barclays bank delaware - raymond jamessupplement to determine whether an investment in the cds is...

DISCLOSURE SUPPLEMENT, dated November 26, 2012 (To Disclosure Statement, dated September 30, 2009)

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Barclays Bank Delaware $770,000 Certificates of Deposit due November 29, 2019 Linked to the Performance of a Basket of International Equity Indices

Issuer: Barclays Bank Delaware (the “Bank”).

CDs: Certificates of Deposit due November 29, 2019 Linked to the Performance of a Basket of Indices (the “CDs”).

Issue Date: November 30, 2012

Basket Initial Valuation Date:

November 26, 2012

Basket Final Valuation Date: *

November 25, 2019

Maturity Date:** November 29, 2019

Observation Dates:* Quarterly, on the 26th of each November, February, May and August during the term of the CDs, beginning on February 26, 2013, provided that the final Observation Date shall be the Basket Final Valuation Date (the “Final Observation Date”).

Reference Asset: A basket (the “Basket”) consisting of the following indices (each, a “Basket Component” and, together, the “Basket Components”) in weighted allocations:

Basket Components Bloomberg Service

Page Weight Initial Index Level

S&P 500® Index SPX <Index> 1/3 1,406.29


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EURO STOXX 50® Index SX5E <Index> 1/3 2,542.52

FTSE® 100 Index UKX <Index> 1/3 5,786.72

Payment at Maturity: If you hold your CDs to the Maturity Date, you will receive, per $1,000 principal amount CD, an amount calculated as follows:

If the Basket Return is equal to or less than 0.00%, you will receive $1,000 per $1,000 principal amount CD.

If the Basket Return is greater than 0.00%, you will receive (a) $1,000 plus (b) $1,000 times the Participation Rate times the Basket Return. Accordingly, if the Basket Return is greater than 0.00%, you will receive an amount per $1,000 principal amount CD calculated as follows:

$1,000 + [$1,000 x Participation Rate x Basket Return]

Your principal is protected only if you hold your CDs to maturity. The CDs are deposit obligations of the Bank and not, either directly or indirectly, an obligation of any third party. Any amounts payable that exceed the applicable FDIC insurance limit, as well as any amounts payable under the CDs that are not insured by FDIC insurance, are subject to the creditworthiness of the Bank.

Participation Rate: 100%

Periodic Index Return: With respect to a Basket Component on each Observation Date, the performance of such Basket Component from and including the Basket Initial Valuation Date to and including such Observation Date, calculated as follows:

Observation Date Closing Level – Initial Index Level Initial Index Level

Basket Component Return:

With respect to each Basket Component, the arithmetic average of the Periodic Index Returns for such Basket Component (as calculated on each Observation Date during the term of the CDs).

Basket Return: The arithmetic average of the Basket Component Returns for each Basket Component.

Initial Index Level: With respect to each Basket Component, the Index Closing Level of such Basket Component on the Basket Initial Valuation Date, as shown in the table above.

Observation Date Closing Level:

With respect to each Basket Component on an Observation Date, the Index Closing Level of such Basket Component on such Observation Date.

Index Closing Level: With respect to a Basket Component on a valuation date, the official closing level of such Basket


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Component, as displayed on the applicable Bloomberg Professional® service page noted above or on any successor page on Bloomberg Professional® service or any successor service, as applicable.

Valuation Date: A day that is a scheduled trading day (as such term is defined in the accompanying Disclosure Statement) with respect to each Basket Component.

Denomination: $1,000 and integral multiples at $1,000 in excess thereof.

Limited Early Withdrawals; Survivor’s Option:

Early withdrawals of the principal amount will be permitted only in the event of the death or adjudication of incompetence of the beneficial owner of a CD as described herein in this disclosure supplement and in the accompanying disclosure statement. If you choose to withdraw your CDs prior to maturity in such circumstances, you will receive only the principal amount of your CDs; no return will be payable. See “Disclosure Supplement Summary – Will I Be Permitted to Withdraw My CDs Prior to Maturity?” in this disclosure supplement.

Price: 100% of the principal amount of the CDs.

Deposit Insurance: The principal amount of each CD is insured by the Federal Deposit Insurance Corporation (the “FDIC”) up to the limits and to the extent described in this disclosure supplement and the accompanying disclosure statement (generally $250,000 for all accounts held by a depositor in the same ownership capacity with the Bank).

Form of CDs: Registered Global.

Calculation Agent: Barclays Bank PLC.

Depositary: The Depository Trust Company.

CUSIP: 06740AWS4

ISIN: US06740AWS40

Series Number: D-514

* If the scheduled Observation Date is not a Valuation Date, then the scheduled Observation Date shall be the next succeeding day that is a Valuation

Date. The Observation Dates, including the Final Observation Date, are subject to postponement in the event of a Market Disruption Event, as described under “Certain Features of the CDs—Basket Valuation Dates, Basket Observation Dates or Basket Averaging Dates”” and “Reference Assets—Baskets—Market Disruption Events for CDs with a Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, any Other Assets or any Combination Thereof.”

** The Maturity Date is subject to the following business day convention and to postponement in the event of a Market Disruption Event as described in “Certain Terms of the CDs—Maturity Date” in the disclosure statement. Moreover, if the Final Observation Date is postponed, either because it is not a Valuation Date or because of a Market Disruption Event with respect to any Basket Component, then the Maturity Date will be postponed so that the number of business days between the Final Observation Date (as postponed) and the Maturity Date (as postponed) remains the same.


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Investing in the CDs involves risks. See “Selected Risk Considerations” beginning on page S-9 of this disclosure supplement for risks related to an investment in the CDs.

The CDs are not registered under the Securities Act of 1933, as amended, or any state securities law, and are not required to be so registered. The CDs have not been approved or disapproved by any federal or state securities commission or banking authority. Furthermore, the foregoing authorities have not confirmed the accuracy or determined the adequacy of this document. Any representation to the contrary is a criminal offense.

Notwithstanding anything to the contrary contained herein, each prospective depositor (and each employee, representative, or other agent of each prospective depositor) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions described in this disclosure supplement and the accompanying disclosure statement and all materials of any kind that are provided to the prospective depositor relating to such tax treatment and tax structure (as such terms are defined in United States Treasury Regulation Section 1.6011-4). This authorization of tax disclosure is retroactively effective to the commencement of discussions between the Bank, Barclays Capital Inc., the Brokers (as defined below) or their respective representatives and each prospective depositor regarding the transactions contemplated herein.

The CDs are made available through Barclays Capital Inc. (“Barclays Capital Inc.”), and certain other broker-dealers (each, a “Broker”). The CDs are time deposit obligations of the Bank, a state-chartered commercial bank organized under the laws of the State of Delaware, and are insured by the FDIC up to the limits and to the extent described in this disclosure supplement and in the accompanying disclosure statement under the section entitled “Deposit Insurance.”

The CDs offered hereby are obligations of the Bank only and are not obligations of the Brokers, or any other company affiliated with the Bank, including Barclays Capital Inc. and Barclays Bank PLC.

In making an investment decision, investors must rely on their own examinations of the Bank and the terms of this offering, including the merits and risks involved. We and Barclays Capital Inc. have not authorized anyone to provide you with any other information. If you receive any other information, you should not rely on it. You should not assume that the information included in this disclosure supplement and the accompanying disclosure statement or in any document incorporated by reference in the accompanying disclosure statement is accurate as of any date other than the respective dates of those documents.

The date of this disclosure supplement is November 26, 2012.

Disclosure Statement Barclays Bank Delaware, as Issuer

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Table of Contents

Disclosure Supplement

Page

Disclosure Supplement Summary S-6

Selected Risk Considerations S-9

Hypothetical Examples of Amounts Payable S-13

The Basket Components S-17

Fees; Hedging S-26

ERISA Matters S-26

Certain U.S. Federal Income Tax Considerations S-27

Disclosure Statement

Where You Can Find More Information 4

Barclays Bank Delaware 4

The Barclays Bank Group 4

Description of the CDs 4

Evidence of the CDs 8

Deposit Insurance 8

Secondary Market 13

Risk Factors 13

Certain Terms of the CDs 31

Interest Mechanics 33

Certain Features of the CDs 36

Reference Assets 42

ERISA Matters 82


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Disclosure Supplement Summary The following is a summary of the terms of the CDs, as well as a discussion of risks and other considerations you should take into account when deciding whether to invest in the CDs. The information in this section is qualified in its entirety by the more detailed explanations set forth elsewhere in this disclosure supplement and in the accompanying disclosure statement. We encourage you to read this entire disclosure supplement and the accompanying disclosure statement, including the documents incorporated by reference therein, prior to making your investment decision. To the extent there are any inconsistencies between this disclosure supplement and the accompanying disclosure statement, this disclosure supplement shall supersede the disclosure statement.

You should pay special attention to the “Selected Risk Considerations” section beginning on page S-9 of this disclosure supplement to determine whether an investment in the CDs is appropriate for you.

