FWP 1 dfwp.htm FREE WRITING PROSPECTUS IPATH TSR Free Writing Prospectus iPath TSR

Free Writing Prospectus

Filed Pursuant to Rule 433

Registration No. 333-145845

September 10, 2008

 

iPath® Exchange Traded Notes Trading Strategy Report

June 2008 - Data provided by ArcaVision

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Exchange Traded Note

  Ticker   Yearly
Fee (bps)
  Spread
($)
  Spread
(bps)
  Avg.
Quote
Size
(notes)
  Avg.
Quote

Size ($)
  Avg.
Order
Size ($)
  Close
Price
($)
  Notes
Outstanding
(000s)
  Market
Cap ($M)
  Volatility
(%)
    Avg.
Daily
Vol.

(notes)
  Avg.
Daily
Vol. ($M)
  Pri. Mkt.
Share
(%)
    Short
Interest
(%)
 

iPath® S&P GSCITM Crude Oil Total Return Index ETN

  OIL   75   0.03   3.8   1,000   $ 115,000   $ 27,000   $ 84.17   2,083   $ 175.3   45.9 %   896,000   $ 72.3   38 %   26 %

iPath® MSCI India IndexSM ETN

  INP   89   0.06   9.7   1,000   $ 50,000   $ 24,000   $ 52.26   11,543   $ 603.2   51.4 %   670,000   $ 39.7   55 %   37 %

iPath® Dow Jones-AIG Commodity Index Total ReturnSM ETN

  DJP   75   0.04   5.1   3,000   $ 229,000   $ 32,000   $ 71.41   53,960   $ 3,853.3   22.3 %   348,000   $ 24.0   49 %   1 %

iPath® Dow Jones-AIG Livestock Total Return Sub-IndexSM ETN

  COW   75   0.04   9.4   4,000   $ 156,000   $ 26,000   $ 43.22   8,095   $ 349.9   17.8 %   285,000   $ 12.6   70 %   0 %

