424B3 1 d424b3.htm PRICING SUPPLEMENT--IPATH OIL PROSPECTUS Pricing Supplement--iPath OIL Prospectus
Table of Contents

Filed Pursuant to Rule 424(b)(3)

File Number 333-145845

 

LOGO

 

LOGO

 

Pricing Supplement to the Prospectus

dated February 10, 2009

and the Prospectus Supplement

dated February 10, 2009

$5,000,000,000*

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

The iPath® Exchange-Traded Notes due August 14, 2036 (the “Securities”) are linked to the S&P GSCI™ Crude Oil Total Return Index, do not guarantee any return of principal at maturity and do not pay any interest during their term. Instead, you will receive a cash payment at maturity or upon early redemption based on the performance of the S&P GSCI™ Crude Oil Total Return Index less an investor fee. The principal terms of the Securities are as follows:

Issuer: Barclays Bank PLC

Series: Medium-Term Notes, Series A

Underlying Index: The return on the Securities is linked to the performance of the S&P GSCI™ Crude Oil Total Return Index (the “Index”). The Index is a sub-index of the S&P GSCI™ Commodity Index (the “S&P GSCI™”) and reflects the excess returns that are potentially available through an unleveraged investment in the contracts comprising the Index, plus the Treasury Bill rate of interest that could be earned on funds committed to the trading of the underlying contracts. The only contract currently used to calculate the Index is the West Texas Intermediate (“WTI”) crude oil futures contract traded on the New York Mercantile Exchange. The S&P GSCI™ is a production-weighted index of the prices of a diversified basket of futures contracts on physical commodities traded on trading facilities in major industrialized countries. Both the S&P GSCI™ (formerly known as the “Goldman Sachs Commodity Index” or the “GSCI®”) and the Index (formerly known as the “Goldman Sachs Crude Oil Total Return Index”) were designed by Goldman, Sachs & Co. On February 6, 2007, The Goldman Sachs Group Inc., the parent of Goldman, Sachs & Co., announced the sale of all of the rights of Goldman, Sachs & Co. in the S&P GSCI™ and all related indices and sub-indices, including the Index, to Standard and Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P” or the “Index Sponsor”). S&P is now solely responsible for calculating, publishing and maintaining the Index.

Payment at Maturity: If you hold your Securities to maturity, you will receive a cash payment at maturity equal to (1) the principal amount of your Securities times (2) the index factor on the final valuation date minus (3) the investor fee on the final valuation date.

Secondary Market: We have listed the Securities on the NYSE Arca stock exchange (“NYSE Arca”) under the ticker symbol OIL. If an active secondary market in the Securities exists, we expect that investors will purchase and sell the Securities primarily in this secondary market.

Early Redemption: Subject to the notification requirements described below, you may redeem your Securities on any redemption date during the term of the Securities. If you redeem your Securities, you will receive a cash payment in an amount equal to the daily redemption value, which is (1) the principal amount of your Securities times (2) the index factor on the applicable valuation date minus (3) the investor fee on the applicable valuation date. You must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date.

Redemption Mechanics: In order to redeem your Securities on a redemption date, you must deliver a notice of redemption to us via email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date and follow the procedures set forth under “Specific Terms of the Securities – Redemption Procedures”. If you fail to comply with these procedures, your notice will be deemed ineffective.

Valuation Date: Valuation date means each business day from August 24, 2006 to August 7, 2036, inclusive or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. We refer to Thursday, August 7, 2036, as the “final valuation date”.

Redemption Date: A redemption date is the third business day following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.

Inception Date: August 15, 2006.

Index Factor: The index factor on any given day will be equal to the closing value of the Index on that day divided by the initial index level. The initial index level is the closing value of the Index on the inception date.

Investor Fee: The investor fee is equal to 0.75% per year times the principal amount of your Securities times the index factor, calculated on a daily basis in the following manner: The investor fee on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75% times (2) the principal amount of your Securities times (3) the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by (4) 365.

Because the investor fee reduces the amount of your return at maturity or upon redemption, the value of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption. If the value of the Index decreases or does not increase sufficiently, you will receive less than the principal amount of your investment at maturity or upon redemption.

Trading Day: A trading day is a day on which (i) the value of the Index is published by the Index Sponsor, (ii) trading is generally conducted on NYSE Arca and (iii) trading is generally conducted on the markets on which the futures contracts underlying the Index are traded, in each case as determined by the calculation agent in its sole discretion.

CUSIP Number: 06738C786

You may lose some or all of your principal if you invest in the Securities. See “Risk Factors” beginning on page PS-9 of this pricing supplement for risks relating to an investment in the Securities.

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.

Patent pending

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Pricing Supplement dated July 30, 2009

Issued in denominations of $50

 

 

*

10,000,000 Securities, principal amount $50 each, were issued on August 18, 2006; an additional 20,000,000 Securities, principal amount $50 each, were issued on December 29, 2008, an additional 20,000,000 Securities, principal amount $50 each, were issued on January 23, 2009, and an additional 50,000,000 Securities, principal amount $50 each, were issued on February 23, 2009..


Table of Contents

Cover Page, continued:

We sold a portion of the Securities on the inception date at 100% of their stated principal amount. The remainder of the Securities will be offered and sold from time to time through Barclays Capital Inc., our affiliate, as agent. Sales of the Securities after the inception date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. We will receive proceeds equal to 100% of the price at which the Securities are sold to the public. Barclays Capital Inc. will not receive an agent’s commission in connection with sales of the Securities. Barclays Global Investors Services or Barclays Global Investors Fund Distribution Company, each an affiliate of Barclays Bank PLC and a member of the Financial Industry Regulatory Authority, Inc. (formerly NASD, Inc.), may receive a portion of the investor fee. Please see “Supplemental Plan of Distribution” in this pricing supplement for more information.

We may use this pricing supplement in the initial sale of Securities. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market-making transactions in any Securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale or in a notice delivered at the same time as the confirmation of sale, this pricing supplement is being used in a market-making transaction.

The Securities are not deposit liabilities of Barclays Bank PLC and are not insured by the United States Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.


Table of Contents

TABLE OF CONTENTS

PRICING SUPPLEMENT

 

PRICING SUPPLEMENT SUMMARY

   PS-1

RISK FACTORS

   PS-9

COMMODITY FUTURES MARKETS

   PS-16

THE INDEX

   PS-17

VALUATION OF THE SECURITIES

   PS-28

SPECIFIC TERMS OF THE SECURITIES

   PS-29

CLEARANCE AND SETTLEMENT

   PS-35

USE OF PROCEEDS AND HEDGING

   PS-35

SUPPLEMENTAL TAX CONSIDERATIONS

   PS-35

SUPPLEMENTAL PLAN OF DISTRIBUTION

   PS-38

NOTICE OF REDEMPTION

   A-1

CONFIRMATION OF REDEMPTION

   B-1

PROSPECTUS SUPPLEMENT

 

SUMMARY

   S-1

RISK FACTORS

   S-5

DESCRIPTION OF MEDIUM-TERM NOTES

   S-24

TERMS OF THE NOTES

   S-30

INTEREST MECHANICS

   S-35

CERTAIN FEATURES OF THE NOTES

   S-38

DESCRIPTION OF UNIVERSAL WARRANTS

   S-46

TERMS OF THE WARRANTS

   S-51

CERTAIN FEATURES OF THE WARRANTS

   S-55

REFERENCE ASSETS

   S-60

CLEARANCE AND SETTLEMENT

   S-101

EMPLOYEE RETIREMENT INCOME SECURITY ACT

   S-106

PLAN OF DISTRIBUTION

   S-108

USE OF PROCEEDS AND HEDGING

   S-110

CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS

   S-111

VALIDITY OF SECURITIES

   S-124

PROSPECTUS

 

FORWARD-LOOKING STATEMENTS

   1

INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE

   1

THE BARCLAYS BANK GROUP

   2

USE OF PROCEEDS

   2

DESCRIPTION OF DEBT SECURITIES

   3

DESCRIPTION OF WARRANTS

   20

GLOBAL SECURITIES

   31

DESCRIPTION OF PREFERENCE SHARES

   36

DESCRIPTION OF AMERICAN DEPOSITARY RECEIPTS

   41

DESCRIPTION OF SHARE CAPITAL

   47

TAX CONSIDERATIONS

   48

PLAN OF DISTRIBUTION

   65

SERVICE OF PROCESS AND ENFORCEMENT OF LIABILITIES

   68

WHERE YOU CAN FIND MORE INFORMATION

   69

FURTHER INFORMATION

   69

VALIDITY OF SECURITIES

   69

EXPERTS

   69

EXPENSES OF ISSUANCE AND DISTRIBUTION

   70


Table of Contents

PRICING SUPPLEMENT SUMMARY

The following is a summary of terms of the iPath® Exchange-Traded Notes due August 14, 2036 (the “Securities”), as well as a discussion of risks and other considerations you should take into account when deciding whether to invest in the Securities. The information in this section is qualified in its entirety by the more detailed explanations set forth elsewhere in this pricing supplement and the accompanying prospectus and prospectus supplement. References to the “prospectus” mean our accompanying prospectus, dated February 10, 2009, and references to the “prospectus supplement” mean our accompanying prospectus supplement, dated February 10, 2009, which supplements the prospectus.

We may, without your consent, create and issue additional securities having the same terms and conditions as the Securities. We may consolidate the additional securities to form a single class with the outstanding Securities.

This section summarizes the following aspects of the Securities:

 

 

What are the Securities and how do they work?

 

 

How do you redeem your Securities?

 

 

What are some of the risks of the Securities?

 

 

Is this the right investment for you?

 

 

What are the tax consequences?

 

 

How do the Securities perform?

What Are the Securities and How Do They Work?

The Securities are medium-term notes that are uncollateralized debt securities and are linked to the performance of the S&P GSCI™ Crude Oil Total Return Index (the “Index”). The Securities will be issued in denominations of $50.

The Index is a sub-index of the S&P GSCI™ Commodity Index (the “S&P GSCI™”) and reflects the excess returns that are potentially available through an unleveraged investment in the contracts comprising the Index, plus the Treasury Bill rate of interest that could be earned on cash collateral invested in specified Treasury Bills. As presently constituted, the only contract used to calculate the Index is the WTI crude oil futures contract traded on the New York Mercantile Exchange. The S&P GSCI™ is a proprietary index on a production-weighted basket of futures contracts on physical commodities traded on trading facilities in major industrialized countries.

Both the S&P GSCI™ (formerly known as the “Goldman Sachs Commodity Index” or the “GSCI®”) and the Index (formerly known as the “Goldman Sachs Crude Oil Total Return Index”) were designed by Goldman, Sachs & Co. On February 6, 2007, The Goldman Sachs Group Inc., the parent of Goldman, Sachs & Co., announced the sale of all of the rights of Goldman, Sachs & Co. in the S&P GSCI™ and all related indices and sub-indices, including the Index, to Standard and Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”). S&P is now solely responsible for calculating, publishing and maintaining the Index.

If you have not previously redeemed your Securities, you will receive a cash payment at maturity equal to (1) the principal amount of your Securities times (2) the index factor on the final valuation date minus (3) the investor fee on the final valuation date. Prior to maturity, you may, subject to certain restrictions, redeem your Securities on any redemption date during the term of the Securities, provided that you present at least 50,000 Securities for redemption, or your broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) bundles your Securities for redemption with those of other investors to reach this minimum. If you choose to redeem your Securities on a redemption date, you will receive a cash payment on such date in an amount equal to the daily redemption value, which is (1) the principal amount of your Securities times (2) the index factor on the applicable valuation date minus (3) the investor fee on the applicable valuation date.

The index factor on any given day will be equal to the closing value of the Index on that day divided by the initial index level. The initial index level is the closing value of the Index on the inception date.

 

PS-1


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The investor fee is equal to 0.75% per year times the principal amount of your Securities times the index factor, calculated on a daily basis in the following manner: The investor fee on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75% times (2) the principal amount of your Securities times (3) the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by (4) 365.

A valuation date is each business day from August 24, 2006 to August 7, 2036, inclusive (subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days.

A redemption date is the third business day following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.

We will not pay you interest during the term of the Securities.

For a further description of how your payment at maturity will be calculated, see “– How Do the Securities Perform at Maturity? – Hypothetical Examples” and “Specific Terms of the Securities” in this pricing supplement.

Because the investor fee reduces the amount of your return at maturity or upon redemption, the value of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption. If the value of the Index decreases or does not increase sufficiently, you will receive less than the principal amount of your investment at maturity or upon redemption.

How Do You Redeem Your Securities?

We have listed the Securities on the NYSE Arca stock exchange (“NYSE Arca”). If an active secondary market in the Securities exists, we expect that investors will purchase and sell the Securities primarily in this secondary market.

To redeem your Securities, you must instruct your broker or other person through whom you hold your Securities to take the following steps:

 

 

deliver a notice of redemption, which is attached as Annex A, to us via email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of redemption, which is attached as Annex B;

 

 

deliver the signed confirmation of redemption to us via facsimile in the specified form by 5:00 p.m., New York City time, on the same day. We or our affiliate must acknowledge receipt in order for your confirmation to be effective;

 

 

instruct your DTC custodian to book a delivery vs. payment trade with respect to your Securities on the valuation date at a price equal to the applicable daily redemption value, facing Barclays Capital DTC 5101; and

 

 

cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable redemption date (the third business day following the valuation date).

