Free Writing Prospectus (To the Prospectus dated August 31, 2010 and the Prospectus Supplement dated May 27, 2011) |
|
Filed Pursuant to Rule 433 Registration No. 333-169119 February 28, 2012 |
$ Notes due September 9, 2013 Global Medium-Term Notes, Series A |
General
· Senior unsecured obligations of Barclays Bank PLC maturing September 9, 2013.
· Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof.
· The Notes are expected to price on or March 2, 2012 (the pricing date) and are expected to issue on or about March 7, 2012 (the issue date).
Key Terms |
Terms used in this free writing prospectus, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement. |
|
|
Issuer: |
Barclays Bank PLC |
|
|
Reference Asset: |
The Industrial Select Sector SPDR Fund (the ETF) (Bloomberg ticker symbol XLI UP <Equity>) |
|
|
Contingent Minimum Return: |
0.00% |
|
|
Barrier Level: |
79% x initial price |
|
|
Payment at Maturity: |
If the final price of the ETF is equal to or greater than the barrier level, you will receive at maturity a cash payment equal the sum of (a) the principal amount of your Notes and (b) the product of (i) 100% of your principal amount and (ii) the greater of (x) the contingent minimum return and (y) the reference asset return, calculated as follows per $1,000 principal amount Note: $1,000 + [$1,000 x the greater of (x) Contingent Minimum Return and (y) Reference Asset Return] If the final price of the ETF is below the barrier level, you will receive at maturity a cash payment equal to the sum of (a) the principal amount of your Notes and (b) the product of (i) 100% of your principal amount and (ii) the reference asset return, calculated as follows per $1,000 principal amount Note: $1,000 + [$1,000 x Reference Asset Return] You may lose some or all of your principal if you invest in the Notes. If the final price of the ETF is below the barrier level, your Notes will be fully exposed to any decline in the price of the ETF from the initial price to the final price, and you will lose some or all of your investment at maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Barclays Bank PLC and is not guaranteed by any third party. Any payment to be made on the Notes depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due. In the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes. |
|
|
Reference Asset Return: |
The performance of the ETF from the initial price to the final price, calculated as follows:
Final Price Initial Price |
|
|
Initial Price: |
$[·], the closing price of the ETF on the pricing date. |
|
|
Final Price: |
The closing price of the ETF on the final valuation date. |
|
|
Closing Price: |
With respect to a valuation date, the official closing price per share of the ETF on that valuation date as displayed on Bloomberg Professional® service page XLI UP<Equity> or any successor page on Bloomberg Professional® service or any successor service, as applicable. In certain circumstances, the closing price of the ETF will be based on the alternate calculation of the reference asset as described in Reference AssetAdjustments Relating to Securities with the Reference Asset Comprised of an Exchange-Traded Fund or Exchange-Traded Funds in the accompanying prospectus supplement. |
|
|
Final Valuation Date: |
September 4, 2013 |
|
|
Maturity Date: |
September 9, 2013 |
|
|
Calculation Agent: |
Barclays Bank PLC |
|
|
CUSIP/ISIN: |
06738KU90 / US06738KU907 |
Subject to postponement in the event of a market disruption event as described under Reference Assets-Exchange-Traded Funds-Market Disruption Events for Securities with the Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds Comprised of Equity Securities in the prospectus supplement.
Expected. In the event we make any change to the expected pricing date and issue date, final valuation date and maturity date will be changed so that the stated term of the Notes remains the same.
Investing in the Notes involves a number of risks. See Risk Factors beginning on page S-6 of the prospectus supplement and Selected Risk Considerations beginning on page FWP-4 of this free writing prospectus.
The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined that this free writing prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
|
Price to Public1 |
Agents Commission |
Proceeds to Barclays Bank PLC |
Per Note |
100% |
% |
% |
Total |
$ |
$ |
$ |
1 The price to the public for any single purchase by an investor in certain trust accounts, who is not being charged the full selling concession or fee by other dealers of approximately %, is %. The price to the public for all other purchases of Notes is 100%.