iPath® Dow Jones-AIG Grains Total Return Sub-IndexSM ETN

  JJG   75   0.13   19.0   2,000   $ 172,000   $ 31,000   $ 72.13   1,350   $ 97.4   37.3 %   57,000   $ 4.0   62 %   8 %

iPath® Dow Jones-AIG Agriculture Total Return Sub-IndexSM ETN

  JJA   75   0.11   17.8   7,000   $ 477,000   $ 39,000   $ 66.87   2,166   $ 144.8   29.6 %   54,000   $ 3.4   74 %   2 %

iPath® Dow Jones-AIG Natural Gas Total Return Sub-IndexSM ETN

  GAZ   75   0.11   13.4   2,000   $ 160,000   $ 36,000   $ 82.30   1,000   $ 82.3   32.9 %   41,000   $ 3.3   55 %   1 %

iPath® S&P GSCITM Total Return Index ETN

  GSP   75   0.09   11.7   5,000   $ 334,000   $ 28,000   $ 75.21   3,880   $ 291.8   36.2 %   38,000   $ 2.8   64 %   1 %

iPath® Dow Jones-AIG Energy Total Return Sub-IndexSM ETN

  JJE   75   0.06   7.6   4,000   $ 296,000   $ 57,000   $ 83.82   150   $ 12.6   33.8 %   19,000   $ 1.6   88 %   11 %

iPath® Global Carbon ETN

  GRN   75   0.13   24.8   1,000   $ 71,000   $ 21,000   $ 52.00   100   $ 0.0   75.5 %   17,000   $ 0.9   91 %   1 %

iPath® Dow Jones-AIG Nickel Total Return Sub-IndexSM ETN

  JJN   75   0.16   45.8   2,000   $ 75,000   $ 19,000   $ 34.29   202   $ 6.9   39.1 %   17,000   $ 0.6   73 %   7 %

iPath® Dow Jones-AIG Copper Total Return Sub-IndexSM ETN

  JJC   75   0.10   20.1   2,000   $ 80,000   $ 12,000   $ 54.85   301   $ 16.5   21.4 %   13,000   $ 0.7   51 %   5 %

iPath® Dow Jones-AIG Sugar Total Return Sub-IndexSM ETN

  SGG   75   0.11   22.6   3,000   $ 157,000   $ 97,000   $ 51.46   100   $ 5.1   33.5 %   12,000   $ 0.6   100 %   19 %

iPath® Dow Jones-AIG Cotton Total Return Sub-IndexSM ETN

  BAL   75   0.10   19.4   3,000   $ 140,000   $ 72,000   $ 49.24   100   $ 4.9   48.3 %   11,000   $ 0.5   99 %   19 %

iPath® Dow Jones-AIG Aluminum Total Return Sub-IndexSM ETN

  JJU   75   0.06   11.8   3,000   $ 168,000   $ 17,000   $ 50.15   100   $ 5.0   11.8 %   10,000   $ 0.5   100 %   4 %

iPath® Dow Jones-AIG Lead Total Return Sub-IndexSM ETN

  LD   75   0.22   44.8   2,000   $ 90,000   $ 45,000   $ 48.57   100   $ 4.9   34.3 %   10,000   $ 0.5   100 %   9 %

iPath® EUR/USD Exchange Rate ETN

  ERO   40   0.07   12.6   3,000   $ 181,000   $ 23,000   $ 60.13   278   $ 16.7   11.5 %   8,000   $ 0.5   58 %   2 %

iPath® Dow Jones-AIG Softs Total Return Sub-IndexSM ETN

  JJS   75   0.11   22.5   4,000   $ 207,000   $ 50,000   $ 50.98   100   $ 5.1   24.1 %   7,000   $ 0.4   100 %   8 %

iPath® Dow Jones-AIG Tin Total Return Sub-IndexSM ETN

  JJT   75   0.08   16.6   4,000   $ 197,000   $ 37,000   $ 51.54   100   $ 5.2   21.6 %   6,000   $ 0.3   100 %   1 %

iPath® Dow Jones-AIG Industrial Metals Total Return Sub-IndexSM ETN

  JJM   75   0.10   21.5   3,000   $ 128,000   $ 28,000   $ 50.24   237   $ 11.9   16.8 %   6,000   $ 0.3   83 %   6 %

iPath® CBOE S&P 500 BuyWrite IndexSM ETN

  BWV   75   0.10   19.1   5,000   $ 230,000   $ 25,000   $ 48.40   450   $ 21.8   15.5 %   6,000   $ 0.3   68 %   2 %

iPath® Dow Jones-AIG Coffee Total Return Sub-IndexSM ETN

  JO   75   0.09   17.5   6,000   $ 283,000   $ 72,000   $ 51.88   100   $ 5.2   32.4 %   5,000   $ 0.3   96 %   13 %

iPath® Dow Jones-AIG Precious Metals Total Return Sub-IndexSM ETN

  JJP   75   0.09   17.7   4,000   $ 210,000   $ 9,000   $ 52.11   100   $ 5.2   33.0 %   5,000   $ 0.2   99 %   1 %

iPath® Dow Jones-AIG Platinum Total Return Sub-IndexSM ETN

  PGM   75   0.11   21.2   2,000   $ 93,000   $ 38,000   $ 50.92   100   $ 5.1   23.6 %   4,000   $ 0.2   99 %   3 %

iPath® Dow Jones-AIG Cocoa Total Return Sub-IndexSM ETN

  NIB   75   0.10   19.4   5,000   $ 261,000   $ 49,000   $ 50.46   100   $ 5.0   18.3 %   2,000   $ 0.1   85 %   6 %

iPath® Optimized Currency Carry ETN

  ICI   65   0.11   21.9   2,000   $ 109,000   $ 34,000   $ 50.22   519   $ 26.1   5.8 %   2,000   $ 0.1   87 %   2 %

iPath® JPY/USD Exchange Rate ETN

  JYN   40   0.06   10.6   4,000   $ 213,000   $ 23,000   $ 56.11   922   $ 51.7   10.9 %   1,000   $ 0.1   91 %   1 %

iPath® GBP/USD Exchange Rate ETN

  GBB   40   0.09   17.0   2,000   $ 110,000   $ 9,000   $ 51.82   140   $ 7.3   9.9 %   1,000   $ 0.0   64 %   2 %


Field Definitions (in order of fields above):