Different brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the Securities in respect of such deadlines. If we do not receive your notice of redemption by 4:00 p.m., New York City time, or your confirmation of redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your Securities on the applicable redemption date. Any redemption instructions for which we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable.

What Are Some of the Risks of the Securities?

An investment in the Securities involves risks. Some of these risks are summarized here, but we urge you to read the more detailed explanation of risks in “Risk Factors” in this pricing supplement.

 

PS-2


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Uncertain Principal Repayment – If the value of the Index decreases, or does not increase by an amount greater than the investor fee applicable to your Securities, you will receive less than your original investment in the Securities.

 

 

Commodity Market Risk – The return on the Securities is linked to the performance of the Index which, in turn, is linked to the prices of the futures contracts on physical commodities (the “Index Components”) (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange). Commodity prices may change unpredictably, affecting the value of the Index Components and, consequently, the value of your Securities in unforeseeable ways.

 

 

Limited Portfolio Diversification – The Index Components are concentrated in WTI crude oil. Your investment may therefore carry risks similar to a concentrated securities investment in one industry or sector.

 

 

No Interest Payments – You will not receive any periodic interest payments on the Securities.

 

 

A Trading Market for the Securities May Not Exist – Although we have listed the Securities on NYSE Arca, a trading market for your Securities may not exist at any time. If the Index ceases in whole or in part to be based on the WTI crude oil futures contract traded on the New York Mercantile Exchange, NYSE Arca may be required to de-list the Securities. Certain affiliates of Barclays Bank PLC intend to engage in limited purchase and resale transactions. If they do, however, they are not required to do so and may stop at any time. We are not required to maintain any listing of the Securities on NYSE Arca or any other exchange.

Is This the Right Investment for You?

The Securities may be a suitable investment for you if:

 

 

You are willing to accept the risk of fluctuations in commodities prices in general and in particular prices of the Index Components (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange).

 

 

You believe the value of the Index will increase by an amount sufficient to offset the investor fee during the term of the Securities.

 

 

You do not seek current income from this investment.

 

 

You seek an investment with a return linked to the performance of the Index.

 

 

You do not seek a guaranteed return of principal.

The Securities may not be a suitable investment for you if:

 

 

You are not willing to be exposed to fluctuations in commodities prices in general and in particular prices of the Index Components (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange).

 

 

You believe the value of the Index will decrease or will not increase by an amount sufficient to offset the investor fee during the term of the Securities.

 

 

You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings.

 

 

You seek current income from your investment.

 

 

You seek a guaranteed return of principal.

What Are the Tax Consequences?

Absent a change in law or an administrative or judicial ruling to the contrary, you should treat the Securities for all tax purposes as a pre-paid contract with respect to the Index. If the Securities are so treated, you should recognize capital gain or loss upon the sale, redemption or maturity of your Securities in an amount equal to the difference between the amount you receive at such time and your tax basis in the Securities.

 

PS-3


Table of Contents

The United States federal income tax consequences of your investment in the Securities are uncertain. In the opinion of our counsel, Sullivan & Cromwell LLP, your Securities should be treated as described above, but it is possible that the Internal Revenue Service may assert an alternative treatment. Because of this uncertainty, we urge you to consult your own tax advisor as to the tax consequences of your investment in the Securities.

For a more complete discussion of the U.S. federal income tax consequences of your investment in the Securities, including possible alternative treatments for your Securities, see “Supplemental Tax Considerations – Supplemental U.S. Tax Considerations” below.

How Do the Securities Perform?

Set forth below is an explanation of the steps necessary to calculate the payment on the Securities at maturity or upon redemption.

Step 1: Calculate the investor fee

The investor fee is equal to 0.75% per year times the principal amount of your Securities times the index factor, calculated on a daily basis in the following manner: The investor fee on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75% times (2) the principal amount of your Securities times (3) the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by (4) 365.

Step 2: Calculate the payment

You will receive a cash payment at maturity or upon redemption, as applicable, equal to (1) the principal amount of your Securities times (2) the index factor on the applicable valuation date minus (3) the investor fee on the applicable valuation date.

Because the investor fee reduces the amount of your return at maturity or on redemption, the value of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption of your Securities. If the value of the Index decreases or does not increase sufficiently, you will receive less than the principal amount of your investment at maturity or upon redemption of your Securities.

 

PS-4


Table of Contents

Hypothetical Examples

 

 

The following examples show how the Securities would perform in hypothetical circumstances. We have included two examples in which the Index has increased by 160% at maturity, as well as two examples in which the Index has decreased by approximately 60% at maturity. These examples highlight the behavior of the investor fee in different circumstances. Because the investor fee is a weighted average measure, the absolute level of the investor fee will be dependent upon the path taken by the Index to arrive at its ending level. The figures in these examples have been rounded for convenience. Figures for year 30 are as of the final valuation date, and given the indicated assumptions, a holder will receive payment at maturity in the indicated amount, according to the indicated formula.

Assumptions:

 

Yearly Fee

 

Days

 

Denomination

 

Starting Index

0.75%

  365   $50.00   2757.424

 

A   B   C   D   E   F

Year

 

Index Level

 

Average Yearly

Index Factor

 

Yearly Fee

 

Investor Fee

 

Indicative Value

A

 

B

 

B / Starting Index

 

C x Principal x 0.75%

 

Running Total of D

 

(Principal x C) – E

0

  2,757.424   1.00   $0.00   $0.00   $50.00

1

  3,724.843   1.35   $0.51   $0.51   $67.04

2

  4,138.900   1.50   $0.56   $1.07   $73.98

3

  4,383.338   1.59   $0.60   $1.67   $77.82

4

  5,207.425   1.89   $0.71   $2.37   $92.05

5

  6,130.486   2.22   $0.83   $3.21   $107.96

6

  6,206.708   2.25   $0.84   $4.05   $108.49

7

  8,252.563   2.99   $1.12   $5.17   $144.47

8

  8,717.514   3.16   $1.19   $6.36   $151.71

9

  12,180.750   4.42   $1.66   $8.02   $212.86

10

  17,488.314   6.34   $2.38   $10.39   $306.72

11

  17,551.667   6.37   $2.39   $12.78   $305.48

12

  20,037.801   7.27   $2.73   $15.51   $347.84

13

  18,657.441   6.77   $2.54   $18.04   $320.27

14

  16,281.827   5.90   $2.21   $20.26   $274.98

15

  15,326.061   5.56   $2.08   $22.34   $255.56

16

  13,396.280   4.86   $1.82   $24.16   $218.75

17

  11,670.047   4.23   $1.59   $25.75   $185.86

18

  12,974.357   4.71   $1.76   $27.52   $207.75

19

  13,888.748   5.04   $1.89   $29.40   $222.44

20

  11,421.724   4.14   $1.55   $30.96   $176.15

21

  13,560.634   4.92   $1.84   $32.80   $213.09

22

  15,241.848   5.53   $2.07   $34.87   $241.50

23

  12,937.646   4.69   $1.76   $36.63   $197.96

24

  14,682.918   5.32   $2.00   $38.63   $227.61

25

  11,393.531   4.13   $1.55   $40.18   $166.42

26

  7,891.347   2.86   $1.07   $41.25   $101.84

27

  7,122.939   2.58   $0.97   $42.22   $86.94

28

  5,682.481   2.06   $0.77   $43.00   $60.04

29

  5,928.462   2.15   $0.81   $43.80   $63.70

30

  7,169.302   2.60   $0.98   $44.78   $85.22
Annualized Index Return   3.24%
Annualized iPath® Indicative Value Return   1.79%

 

PS-5


Table of Contents

Hypothetical Examples

 

 

 

A   B   C   D   E   F

Year

 

Index Level

 

Average Yearly

Index Factor

 

Yearly Fee

 

Investor Fee

 

Indicative Value

A

 

B

 

B / Starting Index

 

C x Principal x 0.75%

 

Running Total of D

 

(Principal x C) – E

0

  2,757.424   1.00   $0.00   $0.00   $50.00

1

  2,038.049   0.74   $0.28   $0.28   $36.68

2

  2,416.565   0.88   $0.33   $0.61   $43.21

3

  2,249.656   0.82   $0.31   $0.91   $39.88

4

  2,171.271   0.79   $0.30   $1.21   $38.16

5

  2,474.917   0.90   $0.34   $1.54   $43.33

6

  1,580.539   0.57   $0.21   $1.76   $26.90

7

  1,695.177   0.61   $0.23   $1.99   $28.75

8

  1,886.357   0.68   $0.26   $2.25   $31.96

9

  1,937.506   0.70   $0.26   $2.51   $32.62

10

  1,489.810   0.54   $0.20   $2.71   $24.30

11

  1,525.053   0.55   $0.21   $2.92   $24.73

12

  1,342.419   0.49   $0.18   $3.10   $21.24

13

  1,121.846   0.41   $0.15   $3.25   $17.09

14

  1,464.920   0.53   $0.20   $3.45   $23.11

15

  2,260.021   0.82   $0.31   $3.76   $37.22

16

  2,477.857   0.90   $0.34   $4.10   $40.83

17

  3,047.582   1.11   $0.41   $4.51   $50.75

18

  3,937.810   1.43   $0.54   $5.05   $66.36

19

  4,846.510   1.76   $0.66   $5.71   $82.17

20

  6,358.548   2.31   $0.86   $6.57   $108.73

21

  6,247.677   2.27   $0.85   $7.42   $105.87

22

  5,073.525   1.84   $0.69   $8.11   $83.89

23

  5,217.520   1.89   $0.71   $8.82   $85.79

24

  5,088.114   1.85   $0.69   $9.51   $82.75

25

  6,229.551   2.26   $0.85   $10.36   $102.60

26

  7,048.550   2.56   $0.96   $11.32   $116.49

27

  4,358.917   1.58   $0.59   $11.91   $67.13

28

  3,474.354   1.26   $0.47   $12.38   $50.62

29

  5,018.512   1.82   $0.68   $13.07   $77.93

30

  7,169.302   2.60   $0.98   $14.04   $115.96
Annualized Index Return   3.24%
Annualized iPath® Indicative Value Return   2.84%

 

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Hypothetical Examples

 

 

 

A   B   C   D   E   F

Year

 

Index Level

 

Average Yearly

Index Factor

 

Yearly Fee

 

Investor Fee

 

Indicative Value

A

 

B

 

B / Starting Index

 

C x Principal x 0.75%

 

Running Total of D

 

(Principal x C) – E

0

  2,757.424   1.00   $0.00   $0.00   $50.00

1

  3,591.058   1.30   $0.49   $0.49   $64.63

2

  5,292.231   1.92   $0.72   $1.21   $94.76

3

  4,759.446   1.73   $0.65   $1.86   $84.45

4

  4,292.289   1.56   $0.58   $2.44   $75.39

5

  3,277.280   1.19   $0.45   $2.88   $56.54

6

  1,982.001   0.72   $0.27   $3.15   $32.79

7

  2,293.721   0.83   $0.31   $3.47   $38.13

8

  1,556.913   0.56   $0.21   $3.68   $24.55

9

  2,004.009   0.73   $0.27   $3.95   $32.39

10

  1,217.810   0.44   $0.17   $4.12   $17.97

11

  1,204.772   0.44   $0.16   $4.28   $17.57

12

  1,024.168   0.37   $0.14   $4.42   $14.15

13

  1,138.796   0.41   $0.15   $4.57   $16.08

14

  917.295   0.33   $0.12   $4.70   $11.93

15

  918.257   0.33   $0.12   $4.82   $11.83

16

  938.820   0.34   $0.13   $4.95   $12.07

17

  1,453.290   0.53   $0.20   $5.15   $21.20

18

  1,956.954   0.71   $0.27   $5.42   $30.07

19

  2,015.535   0.73   $0.27   $5.69   $30.86

20

  1,398.145   0.51   $0.19   $5.88   $19.47

21

  1,346.333   0.49   $0.18   $6.06   $18.35

22

  1,405.425   0.51   $0.19   $6.25   $19.23

23

  1,107.417   0.40   $0.15   $6.40   $13.68

24

  915.192   0.33   $0.12   $6.53   $10.07

25

  916.889   0.33   $0.12   $6.65   $9.97

26

  667.258   0.24   $0.09   $6.74   $5.36

27

  1,118.989   0.41   $0.15   $6.90   $13.39

28

  766.468   0.28   $0.10   $7.00   $6.90

29

  1,322.882   0.48   $0.18   $7.18   $16.81

30

  1,130.544   0.41   $0.15   $7.33   $13.17
Annualized Index Return   -2.93%
Annualized iPath® Indicative Value Return   -4.35%

 

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Hypothetical Examples

 

 

 

A   B   C   D   E   F

Year

 

Index Level

 

Average Yearly

Index Factor

 

Yearly Fee

 

Investor Fee

 

