Furthermore, in any such market making, trading activities, and other
services, we or our affiliates may take positions or take actions that are inconsistent with, or adverse to, the investment objectives of the holders of the Notes. We and our affiliates have no obligation to take the needs of any buyer, seller or
holder of the Notes into account in conducting these activities.
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Additional Conflicts of Interest
As discussed above, 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 exceeds the portion of the quarterly payments treated as interest on the Deposit for U.S. federal income tax
purposes and whether all or part of the gain or loss you may recognize upon the sale or maturity of an instrument such as the Notes should be treated as ordinary income or loss. Similarly, the Internal Revenue Service and 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 increase the likelihood that you will be required to accrue income in respect of the Notes at a
rate that exceeds the portion of the quarterly payments treated as interest on the Deposit for U.S. federal income tax purposes. The outcome of this process is uncertain. In addition, any character mismatch arising from your inclusion of ordinary
income in respect of the interest on the Deposit and capital loss (if any) upon the sale 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 Reference Assets 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 Reference Assets;
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the time to maturity of the Notes;
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the market price and dividend rate on the common stocks underlying the Indices;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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INFORMATION REGARDING THE REFERENCE ASSETS
Description of the S&P 500
®
Index
All information regarding
the Index set forth in this preliminary pricing supplement reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (S&P Dow Jones). The S&P 500 Index is calculated, maintained and published by S&P
Dow Jones.
PPS-12
The S&P 500 Index is reported by Bloomberg under the ticker symbol SPX
<Index>. The S&P 500 Index is intended to provide an indication of the pattern of stock price movement in the U.S. equities market. The daily calculation of the level of the S&P 500 Index, discussed below in further detail, is
based on the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.
Composition of the S&P 500
®
Index
S&P Dow Jones chooses
companies for inclusion in the S&P 500 Index with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equities market. Relevant criteria
employed by S&P Dow Jones for new additions include the financial viability of the particular company, the extent to which that company represents the industry group to which it is assigned, adequate liquidity and reasonable price, an unadjusted
market capitalization of US$4.0 billion or more, U.S. domicile, a public float of at least 50% and company classification (i.e. U.S. common equities listed on the NYSE and the NASDAQ stock market and not closed-end funds, holding companies, tracking
stocks, partnerships, investment vehicles, royalty trusts, preferred shares, unit trusts, equity warrants, convertible bonds or investment trusts). The ten main groups of companies that comprise the Index include: Consumer Discretionary, Consumer
Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecommunication Services and Utilities. S&P Dow Jones may from time to time, in its sole discretion, add companies to, or delete companies from, the
S&P 500 Index to achieve the objectives stated above.
The S&P 500 Index does not reflect the payment of dividends on the stocks
included in the S&P 500 Index. Because of this the return on the Notes will not be the same as the return you would receive if you were to purchase those stocks and hold them for a period equal to the term of the Notes.
Computation of the S&P 500
®
Index
As of September 16, 2005, S&P Dow Jones
has used a full float-adjusted formula to calculate the S&P 500 Index. With a float-adjusted index, the share counts used in calculating the Index will reflect only those shares that are available to investors, not all of a companys
outstanding shares.
The float-adjusted S&P 500 Index is calculated as the quotient of (1) the sum of the products of (a) the
price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor (IWF) and (2) the index divisor.
The investable weight factor is calculated by dividing (1) the available float shares by (2) the total shares outstanding. Available float shares reflect float adjustments made to the total
shares outstanding. Float adjustments seek to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the
stocks price and their evaluation of the companys future prospects.
Float adjustment excludes shares that are closely held by
control groups, other publicly traded companies or government agencies. Generally, these control holders will include officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that
hold shares for control, strategic partners, holders of restricted shares, employee stock option plans, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all
levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. However, holdings by certain asset managers, such as depositary banks, pension
funds, mutual funds and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations and savings and investment plans, will
ordinarily be considered part of the float. Effective as of September 2012, all shareholdings representing more than 5% of a stocks outstanding shares, other than holdings by these asset managers, were removed from the float for purposes of
calculating the Index.
Treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible
stock, and rights are not part of the float. Shares held in a trust to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares are normally part of the float unless those shares form a
control block. If a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class are treated as a control block.
