424B2 1 d424b2.htm PRICING SUPPLEMENT - F-114 BLACK Pricing Supplement - F-114 Black

CALCULATION OF REGISTRATION FEE

 

Title of Each Class of Securities Offered

 

Maximum Aggregate Offering Price

 

Amount of Registration Fee(1)

Medium-Term Notes, Series A

  $2,500,000   $139.50

 

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.


Pricing Supplement dated November 16, 2009

(To the Prospectus dated February 10, 2009,

the Prospectus Supplement dated September 14, 2009)

  

Filed Pursuant to Rule 424(b)(2)

Registration No. 333-145845

 

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$2,500,000

 

90% Principal Protected Notes due November 21, 2012

Linked to the Performance of a Basket of Currencies

 

Medium-Term Notes, Series A, No. F-114

 

Key Terms:   Terms used in this pricing supplement, but not defined herein, shall have the meanings ascribed to them in the prospectus supplement.
Issuer:   Barclays Bank PLC (Rated AA-/Aa3‡)
Basket Initial Valuation Date:   November 16, 2009
Issue Date:   November 19, 2009
Basket Final Valuation Date:   November 16, 2012*
Maturity Date:   November 21, 2012* (resulting in a term to maturity of approximately 3 years)
Denominations:   Minimum denomination of $1,000, and integral multiples of $1,000 in excess thereof.
Interest:   We will not pay you interest during the term of the Notes.
Reference Asset:  

An equally-weighted basket consisting of the currency exchange rates between (i) the Japanese yen and the Australian dollar (the “JPYAUD currency exchange rate”), (ii) the Japanese yen and the Norwegian krone (the “JPYNOK currency exchange rate”), (iii) the Japanese yen and the Canadian dollar (the “JPYCAD currency exchange rate) (iv) the Japanese yen and the Brazilian Real (the “JPYBRL currency exchange rate”) (each a “currency exchange rate” and a “basket component”). The currency exchange rates for each reference currency, on any given day, including the basket initial valuation date and basket final valuation date, will be determined by the calculation agent as the reference or spot rate in accordance with the following:

 

(a) where the currency exchange rate is “JPYAUD”, the Australian dollar per Japanese yen exchange rate, which will be calculated as follows: 1 divided by the product of the rate that appears on Bloomberg screen WMCO1 to the right of the caption “AUD” under the caption “MID” and the rate that appears on Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYAUD” rate as calculated will be rounded to the 8th decimal point after the zero.

 

(b) where the currency exchange rate is “JPYNOK”, the Norwegian krone per Japanese yen exchange rate, which will be calculated as follows: the rate which appears on Bloomberg screen WMCO1 to the right of the caption “NOK” under the caption “MID” divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYNOK” rate as calculated will be rounded to the 8th decimal point after the zero.

 

(c) where the currency exchange rate is “JPYCAD”, the Canadian dollar per Japanese yen exchange rate, which will be calculated as follows: the rate which appears on Bloomberg screen WMCO1 to the right of the caption “CAD” under the caption “MID” divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYCAD” rate as calculated will be rounded to the 8th decimal point after the zero.

 

(d) where the currency exchange rate is “JPYBRL”, the Brazilian real per Japanese yen exchange rate, which will be calculated as follows: the ask price reported on Bloomberg Page BZFXPTAX at approximately 6 p.m., Sao Paulo time, on the relevant date, divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYBRL” rate as calculated will be rounded to the 8th decimal point after the zero.

Participation Rate:   100%
Payment at Maturity:  

If you hold your Notes to maturity, you will receive a cash payment determined as follows:

 

If the Basket Performance is positive, you will receive (a) 100% of the principal amount of your Notes plus (b) the principal amount multiplied by the product of (i) participation rate and (ii) the basket performance. Accordingly, your payment per $1,000 principal amount would be calculated as follows:

 

$1,000 + [$1,000 x (participation rate x basket performance)]

 

If the Basket Performance is greater than -10% and less than or equal to 0%, you will (a). 100% of the principal amount of your Notes plus (b) the principal amount of your Notes multiplied by the Basket Performance.

 

$1,000 + [$1,000 x basket performance)]

 

If the Basket Performance is less than or equal to -10%, you will receive 90% of the principal amount of your Notes. Accordingly, your payment per $1,000 principal amount of Notes would be $900.00.

