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 Contingent Rate range set forth in this
preliminary pricing supplement. We determined the size of Contingent Rate 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, which we refer to as 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 six (6) 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-10 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 CONTINGENT PAYMENT EXAMPLES
The payment of a Contingent Payment on any Contingent Payment Date will be dependent on the Closing Level of the Index on the related Valuation Date. If the Closing Level of the Index on such Valuation
Date is equal to or less than the Coupon Barrier Level, then there will not be a Contingent Payment made on the corresponding Contingent Payment Date. Alternatively, if the Closing Level of the Index on such Valuation Date is greater than the Coupon
Barrier Level, then a Contingent Payment will be made on the corresponding Contingent Payment Date.
If the Closing Level of the Index on each Valuation Date is equal to or less than the Coupon Barrier Level, then no 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 Contingent Payments will be made following the date of such exercise.
Quarterly Contingent Payment Calculations
Step 1: Determine Whether the Closing Level of the Index on the related Valuation Date is Greater than the Coupon Barrier Level.
The Calculation Agent will take the Closing Level of the Index on each Valuation Date and evaluate it relative to the Coupon Barrier Level (that is, whether the Closing Level on that day is greater than,
equal to, or less than the Coupon Barrier Level). If the Closing Level of the Index is greater than the Coupon Barrier Level, a Contingent Payment will be made (as calculated in Step 2 below) and payable on the corresponding Contingent Payment Date.
If the Closing Level of the Index is equal to or less than the Coupon Barrier Level, then no Contingent Payment will be made on the corresponding Contingent Payment Date.
Step 2: Calculate the Contingent Payment, if Any:
If on the respective Valuation Date, the Closing Level of the Index is greater than the Coupon Barrier Level, we will pay a Contingent Payment equal to the Contingent Rate
multiplied
by the stated
principal amount; otherwise no Contingent Payment will be due on the corresponding Contingent Payment Date. The Contingent Payment will be calculated as follows:
$1,000 × Contingent Rate = Contingent Payment
$1,000 × 1.8125 = $18.13
No adjustments to the amount of the Contingent Payment calculated will be made in the event a 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 Contingent Payment Calculations
The tables and examples below illustrate the determination as to whether a Contingent Payment will be made with respect to a series of hypothetical Valuation Dates. The hypothetical examples set forth
below are based on the following additional assumptions: a Contingent Rate of 1.8125% (per annum 7.25%); the Coupon Barrier Level is 75.00% of the Initial Level; the Notes are held until the Maturity Date and the Issuer has not exercised the
Early Redemption at the Option of the Issuer; in each scenario below, the first year is representative of each year of the term of the Notes; and no Market Disruption Event with respect to the Index 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 Notes, On Certain Valuation Dates, the Closing Level of the Index has been Equal to or Less Than the
Coupon Barrier Level and on Certain Valuation Dates, the Closing Level of the Index has been Greater than the Coupon Barrier Level. As a Result, During the Term of the Notes on Certain Contingent Payment Dates a Contingent Payment Will Be Due and On
Other Contingent Payment Dates, No Contingent Payment Will Be Due.
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Valuation Dates
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Is the Closing Level of
the Index Equal to or
Below the Coupon
Barrier Level?
1
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Will a Contingent
Payment be Made?
2
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Contingent Rate
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Amount of
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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1.8125
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$18.13
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Second
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Yes
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No
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N/A
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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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N/A
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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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1.8125
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$18.13
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Assuming the above outcome is representative of each year during the term of the Notes, the total Contingent Payments received per Note would be
$362.60.
1
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The Coupon Barrier Level is equal to 75.00% of its Initial Level.
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2
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A Contingent Payment will be made if the Closing Level of the Index on the related Valuation Date is greater than the Coupon Barrier Level.
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3
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The Contingent Payment per Note equals the Contingent Rate
times
the $1,000 principal amount.
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PPS-5
Table 2
With Respect to Each Valuation Date, the Closing Level of the Index Has Been
Greater than the Coupon Barrier Level. This Example Illustrates the Maximum Possible Total 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 Index Equal to or
Below the Coupon
Barrier Level?
1
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Will a Contingent
Payment be Made?
2
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Contingent Rate
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Amount of
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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1.8125
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$18.13
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Second
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No
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Yes
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1.8125
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$18.13
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Third
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No
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Yes
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1.8125
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$18.13
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Fourth
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No
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Yes
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1.8125
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$18.13
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Assuming the above outcome is representative of each year during the term of the Notes, the total Contingent Payments received per Note would be
$725.20.