Investor Fee (bps) - The investor fee is calculated cumulatively based on the Yearly Fee and the performance of the underlying index or currency exchange rate and increases each day based on the level of the index or currency exchange rate on that day. Because the investor fee reduces the amount of your return at maturity or upon redemption, if the value of the underlying decreases or does not increase significantly, you may receive less than the principal amount of your investment at maturity or upon redemption. For a more complete description of how the investor fee is calculated, please see the applicable product page and Pricing Supplement at www.iPathETN.com. When redeeming units of the iPath MSCI India Index ETN, a redemption charge of 0.00125% times the daily redemption value will apply. The redemption charge is a one-time charge imposed upon early redemption and is intended to allow the issuer to recoup brokerage and other transaction costs incurred in connection with early redemption.

Spread ($) - The difference in the volume-weighted average bid and offer for all executed orders less than 10,000 notes. Measure of the average cost an investor pays for each share.

Spread (bps) - The difference in the volume-weighted average bid and offer for all executed orders less than 10,000 notes. Calculation: Spread ($) divided by Weighted Volume Avg. Price ($) 

Avg. Quote Size (nt) - The average quoted depth in notes available at the national best bid and offer. (This provides a true representation of the aggregated size in notes at the inside.)

Avg. Quote Size ($) - The average quoted depth in dollars available at the national best bid and offer. (This provides a true representation of the aggregated size in dollars at the inside.)

Avg. Order Size ($) - The average dollar amount of an order. Calculation: Order Size (notes) multiplied by Volume Weighted Average Price ($)

Close Price ($) - The last trade on the last trading day of the month.

Notes Outstanding (000s) - The total notes outstanding for the note.

Market Cap ($) - Market capitalization of the note.

Volatility (%) - The standard deviation or measure of the relative price change of the month’s closing prices.

Avg. Daily Volume (notes) - The average daily closing composite volume in notes during the month.

Avg. Daily Volume ($M) - The average daily closing composite volume in millions of dollars during the month.

Primary Market Share (%) - Market share of volume on the primary listed market.

Short Interest % - Percent of the short positions to total notes. Could be used to follow market sentiment, liquidity, & order flow. Calculation: Short interest position divided by total notes outstanding. Short interest is a snapshot of the number of short positions settled as of the 15th of each

An investment in iPath ETNs involves risks, including possible loss of principal. For a description of the main risks see “Risk Factors” in the applicable prospectus.

Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus and other documents Barclays Bank PLC has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting www.iPathETN.com or EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC will arrange for Barclays Capital Inc. to send you the prospectus if you request it by calling toll-free 1-877-76-iPATH, or you may request a copy from any other dealer participating in the offering.

Barclays Global Investors Services, a subsidiary of Barclays Global Investors, N.A. (“BGINA”), assists in the promotion of the Securities. Barclays Global Investors, N.A. and Barclays Capital Inc. (“BCI”) are affiliates of Barclays Bank PLC.

iPath ETNs (the “Securities”) are unsecured obligations of Barclays Bank PLC and are not secured debt. The Securities are riskier than ordinary unsecured debt securities and have no principal protection. Risks of investing in the Securities include limited portfolio diversification, trade price fluctuations, uncertain principal repayment, and illiquidity. Investing in the Securities is not equivalent to direct investment in index or index components. The investor fee will reduce the amount of your return at maturity or on redemption, and as a result you may receive less than the principal amount of your investment at maturity or upon redemption of your Securities even if the value of the relevant index has increased. An investment in iPath ETNs may not be suitable for all investors.

The Securities may be sold throughout the day on the exchange through any brokerage account. There are restrictions on the minimum number of Securities you may redeem directly with the issuer as specified in the applicable prospectus. Commissions may apply and there are tax consequences in the event of sale, redemption or maturity of Securities. Sales in the secondary market may result in significant losses.