 

The Notes are not 100% principal protected, and you may lose 10% of your initial investment. Your principal is protected 90% only if you hold your Notes to maturity.

Basket Performance:  

The basket performance equals the weighted average of the percentage change (which may be positive or negative) in the value of each of the basket components from and including the basket initial valuation date to and including the basket final valuation date. The basket performance will be calculated as follows:

 

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JPYCCY(i) Initial = the initial level (“initial level”) for each basket component is 0.01194979 with respect to JPYAUD, 0.06220356 with respect to JPYNOK, 0.01168962 with respect to JPYCAD, and 0.01917702 with respect to JPYBRL, which, in each case, will be the reference level of each basket component on the basket initial valuation date;

 

JPYCCY(i) Final = The reference level of each basket component on the basket final valuation date; and

 

W(i) = Weighting of each basket component, which is 1/4 for each basket component.

Calculation Agent:   Barclays Bank PLC
Business Day:   New York
CUSIP/ISIN:   06739J2D4 and US06739J2D44

 

The Notes are expected to carry the same rating as the Medium-Term Notes Program, Series A (the “Program”) by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. (“S&P”). The Program is rated AA - by S&P. This rating does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked). As announced in June 2009, Moody’s Investors Services (“Moody’s”) no longer issues public ratings of notes, such as the Notes, for which repayment of principal is dependent on the occurrence of a non-credit event. Due to this policy change, the Notes will not be rated by Moody’s; however, the other senior unsecured debt securities of Barclays Bank PLC unaffected by this policy change are rated Aa3 by Moody’s. These ratings are subject to downward revision, suspension or withdrawal at any time by the assigning rating organization and are not a recommendation to buy, sell or hold securities.
* Subject to postponement in the event of a market disruption event and as described under “Reference Assets—Currency Exchange Rates—Market Disruption Events for Securities with the Reference Asset Comprised of a Currency Exchange Rate or Currency Exchange Rates” and “Reference Assets—Baskets—Market Disruption Events for Securities with the 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 prospectus supplement.

Investing in the Notes involves a number of risks. See “Risk Factors” beginning on page S-5 of the prospectus supplement and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.

We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market resale transaction.

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 pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.

 

   

Price to Public

 

Agent’s Commission‡‡

 

Proceeds to Barclays Bank PLC

Per Note

  100.00%   2.00%   98.00%

Total

  $2,500,000   $50,000   $2,450,000

 

‡‡

Barclays Capital Inc. will receive commissions from the Issuer equal to 2.00% of the principal amount of the notes, or $20.00 per $1,000 principal amount, and may retain all or a portion of these commissions or use all or a portion of these commissions to pay selling concessions or fees to other dealers. Accordingly, the percentage and total proceeds to Issuer listed herein is the minimum amount of proceeds that Issuer receives.

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ADDITIONAL TERMS SPECIFIC TO THE NOTES

You should read this pricing supplement together with the prospectus dated February 10, 2009, as supplemented by the prospectus supplement dated September 14, 2009 relating to our Medium-Term Notes, Series A, of which these Notes are a part. This pricing supplement, 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 in “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 February 10, 2009:

http://www.sec.gov/Archives/edgar/data/312070/000119312509023285/dposasr.htm

 

 

Prospectus Supplement dated September 14, 2009:

http://www.sec.gov/Archives/edgar/data/312070/000119312509023309000119312509190954/d424b3.htm

Our SEC file number is 1-10257. As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to Barclays Bank PLC.

Program Credit Rating

The Notes are issued under the Medium-Term Notes Program, Series A (the “Program”). The Notes are expected to carry the rating of the Program by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc (“S&P”). The Program is rated AA - by S&P. This rating does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked). An AA- rating from S&P generally indicates that the issuer’s capacity to meet its financial commitment on the obligations arising from the Program is very strong. As announced in June 2009, Moody’s Investors Services (“Moody’s”) no longer issues public ratings of notes, such as the Notes, for which repayment of principal is dependent on the occurrence of a non-credit event. Due to this policy change, the Notes will not be rated by Moody’s; however, the other senior unsecured debt securities of Barclays Bank PLC unaffected by this policy change are rated Aa3 by Moody’s. An Aa3 rating by Moody’s indicates that the rated securities are currently judged by Moody’s to be obligations of high quality and are subject to very low credit risk. The credit rating is a statement of opinion and not a statement of fact and is subject to downward revisions, suspension or withdrawal at any time by the assigning rating agency and is not a recommendation to buy, sell or hold securities.