1
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The Coupon Barrier Level is equal to 75.00% of its Initial Level.
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2
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A Contingent Payment will be made if the Closing Level of the Index on the related Valuation Date is greater than the Coupon Barrier Level.
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3
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The Contingent Payment per Note equals the Contingent Rate
times
the $1,000 principal amount.
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Table 3
With Respect to Each Valuation Date, the Closing Level of the Index Has Been Equal to or Less than the Coupon Barrier Level.
This Example Illustrates the Minimum Possible Total 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 Index Equal to or
Below the Coupon
Barrier Level?
1
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Will a Contingent
Payment be Made?
2
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Contingent Rate
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Amount of
Contingent Payment
(per $1,000 principal
amount)
3
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First
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Yes
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No
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N/A
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$0.00
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Second
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Yes
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No
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N/A
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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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N/A
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$0.00
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Fourth
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Yes
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No
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N/A
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$0.00
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Assuming the above outcome is representative of each year during the term of the Notes, the total Contingent Payments received per Note would be $0.00.
1
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The Coupon Barrier Level is equal to 75.00% of its Initial Level.
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2
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A Contingent Payment will be made if the Closing Level of the Index on the related Valuation Date is greater than the Coupon Barrier Level.
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3
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The Contingent Payment per Note equals the Contingent Rate
times
the $1,000 principal amount.
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HYPOTHETICAL PAYMENT AT MATURITY CALCULATIONS
The following illustrate the hypothetical amounts payable at maturity. The hypothetical payment at maturity examples 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 2,683.20, (ii) the Barrier Level with respect to the EURO STOXX 50 Index is 1,341.60 (the Initial Level of the EURO STOXX 50 Index multiplied by 50.00%, rounded to the nearest hundredth),
and (iii) the Notes are not redeemed prior to maturity pursuant to Early Redemption at the Option of the Issuer as described above. The hypothetical examples set forth below do not take into account any tax consequences from
investing in the Notes.
The payment at maturity, in addition to any final Contingent Payment, will depend on whether the Final Level of the
Index is greater than, equal to or less than the Barrier Level. 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 Index is
greater than or equal to the Barrier Level with respect the Index.
If the Final Level of the Index is less than the Barrier Level, 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.
As such, if the Final Level of the Index has depreciated by more than 50.00% relative to its Initial Level, you may
lose some or all of the principal amount of your Notes at maturity.
PPS-6
The following table illustrates the hypothetical payments at maturity assuming a range of performances for
the Index:
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EURO STOXX 50
Index
Final Level
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Index
Return
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Payment at Maturity*
(Not including any contingent
payment)
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5,366.40
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100.00%
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$1,000.00
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5,098.08
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90.00%
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$1,000.00
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4,829.76
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80.00%
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$1,000.00
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4,561.44
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70.00%
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$1,000.00
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4,293.12
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60.00%
|
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$1,000.00
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4,024.80
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50.00%
|
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$1,000.00
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3,756.48
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40.00%
|
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$1,000.00
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3,488.16
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30.00%
|
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$1,000.00
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3,219.84
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20.00%
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$1,000.00
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2,951.52
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10.00%
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$1,000.00
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2,683.20
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0.00%
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$1,000.00
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2,549.04
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-5.00%
|
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$1,000.00
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2,414.88
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-10.00%
|
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$1,000.00
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2,146.56
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-20.00%
|
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$1,000.00
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1,878.24
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-30.00%
|
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$1,000.00
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1,609.92
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-40.00%
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$1,000.00
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1,341.60
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-50.00%
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$1,000.00
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1,073.28
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-60.00%
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$400.00
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804.96
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-70.00%
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$300.00
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536.64
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-80.00%
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$200.00
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268.32
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-90.00%
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$100.00
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0.00
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-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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The following
examples illustrate how the payments at maturity set forth in the table above are calculated:
Example 1: The Index increases from an
Initial Level of 2,683.20 to a Final Level of 2,951.52.
Because the Final Level is greater than the Barrier Level of 1,341.60, the
investor will receive at maturity, in addition to the final Contingent Payment, a cash payment of $1,000 per $1,000 principal amount Note.
Example 2: The Index decreases from an Initial Level of 2,683.20 to a Final Level of 2,146.56.