“Dow Jones®”, “AIG®”, “Dow Jones-AIG Commodity IndexSM”, “DJ-AIGCISM”, “Dow Jones-AIG Commodity Index Total ReturnSM ”, “Dow Jones-AIG Agriculture Total Return Sub-IndexSM”, “Dow Jones-AIG Aluminum Total Return Sub-IndexSM”, “Dow Jones-AIG Cocoa Total Return Sub-IndexSM”, “Dow Jones-AIG Coffee Total Return Sub-IndexSM”, “Dow Jones-AIG Copper Total Return Sub-IndexSM”, “Dow Jones-AIG Cotton Total Return Sub-IndexSM”, “Dow Jones-AIG Energy Total Return Sub-IndexSM”, “Dow Jones-AIG Grains Total Return Sub-IndexSM”, “Dow Jones-AIG Industrial Metals Total Return Sub-IndexSM”, “Dow Jones-AIG Lead Total Return Sub-IndexSM”, “Dow Jones-AIG Livestock Total Return Sub-IndexSM”, “Dow Jones-AIG Natural Gas Total Return Sub-IndexSM”, “Dow Jones-AIG Nickel Total Return Sub-IndexSM”, “Dow Jones-AIG Platinum Total Return Sub-IndexSM”, “Dow Jones-AIG Precious Metals Total Return Sub-IndexSM”, “Dow Jones-AIG Softs Total Return Sub-IndexSM”, “Dow Jones-AIG Sugar Total Return Sub-IndexSM”, and “Dow Jones-AIG Tin Total Return Sub-IndexSM” are registered trademarks or servicemarks of Dow Jones & Company, Inc. (“Dow Jones”), and American International Group, Inc. (“AIG”), as the case may be, and have been licensed for use for certain purposes by Barclays Bank PLC for the Securities. The Securities based on the Dow Jones–AIG Commodity Index Total ReturnSM are not sponsored, endorsed, sold or promoted by Dow Jones, AIG Financial Products Corp. (“AIG-FP”), AIG, or any of their respective subsidiaries or affiliates and none of Dow Jones, AIG-FP, AIG, or any of their respective subsidiaries or affiliates makes any representation regarding the advisability of investing in such Securities.

The MSCI indexes are the exclusive property of Morgan Stanley Capital International Inc. (“MSCI”). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by Barclays Bank PLC. The financial securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial securities. The Pricing Supplement contains a more detailed description of the limited relationship MSCI has with Barclays Bank PLC and any related financial securities. No purchaser, seller or holder of this product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this product without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.

“Standard & Poor’s®,” “S&P®,” “GSCI®,” “S&P GSCITM,” “S&P GSCITM Index,” “S&P GSCITM Total Return Index,” “S&P GSCITM Crude Oil Total Return Index” and “S&P GSCITM Commodity Index” are trademarks or service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Barclays Bank PLC in connection with the Securities. The S&P GSCITM Index, the S&P GSCITM Total Return Index, the S&P GSCITM Crude Oil Total Return Index, and S&P GSCITM Commodity Index are not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies. The Securities are not sponsored, endorsed, sold or promoted by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. or any of its affiliates (“Standard & Poor’s”). Standard & Poor’s does not make any representation or warranty, express or implied, to the owners of the Securities or any member of the public regarding the advisability of investing in securities generally or in the Securities particularly or the ability of the S&P GSCITM Index or any of its subindexes to track general commodity market performance.

“Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500,” and “500” are trademarks of Standard & Poor’s, a division of The McGraw-Hill Companies, Inc., and “BuyWrite” and “CBOE” are trademarks of the Chicago Board Options Exchange, Incorporated (“CBOE”). These marks have been licensed for use by Barclays Bank PLC. The Securities are not sponsored, endorsed, sold or promoted by Standard &Poor’s or CBOE and Standard &Poor’s and CBOE make no representation regarding the advisability of investing in the Securities.

Barclays Intelligent Carry Index™ and the USD Intelligent Carry Index™ are trademarks of Barclays Bank PLC and have been licensed for use by Barclays Capital in connection with the calculation of the Index.

“Barclays Capital Global Carbon IndexTM” and “Barclays Capital Global Carbon Index Total ReturnTM ” are trademarks of Barclays Bank PLC and have been licensed for use by Barclays Capital in connection with the calculation of the Index.

© 2008 BGINA. All rights reserved. iPath, iPath ETNs and the iPath logo are registered trademarks of Barclays Bank PLC. All other trademarks, servicemarks or registered trademarks are the property, and used with the permission, of their respective owners. 7902-iP-0808

 

NOT FDIC INSURED · NO BANK GUARANTEE · MAY LOSE VALUE