In this disclosure supplement, unless the context otherwise requires, the “Bank,” “we,” “us” and “our” mean Barclays Bank Delaware and “Barclays Capital Inc.” means Barclays Capital Inc. Barclays PLC is the ultimate parent company of the Bank and Barclays Capital Inc.

This section summarizes, among other things, the following aspects of the CDs:

What are the CDs and how do they work?

Are the CDs FDIC-insured?

What Are the CDs and How Do They Work? The CDs are deposit obligations of the Bank.

The Maturity Date of the CDs is indicated on the first page of this disclosure supplement. It is subject to the following business day convention and to postponement in the event of a Market Disruption Event, as described under “Certain Terms of the CDs—Maturity Date” and “Reference Assets—Baskets—Market Disruption Events for CDs with a Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, any Other Assets or any Combination Thereof” in the disclosure statement.

The CDs are linked to an equally-weighted basket of international equity indices, as described on the cover page of this disclosure supplement. The CDs do not bear any interest and we will not pay any periodic coupon payments on the CDs.

The payment at maturity that you will receive on your CDs is linked to the Basket Return. The Basket Return will be equal to the arithmetic average of the Basket Component Returns for each of the three Basket Components. The Basket Component Return for each Basket Component will be equal to the arithmetic average of the Periodic Index Returns for such Basket Component during the term of the CDs. The Periodic Index Return for each Basket Component, as calculated on each quarterly Observation Date, will measure the performance of such Basket Component from the Initial Index Level to the Observation Date Index Level on the applicable Observation Date.

If the Basket Return is equal to or less than 0.00%, you will on the Maturity Date receive $1,000 per $1,000 principal amount CD. If the Basket Return is greater than 0.00%, you will on the Maturity Date receive an amount per $1,000 principal amount CD calculated as follows:


The Observation Dates (including, but not limited to, the Final Observation Date) are subject to postponement in the event that such day is not a Valuation Date (as defined on the cover page of this disclosure supplement). The Observation Dates (including, but not limited to, the Final Observation Date) are also subject to postponement with respect to one or more Basket Components in the event of a Market Disruption Event that affects such Basket Component or Basket Components, as described under “Reference Assets—Baskets—Market Disruption Events Relating to CDs with a Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, any Other Assets or any Combination Thereof” and “Reference Assets—Indices—Market


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Disruption Events Relating to CDs with a Reference Asset Comprised of an Index or Indices Other than a Commodity-Based Index or Indices” in the disclosure statement.

We will make the Payment at Maturity to the persons who, at the close of business one business day prior to the Maturity Date, are registered as owners of the CDs. Your principal is protected only if you hold your CDs to maturity. The CDs are deposit obligations of the Bank and not, either directly or indirectly, an obligation of any third party. Any amounts payable that exceed the applicable FDIC insurance limit, as well as any amounts payable under the CDs that are not insured by FDIC insurance, are subject to the creditworthiness of the Bank.

A business day will be a day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a legal holiday nor a day on which banking institutions in New York City, London or Delaware generally are authorized or obligated by law, regulation or executive order to close.

If the Maturity Date of the CDs falls on a day that is not a business day, then payment to be made on the Maturity Date shall be made on the next succeeding business day with the same force and effect as if made on the Maturity Date. If the Final Observation Date is postponed with respect to one or more Basket Components, either because it is not a Valuation Date or because of a Market Disruption Event with respect to any Basket Component, then the Maturity Date will be postponed so that the number of business days between the Final Observation Date (as postponed) and the Maturity Date (as postponed) remains the same.

In the event that the Maturity Date is postponed as described above, payment will be made on the postponed Maturity Date and no interest will accrue as a result of such postponed payment.

You must rely on your own evaluation of the merits of an investment in the CDs. In connection with your purchase of the CDs, we urge you to consult your own financial, tax and legal advisors as to the risks involved in an investment in the CDs and not rely on our views in any respect. You should make a complete investigation as to the merits of an investment in the CDs.

Will I Be Permitted to Withdraw My CDs Prior to Maturity? By purchasing a CD, you will be deemed to agree with the Bank to keep your funds on deposit for the term of the CD. Withdrawals will be permitted prior to the Maturity Date only in the event of the death of the beneficial owner of a CD or the adjudication of incompetence of any such beneficial owner by a court or other administrative body of competent jurisdiction (the “Survivor Option“). In such event, provided that prior written notice of such proposed withdrawal has been given to your Broker or any other registered holder of the Master Certificate, and the Bank, together with appropriate documentation to support such request, the Bank will permit withdrawals of all CDs held by such beneficial owner. No partial withdrawals will be permitted except only as provided below. The amount payable by the Bank on any CDs upon such withdrawal will equal only the principal amount of the withdrawn CDs, and no return will be payable. For the avoidance of doubt, the Bank will have no further obligation with respect to any withdrawn CD once the CD is repaid. For purposes of this section, an “Affected Person” is a person who has the right, immediately prior to such person’s death or adjudication of incompetence, to receive the proceeds from the disposition of a CD, as well as the right to receive payment of the principal amount of such CD.

The death or adjudication of incompetence of an Affected Person holding a beneficial ownership interest in a CD: (1) with any person in a joint tenancy with right of survivorship; or (2) with his or her spouse in tenancy by the entirety, tenancy in common, as community property or in any other joint ownership arrangement, will be deemed the death or adjudication of incompetence of the beneficial owner of such CD, as the case may be, and the entire principal amount of the Affected Person’s CDs held in this manner will be subject to withdrawal from the Bank upon request. However, the death or adjudication of incompetence of an Affected Person holding a beneficial ownership interest in a CD as tenant in common with a person other than his or her spouse will be deemed the death or adjudication of incompetence of the beneficial owner, as the case may be, only with respect to such Affected Person’s interest in such CD, and only the Affected Person’s percentage interest in the principal amount of the CDs held in this manner will be subject to withdrawal from the Bank upon request.


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See also “Risk Factors—You Will Have Limited Rights to Withdraw Your Funds Prior to the Maturity Date of the CDs” in the disclosure statement.

Where Can I Find Examples of Hypothetical Payments on the CDs? For examples setting forth hypothetical Payments at Maturity, see “Hypothetical Examples of Amounts Payable on Your CDs” in this disclosure supplement.

How Has the Reference Asset Performed Historically? We have provided graphs setting forth the historical performance of the Basket Components based on the closing levels of the Basket Components in respect of a limited period of time. You can find these graphs in the section entitled “The Basket Components – Summary Information Regarding the Basket Components” in this disclosure supplement.

May My CDs Be Held in an Individual Retirement Account? Yes. The CDs may, under certain circumstances, be held in an individual retirement account. See “ERISA Matters” in this disclosure supplement, as well as “ERISA Matters” and “Deposit Insurance” in the accompanying disclosure statement for more detailed information.

Are the CDs Insured by the Federal Deposit Insurance Corporation? The CDs are deposit obligations of the Bank, which are insured by the FDIC up to applicable limits set by federal law and regulation. Effective July 22, 2010, federal deposit insurance limits have been permanently increased from $100,000 per depositor (as disclosed in the accompanying disclosure statement with respect to most account types) to $250,000 per depositor (for all account types) and, therefore, the principal amount of the CDs is, in general, protected by federal deposit insurance and backed by the U.S. Government to a maximum amount of $250,000 for all deposits held by you in the same ownership capacity with the Bank. FDIC coverage limits are subject to further change at any time and from time to time by the FDIC or legislative action.

Any accounts or deposits you maintain directly with the Bank or through any other intermediary in the same ownership capacity as you maintain your CDs will be aggregated with the CDs for purposes of the foregoing limits. If it is important to you that the entire principal amount of CDs owned by you be insured by the FDIC, you should ensure that purchasing a CD will not bring your aggregate deposits with the Bank over the applicable insurance limit. A more detailed summary of FDIC deposit insurance regulations, as supplemented by this disclosure supplement, is contained in the accompanying disclosure statement, but neither the accompanying disclosure statement nor this disclosure supplement is intended to be a full restatement of applicable FDIC regulations and interpretations, which may change from time to time. None of the Bank, Barclays Capital Inc. or your Broker is responsible for determining the extent of deposit insurance coverage applicable to your CDs.

See “Deposit Insurance” in the accompanying disclosure statement for more detailed information.

What Is the Role of the Bank’s Affiliate, Barclays Capital Inc. ? Our affiliate, Barclays Capital Inc., is an agent for the Bank, through which the Bank will place the CDs. After the initial placement, Barclays Capital Inc. or other affiliates and/or other Brokers may buy and sell the CDs to create a secondary market for holders of the CDs, even though they are not required to do so.

One or more affiliates of the Bank, including Barclays Capital Inc., may provide various administrative, operational and other services to the Bank and receive compensation for such services.

What Is the Role of the Bank’s Affiliate, Barclays Bank PLC?