The Notes are not bank deposits and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank. The Notes are not guaranteed under the Federal Deposit Insurance Corporations Temporary Liquidity Guarantee Program.
|
JPMorgan |
Barclays Bank PLC has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus dated August 31, 2010, the prospectus supplement dated May 27, 2011 and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. Buyers should rely upon the prospectus, prospectus supplement and any relevant free writing prospectus or pricing supplement for complete details. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in this offering will arrange to send you the prospectus, prospectus supplement, preliminary pricing supplement, if any, and final pricing supplement (when completed) and this free writing prospectus if you request it by calling your Barclays Bank PLC sales representative, such dealer or 1-888-227-2275 (Extension 2-3430). A copy of the prospectus may be obtained from Barclays Capital Inc., 745 Seventh Avenue Attn: US InvSol Support, New York, NY 10019.
You may revoke your offer to purchase the Notes at any time prior to the pricing as described on the cover of this free writing prospectus. We reserve the right to change the terms of, or reject any offer to purchase the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
ADDITIONAL TERMS SPECIFIC TO THE NOTES
You should read this free writing prospectus together with the prospectus dated August 31, 2010, as supplemented by the prospectus supplement dated May 27, 2011 relating to our Global Medium-Term Notes, Series A, of which these Notes are a part. This free writing prospectus, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth under Risk Factors in the prospectus supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
· Prospectus dated August 31, 2010:
http://www.sec.gov/Archives/edgar/data/312070/000119312510201448/df3asr.htm
· Prospectus Supplement dated May 27, 2011:
http://www.sec.gov/Archives/edgar/data/312070/000119312511152766/d424b3.htm
Our SEC file number is 1-10257. As used in this free writing prospectus, the Company, we, us, or our refers to Barclays Bank PLC.
What is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Reference Asset?
The following table illustrates the hypothetical total return at maturity on the Notes. The total return as used in this free writing prospectus is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount Note to $1,000. The hypothetical total returns and examples set forth below assume an initial price of $37.51. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. The examples below do not take into account any tax consequences from investing in the Notes.
Final Price |
Reference Asset |
Payment at |
Total Return on |
48.76 |
30.00% |
$1,300.00 |
30.00% |
45.01 |
20.00% |
$1,200.00 |
20.00% |
41.26 |
10.00% |
$1,100.00 |
10.00% |
39.39 |
5.00% |
$1,050.00 |
5.00% |
37.51 |
0.00% |
$1,000.00 |
0.00% |
35.63 |
-5.00% |
$1,000.00 |
0.00% |
33.76 |
-10.00% |
$1,000.00 |
0.00% |
30.01 |
-20.00% |
$1,000.00 |
0.00% |
29.63 |
-21.00% |
$1,000.00 |
0.00% |
26.26 |
-30.00% |
$700.00 |
-30.00% |
22.51 |
-40.00% |
$600.00 |
-40.00% |
18.76 |
-50.00% |
$500.00 |
-50.00% |
15.00 |
-60.00% |
$400.00 |
-60.00% |
11.25 |
-70.00% |
$300.00 |
-70.00% |
7.50 |
-80.00% |
$200.00 |
-80.00% |
3.75 |
-90.00% |
$100.00 |
-90.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The price of the ETF increases from an initial price of $37.51 to a final price of $41.26, resulting in a reference asset return of 10.00%.
Because the final price of the ETF was equal to or greater than the barrier level, and the reference asset return of 10.00% is greater than the contingent minimum return, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 x Reference Asset Return]
$1,000 + [$1,000 x 10.00%] = $1,100.00
The total return on the investment of the Notes is 10.00%.
Example 2: The price of the ETF decreases from the initial price of $37.51 to a final price of $33.76, resulting in a reference asset return of -10.00%.
Because the final price of the ETF was equal to or greater than the barrier level, and the reference asset return of -10.00% is greater than the contingent minimum return, the investor receives a payment at maturity of $1,100.00 per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 x Contingent Minimum Return]
$1,000 + [$1,000 x 0.00%] = $1,000.00
The total return of the investment of the Notes is 0.00%.