Hypothetical Examples of Amounts Payable at Maturity

The examples set forth below are provided for illustration purposes only. Assumptions in each of the examples are purely fictional and do not relate to any actual reference level or basket performance. The hypothetical terms do not represent the terms of an actual Note. The examples are hypothetical, and do not purport to be representative of every possible scenario concerning increases or decreases in the reference levels of the basket components on the basket final valuation date relative to their reference levels on the basket initial valuation date. We cannot predict the basket performance.

The following examples illustrate the payment at maturity assuming an initial investment of $1,000 and that the reference levels of the basket components are as indicated.

Example 1: In this case, all reference currencies strengthen against the Japanese yen. (This occurs when C(i)Final decreases from C(i) Initial, reflecting a lower number of reference currency per Japanese yen.)

Step 1: Calculate the basket performance.

 

Basket Component

   C(i) Initial    C(i) Final    Performance of
Basket Component
    Weight    Weighted
Performance
 

JPYAUD Exchange Rate

   0.01194979    0.01066946    12.00   1/4    3.00

JPYNOK Exchange Rate

   0.06220356    0.05456453    14.00   1/4    3.50

JPYCAD Exchange Rate

   0.01168962    0.01025405    14.00   1/4    3.50

JPYBRL Exchange Rate

   0.01917702    0.01667567    15.00   1/4    3.75
                 

Basket Performance

              13.75
                 

 

PS–2


Step 2: Calculate the payment at maturity.

Because the basket performance of 13.75% is greater than zero as of the basket final valuation date, the payment at maturity is equal to (a) 100% of the principal amount of the Notes plus (b) the principal amount multiplied by the product of (i) participation rate and (ii) the basket performance, calculated as follows:

$1,000 + [$1,000 x (participation rate x basket performance)] = $1,000 + [$1,000 x (100% x 13.75%)] = $1,137.50

Therefore, the payment at maturity is $1,137.50 per $1,000 principal amount Note, representing a 13.75% return on investment over the term of the Notes.

Example 2: In this case, two reference currencies strengthen against the Japanese yen while two weaken. (This occurs when C(i)Final increases from C(i) Initial, reflecting a greater number of reference currency per Japanese yen.)

Step 1: Calculate the basket performance.

 

Basket Component

   C(i) Initial    C(i) Final    Performance of
Basket Component
    Weight    Weighted
Performance
 

JPYAUD Exchange Rate

   0.01194979    0.01493724    -20.00   1/4    -5.00

JPYNOK Exchange Rate

   0.06220356    0.06158768    1.00   1/4    0.25

JPYCAD Exchange Rate

   0.01168962    0.01134915    3.00   1/4    0.75

JPYBRL Exchange Rate

   0.01917702    0.02282979    -16.00   1/4    -4.00
                 

Basket Performance

              -8.00
                 

Step 2: Calculate the payment at maturity.

Because the basket performance of -8.00% is less than zero but greater than -10.00% as of the basket final valuation date, the payment at maturity is equal to (a) 100% of the principal amount of the Notes plus (b) the principal amount multiplied by the basket performance, calculated as follows:

$1,000 + [$1,000 x basket performance)] = $1,000 + [$1,000 x -8.00%)] = $920.00

Therefore, the payment at maturity is $920.00 per $1,000 principal amount Note, representing a -8% return on investment over the term of the Notes.

Example 3: In this case, all reference currencies weaken against the Japanese yen.

Step 1: Calculate the basket performance.

 

Basket Component

   C(i) Initial    C(i) Final    Performance of
Basket Component
    Weight    Weighted
Performance
 

JPYAUD Exchange Rate

   0.01194979    0.01327754    -10.00   1/4    -2.50

JPYNOK Exchange Rate

   0.06220356    0.07775445    -20.00   1/4    -5.00

JPYCAD Exchange Rate

   0.01168962    0.01375249    -15.00   1/4    -3.75

JPYBRL Exchange Rate

   0.01917702    0.02256120    -15.00   1/4    -3.75
                 

Basket Performance

              -15.00
                 

Step 2: Calculate the payment at maturity.

Because the basket performance of -15.00% is less than -10.00%, the investor will receive a payment at maturity of $900.00 per $1,000 principal amount Note, representing a -10.00% return on investment over the term of the Notes.