Our affiliate, Barclays Bank PLC, will act as the Calculation Agent for the CDs (the “Calculation Agent”). As Calculation Agent, Barclays Bank PLC will make determinations and judgments in connection with valuing the Basket Components and calculating adjustments to the closing prices of the Basket Components, or any other affected variable when any Basket Component is changed or modified as well as determine whether a Market Disruption Event has occurred. For more information on the determinations and judgments the Calculation Agent may make in connection with the Reference Asset, see “Reference Assets—Baskets—Market Disruption Events Relating to CDs with a Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, any Other


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Assets or any Combination Thereof,” “Adjustments Relating to CDs with a Reference Asset Comprised of a Basket,” “Reference Assets—Equity Securities—Market Disruption Events Relating to CDs with an Equity Security as Reference Asset” and “Share Adjustments Relating to CDs with an Equity Security as a Reference Asset” in the disclosure statement.

Can You Tell Me More about the Effect of the Bank’s Hedging Activity? We have hedged or expect to hedge our obligations under the CDs through or with one or more of our affiliates, including Barclays Bank PLC. This hedging activity has involved or will likely involve entering into derivatives and/or trading in one or more instruments, such as options, swaps or futures. This hedging activity could affect the market value of the CDs. The costs of maintaining or adjusting this hedging activity could also affect the price at which Barclays Capital Inc. or the Brokers may be willing to purchase your CDs in the secondary market. Moreover, this hedging activity may result in our or our affiliates’ receiving a profit, even if the market value of the CDs declines. You should refer to “Risk Factors—Trading and Other Transactions by Us or Our Affiliates Could Affect the Levels, Values or Prices of the Reference Assets(s) and Their Components, the Market Value of the CDs and the Amount Payable on Your CDs” in the accompanying disclosure statement.

What Are the U.S. Federal Income Tax Consequences of Investing in the CDs? A CD will be treated for U.S. federal income tax purposes as a debt instrument issued by the Bank that is subject to the special U.S. Treasury regulations governing contingent payment debt instruments. A U.S. Depositor (as defined below in “Certain U.S. Federal Income Tax Considerations”) therefore will be required to include interest into income on an annual basis, even though the U.S. Depositor will receive no payments with respect to the CDs before maturity. In addition, any gain at maturity or on disposition of a CD prior to maturity will be treated as ordinary interest income, rather than as capital gain. See “Certain U.S. Federal Income Tax Considerations” in this disclosure supplement for more information on the U.S. federal income tax consequences of an investment in the CDs.

Selected Risk Considerations This section describes the most significant risks relating to an investment in the CDs. We urge you to read the following information about these risks, together with the other information in this disclosure supplement and the accompanying disclosure statement, before investing in the CDs. These risks are explained in more detail in the “Risk Factors” sections of the disclosure statement, including the risk factors discussed under the following headings:

• “Risk Factors—Risks Relating to All CDs”;

• “Risk Factors—Additional Risks Relating to CDs 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”;

• “Risk Factors—Additional Risks Relating to CDs Based on a Basket Comprised of More Than One Reference Asset”; and

• “Risk Factors—Additional Risks Relating to CDs which Pay No Interest”.

In addition to the risks referred to above, you should consider the following:

The CDs Differ from Conventional Bank Deposits.

The CDs combine features of equity and traditional certificates of deposit. The terms of the CDs differ from those of conventional bank deposits in that we will not pay interest on the CDs, and the return on your investment in the CDs may be less than the amount that would be paid on an ordinary bank deposit. You will not receive any return at maturity if the Basket Return is not positive. Even if the Basket Return is positive, the return at maturity of the principal amount of your CDs may not compensate you for any loss in value due to inflation and other factors relating to the value of money over time.


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The CDs Are Intended to Be Held to Maturity.

The CDs are not principal protected unless they are held until maturity. You may receive less, and possibly significantly less, than the amount you originally invested if you sell your CDs prior to maturity in any secondary market transaction. Subject to the early withdrawal rules providing for principal protection in the event of the death or adjudication of incompetence of a beneficial owner of a CD, holders of CDs will only be entitled to receive a return of the entire principal amount of their CDs if the CDs are held until maturity. Accordingly, you should be willing and able to hold your CDs until maturity.

The CDs Are Subject to the Creditworthiness of the Bank.

The CDs are deposit obligations of the Bank and are not, either directly or indirectly, an obligation of any third party. Any amounts payable under the CDs that exceed the applicable FDIC insurance limit, as well as any amounts payable under the CDs that are not insured by FDIC insurance, are subject to the creditworthiness of the Bank.

As a result, the actual and perceived creditworthiness of the Bank may affect the market value of the CDs and, in the event the Bank were to default on its obligations, you may not receive the principal protection or any other amounts owed to you under the terms of the CDs in excess of the amounts covered by the applicable FDIC insurance.

You Will Not Receive any Periodic Interest Payments Under the CDs; If the Basket Return Is Not Positive, You Will Not Earn Any Positive Return on the CDs.

The CDs do not bear interest and you will not receive any periodic coupon payments during the term of the CDs. You will receive an amount at maturity that is greater than the principal amount of your CDs only if the Basket Return is positive. If the Basket Return is equal to or less than 0.00% or is negative, you will receive only the principal amount of your CDs on the Maturity Date. Accordingly, unless the Basket Return is positive, you will not earn any return on your investment in the CDs.

The Payment at Maturity in Excess of the Principal Amount of Your CDs, if any, is not Protected by FDIC Deposit Insurance Until the Final Observation Date.

Because the Basket Return is calculated based on the arithmetic average of the Basket Component Returns, which is based on the arithmetic average of the Periodic Index Returns of each Basket Component as measured on each Observation Date, any payment maturity in excess of the principal amount of your CDs will not accrue to holders of the CDs until the Final Observation Date. Accordingly, any payment at maturity in excess of the principal amount of your CDs will not be eligible for federal deposit insurance prior to the Final Observation Date. Any payment at maturity in excess of the principal amount of your CDs will be eligible for deposit insurance coverage only from the Final Observation Date until the time the Bank makes payment. The Periodic Index Returns of Each Basket Component are Not Based on the Level of such Basket Components at Any Time Other than the Index Closing Levels of the Basket Components on each Observation Date.

The Basket Return will be based on the arithmetic average of the Basket Component Returns for each Basket Component which will, in turn, be based on the arithmetic average of the Periodic Index Returns for each Basket Component. The Periodic Index Returns for each Basket Component will be based on the Index Closing Levels of the Basket Components on each Observation Date as compared to the Initial Index Levels on the Basket Initial Valuation Date. Therefore, if the levels of one or more Basket Components drops precipitously on one or more Observation Dates, the payment at maturity on your CDs may be significantly less than it would have been had such payment been linked to the levels of the Basket Components prior to such drop.

Negative Periodic Index Returns With Respect to any Basket Component On One or More Observation Dates Will Mitigate the Effect Of, and May Completely Offset, Positive Periodic Index Returns on Other Observation Dates.

The Basket Component Return with respect to each Basket Component will be equal to the arithmetic average of the Periodic Index Returns for such Basket Component during the term of the CDs. Accordingly, the Basket Component Return of each Basket Component and, in turn, the Basket Return, will depend on the path taken by the Basket


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Components between the Basket Initial Valuation Date and the Basket Final Valuation Date. Negative Periodic Index Returns with respect to any Basket Component on one or more Observation Dates will mitigate the effect of, and may completely offset, positive Periodic Index Returns on other Observation Dates. If the Periodic Index Returns with respect to one or more of the Basket Components are negative on one ore more Observation Dates, the Basket Component Returns for such Basket Components may be negative. If the Basket Component Returns with respect to one or more Basket Components is negative, the Basket Return may in turn also be negative, and your payment at maturity will be limited to the principal amount of your CDs.

You Have No Rights to Receive Dividend Payments, Voting Rights or Any Other Rights that Shareholders of the Securities Comprising the Basket Components May Have.

Investing in the CDs will not make you a holder of the securities comprising any of the Basket Components. Neither you nor any other holder or owner of the CDs will have any voting rights, any right to receive dividends or other distributions or any other rights with respect to any property or securities of any issuer or issuers of the securities comprising any of the Basket Components.

There Are Certain Risks Associated with Non-U.S. Securities Markets.

The stocks included in the EURO STOXX 50® Index and the FTSE® 100 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 such Basket Components, which may have an adverse effect on the CDs. Also, the public availability of information concerning the issuers of stocks included in these Basket Components will vary depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the issuers of the stocks included in these Basket Components may be subject to accounting, auditing and financial reporting standards and requirement that differ from those applicable to United States reporting companies.

There May Not Be a Trading Market in the CDs and Sales in the Secondary Market May Result in Significant Losses.

There may be no secondary market for the CDs. The CDs will not be listed or quoted on any securities exchange or any electronic communications network, nor will they otherwise be quoted on any quotation system sponsored or administered by a U.S. self-regulatory organization. Barclays Capital Inc. or other affiliates and Brokers may engage in limited purchase and resale transactions in the CDs, although they are not required to do so. If they decide to engage in such transactions, they may stop at any time.