Indicative Value

A

 

B

 

B / Starting Index

 

C x Principal x 0.75%

 

Running Total of D

 

(Principal x C) – E

0

  2,757.424   1.00   $0.00   $0.00   $50.00

1

  4,033.999   1.46   $0.55   $0.55   $72.60

2

  4,864.825   1.76   $0.66   $1.21   $87.00

3

  4,011.034   1.45   $0.55   $1.76   $70.98

4

  5,328.473   1.93   $0.72   $2.48   $94.14

5

  6,368.860   2.31   $0.87   $3.35   $112.14

6

  4,264.731   1.55   $0.58   $3.93   $73.41

7

  4,289.428   1.56   $0.58   $4.51   $73.27

8

  4,225.004   1.53   $0.57   $5.08   $71.53

9

  3,812.226   1.38   $0.52   $5.60   $63.52

10

  2,964.524   1.08   $0.40   $6.01   $47.75

11

  2,969.394   1.08   $0.40   $6.41   $47.43

12

  3,716.828   1.35   $0.51   $6.92   $60.48

13

  3,918.784   1.42   $0.53   $7.45   $63.61

14

  3,800.020   1.38   $0.52   $7.97   $60.94

15

  5,013.051   1.82   $0.68   $8.65   $82.25

16

  5,235.277   1.90   $0.71   $9.36   $85.57

17

  3,045.910   1.10   $0.41   $9.77   $45.46

18

  4,671.603   1.69   $0.64   $10.41   $74.30

19

  4,521.623   1.64   $0.61   $11.02   $70.97

20

  3,317.148   1.20   $0.45   $11.47   $48.68

21

  3,252.297   1.18   $0.44   $11.92   $47.06

22

  4,124.301   1.50   $0.56   $12.48   $62.31

23

  3,134.037   1.14   $0.43   $12.90   $43.93

24

  2,120.697   0.77   $0.29   $13.19   $25.26

25

  3,270.737   1.19   $0.44   $13.64   $45.67

26

  3,159.655   1.15   $0.43   $14.07   $43.23

27

  5,114.445   1.85   $0.70   $14.76   $77.98

28

  4,913.902   1.78   $0.67   $15.43   $73.67

29

  2,481.682   0.90   $0.34   $15.77   $29.23

30

  1,130.544   0.41   $0.15   $15.92   $4.58
Annualized Index Return   -2.93%
Annualized iPath® Indicative Value Return   -7.66%

 

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RISK FACTORS

The Securities are unsecured promises of Barclays Bank PLC and are not secured debt. The Securities are riskier than ordinary unsecured debt securities. The return on the Securities is linked to the performance of the Index. Investing in the Securities is not equivalent to investing directly in Index Components (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange) or the Index itself. See “The Index” below for more information.

This section describes the most significant risks relating to an investment in the Securities. We urge you to read the following information about these risks, together with the other information in this pricing supplement and the accompanying prospectus and prospectus supplement, before investing in the Securities.

You should also consider the tax consequences of investing in the Securities, significant aspects of which are uncertain. See “Supplemental Tax Considerations” in this pricing supplement.

Even If the Value of the Index at Maturity or upon Redemption Exceeds the Initial Index Level, You May Receive Less Than the Principal Amount of Your Securities

Because the investor fee reduces the amount of your return at maturity or upon redemption, the value of the Index must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption of your Securities. If the value of the Index decreases or does not increase sufficiently to offset the investor fee, you will receive less than the principal amount of your investment at maturity or upon redemption of your Securities.

You Will Not Benefit from Any Increase in the Value of the Index If Such Increase Is Not Reflected in the Value of the Index on the Applicable Valuation Date

If the Index does not increase by an amount sufficient to offset the investor fee between the inception date and the applicable valuation date (including the final valuation date), we will pay you less than the principal amount of your Securities at maturity or upon redemption. This will be true even if the value of the Index as of some date or dates prior to the applicable valuation date would have been sufficiently high to offset the investor fee.

There Are Restrictions on the Minimum Number of Securities You May Redeem and on the Dates on Which You May Redeem Them

You must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date. You may only redeem your Securities on a redemption date if we receive a notice of redemption from you by no later than 4:00 p.m., New York City time, and a confirmation of redemption by no later than 5:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we do not receive your notice of redemption by 4:00 p.m., New York City time, or your confirmation of redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your Securities on the applicable redemption date. Your notice of redemption and confirmation of redemption will not be effective until we confirm receipt. See “Specific Terms of the Securities – Redemption Procedures” for more information.

The Market Value of the Securities May Be Influenced by Many Unpredictable Factors, Including Volatile Oil Prices

The market value of your Securities may fluctuate between the date you purchase them and the applicable valuation date. You may also sustain a significant loss if you sell the Securities in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the Securities. We expect that generally the value of the Index Components (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange) and the Index will affect the market value of the Securities more than any other factor. Other factors that may influence the market value of the Securities include:

 

 

the time remaining to the maturity of the Securities;

 

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Table of Contents
 

supply and demand for the Securities, including inventory positions with Barclays Capital Inc. or any market maker;

 

 

economic, financial, political, regulatory, geographical, biological, or judicial events that affect the level of the Index or the market price of the Index Components; or

 

 

the creditworthiness of Barclays Bank PLC.

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

Suspension or Disruptions of Market Trading in Commodities and Related Futures May Adversely Affect the Value of Your Securities

The commodity futures markets, including the market for WTI crude oil futures contracts, are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges (including the New York Mercantile Exchange) have regulations that limit the amount of fluctuation in some futures contract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price”. Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These circumstances could adversely affect the value of the Index and, therefore, the value of your Securities.

In making its calculations of the Index, if the relevant trading facility does not publish a settlement price as scheduled, or publishes a settlement price that, in the reasonable judgment of the Index Sponsor, is manifestly incorrect, the Index Sponsor may determine the settlement price in its reasonable judgment. In addition, if any day on which the Index Sponsor calculates the Index is a day on which a relevant trading facility for a futures contract included on the Index is not open, then the Index Sponsor will use the settlement price for such contract as of the last day on which such trading facility was open. In the circumstances described above, the value of the Index and, therefore, the value of your Securities may be adversely affected.

Future Prices of the Index Components That Are Different Relative to Their Current Prices May Result in a Reduced Amount Payable at Maturity or Upon Redemption

The Index is composed of commodity futures contracts rather than physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity. As the exchange-traded futures contracts that comprise the Index approach expiration, they are replaced by similar contracts that have a later expiration. Thus, for example, a futures contract purchased and held in August may specify an October expiration. As time passes, the contract expiring in October may be replaced by a contract for delivery in November. This process is referred to as “rolling”. If the market for these contracts is (putting aside other considerations) in “backwardation”, which means that the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a “roll yield”. The actual realization of a potential roll yield will be dependent upon the level of the related spot price relative to the unwind price of the commodity futures contract at the time of sale of the contract. WTI crude oil has historically traded in backwardation markets. However, the WTI crude oil futures contract included in the Index has also historically exhibited consistent periods of contango. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The absence of backwardation in the commodity markets could result in negative “roll yields,” which could adversely affect the value of the Index and, accordingly, decrease the payment you receive at maturity or upon redemption.

 

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Table of Contents

Historical Values of the Index or WTI Crude Oil Should Not Be Taken as an Indication of the Future Performance of the Index During the Term of the Securities

The actual performance of the Index or WTI crude oil over the term of the Securities, as well as the amount payable at maturity or upon redemption, may bear little relation to the historical values of the Index or the Index Components, which have been highly volatile.

Commodity Prices May Change Unpredictably, Affecting the Value of the Index and the Value of Your Securities in Unforeseeable Ways

Trading in futures contracts on physical commodities, including trading in the Index Components, is speculative and can be extremely volatile. Market prices of the Index Components may fluctuate rapidly based on numerous factors, including: changes in supply and demand relationships (whether actual, perceived, anticipated, unanticipated or unrealized); weather; agriculture; trade; fiscal, monetary and exchange control programs; domestic and foreign political and economic events and policies; disease; pestilence; technological developments; changes in interest rates, whether through governmental action or market movements; and monetary and other governmental policies, action and inaction. The current or “spot” prices of the underlying physical commodities may also affect, in a volatile and inconsistent manner, the prices of futures contracts in respect of the relevant commodity. These factors may affect the value of the Index and the value of your Securities in varying ways, and different factors may cause the prices of the Index Components, and the volatilities of their prices, to move in inconsistent directions at inconsistent rates.

The prices of physical commodities, including WTI crude oil, can fluctuate widely due to supply and demand disruptions in major producing or consuming regions. In particular, recent growth in industrial production and gross domestic product has made China an oversized user of commodities and has increased the extent to which certain commodities, including WTI crude oil, rely on the Chinese markets. Political, economic and other developments that affect China may affect the value of WTI crude oil and, thus, the value of your Securities. Because WTI crude oil is produced in a limited number of countries and is controlled by a small number of producers, political, economic and supply related events in such countries could have a disproportionate impact on the price of WTI crude oil and the value of your Securities.

Changes in the Treasury Bill Rate of Interest May Affect the Value of the Index and Your Securities

Because the value of the Index is linked, in part, to the Treasury Bill rate of interest that could be earned on cash collateral invested in specified Treasury Bills, changes in the Treasury Bill rate of interest may affect the amount payable on your Securities at maturity or upon redemption and, therefore, the market value of your Securities. Assuming the trading prices of the Index Components remain constant, an increase in the Treasury Bill rate of interest will increase the value of the Index and, therefore, the value of your Securities. A decrease in the Treasury Bill rate of interest will adversely impact the value of the Index and, therefore, the value of your Securities.

Changes in Our Credit Ratings May Affect the Market Value of Your Securities

Our credit ratings are an assessment of our ability to pay our obligations, including those on the Securities. Consequently, actual or anticipated changes in our credit ratings may affect the market value of your Securities. However, because the return on your Securities is dependent upon certain factors in addition to our ability to pay our obligations on your Securities, an improvement in our credit ratings will not reduce the other investment risks related to your Securities.

 

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Table of Contents

You Will Not Receive Interest Payments on the Securities or Have Rights in the Exchange-Traded Futures Contracts Constituting the Index Components

You will not receive any periodic interest payments on the Securities. As an owner of the Securities, you will not have rights that investors in the Index Components may have. Your Securities will be paid in cash, and you will have no right to receive delivery of any Index Components or commodities underlying the Index Components.

There May Not Be an Active Trading Market in the Securities; Sales in the Secondary Market May Result in Significant Losses

Although we have listed the Securities on NYSE Arca, there can be no assurance that a secondary market for the Securities will exist at any time. If the Index ceases in whole or in part to be based on the WTI crude oil futures contract traded on the New York Mercantile Exchange, NYSE Arca may be required to de-list the Securities. Certain affiliates of Barclays Bank PLC may engage in limited purchase and resale transactions in the Securities, although they are not required to do so. If they decide to engage in such transactions, they may stop at any time. We are not required to maintain any listing of the Securities on NYSE Arca or any other exchange.

Trading and Other Transactions by Barclays Bank PLC or Its Affiliates in Instruments Linked to the Index or Index Components May Impair the Market Value of the Securities

As described below under “Use of Proceeds and Hedging” in this pricing supplement, we or one or more of our affiliates may hedge our obligations under the Securities by purchasing Index Components (including the underlying physical commodities), futures or options on Index Components or the Index, or other derivative instruments with returns linked to the performance of Index Components or the Index, and we may adjust these hedges by, among other things, purchasing or selling any of the foregoing. Although they are not expected to, any of these hedging activities may adversely affect the market price of Index Components and the value of the Index and, therefore, the market value of the Securities. It is possible that we or one or more of our affiliates could receive substantial returns from these hedging activities while the market value of the Securities declines.

We or one or more of our affiliates may also engage in trading in Index Components, futures or options on Index Components, the physical commodities underlying the Index Components or the Index, and other investments relating to Index Components or the Index on a regular basis as part of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers. Any of these activities could adversely affect the market price of the Index Components or the value of the Index and, therefore, the market value of the Securities. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of any of the foregoing. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the Securities. With respect to any of the activities described above, neither Barclays Bank PLC nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the Securities into consideration at any time.

The Liquidity of the Market for the Securities May Vary Materially Over Time

As stated on the cover of this pricing supplement, we sold a portion of the Securities on the inception date, and the remainder of the Securities will be offered and sold from time to time through Barclays Capital Inc., our affiliate, as agent. Also, the number of Securities outstanding or held by persons other than our affiliates could be reduced at any time due to early redemptions of the Securities. Accordingly, the liquidity of the market for the Securities could vary materially over the term of the Securities. While you may elect to redeem your Securities prior to maturity, early redemption is subject to the conditions and procedures described elsewhere in this pricing supplement, including the condition that you must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date.