For each stock, the IWF is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total shares outstanding less shares held by control
holders. This calculation is subject to a 5% minimum threshold for control blocks. For example, if a companys officers and directors hold 3% of the companys shares, and no other control group holds 5% of the companys shares,
S&P Dow Jones would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a companys officers and directors hold 3% of the companys shares and another control group holds 20% of the
companys shares, S&P Dow Jones would assign an IWF of 0.77, reflecting the fact that 23% of the companys outstanding shares are considered to be held for control. For companies with multiple classes of stock, the multiple classes are
combined into one class with an adjusted share count. In these cases, the stock price is based on one class, usually the most liquid class, and the share count is based on the total shares outstanding.
PPS-13
Changes in a companys total shares outstanding of 5.0% or more due to public offerings, tender offers,
Dutch auctions, or exchange offers are made as soon as reasonably possible. Other changes of 5.0% or more (for example, due to company stock repurchases, private placements, an acquisition of a privately held company, redemptions, exercise of
options, warrants, conversion of preferred stock, notes, debt, equity participations, or other recapitalizations) are made weekly and are announced on Wednesdays for implementation after the close of trading on the following Wednesday (one week
later). Changes of less than 5.0% are accumulated and made quarterly on the third Friday of March, June, September, and December.
Changes due
to mergers or acquisitions of publicly held companies are made as soon as reasonably possible, regardless of the size of the change, although de minimis merger and acquisition share changes may be accumulated and implemented with the quarterly share
rebalancing. Corporate actions such as stock splits, stock dividends, spinoffs and rights offerings are generally applied after the close of trading on the day prior to the ex-date. Share changes resulting from exchange offers are made on the
ex-date. Changes in investable weight factors of more than five percentage points caused by corporate actions will be made as soon as possible. Changes in investable weight factors of less than five percentage points will be made annually, in
September when revised investable weight factors are reviewed. A share freeze is implemented the week of the rebalancing effective date, the third Friday of the last month of each quarter, during which shares are not changed except for certain
corporate actions (merger activity, stock splits, rights offerings and certain dividend payable events).
As discussed above, the value of the
S&P 500 Index is the quotient of (1) the total float-adjusted market capitalization of the Indexs constituents (i.e., the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each
common stock and (c) the investable weight factor) and (2) the index divisor. Continuity in index values is maintained by adjusting the divisor for all changes in the constituents share capital after the base date, which is the
period from 1941 to 1943. This includes additions and deletions to the index, rights issues, share buybacks and issuances, and spin-offs. The index divisors time series is, in effect, a chronological summary of all changes affecting the base
capital of the Index since the base date. The index divisor is adjusted such that the index value at an instant just prior to a change in base capital equals the index value at an instant immediately following that change. Some corporate actions,
such as stock splits require simple changes in the common shares outstanding and the stock prices of the companies in the Index and do not require adjustments to the index divisor.
Additional information on the S&P 500
®
Index is available on the following website: http://www.standardandpoors.com. No information on the website shall be deemed to be included or incorporated by
reference in this preliminary pricing supplement.
License Agreement
Standard & Poors
®
, S&P 500
®
and S&P
®
are registered trademarks of Standard & Poors Financial Services, LLC (S&P) and Dow
Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones).
Standard & Poors
®
, S&P 500
®
, S&P
®
and S&P 500
®
Total Return are registered trademarks of S&P and have been licensed for use by S&P Dow Jones Indices LLC
and its affiliates and sublicensed for certain purposes by Barclays Bank PLC. The S&P 500
®
Total Return (the
Index) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by Barclays Bank PLC.
The Notes are not
sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of their respective affiliates (collectively, S&P Dow Jones Indices). S&P Dow Jones Indices makes no representation or warranty,
express or implied, to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the Index to track general market performance. The only
relationship of S&P Dow Jones Indices or any of their subsidiaries or affiliates to Barclays Bank PLC is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third
party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices and/or its third party licensor(s) without regard to Barclays Bank PLC or the Notes. S&P Dow Jones Indices has no obligation to take the
needs of Barclays Bank PLC or the owners of the Notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and
amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&P Dow Jones Indices has no obligation or liability in
connection with the administration, marketing or trading of the Notes. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices
LLC is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. In addition, CME Group Inc. and
its affiliates may trade financial products which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the Index and the Notes.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR
WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH
PPS-14
RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR
IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE
INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT
NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY
AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND BARCLAYS BANK PLC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
Historical Information Regarding the S&P 500
®
Index
The following table sets forth the high and low closing levels as well as end-of-quarter closing levels of the S&P 500
Index, during the periods indicated below.