Secondary market transactions may be expected to be effected at prices that reflect then-current interest rates, the closing level or closing prices of the Basket Components, supply and demand, time remaining until maturity, and general market conditions. The foregoing means that secondary market transactions may be effected at prices greater or less than $1,000 per $1,000 CD, and the yield to maturity on a CD purchased in the secondary market may differ from the yield at the time of original issuance. The prices at which CDs may trade in secondary markets may fluctuate more than ordinary, interest-bearing certificates of deposit.

If you sell your CDs before maturity, you may have to do so at a substantial discount from the principal amount of your CDs and, as a result, you may suffer substantial losses. You should be willing to hold your CDs to maturity.

The Market Value of the CDs May Be Influenced by Many Unpredictable Factors.

The market value of your CDs may fluctuate between the date you purchase them and the maturity date. Therefore, if you sell your CDs in the secondary market prior to maturity, you may have to sell them at a substantial loss. Several factors, many of which are beyond our control, will influence the market value of the CDs. Factors that may influence the market value of the CDs include:

the performance of the Reference Asset;

the performance of each of the Basket Components;

the time remaining to the maturity of the CDs;

the dividend rate on the common stocks comprising the Basket Components;


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supply and demand for the CDs;

the general interest rate environment;

economic, financial, political, regulatory or judicial events that affect the financial markets generally;

our financial condition;

our hedging activity; or

the absence of liquid secondary markets for the CDs.

These factors interrelate in complex ways, and the effect of one factor on the market value of your CDs may offset or enhance the effect of another factor.

Our Business Activities May Create Conflicts of Interest.

We and our affiliates play a variety of roles in connection with the issuance of the CDs. You should be aware that Barclays Bank PLC, in its capacity as the Calculation Agent for the CDs, is under no obligation to take your interests into consideration in determining the amount payable at maturity. The Calculation Agent will make determinations and judgments in connection with valuing the Basket Components as well as determining whether a Market Disruption Event has occurred. Because the Calculation Agent is our affiliate, conflicts of interest may arise in connection with the Calculation Agent performing its role as Calculation Agent. Furthermore, as noted above, our affiliates expect to engage in trading activities related to the CDs or similar instruments, which are not for the account of owners of the CDs or on their behalf. These trading activities may present a conflict between the owners’ interest in the CDs and the interests our affiliates will have in their proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for their customers and in accounts under their management. These trading activities could be adverse to the interests of the owners of the CDs. Any of these activities by Barclays Capital Inc. or our other affiliates may affect the market value of your CDs.

There are Potential Conflicts of Interest Between You and the Calculation Agent.

Barclays Bank PLC will serve as the Calculation Agent. The Calculation Agent will, in its sole discretion, make all determinations regarding business days, the Initial Share Price, the Final Share Price, the Coupon Payments, the Maturity Date, the amount payable in respect of your CDs at maturity and any other calculations or determinations to be made by the Calculation Agent as specified herein. Absent manifest error, all determinations of the Calculation Agent will be final and binding on you and us, without any liability on the part of the Calculation Agent. You will not be entitled to any compensation from us for any loss suffered as a result of any of the above determinations by the Calculation Agent.

The CDs Will Be Treated for U.S. Federal Income Tax Purposes as Debt Instruments Subject to Special U.S. Treasury Regulations Governing Contingent Payment Debt Instruments.

A CD will be treated for U.S. federal income tax purposes as a debt instrument issued by the Bank that is subject to the special U.S. Treasury regulations governing contingent payment debt instruments. A U.S. Depositor (as defined below in “Certain U.S. Federal Income Tax Considerations”) therefore will be required to include interest into income on an annual basis, even though the U.S. Depositor will receive no payments with respect to the CDs before maturity. In addition, any gain at maturity or on disposition of a CD prior to maturity will be treated as ordinary interest income, rather than as capital gain. See “Certain U.S. Federal Income Tax Considerations” in this disclosure supplement for more information on the U.S. federal income tax consequences of an investment in the CDs.


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Hypothetical Examples of Amounts Payable Illustrative Calculations of Basket Component Returns and Basket Return The following example sets forth the methodology used to calculate the Basket Component Returns of each Basket Component and the Basket Return. The numbers set forth in the following example, which have been rounded for ease of reference, are purely hypothetical and are provided for illustrative purposes only. The numbers set forth in the following table to not relate to the actual Index Closing Levels on the Basket Initial Valuation Date or on any Observation Date. We cannot predict the Periodic Index Returns or Basket Component Returns of any of the Basket Components or the Basket Return of the Basket. These examples do not take into account any tax consequences of an investment in the CDs. This example assumes the Index Closing Levels of the Basket Components as indicated and a Participation Rate of 100%. This example also assumes that:

The CDs have a term to maturity of seven years, resulting in a total of 28 Observation Dates.

The Index Closing Level of the S&P 500® Index on the Basket Initial Valuation Date: 1,406.29

The Index Closing Level of the EURO STOXX® 50 Index on the Basket Initial Valuation Date: 2,542.52

The Index Closing Level of the FTSE® 100 Index on the Basket Initial Valuation Date: 5,786.72 Step 1: Based on the Index Closing Level on the Basket Initial Valuation Date and the Index Closing Level on each Observation Date, calculate the Periodic Index Return for each Basket Component on each Observation Date.

Observation

Date Number S&P 500® Index EURO STOXX 50® Index FTSE® 100 Index

Index Closing Level

Periodic Index Return

Index Closing Level


Index Closing Level


1 1110.97 -21.00% 2008.59 -21.00% 6712.60 16.00%

2 1265.66 -10.00% 2288.27 -10.00% 7464.87 29.00%

3 1139.09 -19.00% 3025.60 19.00% 6307.52 9.00%

4 1307.85 -7.00% 2364.54 -7.00% 4224.31 -27.00%

5 1181.28 -16.00% 2949.32 16.00% 4860.84 -16.00%

6 1237.54 -12.00% 2847.62 12.00% 7233.40 25.00%

7 1265.66 -10.00% 2542.52 0.00% 4571.51 -21.00%

8 1814.11 29.00% 3279.85 29.00% 7291.27 26.00%

9 1209.41 -14.00% 2898.47 14.00% 6133.92 6.00%

10 1673.49 19.00% 3025.60 19.00% 6886.20 19.00%

11 1715.67 22.00% 3101.87 22.00% 6133.92 6.00%

12 1125.03 -20.00% 3051.02 20.00% 4340.04 -25.00%

13 1532.86 9.00% 2771.35 9.00% 6018.19 4.00%

14 1110.97 -21.00% 3076.45 21.00% 4455.77 -23.00%


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15 1617.23 15.00% 2923.90 15.00% 6076.06 5.00%

16 1715.67 22.00% 3101.87 22.00% 6191.79 7.00%

17 1307.85 -7.00% 2364.54 -7.00% 5439.52 -6.00%

18 1054.72 -25.00% 3178.15 25.00% 7001.93 21.00%

19 1082.84 -23.00% 3127.30 23.00% 5150.18 -11.00%

20 1054.72 -25.00% 3178.15 25.00% 5323.78 -8.00%

21 1757.86 25.00% 3178.15 25.00% 6538.99 13.00%

22 1265.66 -10.00% 2288.27 -10.00% 6596.86 14.00%

23 1307.85 -7.00% 2364.54 -7.00% 4918.71 -15.00%

24 1321.91 -6.00% 2389.97 -6.00% 7059.80 22.00%

25 1350.04 -4.00% 2644.22 4.00% 7464.87 29.00%

26 1012.53 -28.00% 3254.43 28.00% 7812.07 35.00%

27 1195.35 -15.00% 2923.90 15.00% 7522.74 30.00%

28 1673.49 19.00% 2161.14 -15.00% 7638.47 32.00%

Step 2: Based on the Periodic Index Returns calculated in Step 1 above, calculate the Basket Component Returns for each Index Component. For each Basket Component, the Basket Component Return will be equal to the arithmetic average of each of the Periodic Index Returns for such Basket Component. Accordingly, the Basket Component Returns for each of the three Basket Components are as follows:

Basket Component Return of the S&P 500® Index: -5.00% Basket Component Return of the EURO STOXX 50® Index: 10.00% Basket Component Return of the FTSE® 100 Index: 7.00%

Step 3: Based on the Basket Component Returns calculated in Step 2 above, calculate the Basket Return.

The Basket Return is equal to the arithmetic average of the Basket Component Returns of -5.00%, 10.00% and 7.00%, respectively. Accordingly, the Basket Return is equal to 4.00%. Step 4: Based on the Basket Return calculated in Step 3 above, calculate the payment at maturity.

Because the Basket Return is positive, the investor will receive a payment at maturity per $1,000 principal amount CD equal to $1,040.00, calculated as follows:

$1,000 + [$1,000 x Participation Rate x Basket Return] $1,000 + [$1,000 x 100% x 4.00%] = $1,040.00

In this case, the return on investment of the CDs is equal to 4.00%. Had the Basket Return been equal to or less than 0.00%, the investor would not receive any payment at maturity in excess of the principal amount of their CDs, and the return on investment of the CDs would have been equal to 0.00%.