 

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Table of Contents

Our Business Activities May Create Conflicts of Interest

We and our affiliates expect to play a variety of roles in connection with the issuance of the Securities. As noted above, we and our affiliates expect to engage in trading activities related to the Index Components (including the underlying physical commodities), futures or options on Index Components or the Index, or other derivative instruments with returns linked to the performance of Index Components or the Index that are not for the account of holders of the Securities or on their behalf. These trading activities may present a conflict between the holders’ interest in the Securities and the interests that we and our affiliates will have in our and our affiliates’ proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for our and our affiliates’ customers and in accounts under our and our affiliates’ management. These trading activities, if they influence the value of the Index, could be adverse to the interests of the holders of the Securities. Moreover, we and our affiliates have published and in the future expect to publish research reports with respect to some or all of the physical commodities underlying the Index Components and physical commodities generally. This research is modified from time to time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. The research should not be viewed as a recommendation or endorsement of the Securities in any way and investors must make their own independent investigation of the merits of this investment. Any of these activities by us, Barclays Capital Inc. or our other affiliates may affect the market price of the Index Components and the value of the Index and, therefore, the market value of the Securities. With respect to any of the activities described above, neither Barclays Bank PLC nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the Securities into consideration at any time.

Barclays Bank PLC and Its Affiliates Have No Affiliation with S&P and Are Not Responsible for Its Public Disclosure of Information, Which May Change Over Time

We and our affiliates are not affiliated with S&P in any way and have no ability to control or predict its actions, including any errors in, or discontinuation of disclosure regarding S&P’s methods or policies relating to the calculation of the Index in its capacity as Index Sponsor. The Index Sponsor is not under any obligation to continue to calculate the Index or required to calculate any successor index. If the Index Sponsor discontinues or suspends the calculation of the Index, it may become difficult to determine the market value of the Securities or the amount payable at maturity or upon redemption. The calculation agent may designate a successor index selected in its sole discretion. If the calculation agent determines in its sole discretion that no successor index comparable to the Index exists, the amount you receive at maturity or upon redemption will be determined by the calculation agent in its sole discretion. See “Specific Terms of the Securities – Market Disruption Event” and “– Discontinuance or Modification of the Index” in this pricing supplement.

All disclosure in this pricing supplement regarding the Index, including its make-up, method of calculation and changes in its components, is derived from publicly available information. We have not independently verified this information. You, as an investor in the Securities, should make your own investigation into the Index and the Index Sponsor. The Index Sponsor has no obligation to consider your interests as a holder of the Securities.

The Policies of the Index Sponsor and Changes That Affect the Composition and Valuation of the Index or the Index Components Could Affect the Amount Payable on Your Securities and Its Market Value

The policies of the Index Sponsor concerning the calculation of the level of the Index, additions, deletions or substitutions of Index Components and the manner in which changes affecting the Index Components are reflected in the Index could affect the value of the Index and, therefore, the amount payable on your Securities at maturity or upon redemption and the market value of your Securities prior to maturity.

Additional commodity future contracts may satisfy the eligibility criteria for inclusion in the Index, and the commodity futures contract currently included in the Index may fail to satisfy such criteria. If the Index ceases in whole or in part to be based on the WTI crude oil futures contract traded on the New York Mercantile Exchange, NYSE Arca may be required to de-list

 

PS-13


Table of Contents

the Securities. The weighting factors applied to each futures contract included in the Index may change annually, based on changes in commodity production and volume statistics. In addition, the Index Sponsor may modify the methodology for determining the composition and weighting of the Index, for calculating its value in order to assure that the Index represents an adequate measure of market performance or for other reasons, or for calculating the value of the Index. The Index Sponsor may also discontinue or suspend calculation or publication of the Index, in which case it may become difficult to determine the market value of the Index. Any such changes could adversely affect the value of your Securities.

If events such as these occur, or if the value of the Index is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may be required to make a good faith estimate in its sole discretion of the value of the Index. The circumstances in which the calculation agent will be required to make such a determination are described more fully under “Specific Terms of the Securities – Market Disruption Event”, “– Discontinuation or Modification of the Index” and “– Role of Calculation Agent”.

The Index May in the Future Include Contracts That Are Not Traded on Regulated Futures Exchanges

At present, the Index is composed of a single futures contract traded on the New York Mercantile Exchange, which is a regulated futures exchange (referred to in the United States as a “designated contract market”). As described below, however, the Index may in the future include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the protections afforded by, the U.S. Commodity Exchange Act of 1936, or other applicable statutes and related regulations, that govern trading on regulated U.S. futures exchanges, or similar statutes and regulations that govern trading on regulated foreign exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in the Index, may be subject to certain risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.

There Are Potential Conflicts of Interest Between You and the Calculation Agent

Currently, Barclays Bank PLC serves as the calculation agent. We will, among other things, decide the amount of the return paid out to you on the Securities at maturity or upon redemption. For a more detailed description of the calculation agent’s role, see “Specific Terms of the Securities – Role of Calculation Agent” in this pricing supplement.

If the Index Sponsor were to discontinue or suspend calculation or publication of the Index, it may become difficult to determine the market value of the Securities. If events such as these occur, or if the value of the Index is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may be required to make a good faith estimate in its sole discretion of the value of the Index. The circumstances in which the calculation agent will be required to make such a determination are described more fully under “Specific Terms of the Securities – Role of Calculation Agent” in this pricing supplement.

The calculation agent will exercise its judgment when performing its functions. For example, the calculation agent may have to determine whether a market disruption event affecting the Index has occurred or is continuing on a valuation date, including the final valuation date. This determination may, in turn, depend on the calculation agent’s judgment as to whether the event has materially interfered with our ability to unwind our or our affiliates’ hedge positions. Since these determinations by the calculation agent may affect the market value of the Securities, the calculation agent may have a conflict of interest if it needs to make any such decision.

 

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Table of Contents

If a Market Disruption Event Has Occurred or Exists on a Valuation Date, the Calculation Agent Can Postpone the Determination of the Value of the Index or the Maturity Date or a Redemption Date

The determination of the value of the Index on a valuation date, including the final valuation date, may be postponed if the calculation agent determines that a market disruption event has occurred or is continuing on such valuation date. If such a postponement occurs, the Index Components unaffected by the market disruption event shall be determined on the scheduled valuation date and the value of the affected Index Component shall be determined using the closing value of the affected Index Component on the first trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for the Securities be postponed by more than five trading days. As a result, the maturity date or a redemption date for the Securities could also be postponed, although not by more than five trading days. If a valuation date is postponed until the fifth trading day following the scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole discretion of the value of the Index for such day. See “Specific Terms of the Securities – Market Disruption Event” in this pricing supplement.

Postponement of a Valuation Date May Result in a Reduced Amount Payable at Maturity or Upon Redemption.

As the payment at maturity or upon redemption is a function of, among other things, the applicable index factor on the final valuation date or applicable valuation date, as the case may be, the postponement of any valuation date may result in the application of a different applicable index factor and, accordingly, decrease the payment you receive at maturity or upon redemption.

Data Sourcing, Calculation and Concentration Risks Associated with the Index May Adversely Affect the Market Price of the Securities

Because the Securities are linked to the Index, which is composed of a basket of exchange-traded futures contracts on commodities (currently only the WTI crude oil futures contract traded on the New York Mercantile Exchange), it will be less diversified than other funds or investment portfolios investing in a broader range of products and, therefore, could experience greater volatility. Additionally, the annual composition of the Index will be recalculated in reliance upon historic price, liquidity and production data that are subject to potential errors in data sources or other errors that may affect the weighting of the Index Components. Any discrepancies that require revision are not applied retroactively but will be reflected in the weighting calculations of the Index for the following period. Additionally, the Index Sponsor may not discover every discrepancy. Furthermore, the weightings for the Index are determined by the Index Sponsor, in consultation with the Policy Committee. The Index Sponsor has sole discretion in making decisions with respect to the Index and has no obligation to take the needs of any parties to transactions involving the Index into consideration when reweighting or making any other changes to the Index. Finally, the exchange-traded commodities underlying the futures contracts included in the Index from time to time are concentrated one sector. An investment in the Securities may therefore carry risks similar to a concentrated securities investment in one industry or sector.

The Index Sponsor May be Required to Replace a Designated Contract if the Existing Futures Contract is Terminated or Replaced

A futures contract known as a “designated contract” has been selected as the reference contract for each of the physical commodities underlying the Index Components (which currently includes only the WTI crude oil futures contract traded on the New York Mercantile Exchange). Data concerning this designated contract will be used to calculate the Index. If a designated contract were to be terminated or replaced in accordance with the rules described

 

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under “The Index” in this pricing supplement, a comparable futures contract would be selected by the Index Sponsor, if available, to replace that designated contract. The termination or replacement of any designated contract may have an adverse impact on the value of the Index.

The Tax Consequences are Uncertain

The U.S. federal income tax treatment of the Securities is uncertain and the Internal Revenue Service could assert that the Securities should be taxed in a manner that is different than described in this pricing supplement. As discussed further below, on December 7, 2007, the Internal Revenue Service issued a notice 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 Securities even though you will not receive any payments with respect to the Securities until maturity and whether all or part of the gain you may recognize upon sale or maturity of an instrument such as the Securities could be treated as ordinary income. The outcome of this process is uncertain and could apply on a retroactive basis.

Moreover, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as the Securities after the bill was enacted to accrue interest income over the term of such instruments, even though such instruments may not have made any current interest payments. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your Securities.

For a discussion of the U.S. federal income tax treatment applicable to your Securities as well as potential alternative characterizations for your Securities, please see the discussion under “Supplemental Tax Considerations – Supplemental U.S. Tax Considerations” below.

COMMODITY FUTURES MARKETS

Futures contracts on physical commodities and commodity indices are traded on regulated futures exchanges, and physical commodities and other derivatives on physical commodities and commodity indices are traded in the over-the-counter market and on various types of physical and electronic trading facilities and markets. At present, the WTI crude oil futures contract included in the Index is traded on the New York Mercantile Exchange. An exchange-traded futures contract provides for the purchase and sale of a specified type and quantity of a commodity or financial instrument during a stated delivery month for a fixed price. A futures contract on an index of commodities provides for the payment and receipt of cash based on the level of the index at settlement or liquidation of the contract. A futures contract provides for a specified settlement month in which the cash settlement is made or in which the commodity or financial instrument is to be delivered by the seller (whose position is therefore described as “short”) and acquired by the purchaser (whose position is therefore described as “long”).

There is no purchase price paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as “initial margin”. This amount varies based on the requirements imposed by the exchange clearing houses, but may be lower than 5% of the value of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in futures contracts. The market participant normally makes to, and receives from, the broker subsequent daily payments as the price of the futures contract fluctuates. These payments are called “variation margin” and are made as the existing positions in the futures contract become more or less valuable, a process known as “marking to the market”.

Futures contracts are traded on organized exchanges, known as “contract markets” in the United States. At any time prior to the expiration of a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader

 

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obtained the position. This operates to terminate the position and fix the trader’s profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a “futures commission merchant”, which is a member of the clearing house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do not guarantee the performance by clearing members of their obligations to their customers.

Unlike equity securities, futures contracts, by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures contract on a particular commodity with the nearest expiration must close out its position in the expiring contract and establish a new position in the contract for the next delivery month, a process referred to as “rolling”. For example, a market participant with a long position in November crude oil futures that wishes to maintain a position in the nearest delivery month will, as the November contract nears expiration, sell November futures, which serves to close out the existing long position, and buy December futures. This will “roll” the November position into a December position, and, when the November contract expires, the market participant will still have a long position in the nearest delivery month.

Futures exchanges and clearing houses in the United States are subject to regulation by the Commodities Futures Trading Commission. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures markets outside the United States are generally subject to regulation by comparable regulatory authorities. The structure and nature of trading on non-U.S. exchanges, however, may differ from this description.

THE INDEX

The following is a description of the S&P GSCI™ and the Index. We have derived all information regarding the Index contained in this pricing supplement, including its make-up, method of calculation, changes in its components and historical performance, from publicly available information. We have not independently verified this information. You, as an investor in the Securities, should make your own investigation into the Index and the Index Sponsor.

The information contained herein with respect to the S&P GSCI™ and the Index reflects the policies of the Index Sponsor at the date of this pricing supplement. The S&P GSCI™, the Index and the policies of the Index Sponsor are subject to change by the Index Sponsor at any time. The Index Sponsor owns the copyright and all other rights to the S&P GSCI™ and the Index. The Index Sponsor is not involved in the offer of the Securities in any way, has no obligation to consider your interests as a holder of the Securities, and the Index Sponsor has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index are described below in the section entitled “Specific Terms of the Securities – Discontinuance or Modification of the Index.”

Current information regarding the market value of the Index is available from the Index Sponsor and numerous public sources. Neither we nor any of our affiliates make any representation that publicly available information about the Index is accurate or complete. In addition, neither we nor any of our affiliates accepts any responsibility for the calculation, maintenance or publication of, or for any error, omission or disruption in, the Index.

Since its inception, the Index has experienced significant fluctuations. Any historical upward or downward trend in the closing value of the Index is not an indication that the Index is more or less likely to increase or decrease at any time during the term of your Securities. It is impossible to predict whether the price of the Index Components will rise or fall and you should not take the historical values of the Index as an indication of future performance. We cannot give you any assurance that the future performance of the Index or any Index Component will result in you receiving an amount greater than the principal amount of your Securities at maturity or upon redemption. Neither we nor any of our affiliates makes any representation to you as to the performance of the Index.