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Quarter/Period Ending
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Quarterly
High
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Quarterly
Low
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Quarterly
Close
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March 30, 2007
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1459.68
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1374.12
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1420.86
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June 29, 2007
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1539.18
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1420.86
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1503.35
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September 28, 2007
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1553.08
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1406.70
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1526.75
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December 31, 2007
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1565.15
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1407.22
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1468.36
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March 31, 2008
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1447.16
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1273.37
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1322.70
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June 30, 2008
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1426.63
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1278.38
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1280.00
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September 30, 2008
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1305.32
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1106.39
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1166.36
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December 31, 2008
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1161.06
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752.44
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903.25
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March 31, 2009
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934.70
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676.53
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797.87
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June 30, 2009
|
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946.21
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811.08
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919.32
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September 30, 2009
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1071.66
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879.13
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1057.08
|
|
December 31, 2009
|
|
|
1127.78
|
|
|
|
1025.21
|
|
|
|
1115.10
|
|
March 31, 2010
|
|
|
1174.17
|
|
|
|
1056.74
|
|
|
|
1169.43
|
|
June 30, 2010
|
|
|
1217.28
|
|
|
|
1030.71
|
|
|
|
1030.71
|
|
September 30, 2010
|
|
|
1148.67
|
|
|
|
1022.58
|
|
|
|
1141.20
|
|
December 31, 2010
|
|
|
1259.78
|
|
|
|
1137.03
|
|
|
|
1257.64
|
|
March 31, 2011
|
|
|
1343.01
|
|
|
|
1256.88
|
|
|
|
1325.83
|
|
June 30, 2011
|
|
|
1363.61
|
|
|
|
1265.42
|
|
|
|
1320.64
|
|
September 30, 2011
|
|
|
1353.22
|
|
|
|
1119.46
|
|
|
|
1202.09
|
|
December 30, 2011
|
|
|
1285.09
|
|
|
|
1099.23
|
|
|
|
1257.60
|
|
March 30, 2012
|
|
|
1416.51
|
|
|
|
1277.06
|
|
|
|
1408.47
|
|
June 29, 2012
|
|
|
1419.04
|
|
|
|
1278.04
|
|
|
|
1362.16
|
|
September 28, 2012
|
|
|
1465.77
|
|
|
|
1334.76
|
|
|
|
1440.67
|
|
December 31, 2012
|
|
|
1461.40
|
|
|
|
1353.33
|
|
|
|
1426.19
|
|
March 28, 2013
|
|
|
1569.19
|
|
|
|
1457.15
|
|
|
|
1569.19
|
|
June 13, 2013*
|
|
|
1669.16
|
|
|
|
1541.61
|
|
|
|
1636.36
|
|
*
|
For the period commencing April 1, 2013 and ending on June 13, 2013
|
PPS-15
The following graph sets forth the historical performance of the S&P 500 Index based on
daily closing levels from January 2, 2008 through June 13, 2013. The closing level of the S&P 500 Index on June 13, 2013 was 1636.36.
We obtained the S&P 500
®
Index closing levels above from Bloomberg, L.P, without independent verification. The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the Index
Closing Level of the S&P 500
®
Index on the Final Valuation Date. We cannot give you assurance that the
performance of the S&P 500
®
Index will result in the return of any of your principal.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Description of the Russell 2000
®
Index
All
information regarding the Russell 2000
®
Index set forth in this pricing supplement reflects the policies of, and
is subject to change by, Russell Investments (Russell), the index sponsor. The Russell 2000
®
Index
was developed by Russell and is calculated, maintained and published by Russell. The Russell 2000
®
Index is
reported by Bloomberg under the ticker symbol RTY <Index>.
The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. As a
subset of the Russell 3000
®
Index (the Russell 3000), it consists of approximately 2,000 of the
smallest companies (based on a combination of their market capitalization and the current index membership) included in the Russell 3000 and represented, as of June 30, 2012, 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 June 30, 2012, approximately 98% of the investable U.S. equity market.
Selection of Stocks Underlying the Russell 2000
®
Index
Security Inclusion Criteria
|
|
|
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
|
PPS-16
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
Minimum total market capitalization.
Companies with a total market capitalization of less than US$30 million are not eligible for the Russell
2000
®
Index.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
Shares excluded
. Preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrant rights and trust
receipts are not eligible for inclusion.
|
|
|
|
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.
|
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.