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Hypothetical Examples of Amounts Payable at Maturity

The examples set forth below are provided for illustrative purposes only. Terms in the tables and examples below are purely hypothetical and do not relate to any Basket Component Return or Basket Return. The hypothetical terms do not represent the terms of an actual CD. The examples are hypothetical and do not purport to be representative of every possible scenario concerning the Basket Component Returns of the Basket Components. We cannot predict any of the Basket Component Returns or the Basket Return. The following examples illustrate the potential total return over the term of the CDs based upon an initial investment of $1,000. These examples assume the CDs are held until the Maturity Date and that no market disruption event has occurred or is continuing on any Observation Date. These examples further assume the Basket Component Returns are as indicated and a Participation Rate of 100%. The numbers appearing in the following tables and examples have been rounded for ease of analysis. These examples do not take into account any tax consequences of an investment in the CDs. For a more detailed description of how the Basket Component Returns will be calculated, please see “Illustrative Calculations of Basket Component Returns and Basket Return” above. Example 1: The Basket Component Returns of all of the Basket Components are positive.

Basket Component Basket Component Return

S&P 500® Index 4.00%EURO STOXX 50® Index 6.00%FTSE® 100 Index 8.00%

The Basket Return is equal to the arithmetic average of the Basket Component Returns. Accordingly, the Basket Return in this case is equal to 6.00%. Because the Basket Return is positive, the investor receives a payment at maturity of $1,060.00 per $1,000 principal amount CD, calculated as follows:


$1,000 + [$1,000 x 100% x 6.00%] = $1,060.00

The return on investment of the CDs is equal to 6.00%

Example 2: The Basket Component Returns of one or more Basket Components is negative, the Basket Component Return of one or more Basket Components is positive and the Basket Return is negative.


S&P 500® Index -10.00%EURO STOXX 50® Index 5.00%FTSE® 100 Index -4.00%

The Basket Return is equal to the arithmetic average of the Basket Component Returns. Accordingly, the Basket Return in this case is equal to -3.00%. Even though the Basket Component Return of one Basket Component was positive, the Basket Component Returns of the other two Basket Components were negative, thereby causing the Basket Return to be negative. Because the Basket Return is negative, the investor receives a payment at maturity of $1,000 per $1,000 principal amount CD. The return on investment in the CDs is 0.00%.


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Example 3: The Basket Component Returns of one or more Basket Components is negative, the Basket Component Return of one or more Basket Components is positive and the Basket Return is positive.


S&P 500® Index -5.00%EURO STOXX 50® Index 8.00%FTSE® 100 Index 9.00%

The Basket Return is equal to the arithmetic average of the Basket Component Returns. Accordingly, the Basket Return in this case is equal to 4.00%. Because the Basket Return is positive, the investor receives a payment at maturity of $1,040 per $1,000 principal amount CD, calculated as follows:


$1,000 + [$1,000 x 100% x 4.00%] = $1,040.00

The return on investment of the CDs is equal to 4.00%. Example 4: The Basket Component Returns of each Basket Component is negative.


S&P 500® Index -12.00%EURO STOXX 50® Index -8.00%FTSE® 100 Index -10.00%

The Basket Return is equal to the arithmetic average of the Basket Component Returns. Accordingly, the Basket Return in this case is equal to -10.00%. Because the Basket Return is negative, the investor receives a payment at maturity of $1,000 per $1,000 principal amount CD. The return on investment of the CDs is equal to 0.00%.


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The Basket Components Description of the S&P 500® Index We have derived all information regarding the S&P 500® Index contained in this disclosure supplement, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, Standard & Poor’s Financial Services LLC (“Standard and Poor’s” or “S&P”). Neither Standard & Poor’s nor the Bank assumes any responsibility for the accuracy or completeness of such information. The S&P 500® Index is calculated, maintained and published by Standard & Poor’s. Standard & Poor’s has no obligation to continue to publish the Index and may discontinue publication of the Index. 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 Index Standard & Poor’s chooses companies for inclusion in the Index with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equities market. Relevant criteria employed by Standard & Poor’s 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. Standard & Poor’s may from time to time, in its sole discretion, add companies to, or delete companies from, the Index to achieve the objectives stated above.

The Index does not reflect the payment of dividends on the stocks included in the Index. Because of this the return on the CDs will not be the same as the return you would receive if you were to purchase these stocks and hold them for a period equal to the term of the CDs.

Computation of the Index As of September 16, 2005, Standard & Poor’s has used a full float-adjusted formula to calculate the Index. With a float-adjusted index, the share counts used in calculating the Index will reflect only those shares that are available to investors, not all of a company’s outstanding shares.

The float-adjusted Index is calculated as the quotient of (1) the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor and (2) the index divisor.

The investable weight factor is calculated by dividing (1) the available float shares by (2) the total shares outstanding. Available float shares reflect float adjustments made to the total shares outstanding. Float adjustments seek to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the stock’s price and their evaluation of the company’s future prospects. Standard & Poor’s defines three groups of shareholders whose holdings are subject to float adjustment:

holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups;


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holdings by government entities, including all levels of government in the United States or foreign countries; and

holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment vehicles associated with and controlled by the company.

In cases where holdings in a group as described above exceed 10% of the outstanding shares of a company, the holdings of that group are excluded from the float-adjusted count of shares to be used in the Index’s calculation. In addition, treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held by mutual funds, investment advisory firms, pension funds, or foundations not associated with the company and investment funds in insurance companies, shares held in a trust to allow investors in countries outside the country of domicile (such as ADRs and Canadian exchangeable shares, shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are, however, considered part of the float.

Changes in a company’s total shares outstanding of 5.0% or more due to, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably possible. Other changes of 5.0% or more (for example, due to company stock repurchases, private placements, an acquisition of a privately held company, redemptions, exercise of options, warrants, conversion of preferred stock, notes, debt, equity participations, or other recapitalizations) are made weekly and are announced on Wednesdays for implementation after the close of trading on the following Wednesday (one week later). Changes of less than 5.0% are accumulated and made quarterly on the third Friday of March, June, September, and December. 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 reasonably possible. Changes in investable weight factors of less than five percentage points will be made annually, in September when revised investable weight factors are reviewed. A share freeze is implemented the week of the rebalancing effective date, the third Friday of the last month of each quarter, during which shares are not changed except for certain corporate actions (merger activity, stock splits, rights offerings and certain dividend payable events).

As discussed above, the value of the Index is the quotient of (1) the total float-adjusted market capitalization of the Index’s constituents (i.e., the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor) and (2) the index divisor. Continuity in index values is maintained by adjusting the divisor for all changes in the constituents’ share capital after the base date, which is the period from 1941 to 1943. This includes additions and deletions to the index, rights issues, share buybacks and issuances, and spin-offs. The index divisor’s time series is, in effect, a chronological summary of all changes affecting the base capital of the Index since the base date. The index divisor is adjusted such that the index value at an instant just prior to a change in base capital equals the index value at an instant immediately following that change. Some corporate actions, such as stock splits, require simple changes in the common shares outstanding and the stock prices of the companies in the Index and do not require adjustments to the index divisor.

While Standard & Poor’s currently employs the above methodology to calculate the Index, no assurance can be given that Standard & Poor’s will not modify or change this methodology in a manner that may affect the payment amount for the CDs upon maturity or otherwise.

Additional information on the Index is available on the following website:

http://www.standardandpoors.com.

Neither the Bank nor any of its affiliates accepts any responsibility for the calculation, maintenance or publication of, or for any error, omission or disruption in, the Index or any successor index.


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License Agreement “Standard & Poor’s®, S&P 500® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by Barclays Bank PLC. The S&P 500® Index (the “Index”) is a product of S&P Dow Jones Indices LLC, and has been licensed for use by Barclays Bank PLC.

The CDs 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 CDs or any member of the public regarding the advisability of investing in securities generally or in the CDs particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices’ only relationship to Barclays Bank PLC with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices and/or its third party licensor(s) without regard to Barclays Bank PLC or the CDs. S&P Dow Jones Indices has no obligation to take the needs of Barclays Bank PLC or the owners of the CDs 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 CDs or the timing of the issuance or sale of the CDs or in the determination or calculation of the equation by which the CDs 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 CDs. 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 CDs.

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE CDS, 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 for the S&P 500® Index The following graph sets forth the historical performance of the S&P 500® Index based on the daily Index Closing Level from January 2, 2004 through November 26, 2012. The Index Closing Level of the S&P 500® Index on November 26, 2012 was 1,406.29.

We obtained the Index Closing Levels below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The historical levels of the S&P 500® Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Closing Level on any Observation Date during the term of the CDs.


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PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Description of the EURO STOXX 50® Index All information regarding the EURO STOXX 50® Index (the “EURO STOXX 50 Index”) set forth in this disclosure supplement reflects the policies of, and is subject to change by, STOXX Limited (“STOXX”), a company owned by Deutsche Börse AG and SIX Group AG. The EURO STOXX 50 Index is calculated, maintained and published by STOXX. The EURO STOXX 50 Index is reported by Bloomberg under the ticker symbol “SX5E <Index>”. It is also published in The Wall Street Journal and disseminated on the STOXX website, www.stoxx.com.