Example 3: The price of the ETF decreases from the initial price of $37.51 to a final price of $18.76, resulting in a reference asset return of -50.00%.
Because the final price of the ETF was below the barrier level, the investor will receive a payment at maturity per $1,000 principal amount Note calculated as follows:
$1,000 + [$1,000 x Reference Asset Return]
$1,000 + [$1,000 x -50.00%] = $500.00
The total return on the investment of the Notes is -50.00%.
Selected Purchase Considerations
· Market Disruption Events and AdjustmentsThe final valuation date, maturity date, payment at maturity and the reference asset are subject to adjustment as described in the following sections of the prospectus supplement:
o For a description of what constitutes a market disruption event with respect to the ETF as well as the consequences of that market disruption event, see Reference AssetsExchange-Traded FundsMarket Disruption Events for Securities with the Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds Comprised of Equity Securities; and
o For a description of further adjustments that may affect the ETF, see Reference AssetsEquity Exchange-Traded Fund Share Adjustments Relating to Securities with the Reference Asset Comprised of an Exchange-Traded Fund or Exchange-Traded Funds.
· Limited Protection Against LossPayment at maturity of the principal amount of the Notes is protected against a decline in the price of the ETF over the term of the Notes but only to the extent that the closing price of the ETF does not fall below the barrier level on the final valuation date. Because the Notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see Selected Risk ConsiderationsCredit of Issuer in this free writing prospectus.
· Material U.S. Federal Income Tax Considerations The material tax consequences of your investment in the Notes are summarized below. The discussion below supplements the discussion under Certain U.S. Federal Income Tax Considerations in the accompanying prospectus supplement. Except as noted under Non-U.S. Holders below, this section applies to you only if you are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise excluded from the discussion in the prospectus supplement (for example, if you did not purchase your Notes in the initial issuance of the Notes).
In the opinion of our special tax counsel, Sullivan & Cromwell LLP, it would be reasonable to treat your Notes in the manner described below. This opinion assumes that the description of the terms of the Notes in this free writing prospectus is materially correct.
The United States federal income tax consequences of your investment in the Notes are uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described below. Pursuant to the terms of the Notes, Barclays Bank PLC and you agree, in the absence of a change in law or an administrative or judicial ruling to the contrary, to characterize your Notes as a pre-paid cash-settled executory contract with respect to the ETF. Subject to the discussion of Section 1260 below, if your Notes are so treated, you should generally recognize capital gain or loss upon the sale or maturity of your Notes in an amount equal to the difference between the amount you receive at such time and the amount you paid for your Notes. Such gain or loss should generally be long-term capital gain or loss if you have held your Notes for more than one year.
Although not entirely clear, it is possible that the purchase and ownership of the Notes could be treated as a constructive ownership transaction with respect to the ETF that is subject to the rules of Section 1260 of the Internal Revenue Code (the Code). If your Notes were subject to the constructive ownership rules, then any long-term capital gain that you realize upon the sale or maturity of your Notes that is attributable to the appreciation of the ETF over the term of your Notes would be recharacterized as ordinary income (and you would be subject to an interest charge on deferred tax liability with respect to such ordinary income) to the extent that such long-term capital gain exceeds the amount of long-term capital gain that you would have realized had you purchased the actual number of shares of the ETF referenced by your Notes on the date that you purchased your Notes and sold those shares on the date of the sale or maturity of the Notes (the Excess Gain Amount). Because the maturity payment under the Notes will only reflect the appreciation or depreciation in the value of the shares of the ETF and will not be determined by reference to any short-term capital gains or ordinary income, if any, that is recognized by holders of shares of the ETF, and because the Reference Asset Return on the Notes is calculated without any leverage, we believe that the Excess Gain Amount should be equal to zero, and that the application of the constructive ownership rules should accordingly not have any adverse effects to you. However, if you purchase your Notes at a discount, it is possible that the Excess Gain Amount could be greater than zero if the Internal Revenue Service successfully asserts that the discount at which you purchase your Notes should be taken into account in determining the Excess Gain Amount. Because the application of the constructive ownership rules is unclear, however, you are strongly urged to consult your tax advisor with respect to the possible application of the constructive ownership rules to your investment in the Notes.