 

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The S&P GSCI™

The Index is a sub-index of the S&P GSCI™. Disclosure in this section relating to the methodology for compiling the S&P GSCI™ accordingly relates as well to the methodology of compiling the Index. The next section, “—The Index”, describes the features of the Index that differ from the S&P GSCI™

The S&P GSCI™ is a proprietary index on a production-weighted basket of futures contracts on physical commodities traded on trading facilities in major industrialized countries. The S&P GSCI™ is designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the S&P GSCI™ are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities represented in the S&P GSCI™ are weighted, on a production basis, to reflect their relative significance (in the view of S&P, in consultation with the Index Committee) to the world economy. The fluctuations in the value of the S&P GSCI™ are intended generally to correlate with changes in the prices of such physical commodities in global markets. The value of the S&P GSCI™ has been normalized such that its hypothetical level on January 2, 1970 was 100. Futures contracts on the S&P GSCI™, and options on such futures contracts, are currently listed for trading on the Chicago Mercantile Exchange.

The contracts to be included in the S&P GSCI™ at any given time must satisfy several sets of eligibility criteria established by S&P. First, S&P identifies those contracts that meet the general criteria for eligibility. Second, the contract volume and weight requirements are applied and the number of contracts is determined, which serves to reduce the list of eligible contracts. At that point, the list of designated contracts for the relevant period is complete. The composition of the S&P GSCI™ is also reviewed on a monthly basis by S&P.

Set forth below is a summary of the composition of and the methodology used to calculate the S&P GSCI™. The methodology for determining the composition and weighting of the S&P GSCI™ and for calculating its value is subject to modification in a manner consistent with the purposes of the S&P GSCI™, as described below. S&P makes the official calculations of the S&P GSCI™.

The Index Committee and the Index Advisory Panel

S&P has established an Index Committee to oversee the daily management and operations of the S&P GSCI™, and is responsible for all analytical methods and calculation in the indices. The Index Committee is comprised of three full-time professional members of S&P’s staff and two members of the Goldman Sachs Group, Inc. At each meeting, the Index Committee reviews any issues that may affect the components of the S&P GSCI™, statistics comparing its composition to the market, commodities being considered for addition and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting commodities, or other matters. S&P considers information about changes to the indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential.

S&P has also established an Index Advisory Panel to assist it in connection with the operation of the S&P GSCI™. The Index Advisory Panel meets on an annual basis and at other times at the request of the Index Committee. The principal purpose of the Index Advisory Panel is to advise the Index Committee with respect to, among other things, the calculation of the S&P GSCI™, the effectiveness of the S&P GSCI™ as a measure of commodity futures market performance and the need for changes in the composition or methodology of the S&P GSCI™. The Index Advisory Panel acts solely in an advisory and consultative capacity; all decisions with respect to the composition, calculation and operation of the S&P GSCI™ are made the Index Committee. Certain of the members of the Index Advisory Panel may be affiliated with clients of S&P. Also, certain of the members of the Index Advisory Panel may be affiliated with entities which from time to time

 

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may be invested in the S&P GSCI™, either through transactions in the contracts included in the S&P GSCI™, futures contracts on the S&P GSCI™ or derivative products linked to the S&P GSCI™. The Index Advisory Panel meets once a year. Prior to the meeting, S&P determines the commodities and contracts to be included in the S&P GSCI™ for the next year, as well as the contract production weight (defined below) for each such contract, in accordance with the general procedures and guidelines set forth in the S&P GSCI™ Index Methodology. The proposed composition of the S&P GSCI™ is then circulated to the Index Advisory Panel members in advance of the meeting and is presented and discussed at the meeting. The Index Advisory Panel is also consulted on any other significant matters with respect to the calculation or operation of the S&P GSCI™ and may, if necessary or practicable, meet at other times during the year as issues arise that warrant Index Advisory Panel consideration.

Composition of the S&P GSCI™

In order to be included in the S&P GSCI™, a contract must satisfy the following eligibility criteria:

 

(1) The contract must:

 

  (a) be in respect of a physical commodity (rather than a financial commodity);

 

  (b) have a specified expiration or term, or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and

 

  (c) at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement.

 

(2) The commodity must be the subject of a contract that:

 

  (a) is denominated in U.S. dollars;

 

  (b) is traded on or through an exchange, facility or other platform (referred to as a “trading facility”) that has its principal place of business or operations in a country which is a member of the Organization for Economic Cooperation and Development and:

 

   

makes price quotations generally available to its members or participants (and, if S&P is not such a member or participant, to S&P) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;

 

   

makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations;

 

   

accepts bids and offers from multiple participants or price providers; and

 

   

is accessible by a sufficiently broad range of participants; and

 

  (c) is traded on a trading facility which allows market participants to execute spread transactions through a single order entry between pairs of contract expirations included in the S&P GSCI™ that, at any given point in time, will be involved in the rolls to be effected in the next three roll periods.

 

(3) The price of the relevant contract that is used as a reference or benchmark by market participants (referred to as the “daily contract reference price”) generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI™. In appropriate circumstances, however, S&P may determine that a shorter time period is sufficient or that historical daily contract reference prices for such contract may be derived from daily contract reference prices for a similar or related contract. The daily contract reference price may be (but is not required to be) the settlement price or other similar price published by the relevant trading facility for purposes of margining transactions or for other purposes.

 

(4)

At and after the time a contract is included in the S&P GSCI™, the daily contract reference price for such contract must be published between 10:00 a.m. and 4:00 p.m., New York City time on each contract business day by the trading facility on or through which it is traded and must generally be available to all members of, or participants in, such facility (and S&P) on the same day from the trading

 

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facility or through a recognized third-party data vendor. Such publication must include, at all times, daily contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination is made, as well as for all expiration or settlement dates during such five-month period.

 

(5) Volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made.

 

(6) A contract that is not included in the S&P GSCI™ at the time of determination and that is based on a commodity that is not represented in the S&P GSCI™ at such time must, in order to be added to the S&P GSCI™ at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$15 billion. The total dollar value traded is the dollar value of the total quantity of the commodity underlying transactions in the relevant contract over the period for which the calculation is made, based on the average of the daily contract reference prices on the last day of each month during the period.

 

(7) A contract that is already included in the S&P GSCI™ at the time of determination and that is the only contract on the relevant commodity included in the S&P GSCI™ must, in order to continue to be included in the S&P GSCI™ after such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$5 billion and at least US$10 billion during at least one of the three most recent annual periods used in making the determination.

 

(8) A contract that is not included in the S&P GSCI™ at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI™ at such time must, in order to be added to the S&P GSCI™ at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$30 billion.

 

(9) A contract that is already included in the S&P GSCI™ at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI™ at such time must, in order to continue to be included in the S&P GSCI™ after such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$10 billion and at least US$20 billion during at least one of the three most recent annual periods used in making the determination.

 

(10) A contract that is already included in the S&P GSCI™ at the time of determination must, in order to continue to be included after such time, have a reference percentage dollar weight of at least 0.10%. The reference percentage dollar weight of a contract is determined by multiplying the CPW (defined below) of a contract by the average of its daily contract reference prices on the last day of each month during the relevant period. These amounts are summed for all contracts included in the S&P GSCI™ and each contract’s percentage of the total is then determined.

 

(11) A contract that is not included in the S&P GSCI™ at the time of determination must, in order to be added to the S&P GSCI™ at such time, have a reference percentage dollar weight of at least 1%.

 

(12) In the event that two or more contracts on the same commodity satisfy the eligibility criteria,

 

  (a) such contracts will be included in the S&P GSCI™ in the order of their respective total quantity traded during the relevant period (determined as the total quantity of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first, provided that no further contracts will be included if such inclusion would result in the portion of the S&P GSCI™ attributable to such commodity exceeding a particular level; and

 

  (b)

if additional contracts could be included with respect to several commodities at the same time, the procedure in paragraph 12(a) above is first applied with respect to the commodity that has the smallest portion of the S&P GSCI™ attributable to it at the time of determination. Subject to the other eligibility criteria set forth above, the contract with the highest total quantity traded on such commodity will be included.

 

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Before any additional contracts on the same commodity or on any other commodity are included, the portion of the S&P GSCI™ attributable to all commodities is recalculated. The selection procedure described above is then repeated with respect to the contracts on the commodity that then has the smallest portion of the S&P GSCI™ attributable to it.

Currently, 24 contracts meet the eligibility requirement for inclusion on the S&P GSCI™.

 

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Contracts Included in the S&P GSCI™ for 2009

 

Trading

Facility

  

Commodity

(Contract)

   Ticker    2008
Contract
Production
Weight
   2009
Contract
Production
Weight
   2008
Average
Contract
Reference
Price ($)
   2008
Percentage
Dollar
Weight(1)
    2009
Reference
Price
Dollar
Weight
    Total
Dollar
Value
Traded
(USD bn)
   2009
Trading
Volume
Multiple

CBT

   Wheat (Chicago)    W    17,608.84    18,284.34    8.724 BU    3.83   3.87   890.7    115

KBT

   Wheat (Kansas)    KW    4,038.438    3,648.020    9.056 BU    0.91   0.80   184.5    115

CBT

   Corn    C    25,047.14    26,040.59    5.294 BU    3.30   3.34   1,533.3    229

CBT

   Soybeans    S    6,727.534    7,134.814    12.749 BU    2.14   2.20   2,368.7    537

ICE - US(2)

   Coffee “C”    KC    16,531.1    16,402.18    1.380 lbs    0.57   0.55   288.8    263

ICE - US

   Sugar #11    SB    321,233.7    326,600.0    0.117 lbs    0.94   0.93   358.0    192

ICE - US

   Cocoa    CC    3.47784    3.602584    2487.083 MT    0.22   0.22   91.1    210

ICE - US

   Cotton #2    CT    44,904.52    46,706.92    0.699 lbs    0.78   0.79   237.7    150

CME

   Lean Hogs    LH    60,793.40    63,629.95    0.663 lbs    1.01   1.02   222.5    109

CME

   Cattle (Live)    LC    80,690.59    87,753.95    0.977 lbs    1.96   2.08   361.5    87

CME

   Cattle (Feeder)    FC    13,826.24    14,720.39    1.097 lbs    0.38   0.39   68.1    87

NYM/ICE

   Oil (WTI Crude)    WTI    14,822.0    15,418.16    106.367 bbl    39.30   39.75   20,049.7    252

NYM

   Oil (#2 Heating)    HO    69,165.06    67,072.57    2.962 gal    5.11   4.82   2,429.1    252

NYM

   Oil (RBOB)    RB    66,013.97    71,853.63    2.703 gal    4.45   4.71   2,374.2    252

ICE - UK(3)

   Oil (Brent Crude)    BRT    5,373.649    5,364.404    105.194 bbl    14.09   13.68   6,898.9    252

ICE - UK

   Oil (Gasoil)    GO    216.2461    225.6823    952.521 MT    5.13   5.21   2,628.1    252

NYM/ICE

   Natural Gas    NG    28,870.6    28,781.35    9.207 mmBtu    6.63   6.42   6,795.1    529

LME

   Aluminum (High Gd. Prim.)    IA    34.922    36.1980    2764.229 MT    2.41   2.43   3,098.6    639

LME

   Copper (Grade A)    IC    15.46    15.84    7877.021 MT    3.04   3.02   4,612.7    763

LME

   Standard Lead    IL    6.752    7.030    2690.417 MT    0.45   0.46   391.0    426

LME

   Primary Nickel    IN    1.20    1.2420    26232.083 MT    0.78   0.79   729.2    462

LME

   Zinc (Spl. High Grade)    IZ    9.672    10.008    2352.146 MT    0.57   0.57   858.1    752

CMX

   Gold    GC    81.5343    80.76268    869.975 oz    1.77   1.70   3,196.1    938

CMX

   Silver    SI    605.7201    622.4385    16.177 oz    0.24   0.24   733.4    1502

 

(1) Using the ACRP’s for the 2009 Annual Calculation Period
(2) Formerly the NYBOT.
(3) Formerly the IPE.

 

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The quantity of each of the contracts included in the S&P GSCI™ is determined on the basis of a five-year average (referred to as the “world production average”) of the production quantity of the underlying commodity as published by sources of information determined by S&P, including the United Nations Statistical Yearbook, the Industrial Commodity Statistics Yearbook and other official sources. However, if a commodity is primarily a regional commodity, based on its production, use, pricing, transportation or other factors, S&P may calculate the weight of such commodity based on regional, rather than world, production data.

The five-year moving average is updated annually for each commodity included in the S&P GSCI™, based on the most recent five-year period (ending approximately two years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The contract production weights, or CPWs, used in calculating the S&P GSCI™ are derived from world or regional production averages, as applicable, of the relevant commodities, and are calculated based on the total quantity traded for the relevant contract and the world or regional production average, as applicable, of the underlying commodity.

However, if the volume of trading in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds, the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each such contract is sufficiently liquid relative to the production of the commodity.