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.

Publication of the EURO STOXX 50 Index was introduced on February 26, 1998, with a base value of 1,000 as of December 31, 1991.

The EURO STOXX 50 Index is compiled and calculated as follows. It is calculated with the “Laspeyres formula”, which measures price changes against a fixed base quantity weight. The EURO STOXX 50 Index is weighted by free float market capitalization. Each component’s weight is capped at 10% of the EURO STOXX 50 Index’s total free float market capitalization. Free float weights are reviewed quarterly and the EURO STOXX 50 Index composition is reviewed annually in September.

Within each of the 19 EURO STOXX Supersector indices, the component stocks are ranked by free float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free float market capitalization of the corresponding EURO STOXX Total Market Index (TMI) Supersector index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list.


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Any remaining stocks that are current EURO STOXX 50 Index components are added to the selection list. The stocks on the selection list are ranked by free float market capitalization. In exceptional cases, the STOXX Limited Supervisory Board may make additions and deletions to the selection list.

The 40 largest stocks on the selection list are chosen as components. Any remaining current components of the EURO STOXX 50 Index ranked between 41 and 60 are added as index components. If the component number is still below 50, then the largest remaining stocks on the selection list are added until the EURO STOXX 50 Index contains 50 stocks.

The EURO STOXX 50 Index has an index divisor, which is adjusted to maintain the continuity of the EURO STOXX 50 Index’s value across changes due to corporate actions such as:

the issuance of dividends;

the occurrence of stock splits;

the stock repurchase by the issuer; and

other reasons.

Additional information on the EURO STOXX 50 Index is available on the following website: http://www.stoxx.com.

License Agreement We have entered into a non-exclusive license agreement with STOXX whereby we, in exchange for a fee, are permitted to use the EURO STOXX Index in connection with the CDs. We are not affiliated with STOXX; the only relationship between STOXX and us is any licensing of the use of STOXX’s indices and trademarks relating to them.

The license agreement between STOXX and us provides that the following language must be set forth herein:

“STOXX and its licensors (the “Licensors”) have no relationship to Barclays Bank PLC, other than the licensing of the EURO STOXX 50®

Index and the related trademarks for use in connection with the securities.

STOXX and its Licensors do not:

Sponsor, endorse, sell or promote the securities.

Recommend that any person invest in the securities or any other securities.

Have any responsibility or liability for or make any decisions about the timing, amount or pricing of securities.

Have any responsibility or liability for the administration, management or marketing of the securities.

Consider the needs of the securities or the owners of the securities in determining, composing or calculating the EURO STOXX 50® Index or have any obligation to do so.

STOXX and its Licensors will not have any liability in connection with the securities. Specifically,

STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:

The results to be obtained by the securities, the owner of the securities or any other person in connection with the use of the EURO STOXX 50® Index and the data included in the EURO STOXX 50® Index;

The accuracy or completeness of the EURO STOXX 50® Index and its data; The merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index and its data;

STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® Index or its data;


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Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur.

The licensing agreement between Barclays Bank PLC and STOXX is solely for their benefit and not for the benefit of the owners of the securities or any other third parties.”

Historical Information for the EURO STOXX 50® Index The following graph sets forth the historical performance of the EURO STOXX 50® Index based on the daily Index Closing Levels from January 2, 2004 through November 26, 2012. The Index Closing Level of the EURO STOXX 50® Index on November 26, 2012 was 2,542.52.

We obtained the Index Closing Levels below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The historical levels of the EURO STOXX 50® Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Closing Level on any Observation Date during the term of the CDs.

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Description of the FTSE 100® Index All information regarding the FTSE® 100 Index (the “FTSE® 100 Index”) set forth in this disclosure supplement reflects the policies of, and is subject to change by, FTSE International Limited (“FTSE®”). The FTSE® 100 Index is calculated, maintained and published by FTSE®. The FTSE® 100 Index is reported by Bloomberg under the ticker symbol “UKX <Index>”.

The FTSE® 100 Index is a free float-adjusted, market capitalization-weighted index of the 100 largest U.K. blue-chip companies (with nationality determined by FTSE®) traded on the London Stock Exchange. The FTSE® 100 Index was developed with a base level of 1,000 on January 3, 1984.


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Composition of the FTSE® 100 Index

In order to be eligible for inclusion in the FTSE® 100 Index, a stock must generally have a free float (as described below) greater than 15%, although stocks with a free float greater than 5% but less than or equal to 15% are eligible if their full market capitalization exceeds US$5 billion.

Only “Premium Listed Equity Shares” as defined by the UK Financial Services Authority in its Listing Sources Rulebook with a listing on the London Stock Exchange are eligible for inclusion in the FTSE® 100 Index.

Stocks must also be sufficiently liquid to trade. The following criteria, among others, are used to exclude illiquid securities from the FTSE® 100 Index:

Price. The FTSE® Europe/Middle East/Africa Regional Committee must be satisfied that an accurate and reliable price for the purposes of determining the market value of a company exists. This requires a Sterling denominated price on SETS, which is the London Stock Exchange’s electronic order book trading service for U.K. blue-chip securities.

Liquidity. Securities which do not turn over at least 0.035% of their shares in issue, after the application of any investability weightings, based on their median daily trade per month for ten of the twelve months prior to the FTSE® Europe/Middle East/Africa Regional Committee’s annual June review will not be eligible for inclusion in the reference group. An existing constituent failing to trade at least 0.025% of its shares in issue, after the application of any investability weightings, based on its median daily trade per month for more than four of the twelve months prior to the annual review, will be removed and will not be eligible for inclusion in the reference group until the next annual review. Companies that are large enough to be components of the FTSE® 100 Index but do not pass the liquidity test are not included.

New Issues. New issues must have a minimum trading record of at least 20 days prior to the date of a review and turnover of a minimum of 0.035% of their shares in issue, after the application of any investability weightings, based on their median daily trade per month in each month since their listing.

At the discretion of the FTSE® Europe/Middle East/Africa Regional Committee, the percentage requirements discussed above may be adjusted by up to 0.01% in order for the FTSE® 100 Index to reflect more accurately the liquid investable market.

The FTSE® Europe/Middle East/Africa Regional Committee meets quarterly to review the components of the FTSE® 100 Index. This review is then presented to the FTSE® Europe/Middle East/Africa Regional Committee for approval. The meetings to review the constituents are held on the Wednesday after the first Friday in March, June, September and December. Any constituent changes will be implemented on the next trading day following the expiry of the London International Financial Futures Exchange futures and options contracts that normally takes place on the third Friday of the same month.

To maintain stability, a stock will be added at the quarterly review if it has risen to 90th place or above and a stock will be deleted at the quarterly review if it has fallen to 111th place or below, with rankings determined in each case on the basis of full market capitalization. A constant number of components is maintained for the FTSE® 100 Index. When a greater number of companies qualify to be inserted in the FTSE® 100 Index than those qualifying to be deleted, the lowest ranking constituents included in the FTSE® 100 Index will be deleted to ensure that an equal number of companies are inserted and deleted at the periodic review. Likewise, where a greater number of companies qualify to be deleted than those qualifying to be inserted, the securities of the highest ranking companies that are then not included in the FTSE® 100 Index will be inserted to match the number of companies being deleted at the periodic review.

Changes to the constituents of the FTSE® 100 Index may also be prompted outside of the FTSE® Europe/Middle East/Africa Regional Committee’s periodic review procedure for certain new issues where omission to promptly include such new issue in the FTSE® 100 Index would compromise the effectiveness of the FTSE® 100 Index as a market indicator, for certain corporate actions (e.g., mergers and acquisitions) or in the case of delisting.


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Computation of the FTSE® 100 Index

The value of the FTSE® 100 Index will be equal to (1) the sum of the products of (a) the price of each FTSE® 100 Index component, (b) the exchange rate for each such component, if any, (c) shares in issue for each such component and (d) a free float factor for each such component that allows amendments to each such component’s weighting to reflect the free float restrictions described below, divided by (2) a divisor which represents the total issued share capital of the FTSE® 100 Index at the base date, which may be adjusted as necessary to allow for changes in issued share capital of individual securities without distorting the FTSE® 100 Index.

Under this formula, the investable market capitalization, not the full market capitalization, of each FTSE® 100 Index constituent is used to determine the value of the FTSE® 100 Index. This reflects the “float-adjusted” aspect of the FTSE® 100 Index because, whereas full market capitalization depends on shares in issue, investable market capitalization depends on free float. The following are excluded from free float: trade investments in a FTSE® 100 Index constituent company by either another constituent or a non-constituent entity or company; significant long-term holdings by founders, directors and/or their families; employee share schemes (if restricted); government holdings; and portfolio investments subject to lock-in clauses (for the duration of the clause). Free float restrictions are calculated using available published information. The initial weighting of a FTSE® 100 Index component is applied in bands, as follows:

Free float as a percentage of full market capitalization Free float band

Greater than 5% but less than or equal to 15%

Eligible if full market capitalization

exceeds US$5 billion


20%


30%


40%


50%


75%

Greater than 75% 100%

Following the application of an initial free float restriction, a FTSE® 100 Index component’s free float will only be changed if its actual free float is more than 5 percentage points above the minimum or 5 percentage points below the maximum of an adjacent band. This 5 percentage point threshold does not apply if the initial free float is less than or equal to 15%.