As discussed further in the accompanying prospectus supplement, the Treasury Department and the Internal Revenue Service are actively considering various alternative treatments that may apply to instruments such as the Notes, possibly with retroactive effect.
For a further discussion of the tax treatment of your Notes as well as other possible alternative characterizations, please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsCertain Notes Treated as Forward Contracts or Executory Contracts in the accompanying prospectus supplement. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes. For additional, important considerations related to tax risks
associated with investing in the Notes, you should also examine the discussion in Selected Risk ConsiderationsTaxes, in this free writing prospectus.
Specified Foreign Financial Asset Reporting. Under legislation enacted in 2010, owners of specified foreign financial assets with an aggregate value in excess of $50,000 (and in some circumstances, a higher threshold) may be required to file an information report with respect to such assets with their tax returns. Specified foreign financial assets generally include any financial accounts maintained by foreign financial institutions as well as any of the following (which may include your Notes), but only if they are not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-U.S. persons, (ii) financial instruments and contracts held for investment that have non-U.S. issuers or counterparties and (iii) interests in foreign entities. Holders are urged to consult their tax advisors regarding the application of this legislation to their ownership of the Notes.
Non-U.S. Holders. The Treasury Department has issued proposed regulations under Section 871 of the Code which could ultimately require us to treat all or a portion of any payment in respect of your Notes as a dividend equivalent payment that is subject to withholding tax at a rate of 30% (or a lower rate under an applicable treaty). You could also be required to make certifications prior to, or upon the sale or maturity of the Notes in order to avoid or minimize withholding obligations, and you could be subject to withholding (subject to your potential right to claim a refund from the IRS) if such certifications were not received or were not satisfactory. You should consult your tax advisor concerning the potential application of these regulations to payments you receive with respect to the Notes when these regulations are finalized.
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the ETF. These risks are explained in more detail in the Risk Factors sections of the prospectus supplement, including but not limited to the risk factors discussed under the following headings:
o Risk FactorsRisks Relating to All Securities;
o Risk FactorsAdditional Risks Relating to Notes Which Pay No Interest;
o Risk FactorsAdditional Risks Relating to Notes Which Are Not Characterized as Being Fully Principal Protected or Are Characterized as Being Partially Protected or Contingently Protected;
o Risk FactorsAdditional Risks Relating to Securities with a Barrier Percentage or a Barrier Level; and
o Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds.
In addition to the risks discussed under the headings above, you should consider the following:
· Your Investment in the Notes May Result in a LossThe Notes do not guarantee any return of principal. The return on the Notes at maturity is linked to the performance of the ETF and will depend on whether, and the extent to which, the reference asset return is positive or negative. If the closing price of the ETF on the final valuation date is below the barrier level, your investment will be fully exposed to any decline in the ETF and you may lose up to 100% of your initial investment.
· No Interest or Dividend Payments or Voting Rights As a holder of the Notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the ETF would have.
· Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to MaturityWhile the payment at maturity described in this free writing prospectus is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions will likely be lower than the original issue price, and any sale prior to the maturity date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
· Lack of LiquidityThe Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC intend to offer to purchase the Notes in the secondary market but are not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes.