In addition, S&P performs this calculation on a monthly basis and, if the multiple of any contract is below the prescribed threshold, the composition of the S&P GSCI™ is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the S&P GSCI™ to shift from contracts that have lost substantial liquidity into more liquid contracts during the course of a given year. As a result, it is possible that the composition or weighting of the S&P GSCI™ will change on one or more of these monthly valuation dates. In addition, regardless of whether any changes have occurred during the year, S&P reevaluates the composition of the S&P GSCI™ at the conclusion of each year, based on the above criteria. Other commodities that satisfy such criteria, if any, will be added to the S&P GSCI™. Commodities included in the S&P GSCI™ which no longer satisfy such criteria, if any, will be deleted.

S&P also determines whether modifications in the selection criteria or the methodology for determining the composition and weights of and for calculating the S&P GSCI™ are necessary or appropriate in order to assure that the S&P GSCI™ represents a measure of commodity market performance. S&P has the discretion to make any such modifications. We do not have any obligation to notify you if S&P changes the composition of the S&P GSCI™, the methodology of calculating the value of the S&P GSCI™ or any other policies of S&P relevant to the S&P GSCI™.

 

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The following table illustrates the changes in the year-end percentage dollar weights of each subsector included in the S&P GSCI™ from December 31, 1991 until December 31, 2008:

Historical Composition of the S&P GSCI™

 

     Energy     Industrial Metals     Precious Metals     Agriculture     Livestock  

December 31, 1991

   48.0   5.9   2.4   21.1   22.7

December 31, 1992

   48.9   6.1   2.4   18.6   24.0

December 31, 1993

   39.6   6.3   3.0   24.7   26.4

December 31, 1994

   48.8   8.2   2.6   20.8   19.6

December 31, 1995

   53.5   7.9   2.6   25.3   10.6

December 31, 1996

   61.5   6.4   2.4   19.6   10.1

December 31, 1997

   55.3   7.2   2.4   24.0   11.1

December 31, 1998

   46.9   9.2   3.8   28.1   12.0

December 31, 1999

   60.3   8.5   2.6   18.1   10.5

December 31, 2000

   66.8   6.4   2.0   16.1   8.7

December 31, 2001

   58.6   7.8   2.8   19.6   11.2

December 31, 2002

   67.3   5.6   2.5   16.9   7.7

December 31, 2003

   66.8   7.4   2.5   17.0   6.3

December 31, 2004

   71.1   7.8   2.2   12.2   6.6

December 31, 2005

   74.9   6.8   1.9   10.9   5.6

December 31, 2006

   68.4   11.1   2.5   13.4   4.7

December 31, 2007

   73.83   7.08   2.23   13.28   3.57

December 31, 2008

   74.70   7.25   2.01   12.69   3.35

Copyright Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. Used by permission

Contract Expirations

Because the S&P GSCI™ is comprised of actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as “contract expirations”. The contract expirations included in the S&P GSCI™ for each commodity during a given year are designated by S&P, provided that each such contract must be an “active contract”. An “active contract” for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry. The relative liquidity of the various active contracts is one of the factors that may be taken into consideration in determining which of them S&P includes in the S&P GSCI™.

If a trading facility deletes one or more contract expirations, the S&P GSCI™ will be calculated during the remainder of the year in which such deletion occurs on the basis of the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the S&P GSCI™. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the S&P GSCI™. If that timing is not practicable, S&P will determine the date of the replacement and will consider a number of factors, including the differences between the existing contract and the replacement contract with respect to contractual specifications and contract expirations.

Value of the S&P GSCI™

The value of the S&P GSCI™ on any given day is equal to the total dollar weight of the S&P GSCI™ divided by a normalizing constant that assures the continuity of the S&P GSCI™ over time. The total dollar weight of the S&P GSCI™ is the sum of the dollar weight of each of the components of the S&P GSCI™. The dollar weight of each such Index Component on any S&P GSCI™ business day is equal to:

 

   

the daily contract reference price,

 

   

multiplied by the appropriate CPWs, and

 

   

during a roll period, the appropriate “roll weights” (discussed below).

 

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Daily Contract Reference Price

The daily contract reference price used in calculating the dollar weight of each component of the S&P GSCI™ on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected. However, if the price is not made available or corrected by 4:00 p.m., New York City time, S&P, if it deems such action to be appropriate under the circumstances, will determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI™ Index calculation. The initial value of the S&P GSCI™ was normalized such that its hypothetical level on January 2, 1970 was 100.

Roll Weights and Roll Periods

The “roll weight” of a commodity reflects the fact that the positions in futures contracts must be liquidated or rolled forward into more distant contract expirations as they approach expiration. If actual positions in the relevant markets were rolled forward, the roll would likely need to take place over a period of days. Since the S&P GSCI™ is designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the S&P GSCI™ takes place over a number of business days during each month (referred to as a “roll period”). On each day of the roll period, the “roll weights” of the current contract expirations and the next contract expiration (the next contract as designated by the index rules) into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the index is gradually shifted from the current contract expiration to the next contract expiration (the next contract as so designated). The roll period applicable to the S&P GSCI™ occurs from the fifth to ninth S&P GSCI™ business days of the month which are days on which the indices are calculated, as determined by NYSE Euronext Holiday & Hours Schedule.

If on any day during a roll period any of the following conditions exists, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist:

 

   

if, with respect to any current contract expiration and the next contract expiration, the S&P GSCI business day on which the roll is intended to occur is not a day on which the trading facility on or through which the given contract expirations are traded is scheduled to be open for trading for at least three hours, these contract expirations are not available for trading during these hours or no daily contract reference price is published by the trading facility for a given contract expiration;

 

   

any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a “Limit Price”);

 

   

the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 p.m., New York City time. In that event, S&P may, but is not required to, determine a daily contract reference price and complete the relevant portion of the roll based on such price; provided, that, if the trading facility publishes a price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or

 

   

trading in the relevant contract terminates prior to its scheduled closing time.

If any of these conditions exist throughout the roll period, the roll with respect to the affected contract will be effected in its entirety on the next day on which such conditions no longer exist.

 

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The Index

As presently constituted, the only contract in the S&P GSCI™ used to calculate the Index is the WTI crude oil futures contract traded on the New York Mercantile Exchange. The WTI crude oil futures contract included in the Index changes each month because the contract included in the Index at any given time is currently required to be the WTI crude oil futures contract traded on the New York Mercantile Exchange with the closest expiration date (the “front-month contract”). The front-month contract expires each month on the third business day prior to the 25th calendar day of the month. The Index incorporates a methodology for rolling into the contract with the next closest expiration date (the “next-month contract”) each month. The Index gradually reduces the weighting of the front-month contract and increases the weighting of the next-month contract over a five business day period commencing on the fifth business day of the month, so that on the first day of the roll-over the front-month contract represents 80% and the next-month contract represents 20% of the Index, and on the fifth day of the roll-over period (i.e., the ninth business day of the month) the next-month contract represents 100% of the Index. Over time, this monthly roll-over leads to the inclusion of many different individual WTI crude oil futures contracts in the Index. The commodities industry utilizes single-component indices because the purpose of a commodities index is generally to reflect the current market price of the index components by including the front-month futures contract with respect to each component, necessitating a continuous monthly roll-over to a new front-month contract. As the underlying commodity is not static but rather is represented by constantly changing contracts, a single commodity index actually contains a changing series of individual contracts and is regarded by commodities industry professionals as a valuable tool in tracking the change in the value of the underlying commodity over time.

Value of the Index

The Index incorporates the returns of those contracts in the S&P GSCI™ that comprise the Index (currently only the WTI crude oil futures contract traded on the New York Mercantile Exchange), the discount or premium obtained by rolling hypothetical positions in those contracts forward as they approach delivery and the interest earned on hypothetical fully collateralized contract positions on the commodities included in the Index.

The value of the Index on any S&P GSCI™ Business Day is equal to the product of (1) the value of the Index on the immediately preceding S&P GSCI™ business day multiplied by (2) one plus the sum of the contract daily return and the Treasury Bill return on the S&P GSCI™ business day on which the calculation is made multiplied by (3) one plus the Treasury Bill return for each non-S&P GSCI™ business day since the immediately preceding S&P GSCI™ business day. The contract daily return on any given day is equal to the sum, for each of the commodities included in the Index, of the applicable daily contract reference price on the relevant contract (currently only the WTI crude oil futures contract traded on the New York Mercantile Exchange) multiplied by the appropriate CPW and the appropriate roll weight, divided by the total dollar weight of the Index on the preceding day, minus one. The Treasury Bill return is the return on a hypothetical investment in the Index at a rate equal to the interest rate on a specified U.S. Treasury Bill.

The initial value of the Index was normalized such that its hypothetical level on December 31, 1986 was 100.

Historical Performance

While the following historical performance table is based on the selection criteria and methodology described in this pricing supplement, the Index was not actually calculated and published prior to May 1, 1991. Accordingly, the following table illustrates:

 

(i) on a hypothetical basis, how the Index would have performed from December 31, 1986 to December 31, 1990 based on the selection criteria and methodology described above; and

 

(ii) on an actual basis, how the Index has performed from December 31, 1991 onwards.

 

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December 31, 1986

   100.00

December 31, 1987

   111.26

December 30, 1988

   128.86

December 29, 1989

   250.34

December 31, 1990

   366.73

December 31, 1991

   305.95

December 31, 1992

   317.11

December 31, 1993

   205.34

December 30, 1994

   285.04

December 29, 1995

   380.84

December 31, 1996

   793.33

December 31, 1997

   546.93

December 31, 1998

   286.55

December 31, 1999

   638.13

December 29, 2000

   961.62

December 31, 2001

   716.96

December 31, 2002

   1134.98

December 31, 2003

   1446.80

December 31, 2004

   2094.82

December 30, 2005

   2538.80

December 29, 2006

   2108.48

December 31, 2007

   3108.99

December 31, 2008

   1384.47

June 30, 2009

   1429.46

The historical performance of the Index should not be taken as an indication of future performance, and no assurance can be given that the value of the Index will increase sufficiently to cause holders of the Securities to receive a payment at maturity or upon redemption equal to or in excess of the principal amount of such Securities.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

LOGO

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

 

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License Agreement

S&P GSCI™, S&P GSCI™ Index, S&P GSCI™ Total Return Index, S&P GSCI™ Crude Oil Total Return Index and S&P GSCI™ Commodity Index are trademarks or service marks of S&P and have been licensed for use by Barclays Bank PLC in connection with the Securities.

The Securities are not sponsored or endorsed by S&P or any of its affiliates. Neither S&P nor any of its affiliates makes 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 GSCI™ or any of its subindexes to track general commodity market performance.

S&P’s only relationship to Barclays Bank PLC is the licensing of certain trademarks and trade names of S&P and of the Index, which is determined, composed and calculated by S&P without regard to Barclays Bank PLC or the Securities. S&P has no obligation to take the needs of Barclays Bank PLC or the owners of the Securities into consideration in determining, composing or calculating the Index. S&P is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Securities to be issued or in the determination or calculation of the equation by which the Securities are to be converted into cash. S&P has no obligation in connection with the administration, marketing or trading of the Securities.

S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

All disclosures contained in his pricing supplement regarding the Index, including its make-up, method of calculation and changes in its components, are derived from publicly available information. Neither we nor any of our affiliates assumes any responsibility for the accuracy or completeness of that information.

The Index is not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies.

VALUATION OF THE SECURITIES

The market value of the Securities will be affected by several factors, many of which are beyond our control. We expect that generally the value of the Index on any day will affect the market value of the Securities more than any other factors. Other factors that may influence the market value of the Securities include, but are not limited to, supply and demand for the Securities, the volatility of the Index, the market price of the Index Components, the Treasury Bill rate of interest, the volatility of commodities prices, economic, financial, political, regulatory, or judicial events that affect the value of the Index or the market price of Index Components, the general interest rate environment, as well as the perceived creditworthiness of Barclays Bank PLC. See “Risk Factors” in this pricing supplement for a discussion of the factors that may influence the market value of the Securities prior to maturity.

Indicative Value

An intraday “indicative value” meant to approximate the intrinsic economic value of the Securities will be calculated and published by Bloomberg L.P. or a successor via the facilities of the Consolidated Tape Association under the ticker symbol OIL.IV. Additionally, we or an affiliate expect to calculate and publish the closing indicative value of your Securities on each trading day at www.ipathetn.com. In connection with your Securities, we use the term

 

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“indicative value” to refer to the value at a given time determined based on the following equation:

Indicative Value = Principal Amount per Security X (Current Index Level / Initial Index Level) - Current Investor Fee where:

Principal Amount per Security = $50;

Current Index Level = The most recent published level of the Index as reported by the Index Sponsor;

Initial Index Level = The level of Index on the inception date; and

Current Investor Fee = The most recent daily calculation of the investor fee with respect to your Securities, determined as described above (which, during any trading day, will be the investor fee determined on the preceding calendar day).

Bloomberg L.P. is not affiliated with Barclays Bank PLC and does not approve, endorse, review or recommend Barclays Bank PLC or the Securities.