Selected Purchase Considerations

 

   

Market Disruption Events and Adjustments—The payment at maturity, the basket final valuation date and the reference level of each basket component on the basket final valuation date are subject to adjustment as described in the following sections of the prospectus supplement:

 

   

For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see “Reference Assets—Currency Exchange Rates—Market Disruption Events Relating to Securities with the Reference Asset Comprised of a Currency Exchange Rate or Currency Exchange Rates” with respect to the basket components and “Reference Assets—Baskets—Market Disruption Events for Securities with the Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates, Commodities, Any Other Assets or Any Combination Thereof” with respect to the reference asset; and

 

PS–3


   

For a description of further adjustments that may affect one or more basket components or the reference asset, see “Reference Assets—Currency Exchange Rates—Adjustments Relating to Securities with the Reference Asset Comprised of a Currency Exchange Rate or Currency Exchange Rates” and “Reference Assets—Baskets—Adjustments Relating to Securities with the Reference Asset Comprised of a Basket”.

 

   

Appreciation Potential—The Notes provide the opportunity to enhance returns by entitling you to a return equal to the participation rate multiply by the positive basket performance in the event that the basket performance is greater than 0%, in addition to the principal amount of your Notes. 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.

 

   

Certain U.S. Federal Income Tax Considerations—Some of the 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. As described in the prospectus supplement, 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. In addition, this discussion applies to you only if you are an initial purchaser of the Notes; if you are a secondary purchaser of the Notes, the tax consequences to you may be different.

The following section is the opinion of our special tax counsel, Sullivan & Cromwell LLP, and it assumes that the description of the terms of the Notes in this pricing supplement is materially correct. The Notes should be treated as debt instruments subject to special rules governing contingent payment debt obligations for United States federal income tax purposes. Under applicable U.S. Treasury Regulations governing debt obligations with payments denominated in, or determined by reference to, more than one currency, for persons whose functional currency is the U.S. dollar, the Notes will not be foreign currency denominated debt obligations because the “predominant” currency of the Notes is the U.S. dollar. Accordingly, we will treat the Notes as being denominated in U.S. dollars, and payments on the Notes determined by reference to currencies other than the U.S. dollar as contingent payments under the special federal income tax rules applicable to contingent payment debt obligations. Under these rules, if you are a U.S. individual or taxable entity, you generally will be required to accrue interest on a current basis in respect of the Notes over their term based on the comparable yield for the Notes and pay tax accordingly, even though you will not receive any payments from us until maturity. This comparable yield is determined solely to calculate the amount on which you will be taxed prior to maturity and is neither a prediction nor a guarantee of what the actual yield will be. In addition, any gain you may recognize on the sale or maturity of the Notes will be taxed as ordinary interest income and any loss you may realize on the sale or maturity of the Notes would generally be ordinary loss to the extent of the interest you previously included as income in respect of the Notes and thereafter would be capital loss.

For a further discussion of the tax treatment of your Notes, including information regarding obtaining the comparable yield for your Notes and the tax consequences to secondary purchasers of the Notes, please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Contingent Payment Debt Instruments” in the accompanying prospectus supplement.

Selected Risk Considerations

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the basket components. These risks are explained in more detail in the “Risk Factors” section of the prospectus supplement, including the risk factors discussed under the following headings:

 

   

“Risk Factors—Risks Relating to All Securities”;

 

   

“Risk Factors—Additional Risks Relating to Securities with More Than One Reference Asset (a ‘Basket’)”;

 

   

“Risk Factors—Additional Risks Relating to Notes Which Pay No Interest”; and

 

   

“Risk Factors—Additional Risks Relating to Securities with Reference Assets that are Currencies, an Index Containing Currencies or Based in Part on Currencies”.

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

 

   

Your Investment in the Notes May Result in a Loss—The Notes are only 90% principal protected. The return on the Notes at maturity is linked to the performance of the Australian dollar, the Norwegian krone, the Canadian dollar and the Brazilian real and will depend on the basket performance.

 

   

Notes Bearish on the Japanese Yen—The basket performance will only be positive if, on average, the value of the Japanese yen weakens relative to the reference currencies, comprising the basket components. If, on average, the Japanese yen appreciates in value relative to the Australian dollar, the Norwegian krone, the Canadian dollar and the Brazilian real over the term of the Notes, the payment at maturity, and therefore the market value of the Notes, will be adversely affected.

 

   

No Interest—As a holder of the Notes, you will not receive interest payments.