· Credit of Issuer The Notes are senior unsecured debt obligations of the issuer, Barclays Bank PLC and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Notes depends on the ability of
Barclays Bank PLC to satisfy its obligations as they come due. In the event Barclays Bank PLC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
· Certain Features of Exchange-Traded Funds Will Impact the Value of the NotesThe performance of the ETF does not fully replicate the performance of the Industrial Select Sector Index (the Underlying Index), and the ETF may hold securities not included in the Underlying Index. The value of the ETF to which your Notes is linked is subject to:
o Management risk. This is the risk that the investment strategy for the ETF, the implementation of which is subject to a number of constraints, may not produce the intended results.
o Derivatives risk. The ETF may invest in futures contracts and other derivatives. A derivative is a financial contract, the value of which depends on, or is derived from, the value of an underlying asset such as a security or an index. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices, and thus the ETFs losses, and, as a consequence, the losses of your Notes, may be greater than if the ETF invested only in conventional securities.
· The ETF May Underperform the Underlying IndexThe performance of the ETF may not replicate the performance of, and may underperform, the Underlying Index. Unlike the Underlying Index, the ETF will reflect transaction costs and fees that will reduce its relative performance. Moreover, it is also possible that the ETF may not fully replicate or may, in certain circumstances, diverge significantly from the performance of the Underlying Index; for example, due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in the ETF, differences in trading hours between the ETF and securities comprising the Underlying Index or due to other circumstances. Because the return on your Notes is linked to the performance of the ETF and not the Underlying Index, the return on your securities may be less than that of an alternative investment linked directly to the Underlying Index.
· The Stocks Included in the ETF are Concentrated in One SectorAll of the stocks included in the ETF are issued by companies in the industrial sector. As a result, the stocks that will determine the performance of the ETF are concentrated in one sector. Although an investment in the Notes will not give holders any ownership or other direct interests in the stocks underlying the ETF, the return on an investment in the Notes will be subject to certain risks associated with a direct equity investment in companies in the industrial sector. Accordingly, by investing in the Notes, you will not benefit from the diversification which could result from an investment linked to companies that operate in multiple sectors.
· Potential ConflictsWe and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.
· Taxes The U.S. federal income tax treatment of the Notes is uncertain and the Internal Revenue Service could assert that the Notes should be taxed in a manner that is different than described above. As discussed further in the accompanying prospectus supplement, the Internal Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue interest over the term of an instrument such as the Notes and whether all or part of the gain you may recognize upon the sale or maturity of an instrument such as the Notes could be treated as ordinary income. Similarly, the Internal Revenue Service and the Treasury Department have current projects open with regard to the tax treatment of pre-paid forward contracts, contingent notional principal contracts and other derivative contracts. While it is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the Notes (and while any such guidance may be issued on a prospective basis only), such guidance could be applied retroactively and could in any case increase the likelihood that you will be required to accrue income over the term of an instrument such as the Notes even though you will not receive any payments with respect to the Notes until maturity. The outcome of this process is uncertain. You should consult your tax advisor as to the possible alternative treatments in respect of the Notes.
· Suitability of the Notes for InvestmentYou should reach a decision to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this free writing prospectus, the prospectus supplement and the prospectus. Neither the Issuer nor Barclays Capital Inc. makes any recommendation as to the suitability of the Notes for investment.
· The Payment at Maturity on Your Notes is Not Based on the Price of the ETF at Any Time Other than the Final Valuation Date Whether the barrier level has been breached and the reference asset return will be based solely on the closing price of the ETF on the final valuation date relative to the initial price (subject to adjustments as described in the prospectus supplement). Therefore, if the price of the ETF drops precipitously on the final valuation date, the payment at maturity, if any, that you will receive for your Notes may be significantly less than it would otherwise have been had the payment at maturity been linked to the price of the ETF at a time prior to such drop. Although the price of the ETF on the maturity date or at other times during the life of your Notes may be higher than the closing price of the ETF on the final valuation date, you will not benefit from the price of the ETF at any time other than the closing price on the final valuation date.
· Many Economic and Market Factors Will Impact the Value of the NotesIn addition to the price of the ETF on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
o the expected volatility of the ETF, the Underlying Index and securities comprising the Underlying Index;
o the time to maturity of the Notes;
o the dividend rate underlying the ETF;
o interest and yield rates in the market generally;
o a variety of economic, financial, political, regulatory or judicial events, particularly those impacting companies in the industrial sector;
o the supply and demand for the Notes;
o our creditworthiness, including actual or anticipated downgrades in our credit ratings.