The FTSE® 100 Index is periodically reviewed for changes in free float. These reviews coincide with the quarterly reviews undertaken of the FTSE® 100 Index. A stock’s free float is also reviewed and adjusted if necessary following certain corporate events. If the corporate event includes a corporate action which affects the FTSE® 100 Index, any change in free float is implemented at the same time as the corporate action. If there is no corporate action, the change in free float is applied as soon as practicable after the corporate event.


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Additional information on the FTSE® 100 Index is available on the following website: http://www.ftse.com.

License Agreement

We have entered into a non-exclusive license agreement with FTSE® whereby we, in exchange for a fee, are permitted to use the FTSE® 100 Index in connection with certain securities, including the CDs. We are not affiliated with FTSE®; the only relationship between FTSE® and us is any licensing of the use of FTSE’s® indices and trademarks relating to them.

The license agreement between FTSE® and us provides that the following language must be set forth herein:

“The securities are not in any way sponsored, endorsed, sold or promoted by FTSE International Limited (“FTSE”) or by the London Stock Exchange Plc (the “Exchange”) or by The Financial Times Limited (“FT”) and neither FTSE nor the Exchange nor FT makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE® 100 Index (the “Index”) and/or the figure at which the said Index stands at any particular time on the particular day or otherwise. The Index is compiled and calculated by FTSE. However, neither FTSE nor the Exchange nor FT shall be liable (whether in negligence or otherwise) to any person for any error in the Index and neither FTSE or the Exchange or FT shall be under any obligation to advise any person of any error therein.”

““FTSE®”, “FT-SE®” and “Footsie®” are trade marks of the London Stock Exchange Plc and The Financial Times Limited and are used by FTSE International Limited under license. “All-World”, “All-Share” and “All-Small” are trade marks of FTSE International Limited.”

Historical Information for the FTSE® 100 Index The following graph sets forth the historical performance of the FTSE® 100 Index based on the daily Index Closing Levels from January 2, 2004 through November 26, 2012. The Index Closing Level of the FTSE® 100 Index on November 26, 2012 was 5,786.72.

We obtained the Index Closing Levels below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The historical levels of the FTSE® 100 Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Closing Level on any Observation Date during the term of the CDs.

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Historical Performance of FTSE 100® Index



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Fees; Hedging Under the arrangements established by Barclays Capital Inc. and the Bank, Barclays Capital Inc. will act as agent of the Bank for placing the CDs directly or through Brokers. Barclays Capital Inc. may receive a placement agent fee from the Bank or an affiliate of the Bank that will not exceed 5.00% of the principal amount of the CDs, or $50.00 per $1,000 principal amount of CDs, and may retain all or a portion of this placement agent fee as its own placement agent fee or use all or a portion of this placement agent fee to pay selling concessions or placement agent fees to other Brokers. Barclays Capital Inc. and other Brokers may receive fees and broker spreads in any secondary market transaction. Affiliates of the Bank, including Barclays Capital Inc., may also receive fees from the Bank or an affiliate of the Bank in respect of hedging arrangements entered into with respect to the CDs, as well as administrative, operational and other services provided to the Bank pursuant to one or more service level agreements entered into by each such affiliate and the Bank. Barclays Bank PLC, as Calculation Agent, may receive compensation pursuant to a calculation agency agreement entered into by Barclays Bank PLC and the Bank.

There can be no assurance that an active trading market in the CDs will develop and continue after this offering or that the prices at which the CDs will sell in the secondary market after this offering, if any, will not be lower than the price at which they are placed through Barclays Capital Inc. or other brokers.

In anticipation of the sale of the CDs, our affiliates, including Barclays Bank PLC, expect to enter into hedging transactions, including entering into derivatives transaction or purchases of instruments, such as options, swaps or futures based upon the CDs or similar instruments that they deem appropriate in connection with such hedging. In addition, our affiliates, including Barclays Bank PLC, may buy or sell contracts relating to the Basket Components, or similar instruments, or derivative instruments relating to the Basket Components. From time to time, our affiliates, including Barclays Bank PLC, may enter into additional hedging transactions or unwind those that have been entered into.

Our affiliates may acquire a long or short position in instruments similar to the CDs from time to time and may, in their sole discretion, hold or resell those instruments.

Our affiliates may close out their hedge on or before the maturity date. That step may involve sales or purchases of instruments, such as options, swaps or futures.

ERISA Matters Any purchaser or holder of the CDs, and any fiduciary investing on behalf of such purchaser or holder (in its representative and its corporate capacity), will be deemed to have represented by its purchase and holding of the CDs on each day from and including the date of its purchase or other acquisition of the CDs through and including the date of disposition of such CDs:

(1) either (A) it is not a plan or a plan asset entity and is not purchasing those CDs on behalf of or with “plan assets” of any plan or plan asset entity or (B) the purchase, holding and other transactions contemplated by the CDs will not constitute a non-exempt prohibited transaction under Section 406 of ERISA and/or Section 4975 of the Code, or similar law;

(2) if it is relying on Section 408(b)(17) of ERISA, in connection with the purchase of the CDs it will pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA) and in connection with any redemption of the CDs pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations and warranties, the fiduciary has (x) applied sound business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith;

(3) if it is or is using the assets of, directly or indirectly, an employee benefit plan not subject to ERISA or Section 4975 of the Code, such as a government plan or a foreign plan, the purchase, holding and other transactions contemplated by the CDs do not constitute non-exempt violations of any applicable federal, state, local or foreign laws, rules, regulations or other restrictions, regardless of whether those restrictions are materially similar to Section 406 of ERISA and/or Section 4975 of the Code; and


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(4) neither the Bank nor any of its affiliates has provided or will provide any advice to it that has formed or may form a primary basis for its decision to purchase or hold the CDs, and if and to the extent the purchaser or holder’s assets are subject to Title I of ERISA or Section 4975 of the Code, neither the Bank nor its affiliates otherwise are “fiduciaries” with respect to the assets used in purchasing the CDs within the meaning of Section 3(21) of ERISA (including, without limitation, by virtue of the Bank’s or its affiliate’s reservation or exercise of any rights the Bank or its affiliate may have in connection with the CDs or any transactions contemplated thereby).

See “ERISA Matters” in the accompanying disclosure statement.

Certain U.S. Federal Income Tax Considerations

The following is a summary of certain U.S. federal income tax considerations that may be relevant to a beneficial owner of a CD. All references to “Depositors” (including references to any individual citizen or resident of the U.S. or a domestic corporation (including an entity treated as a domestic corporation for U.S. federal income tax purposes) or other person otherwise subject to U.S. federal income tax on a net income basis in respect of a CD (including any person whose income or gain in respect of a CD is effectively connected with a U.S. trade or business) (each, a “U.S. Depositor”)) are to beneficial owners of the CDs. This summary is based on U.S. federal income tax laws, regulations, rulings and decisions in effect as of the date of this disclosure supplement, all of which are subject to change at any time (possibly with retroactive effect).

This summary addresses the U.S. federal income tax consequences to Depositors who will hold the CDs as capital assets. This summary does not address all aspects of U.S. federal income taxation that may be relevant to a particular Depositor in light of its individual investment circumstances or to certain types of Depositors subject to special treatment under the U.S. federal income tax laws, such as dealers in securities or foreign currencies, financial institutions, insurance companies, regulated investment companies, persons subject to the alternative minimum tax, persons that are classified as partnerships, pass-through entities, tax exempt organizations, taxpayers holding the CDs as part of a “straddle,” “hedge,” “conversion transaction,” “synthetic security” or other integrated investment or persons whose functional currency is not the U.S. dollar. Except to the extent discussed below, it also does not deal with Depositors other than original purchasers of the CDs who acquired the CDs for an amount equal to their original principal amount. Moreover, the effect of any applicable state, local or foreign tax laws is not discussed.

U.S. Treasury Circular 230 Notice

The following discussion of U.S. federal income tax matters and any other discussions of U.S. federal income tax matters contained elsewhere in this disclosure supplement and in the accompanying disclosure statement (a) were not intended or written to be legal or tax advice to any person and were not intended or written to be used, and they cannot be used, by any person for the purpose of avoiding any tax-related penalties that may be imposed on such person, and (b) were written to support the promotion or marketing of the CDs by the Bank, Barclays Capital Inc. and the Brokers. Each person considering an investment in the CDs should seek advice based on such person’s particular circumstances from an independent tax advisor.