Although the Final Level of the Index is less than the Initial Level, the Final Level is above the Barrier Level of 1,341.60. Accordingly, the investor
will receive at maturity, in addition to a final Contingent Payment, a cash payment of $1,000 per $1,000 principal amount Note.
Example 3:
The Index decreases from an Initial Level of 2,683.20 to a Final Level of 804.96.
Because the Final Level is less than the Barrier Level
of 1,341.60, the investor is fully exposed to the depreciation of the EURO STOXX 50 Index (as measured from its Initial Level to its Final Level) and receives a payment at maturity of $300.00 per $1,000 principal amount Note, calculated as follows:
$1,000 + [$1,000 × Index Return] = Payment at Maturity
$1,000 + [$1,000 × -70.00%] = $300.00
PPS-7
SELECTED PURCHASE CONSIDERATIONS
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Market Disruption Events and Adjustments
The Valuation Dates, the Maturity Date and the payment at maturity are subject to adjustment as
described in the following sections of the prospectus supplement:
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For a description of what constitutes a market disruption event with respect to the Index as well as the consequences of that market disruption event,
see Reference AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an Index or Indices of Equity Securities; and
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For a description of further adjustments that may affect the Index, see Reference AssetsIndicesAdjustments Relating to Securities
with the Reference Asset Comprised of an Index.
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Exposure to the Stocks Comprising the Index
The 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 Index, see Information Regarding the Index below and Non-Proprietary IndicesEquity IndicesEURO STOXX 50
®
Index in the accompany index 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 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 characterize your Notes as a contingent income-bearing executory contract with respect to the Index.
If your Notes are properly treated as a contingent income-bearing executory contract, it would be reasonable (i) to treat any 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 a 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. Any character mismatch arising from your inclusion of ordinary income in respect of the 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 investors 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 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.
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 Contingent Payments
(if
PPS-8
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 Index 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 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 Contingent Payments that you receive; (ii) you should not include the 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 Contingent Payments made to you over the term of the Notes (including any Contingent Payment
received at redemption or maturity or the amount of cash that you receive upon a sale that is attributable to the 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 any Contingent Payment received at redemption or maturity or the amount of cash that you receive upon a sale that is attributable to the Contingent Payments to
be made on the Notes); or (iii) if any Contingent Payment is made at redemption or maturity, such 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.
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 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 this preliminary pricing supplement.
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 Contingent Payments that you receive on the Notes, unless such Contingent Payments are derived in the ordinary course of the conduct of a trade or
business (in which case the 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 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
PPS-9
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 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 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.
SELECTED RISK CONSIDERATIONS
An investment in the Notes involves
significant risks. Investing in the Notes is not equivalent to investing directly in the Index or the underlying components of the Index. These risks are explained in more detail in the Risk Factors section of the prospectus supplement,
including the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All 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 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 Level of the Index is less than the Barrier Level. If the Final Level of the Index is less than the Barrier Level, your Notes will be fully exposed to such decline and you may lose some or all of your
principal. Specifically, if the Final Level of the Index is less than the Barrier Level (a decline of 50.00% compared to its Initial Level), you will lose 1% of your principal amount for every 1% decline in the Closing Level of the Index as measured
from its Initial Level to its Final Level.
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Potential Early Exit
While the original term of the Notes is as indicated on the cover page of this preliminary pricing supplement, the
Issuer may redeem your Notes (in whole but not in part) at its sole discretion without your consent at the Redemption Price on any quarterly Contingent Payment Date, beginning on or after the Contingent Payment Date scheduled to occur on or about
July 2, 2014, provided the Issuer gives at least five Business Days prior written notice to the trustee. If the Issuer exercises its redemption option, you will receive on the applicable Early Redemption Date a cash payment equal to 100%
of the principal amount of your Notes together with any 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 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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The Payment at Maturity on the Notes is not Based on the Level of the Index at any Time Other than the Closing Level on the Final Valuation
Date
Any payment (including any final contingent payment) due at maturity on your Notes will be based solely on the Closing Level of the Index on the Final Valuation Date. If the level of the Index drops precipitously on the Final Valuation
Date, the value of the payment at maturity on your Notes that you receive, if any, will be significantly less than it would have been had your payment at maturity been linked to the level of the Index at a time 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 contingent payment, if
any, you will not receive more than the principal amount of your Notes, even if the Index Return is greater than 0.00%. The total payment you receive over the term of the Notes will never exceed the principal amount of your Notes plus the contingent
payments, if any, paid during the term of the Notes. Accordingly, an investment in the Notes is not equivalent to making a direct investment in the Index or its underlying components.