INFORMATION RELATING TO THE ETF
We urge you to read the following section in the accompanying prospectus supplement: Reference AssetsExchange-Traded FundsReference Asset Investment Company and Reference Asset Information. Companies with securities registered under the Securities Exchange Act of 1934, as amended, which is commonly referred to as the Exchange Act, and the Investment Company Act of 1940, as amended, which is commonly referred to as the 40 Act, are required to periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The address of the SECs website is http://www.sec.gov. Information provided to or filed with the SEC pursuant to the Exchange Act or the 40 Act by the company issuing the ETF can be located by reference to the SEC file number specified below.
The summary information below regarding the company issuing the ETF comes from the issuers SEC filings and has not been independently verified by us. We do not make any representations as to the accuracy or completeness of such information or of any filings made by the issuer of the ETF with the SEC. You are urged to refer to the SEC filings made by the issuer and to other publicly available information (such as the issuers annual report) to obtain an understanding of the issuers business and financial prospects. The summary information contained below is not designed to be, and should not be interpreted as, an effort to present information regarding the financial prospects of any issuer or any trends, events or other factors that may have a positive or negative influence on those prospects or as an endorsement of any particular issuer or exchange-traded fund.
Description of the ETF
According to publicly available information, the Industrial Select Sector SPDR® Fund (the ETF) is an exchange-traded fund. The Select Sector SPDR Trust (the Trust) is a registered investment company that consists of nine separate investment portfolios, including the ETF.
The ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Industrial Select Sector Index (the Underlying Index). Under normal market conditions, the ETF generally invests at least 95% of its total assets in securities comprising the Underlying Index. The Underlying Index includes companies from the following industries: aerospace & defense; industrial conglomerates; machinery; road & rail; air freight & logistics; commercial services & supplies; professional services; electrical equipment; construction & engineering; trading companies & distributors; airlines; and building products. As of December 31, 2011, the Underlying Index was comprised of 61 stocks.
Information provided to or filed with the SEC by the Trust can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively. Shares of the ETF are listed on NYSE Arca, Inc. under the ticker symbol XLI.
Historical Information
The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification. The historical performance of the ETF should not be taken as an indication of the future performance of the ETF during the term of the Notes.
Quarter/Period |
Quarterly High (USD) |
Quarterly Low (USD) |
Quarterly Close (USD) |
March 30, 2007 |
36.76 |
34.64 |
35.55 |
June 29, 2007 |
39.52 |
35.61 |
38.92 |
September 28, 2007 |
41.49 |
37.25 |
40.95 |
December 31, 2007 |
41.77 |
37.57 |
39.08 |
March 31, 2008 |
38.60 |
34.50 |
37.07 |
June 30, 2008 |
39.57 |
33.80 |
34.01 |
September 30, 2008 |
35.89 |
29.80 |
30.63 |
December 31, 2008 |
29.86 |
20.00 |
23.48 |
March 31, 2009 |
24.73 |
15.36 |
18.43 |
June 30, 2009 |
23.79 |
18.84 |
21.96 |
September 30, 2009 |
27.31 |
20.56 |
26.34 |
December 31, 2009 |
28.55 |
25.27 |
27.79 |
March 31, 2010 |
31.42 |
26.90 |
31.23 |
June 30, 2010 |
33.36 |
27.45 |
27.45 |
September 30, 2010 |
31.48 |
27.01 |
31.28 |
December 31, 2010 |
34.91 |
30.98 |
34.90 |
March 31, 2011 |
38.03 |
35.04 |
37.68 |
June 30, 2011 |
38.70 |
35.21 |
37.24 |
September 30, 2011 |
38.28 |
28.98 |
29.21 |
December 30, 2011 |
34.28 |
28.37 |
33.75 |
February 27, 2012* |
37.51 |
34.49 |
37.51 |
* For the period starting on January 1, 2012 and ending on February 27, 2012.