 

   

Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity—While the payment at maturity described in this pricing supplement is based on the full principal amount of your Notes, the original issue price of

 

PS–4


 

the Notes includes the agent’s 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 Liquidity—The 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.

 

   

Potential Conflicts—We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes.

 

   

Many Economic and Market Factors Will Impact the Value of the Notes—In addition to the levels of the basket components 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:

 

   

the expected demand or supply for the basket components;

 

   

the time to maturity of the Notes;

 

   

interest and yield rates in the market generally;

 

   

a variety of economic, financial, political, regulatory or judicial events; and

 

   

our creditworthiness, including actual or anticipated downgrades in our credit ratings.

Description of the Reference Asset

The currency exchange rates for each reference currency, on any given day, including the basket initial valuation date and basket final valuation date, will be determined by the calculation agent as the reference or spot rate, which is determined by the calculation agent in accordance with the following:

(a) where the currency exchange rate is “JPYAUD”, the Australian dollar per Japanese yen exchange rate, which will be calculated as follows: 1 divided by the product of the rate that appears on Bloomberg screen WMCO1 to the right of the caption “AUD” under the caption “MID” and the rate that appears on Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYAUD” rate as calculated will be rounded to the 8th decimal point after the zero.

(b) where the currency exchange rate is “JPYNOK”, the Norwegian krone per Japanese yen exchange rate, which will be calculated as follows: the rate which appears on Bloomberg screen WMCO1 to the right of the caption “NOK” under the caption “MID” divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYNOK” rate as calculated will be rounded to the 8th decimal point after the zero.

(c) where the currency exchange rate is “JPYCAD”, the Canadian dollar per Japanese yen exchange rate, which will be calculated as follows: the rate which appears on Bloomberg screen WMCO1 to the right of the caption “CAD” under the caption “MID” divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYCAD” rate as calculated will be rounded to the 8th decimal point after the zero.

(d) where the currency exchange rate is “JPYBRL”, the Brazilian real per Japanese yen exchange rate, which will be calculated as follows: the ask price reported on Bloomberg Page BZFXPTAX at approximately 6 p.m., Sao Paulo time, on the relevant date, divided by the rate which appears on the Bloomberg screen WMCO1 to the right of the caption “JPY” under the caption “MID” at approximately 4 p.m., London time, on the relevant date; The “JPYBRL” rate as calculated will be rounded to the 8th decimal point after the zero.

If any of the Bloomberg pages described above, or the successor page thereto, is not available on the basket final valuation date, the applicable exchange rate will be calculated by the calculation agent as the arithmetic mean of the applicable offer-side spot quotations received by the calculation agent from two leading commercial banks (selected in the sole discretion of the calculation agent), for the relevant currencies. If these spot quotations are available from fewer than two banks, then the calculation agent shall determine whether such quotation is available and reasonable to be used. If no such spot quotation is available, the calculation agent shall determine the applicable currency exchange rate for such date.

 

PS–5


Reference Levels

The reference levels of the JPYAUD, JPYNOK, JPYCAD and JPYBRL currency exchange rates on November 16, 2009 were 0.01194979, 0.06220356, 0.01168962 and 0.01917702 respectively.

Historical Information

The following graphs set forth the historical performance of the Australian dollar, the Norwegian krone, the Canadian dollar and the Brazilian real based on the daily, closing currency exchange rates from January 1, 2003 through November 16, 2009. We obtained the information regarding these closing currency exchange rates of JPYAUD, JPYNOK, JPYCAD and JPYBRL below from Bloomberg L.P.

We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg L.P. The historical performance closing currency exchange rates of JPYAUD, JPYNOK, JPYCAD and JPYBRL should not be taken as an indication of future performance of the fixing rates, and no assurance can be given as to the reference levels on the basket final valuation date. We cannot give you assurance that the performance of JPYAUD, JPYNOK, JPYCAD and JPYBRL currency exchange rates will result in any return in addition to your initial investment.

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PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

 

PS–6


LOGO

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

LOGO

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

 

PS–7


LOGO

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

SUPPLEMENTAL PLAN OF DISTRIBUTION

We have agreed to sell to Barclays Capital Inc. (the “Agent”), and the Agent has agreed to purchase from us, the principal amount of the Notes, and at the price, specified on the cover of this pricing supplement. The Agent is committed to take and pay for all of the Notes, if any are taken.

 

PS–8