The indicative value will be derived from sources deemed reliable, but Bloomberg L.P. and its suppliers do not guarantee the correctness or completeness of the indicative value or other information furnished in connection with the Securities. Bloomberg L.P. makes no warranty, express or implied, as to results to be obtained by Barclays Bank PLC, Barclays Bank PLC’s customers, holders of the Securities, or any other person or entity from the use of the indicative value or any data included therein. Bloomberg L.P. makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect to the indicative value or any data included therein.

Bloomberg L.P., its employees, subcontractors, agents, suppliers and vendors shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of Bloomberg L.P., its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the indicative value or the Securities, and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. Bloomberg L.P. shall not be responsible for or have any liability for any injuries or damages caused by errors, inaccuracies, omissions or any other failure in, or delays or interruptions of, the indicative value, from whatever cause. Bloomberg L.P. is not responsible for the selection of or use of the Index or the Securities, the accuracy and adequacy of Index or information used by Barclays Bank PLC and the resultant output thereof.

The indicative value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or termination of your Securities, nor will it reflect hedging or transaction costs, credit considerations, market liquidity or bid-offer spreads. Published Index levels from the Index Sponsor may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current Index level and therefore the indicative value of your Securities. Index levels provided by the Index Sponsor will not necessarily reflect the depth and liquidity of the underlying commodities markets. For this reason and others, the actual trading price of the Securities may be different from their indicative value.

As discussed in “Specific Terms of the Securities – Payment Upon Redemption”, you may, subject to certain restrictions, choose to redeem your Securities on any redemption date during the term of the Securities. If you redeem your Securities on a particular redemption date, you will receive a cash payment on such date in an amount equal to the daily redemption value, which is (1) the principal amount of your Securities times (2) the index factor on the applicable valuation date minus (3) the investor fee on the applicable valuation date. You must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date. The daily redemption feature is intended to induce arbitrageurs to counteract any trading of the Securities at a discount to their indicative value, though there can be no assurance that arbitrageurs will employ the redemption feature in this manner.

SPECIFIC TERMS OF THE SECURITIES

In this section, references to “holders” mean those who own the Securities registered in their own names, on the books that we or the trustee

 

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maintain for this purpose, and not those who own beneficial interests in the Securities registered in street name or in the Securities issued in book-entry form through The Depository Trust Company or another depositary. Owners of beneficial interests in the Securities should read the section entitled “Description of Debt Securities – Legal Ownership; Form of Debt Securities” in the accompanying prospectus.

The Securities are part of a series of debt securities entitled “Medium-Term Notes, Series A” (the “medium-term notes”) that we may issue under the indenture, dated September 16, 2004, between Barclays Bank PLC and The Bank of New York, as trustee, from time to time. This pricing supplement summarizes specific financial and other terms that apply to the Securities. Terms that apply generally to all medium-term notes are described in “Description of Medium-Term Notes” and “Terms of the Notes” in the accompanying prospectus supplement, and terms that apply generally to all index-linked notes are described in “Reference Assets – Indices” in the accompanying prospectus supplement. The terms described here (i.e., in this pricing supplement) supplement those described in the accompanying prospectus, prospectus supplement and any related free writing prospectuses and, if the terms described here are inconsistent with those described in those documents, the terms described here are controlling.

Please note that the information about the price to the public and the proceeds to Barclays Bank PLC on the front cover of this pricing supplement relates only to the initial sale of the Securities. If you have purchased the Securities in a market-making transaction after the initial sale, information about the price and date of sale to you will be provided in a separate confirmation of sale.

We describe the terms of the Securities in more detail below. References to “Index” mean the S&P GSCI™ Crude Oil Total Return Index.

Coupon

We will not pay you interest during the term of the Securities.

Denomination

We will offer the Securities in denominations of $50.

Payment at Maturity

If you hold your Securities to maturity, you will receive a cash payment at maturity that is linked to percentage change in the value of the Index between the inception date and the final valuation date. Your cash payment at maturity will be equal to (1) the principal amount of your Securities times (2) the index factor on the final valuation date minus (3) the investor fee on the final valuation date.

The index factor on the final valuation date will be equal to the final index level divided by the initial index level. The initial index level is the closing value of the Index on the inception date and the final index level is the closing value of the Index on the final valuation date.

The investor fee on the final valuation date will be equal to 0.75% per year times the principal amount of your Securities times the index factor, calculated on a daily basis in the following manner: The investor fee on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75% times (2) the principal amount of your Securities times (3) the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by (4) 365.

Maturity Date

If the maturity date stated on the cover of this pricing supplement is not a business day, the maturity date will be the next following business day. If the fifth business day before this day does not qualify as a valuation date (as described below), then the maturity date will be the fifth business day following the final valuation date. The calculation agent may postpone the final valuation date – and therefore the maturity date – if a market disruption event occurs or is continuing on a day that would otherwise be the final valuation date. We describe market disruption events under “– Market Disruption Event” below.

 

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In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with respect to that deferred payment.

Payment Upon Redemption

Prior to maturity, you may, subject to certain restrictions, choose to redeem your Securities on any redemption date during the term of the Securities. If you redeem your Securities on a particular redemption date, you will receive a cash payment on such date in an amount equal to the daily redemption value, which is (1) the principal amount of your Securities times (2) the index factor on the applicable valuation date minus (3) the investor fee on the applicable valuation date. You must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date. We may from time to time in our sole discretion reduce, in part or in whole, the minimum redemption amount of 50,000 Securities. Any such reduction will be applied on a consistent basis for all holders of Securities at the time the reduction becomes effective.

The index factor on the relevant valuation date is the closing value of the Index on that day divided by the initial index level. The initial index level is the closing value of the Index on the inception date.

The investor fee on any valuation date will be equal to 0.75% per year times the principal amount of your Securities times the index factor, calculated on a daily basis in the following manner: The investor fee on the inception date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to (1) 0.75% times (2) the principal amount of your Securities times (3) the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by (4) 365.

A valuation date is each business day from August 24, 2006 to August 7, 2036, inclusive (subject to the occurrence of a market disruption event), or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days.

A redemption date is the third business day following each valuation date (other than the final valuation date). The final redemption date will be the third business day following the valuation date that is immediately prior to the final valuation date.

In the event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable with respect to that deferred payment.

Valuation Date

A valuation date is each business day from August 24, 2006 to August 7, 2036 inclusive (or, if such date is not a trading day, the next succeeding trading day), unless the calculation agent determines that a market disruption event occurs or is continuing on that day in respect of any Index Component. In that event, the valuation date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no event, however, will any valuation date be postponed by more than five trading days.

Redemption Procedures

You may, subject to the minimum redemption amount described above, elect to redeem your Securities on any redemption date during the term of the Securities. To redeem your Securities, you must instruct your broker or other person with whom you hold your Securities to take the following steps:

 

 

deliver a notice of redemption, which is attached as Annex A, to us via email by no later than 4:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we receive your notice by the time specified in the preceding sentence, we will respond by sending you a form of confirmation of redemption, which is attached as Annex B;

 

 

deliver the signed confirmation of redemption to us via facsimile in the specified form by 5:00 p.m., New York City time, on the same day. We or our affiliate must acknowledge receipt in order for your confirmation to be effective;

 

 

instruct your DTC custodian to book a delivery vs. payment trade with respect to your Securities on the valuation date at a

 

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price equal to the applicable daily redemption value, facing Barclays Capital DTC 5101; and

 

 

cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the applicable redemption date (the third business day following the valuation date).

Different brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the Securities in respect of such deadlines. If we do not receive your notice of redemption by 4:00 p.m., New York City time, or your confirmation of redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your Securities on the applicable redemption date. Any redemption instructions for which we (or our affiliate) receive a valid confirmation in accordance with the procedures described above will be irrevocable.

Market Disruption Event

As set forth under “– Payment at Maturity” and “– Payment Upon Redemption” above, the calculation agent will determine the value of the Index on each valuation date, including the final valuation date. As described above, a valuation date may be postponed and thus the determination of the value of the Index may be postponed if the calculation agent determines that, on a valuation date, a market disruption event has occurred or is continuing in respect of any Index Component. If such a postponement occurs, the Index Components unaffected by the market disruption event shall be determined on the scheduled valuation date and the value of the affected Index Component shall be determined using the closing value of the affected Index Component on the first trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for the Securities be postponed by more than five trading days.

If a valuation date is postponed until the fifth trading day following the scheduled valuation date, but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith estimate in its sole discretion of the value of the Index for such day.

Any of the following will be a market disruption event:

 

 

a material limitation, suspension or disruption in the trading of any Index Component which results in a failure by the trading facility on which the relevant contract is traded to report a daily contract reference price (the price of the relevant contract that is used as a reference or benchmark by market participants);

 

 

the daily contract reference price for any Index Component is a “limit price”, which means that the daily contract reference price for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount permitted under the applicable rules or procedures of the relevant trading facility;

 

 

failure by the Index Sponsor to publish the closing value of the Index or of the applicable trading facility or other price source to announce or publish the daily contract reference price for one or more Index Components; or

 

 

any other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the Securities that we or our affiliates have effected or may effect as described below under “Use of Proceeds and Hedging” in this pricing supplement.

The following events will not be market disruption events:

 

 

a limitation on the hours or numbers of days of trading on a trading facility on which any Index Component is traded, but only if the limitation results from an announced change in the regular business hours of the relevant market; or

 

 

a decision by a trading facility to permanently discontinue trading in any Index Component.

 

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Default Amount on Acceleration

If an event of default occurs and the maturity of the Securities is accelerated, we will pay the default amount in respect of the principal of the Securities at maturity. We describe the default amount below under “– Default Amount”.

For the purpose of determining whether the holders of our medium-term notes, of which the Securities are a part, are entitled to take any action under the indenture, we will treat the stated principal amount of each Security outstanding as the principal amount of that Security. Although the terms of the Securities may differ from those of the other medium-term notes, holders of specified percentages in principal amount of all medium-term notes, together in some cases with other series of our debt securities, will be able to take action affecting all the medium-term notes, including the Securities. This action may involve changing some of the terms that apply to the medium-term notes, accelerating the maturity of the medium-term notes after a default or waiving some of our obligations under the indenture. We discuss these matters in the attached prospectus under “Description of Debt Securities – Modification and Waiver” and “– Senior Events of Default; Subordinated Events of Default and Defaults; Limitations of Remedies”.

Default Amount

The default amount for the Securities on any day will be an amount, determined by the calculation agent in its sole discretion, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all our payment and other obligations with respect to the Securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to the Securities. That cost will equal:

 

 

the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus

 

 

the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Securities in preparing any documentation necessary for this assumption or undertaking.

During the default quotation period for the Securities, which we describe below, the holders of the Securities and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest – or, if there is only one, the only – quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.

Default Quotation Period

The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day after that day, unless:

 

 

no quotation of the kind referred to above is obtained, or

 

 

every quotation of that kind obtained is objected to within five business days after the due date as described above.

If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence.

In any event, if the default quotation period and the subsequent two business day objection period have not ended before the final valuation date, then the default amount will equal the principal amount of the Securities.

 

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Qualified Financial Institutions

For the purpose of determining the default amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States of America or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:

 

 

A-1 or higher by S&P, or any successor, or any other comparable rating then used by that rating agency, or

 

 

P-1 or higher by Moody’s Investors Service, Inc. or any successor, or any other comparable rating then used by that rating agency.

Further Issuances

We may, without your consent, create and issue additional securities having the same terms and conditions as the Securities. If there is substantial demand for the Securities, we may issue additional Securities frequently. We may consolidate the additional securities to form a single class with the outstanding Securities.

Discontinuance or Modification of the Index

If the Index Sponsor discontinues publication of the Index and it or any other person or entity publishes an index that the calculation agent determines is comparable to the Index and approves as a successor index, then the calculation agent will determine the value of the Index on the applicable valuation date and the amount payable at maturity or upon redemption by reference to such successor index.

If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing value of the Index is not available because of a market disruption event or for any other reason, on the date on which the value of the Index is required to be determined, or if for any other reason the Index is not available to us or the calculation agent on the relevant date, the calculation agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the Index.

If the calculation agent determines that the Index, the Index Components or the method of calculating the Index has been changed at any time in any respect – including any addition, deletion or substitution and any reweighting or rebalancing of Index Components, and whether the change is made by the Index Sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor index, is due to events affecting one or more of the Index Components, or is due to any other reason – then the calculation agent will be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.

All determinations and adjustments to be made by the calculation agent with respect to the value of the Index and the amount payable at maturity or upon redemption or otherwise relating to the value of the Index may be made in the calculation agent’s sole discretion. See “Risk Factors” in this pricing supplement for a discussion of certain conflicts of interest which may arise with respect to the calculation agent.

Manner of Payment and Delivery

Any payment on or delivery of the Securities at maturity will be made to accounts designated by you and approved by us, or at the office of the trustee in New York City, but only when the Securities are surrendered to the trustee at that office. We also may make any payment or delivery in accordance with the applicable procedures of the depositary.

Business Day

When we refer to a business day with respect to the Securities, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in London or New York City generally are authorized or obligated by law, regulation or executive order to close.