Investors should consult their own tax advisors in determining the tax consequences to them of holding the CDs, including the application to their particular situation of the U.S. tax matters discussed herein, as well as the application of state, local, foreign, or other tax laws.

Tax Characterization of the CDs

The CDs will be treated for U.S. federal income tax purposes as contingent payment debt instruments issued by the Bank. Therefore, under the special U.S. Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”), each CD will be treated as having been issued with original


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issue discount (“OID”) that must be accrued over the term of the CD.

U.S. Depositors

Taxation of Interest. Under the Contingent Debt Regulations, the Bank is required to determine a “comparable yield” for the CDs. As described in more detail below, a U.S. Depositor will be required to accrue interest on a CD at the comparable yield for the CD on an annual basis, even though such U.S. Depositor generally will receive no payments with respect to the CD before maturity.

The comparable yield is the yield at which the Bank would issue, as of the initial date of deposit, a fixed-rate debt instrument that does not provide for any contingent payments but that otherwise has terms and conditions comparable to those of the CDs. In addition, solely for purposes of determining the amount of interest income that a U.S. Depositor will be required to accrue, the Bank is also required to construct a “projected payment schedule” consisting of an estimate of the payment at maturity (the “Projected Payment Amount”). The Projected Payment Amount is calculated as the amount required to produce the comparable yield, taking into account the CD’s issue price. U.S. Depositors may obtain the comparable yield and the projected payment schedule for the CDs, as determined by the Bank, by submitting a written request to: Investor Solutions Americas, Attn: Director, 745 Seventh Avenue, 3rd Floor, New York, New York 10019.

The comparable yield and the Projected Payment Amount are used to determine accruals of interest FOR U.S. FEDERAL INCOME TAX PURPOSES ONLY and are not assurances or predictions by the Bank with respect to the actual yield of or payment to be made in respect of a CD. The comparable yield and the Projected Payment Amount do not represent the Bank’s expectations regarding such yield or the amount of such payment.

Under the rules applicable to debt instruments issued with OID, a U.S. Depositor will be required to include as ordinary interest income the sum of the “daily portions” of OID with respect to the CD for each day during the taxable year that the U.S. Depositor owns the CD. The daily portions of OID with respect to a CD are determined by allocating to each day in any accrual period a ratable portion of the OID allocable to that accrual period. The amount of OID on a CD allocable to each accrual period is determined by multiplying the “adjusted issue price” (as defined below) of the CD at the beginning of the accrual period by the comparable yield of the CD (appropriately adjusted to reflect the length of the accrual period). The “adjusted issue price” of a CD at the beginning of any accrual period will generally be the sum of its issue price and the amount of OID allocable to all prior accrual periods.

The bond premium and market discount rules generally do not apply to debt instruments subject to the Contingent Debt Regulations. U.S. Depositors that purchase a CD after its original issuance for more or less than the CD’s adjusted issue price (e.g., subsequent purchasers) must reasonably allocate any difference between their basis and the adjusted issue price to daily portions of interest or projected payments over the remaining term of the debt instrument.

Payment at Maturity or Other Dispositions. If the amount actually received with respect to a CD at maturity exceeds the Projected Payment Amount, the U.S. Depositor will be required to include the excess amount in income as ordinary interest income. Alternatively, if the amount actually received at maturity is less than the Projected Payment Amount, then the difference between the Projected Payment Amount and the amount actually received at maturity will be treated first as an offset to any interest otherwise includible in income by the U.S. Depositor with respect to the CD for the taxable year in which maturity occurs, but only to the extent of the amount of such includible interest. Any remaining portion of the excess of the Projected Payment Amount over the amount actually received at maturity may be recognized and deducted by the U.S. Depositor as an ordinary loss that is not subject to the limitations applicable to miscellaneous itemized


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deductions to the extent of the U.S. Depositor’s previous OID inclusions with respect to the CD.

When a U.S. Depositor sells, exchanges or otherwise disposes of a CD prior to maturity (a “disposition”), the U.S. Depositor’s gain (or loss) on such disposition will equal the difference between the amount actually received by the U.S. Depositor for the CD and the U.S. Depositor’s adjusted tax basis in the CD. A U.S. Depositor’s adjusted tax basis in a CD will be equal to the U.S. Depositor’s original purchase price for such CD, plus any OID accrued by the U.S. Depositor.

On a disposition of a CD, any gain realized by a U.S. Depositor will be treated as ordinary interest income. Any loss realized by a U.S. Depositor on a disposition will be treated as an ordinary loss to the extent of the U.S. Depositor’s OID inclusions with respect to the CD up to the date of disposition. Any loss realized in excess of that amount generally will be treated as a capital loss, which will be long-term or short-term capital loss, depending upon the U.S. Depositor’s holding period for the CD. The deductibility of capital losses is subject to certain limitations.

Information Reporting and Backup Withholding. Information returns may be required to be filed with the Internal Revenue Service (“IRS”) relating to payments made to a particular U.S. Depositor and OID associated with the CDs. In addition, U.S. Depositors that are not corporations, tax-exempt organizations or otherwise treated as “exempt recipients” may be subject to backup withholding tax on such payments if they do not provide their taxpayer identification numbers to the applicable withholding agent in the manner required.

Any amounts withheld under the backup withholding rules from a payment to a U.S. Depositor would be allowed as a refund or a credit against the U.S. Depositor’s U.S. federal income tax provided the required information is timely furnished to the IRS.

Non-U.S. Depositors

The following is a summary of certain U.S. federal income tax consequences that will apply to a beneficial owner of a CD that is not a U.S. Depositor (a “Non-U.S. Depositor”) and not a partner in a partnership or other entity treated as a partnership for U.S. federal income tax purposes owning a CD. Non-U.S. Depositors should consult their own tax advisors to determine the U.S. federal, state and local and any foreign tax consequences that may be relevant to them.

Payments of principal, premium (if any) or interest (including OID) on a CD to a Non-U.S. Depositor, and any gain realized on a sale or exchange of a CD, will be exempt from U.S. federal income tax (including withholding tax) unless (i) such amounts are effectively connected with the Non-U.S. Depositor’s conduct of a U.S. trade or business, or (ii) the Non-U.S. Depositor is an individual present in the United States for 183 days or more in the year of such sale or exchange and certain other conditions are met. However, as described below, backup withholding may apply unless certain certification requirements are met. Also, income allocable to Non-U.S. Depositors may be subject to annual tax reporting.

A Non-U.S. Depositor may be subject to backup withholding tax and information reporting on payments made with respect to the CDs. Compliance with the certification procedures described below will satisfy the certification requirements necessary to avoid the backup withholding tax. For a Non-U.S. Depositor to qualify for the exemption from backup withholding, the applicable withholding agent must have received a statement that, among other requirements, (a) is signed by the beneficial owner of the CD under penalties of perjury, (b) certifies that such owner is a Non-U.S. Depositor, and (c) provides the name and address of the beneficial owner. The statement may generally be made on IRS Form W-8BEN (or other applicable form) or a substantially similar form, and the beneficial owner must inform the applicable withholding agent of any


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change in the information on the statement within 30 days of that change by filing a new IRS Form W-8BEN (or other applicable form). Generally, an IRS Form W-8BEN provided without a U.S. taxpayer identification number will remain in effect for a period starting on the date the form is signed and ending on the last day of the third succeeding calendar year, unless a change in circumstances makes any information on the form incorrect. If a CD is held through a securities clearing organization or certain other financial institutions, the organization or institution may provide a signed statement to the applicable withholding agent. Under certain circumstances, the signed statement must be accompanied by a copy of the applicable IRS Form W-8BEN (or other applicable form) or the substitute form provided by the beneficial owner to the organization or institution. Any amounts withheld under the backup withholding rules from a payment to a Non-U.S. Depositor would be allowed as a refund or a credit against such Non-U.S. Depositor’s U.S. federal income tax provided the required information is timely furnished to the IRS.

Foreign Account Tax Compliance On March 18, 2010, the Hiring Incentives to Restore Employment Act (the “HIRE Act”) was signed into law. Under certain circumstances, the HIRE Act will impose a withholding tax of 30% on payments of U.S. source income on, and the gross proceeds from a disposition of, CDs made to certain foreign entities unless various information reporting requirements are satisfied. These rules generally would apply to payments made after December 31, 2012. However, under the HIRE Act, the withholding and reporting requirements generally will not apply to payments made on, or gross proceeds from a disposition of, debt instruments, such as the CDs, outstanding as of March 18, 2012 (the “Grandfather Date”). Despite the December 31, 2012 date set forth in the HIRE Act, the Internal Revenue Service (the “IRS”) has issued preliminary guidance indicating that the withholding tax on U.S. source income will not be imposed with respect to payments made prior to January 1, 2014 and that the withholding tax on gross proceeds from a disposition of debt instruments will not be imposed with respect to payments made prior to January 1, 2015. In addition, the IRS has released proposed regulations that would extend the Grandfather Date to January 1, 2013. These proposed regulations would be effective once finalized. Prospective purchasers should consult their tax advisors regarding the HIRE Act.

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