Certain Employee Retirement Income Security Act Considerations
Your purchase of a Note in an Individual Retirement Account (an IRA), will be deemed to be a representation and warranty by you, as a fiduciary of the IRA and also on behalf of the IRA, that (i) neither the issuer, the placement agent nor any of their respective affiliates has or exercises any discretionary authority or control or acts in a fiduciary capacity with respect to the IRA assets used to purchase the Note or renders investment advice (within the meaning of Section 3(21)(A)(ii) of the Employee Retirement Income Security Act (ERISA)) with respect to any such IRA assets and (ii) in connection with the purchase of the Note, the IRA 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 Note pursuant to its terms will receive at least adequate consideration, and, in making the foregoing representations and warranties, you have (x) applied sound business principles in determining whether fair market value will be paid, and (y) made such determination acting in good faith.
Supplemental Plan of Distribution
JPMorgan Chase Bank, N.A. and JPMorgan Securities LLC will act as placement agents for the Notes pursuant to separate placement agency agreements with the issuer and will receive a fee pursuant to its agreement that will not exceed $12.50 per $1,000 principal amount Note. JPMorgan Securities LLC may act on behalf of an affiliate and may reallow all or a portion of fees received in connection with the distribution of the Notes to such affiliate.
P3Z@PD6$EDR%E5&!D%*,G%J'E5N-
MFT^,H$"=N%>.H%67JDJ@NU2CO6&+F&:6I&F6H7&7HGN=IV^AK&*BM&*CN&&I
MO6RAL&JGO'.LOWJDM$&>PD6BQ$:IQDFEQDNIQTVLR%&JQU2KR5NLQ5JNRE2Q
MREVQS&.TS6>XSFVSQFJVSFNYSVNWT&ZYT'^^SG6\TWF^U'?!TGS!U7O"V(&N
MN8JILXBON8VQNY2SO*"YOX&_SX&^T9>WP)RZPJ.^Q8K`S8/#UX;%V(#(VHK&
MV8K)UXW)VI/+W)O.WIW0WY3/XI[/X)[0X*7#RJ[!QJS!R*3+V*+3W[#"R+/*
MS[O-T;71UKS1U+[3V*/3X:K6XZ[8Y+3;YK+;Z;C5X+C>Y[O>Z*S@[+[@Z<35
MV<;8V\K7V\+=XLS=X-/?XL3CZ\W@YLOF[<_H[\KI\=7@XM#I[]KCY=WGZ-GJ
M[]7K\=ON\M_P]-SS^N+IZN3R]>#U^NKT]NWV^._X^?+U]?#W^?;X]_3Z^_GX
M]_[^_@``````````````````````````````````````````````````````
M````````````````````````````````````````````````````````````
M````````````````````````````````````````````````````````````
M````````````````````````````````````````````````````````````
M`````````````````````"'Y!```````+`````#H`"@```C^`'\)'$A08*]8
ML#[)@0/G$:Z"$"-*G$BQHL6+-JW,BQH\>/OWH54G/F#!DN7\Y<`LFRI Q"C91%P
M95R(;3&U$`9"',GH1C]TC[IZO.$1JQ;6+6"S!V+G1_&\(SDUID4*D3RRS4T0
M2/^#/BFRXDH5^B*[((0&BV4*6P@BNW<"'[LOY(,=5/(&.]!P<\M,;PF,(+(2
M:9[$(Q):'VRB((*WD*CNLR-D>>&WOSC$';M`ET+D((5;@/RRE[Z1FNRX3*.-
M2)>P+`42VQFT,$"Q@Y$W0)P$BCHM$M7B+[0^P%%9)UA3V`#M$C/7P)
MRT!K4*COHA%U\L,8K\S]!T/8%Z*](82P(=Z<7"C(!B"$Q&%&E5:JT'@*K5!U
M.J0K>??+)>'^L%)5`JFR
P3Z@PD*!E$.&G$V)F5&`D%2+G5R,
MF$"6KD*