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PPS-10
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Potential Return Limited to the Contingent Payments
The return, if any, on the Note is limited to the Contingent Payment(s). You will not
participate in any appreciation in the value of the Index. Moreover, a Contingent Payment will not be made on any Contingent Payment Date if the Closing Level of the Index is equal to or below the Coupon Barrier Level on the respective Valuation
Date. As such, it is possible that you will not receive any Contingent Payments during the term of the 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 Interest or 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 composing the Index would have.
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The Notes are Subject to Currency Exchange Rate Risk
The component stocks of the Index are traded and quoted in foreign currencies on
non-U.S. markets. Therefore, holders of the Notes will be exposed to currency exchange rate risk with respect to the currencies in which the stocks comprising the Index are denominated. Currency exchange rates may be subject to a high degree of
fluctuation due to changes in interest rates, the effects of monetary policies issued by the United States, foreign governments, central banks or supranational entities, the imposition of currency controls or other national or global political or
economic developments. If the value of the currencies in which the stocks comprising the Index are denominated decline relative to the U.S. dollar, the level of the Index will be adversely affected, which may negatively impact the closing level of
the Index and therefore the value of and amounts payable under the Notes.
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Non-U.S. Securities Markets Risks
The component stocks of the 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 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 Index Should Not Be Taken as Any Indication of the Future Performance of the Index Over the Term of the
Notes
The historical performance of the Index is not an indication of the future performance of the Index over the term of the Notes. Therefore, the performance of the Index over the term of the Notes may bear no relation or resemblance to
the historical performance of the Index.
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The Estimated Value of Your Notes Might be Lower if Such Estimated Value Were Based on the Levels at Which Our Debt Securities Trade in the
Secondary Market.
The estimated value of your Notes on the Initial Valuation Date is based on a number of variables, including our internal funding rates. Our internal funding rates may vary from the levels at which our benchmark debt securities
trade in the secondary market. As a result of this difference, the estimated values referenced above may be lower if such estimated values were based on the levels at which our benchmark debt securities trade in the secondary market.
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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
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PPS-11
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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 Valuation Date, as well as the secondary market value of the Notes, for a temporary period after the Issue Date. 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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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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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
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PPS-12
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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 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 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 the 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 investors 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 Index on any Scheduled Trading 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 Index;
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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 Index;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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INFORMATION REGARDING THE INDEX
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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2,179.66
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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 29, 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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June 11, 2013*
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2,835.87
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2,553.49
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2,683.20
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*
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For the period commencing April 2, 2013 and ending on June 11, 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 June 11, 2013. The Closing
Level of the EURO STOXX 50
®
Index on June 11, 2013 was 2,683.20.
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
ADDITIONAL INFORMATION
If the Reference Asset is (a) a security or other financial
instrument admitted to trading on a trading venue in the European Union (other than a security or other financial instrument whose principal trading venue is located outside the European Union), (b) a derivative relating to such a security or
financial instrument (or to the issuer of such a security or financial instrument) or (c) a debt instrument issued by the European Union or any of its member states or any sovereign issuer that is an instrumentality or political sub-division of
the European Union or any of its member states, or any derivative relating thereto (any of (a), (b) or (c) being a European Financial Instrument), or if the Reference Asset is an index, basket of securities or interest in an
exchange traded fund or similar entity which includes one or more European Financial Instruments, then as a holder of the Notes, you may be deemed to have an indirect interest in those underlying European Financial Instruments for purposes of EU
Regulation No 26/2012 of 14 March 2012 on short selling and certain aspects of credit default swaps (the EU Short Selling Regulation). Subject to certain exceptions, the EU Short Selling Regulation prohibits investors, wherever
located, from directly or indirectly making uncovered short sales of European Financial Instruments or European sovereign credit default swaps. The EU Short Selling Regulation also requires investors, wherever located, who hold directly or
indirectly a net short position in European Financial Instruments to comply with certain notification and
PPS-14
disclosure obligations depending on the size of their net short position. You should consult with your own legal advisers regarding any investment in the Notes, as you may need to consider your
investment in the Notes for purposes of compliance with the EU Short Selling Regulation.