Role of Calculation Agent

Currently, we serve as the calculation agent. We may change the calculation agent without notice. The calculation agent will, in its sole discretion, make all determinations regarding the value of the Securities, including at maturity or upon redemption, market disruption events, business days, trading days, the investor fee, the default amount, the initial index level, the final index

 

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level, the closing value of the Index on any valuation date, the maturity date, redemption dates, the amount payable in respect of your Securities at maturity or upon redemption 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.

CLEARANCE AND SETTLEMENT

Depository Trust Company (“DTC”) participants that hold the Securities through DTC on behalf of investors will follow the settlement practices applicable to equity securities in DTC’s settlement system with respect to the primary distribution of the Securities and secondary market trading between DTC participants.

USE OF PROCEEDS AND HEDGING

We will use the net proceeds we receive from the sale of the Securities for the purposes we describe in the attached prospectus supplement under “Use of Proceeds and Hedging”. We or our affiliates may also use those proceeds in transactions intended to hedge our obligations under the Securities as described below.

In anticipation of the sale of the Securities, we or our affiliates expect to enter into hedging transactions involving purchases of instruments linked to the Index prior to or on the inception date. In addition, from time to time after we issue the Securities, we or our affiliates may enter into additional hedging transactions or unwind those hedging transactions we have entered into. In this regard, we or our affiliates may:

 

 

acquire or dispose of long or short positions in listed or over-the-counter options, futures, or other instruments linked to some or all of the Index Components (including the underlying physical commodities), the Index or the S&P GSCI™;

 

 

acquire or dispose of long or short positions in listed or over-the-counter options, futures, or other instruments linked to the level of other similar market indices, contracts or commodities; or

 

 

any combination of the above two.

We or our affiliates may acquire a long or short position in securities similar to the Securities from time to time and may, in our or their sole discretion, hold or resell those securities.

We or our affiliates may close out our or their hedge positions on or before the final valuation date. That step may involve sales or purchases of listed or over-the-counter options or futures on Index Components (including the underlying physical commodities) or listed or over-the-counter options, futures, or other instruments linked to the level of the Index Components, the Index or the S&P GSCI™, as well as other indices designed to track the performance of the Index or other components of the commodities market.

The hedging activity discussed above may adversely affect the value of the Index and, as a consequence, the market value of the Securities from time to time and the amount payable at maturity or upon redemption. See “Risk Factors” in this pricing supplement for a discussion of possible adverse effects related to our hedging activities.

SUPPLEMENTAL TAX CONSIDERATIONS

The following is a general description of certain United States tax considerations relating to the Securities. It does not purport to be a complete analysis of all tax considerations relating to the Securities. Prospective purchasers of the Securities should consult their tax advisors as to the consequences under the tax laws of the country of which they are resident for tax purposes and the tax laws of the United Kingdom and the United States of acquiring, holding and disposing of the Securities and receiving payments of interest, principal and/or other amounts under the Securities. This summary is based upon the law as in effect on the date of this pricing supplement and is subject to any change in law that may take effect after such date.

Supplemental U.S. Tax Considerations

The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus supplement. The following section is the opinion of Sullivan & Cromwell LLP, counsel to Barclays Bank PLC. It

 

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applies to you only if you are a U.S. holder (as defined below) and you hold your Security as a capital asset for tax purposes. This section does not apply to you if you are a member of a class of holders subject to special rules, such as:

 

 

a dealer in securities or currencies;

 

 

a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings;

 

 

a bank;

 

 

a life insurance company;

 

 

a tax-exempt organization;

 

 

a regulated investment company;

 

 

a partnership or other pass-through entity;

 

 

a person that owns a note as a hedge or that is hedged against interest rate risks;

 

 

a person that owns a note as part of a straddle or conversion transaction for tax purposes; or

 

 

a U.S. holder (as defined below) whose functional currency for tax purposes is not the U.S. dollar.

This section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the Internal Revenue Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis.

You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the Securities in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.

This section describes the tax consequences to a U.S. holder. You are a U.S. holder if you are a beneficial owner of a Security and you are for U.S. federal income tax purposes:

 

 

a citizen or resident of the United States;

 

 

a domestic corporation;

 

 

an estate whose income is subject to United States federal income tax regardless of its source; or

 

 

a trust if a United States court can exercise primary supervision over the trust’s administration and one or more United States persons are authorized to control all substantial decisions of the trust.

In the opinion of our counsel, Sullivan & Cromwell LLP, the Securities should be treated as a pre-paid contract with respect to the Index. The terms of the Securities require you and us (in the absence of a change in law or an administrative or judicial ruling to the contrary) to treat the Securities for all United States federal income tax purposes in accordance with such characterization. If the Securities are so treated, you should recognize capital gain or loss upon the sale, redemption or maturity of your Securities in an amount equal to the difference between the amount you receive at such time and your tax basis in the Securities. In general, your tax basis in your Securities will be equal to the price you paid for it. Capital gain of a noncorporate United States holder that is recognized in a taxable year beginning before January 1, 2011 is generally taxed at a maximum rate of 15% where the property is held for more than one year.

No statutory, judicial or administrative authority directly discusses how your Securities should be treated for United States federal income tax purposes. As a result, the United States federal income tax consequences of your investment in the Securities are uncertain and alternative characterizations are possible. Accordingly, we urge you to consult your tax advisor in determining the tax consequences of an investment in your Securities in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.

Alternative Treatments. There is no judicial or administrative authority discussing how your Security should be treated for United States federal income tax purposes. Therefore, other treatments would also be possible and the Internal Revenue Service might assert that treatment other than that described above is

 

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more appropriate. For example, it would be possible to treat your Security, and the Internal Revenue Service might assert that your Security should be treated, as a debt instrument subject to the special tax rules governing contingent debt instruments. If the Securities are so treated, you would be required to accrue interest income over the term of your Securities based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your Securities. You would recognize gain or loss upon the sale, redemption or maturity of your Securities in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted basis in your Securities. In general, your adjusted basis in your Securities would be equal to the amount you paid for your Securities, increased by the amount of interest you previously accrued with respect to your Securities. Any gain you recognize upon the sale, redemption or maturity of your Securities would be ordinary income and any loss recognized by you at such time would be ordinary loss to the extent of interest you included in income in the current or previous taxable years in respect of your Securities, and thereafter, would be capital loss.

If the Securities are treated as a contingent debt instrument and you purchase your Securities in the secondary market at a price that is at a discount from, or in excess of, the adjusted issue price of the Securities, such excess or discount would not be subject to the generally applicable market discount or amortizable bond premium rules described in the accompanying prospectus but rather would be subject to special rules set forth in Treasury Regulations governing contingent debt instruments. Accordingly, if you purchase your Securities in the secondary market, you should consult your tax advisor as to the possible application of such rules to you.

It is also possible that you could be treated as owning the underlying components of the Index, or alternatively, that you could be treated as having disposed of the Securities each time there are changes made to the underlying components of the Index. In such case, you would be required to recognize gain or loss each time an underlying component of the Index is replaced. Moreover, it is possible that you would be required to accrue interest over the term of your Securities even though you will not receive any payments from us until sale, redemption or maturity of your Securities.

In addition, it is possible that the Internal Revenue Service could assert that any gain or loss that you recognize upon redemption or maturity of your Securities could be treated as ordinary gain or loss.

It is also possible that Section 1256 of the Internal Revenue Code could apply to your Securities. If Section 1256 were to apply to your Securities, you would be required to mark your Securities to market at the end of each year (i.e., recognize income as if the Securities had been sold for fair market value). In such case, gain or loss recognized with respect to your Securities should be treated as 60% long-term capital gain or loss and 40% short-term capital gain or loss, without regard to the period during which you held your Securities.

On December 7, 2007, the Internal Revenue Service released a notice stating that the Internal Revenue Service and the Treasury Department are actively considering the proper federal income tax treatment of an instrument such as the Securities including whether the holders should be required to accrue ordinary income on a current basis and whether gain or loss should be ordinary or capital, and they are seeking comments on the subject. It is not possible to determine what guidance they will ultimately issue, if any. It is possible, however, that under such guidance, holders of the Securities will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The Internal Revenue Service and the Treasury Department are also considering other relevant issues, including whether foreign holders of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive ownership rules” of Section 1260 of the Internal Revenue Code might be applied to such instruments. Holders are urged to consult their tax advisors concerning the significance, and the potential impact, of the above considerations. Except to the extent otherwise provided by law, Barclays Bank PLC intends to treat the Securities for U.S. federal income tax purposes in accordance with the treatment set forth in this section unless and until such time as the Treasury Department and Internal Revenue Service issue guidance providing that some other treatment is more appropriate.

 

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Moreover, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as the Securities after the bill was enacted to accrue interest income over the term of such instruments, even though such instruments may not have made any current interest payments. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your Securities.

Information Reporting and Backup Withholding

Please see the discussion under “Certain U.S. Federal Income Tax Considerations–Information Reporting and Backup Withholding” in the accompanying prospectus supplement for a description of the applicability of the information reporting and backup withholding rules to payments made on your Securities.

SUPPLEMENTAL PLAN OF DISTRIBUTION

We sold a portion of the Securities on the inception date at 100% of their stated principal amount. The remainder of the Securities will be offered and sold from time to time through Barclays Capital Inc., our affiliate, as agent. Sales of the Securities after the inception date will be made at market prices prevailing at the time of sale, at prices related to market prices or at negotiated prices. We will receive proceeds equal to 100% of the price at which the Securities are sold to the public. Barclays Capital Inc. will not receive an agent’s commission in connection with sales of the Securities.

In connection with this offering, we will sell the Securities to dealers as principal, and such dealers may then resell Securities to the public at varying prices that the dealers will determine at the time of resale. In addition, such dealers may make a market in the Securities, although none of them are obligated to do so and any of them may stop doing so at any time without notice. This prospectus (including this pricing supplement and the accompanying prospectus and prospectus supplement) may be used by such dealers in connection with market-making transactions. In these transactions, dealers may resell a Security covered by this prospectus that they acquire from other holders after the original offering and sale of the Securities, or they may sell a Security covered by this prospectus in short sale transactions.

Broker-dealers and other persons are cautioned that some of their activities may result in their being deemed participants in the distribution of the Securities in a manner that would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the Securities Act. Among other activities, broker-dealers and other persons may make short sales of the Securities and may cover such short positions by borrowing Securities from us or our affiliates or by purchasing Securities from us or our affiliates subject to our obligation to repurchase such Securities at a later date. As a result of these activities, these market participants may be deemed statutory underwriters. A determination of whether a particular market participant is an underwriter must take into account all the facts and circumstances pertaining to the activities of the participant in the particular case, and the example mentioned above should not be considered a complete description of all the activities that would lead to designation as an underwriter and subject a market participant to the prospectus-delivery and liability provisions of the Securities Act. This prospectus will be deemed to cover any short sales of Securities by market participants who cover their short positions with Securities borrowed or acquired from us or our affiliates in the manner described above.

Barclays Bank PLC and Barclays Capital Inc. have retained the services of Barclays Global Investors Services, their affiliate and a member of the Financial Industry Regulatory Authority, Inc. (formerly NASD, Inc.), to promote the Securities and provide certain services relating to the Securities. As of December 31, 2008, Barclays Global Investors Fund Distribution Company, an affiliate of Barclays Bank PLC and Barclays Capital Inc. and a member of the Financial Regulatory Authority, Inc. (formerly NASD, Inc.) provides the services formerly provided by Barclays Global Investors Services. Barclays Global Investors Services or Barclays Global Investors Fund Distribution Company may receive a portion of the investor fee.

 

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Underwriting compensation will not exceed a total of 8% of proceeds. Barclays Capital Inc. may also appoint selected dealers, including Goldman, Sachs & Co., to assist in the distribution of the Securities.

 

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ANNEX A

NOTICE OF REDEMPTION

To: [ipathredemptions@barclayscapital.com]

Subject: iPath® Notice of Redemption, CUSIP No. 06738C786

[BODY OF EMAIL]

Name of holder: [                                ]

Number of Securities to be redeemed: [    ]

Applicable Valuation Date: [            ], 20[    ]

Contact Name: [                    ]

Telephone #: [                    ]

Acknowledgement: I acknowledge that the Securities specified above will not be redeemed unless all of the requirements specified in the pricing supplement relating to the Securities are satisfied.

 

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ANNEX B

CONFIRMATION OF REDEMPTION

Dated:

Barclays Bank PLC

Barclays Bank PLC, as Calculation Agent

Fax: 212-412-1232

Dear Sirs:

The undersigned holder of Barclays Bank PLC’s $5,000,000,000 Medium-Term Notes, Series A, iPath® Exchange-Traded Notes due August 14, 2036 CUSIP No. 06738C786, redeemable for a cash amount based on the S&P GSCI™ Crude Oil Total Return Index (the “Securities”) hereby irrevocably elects to exercise, on the redemption date of                     , with respect to the number of Securities indicated below, as of the date hereof, the redemption right as described in the prospectus relating to the Securities (the “Prospectus”). Terms not defined herein have the meanings given to such terms in the Prospectus.

The undersigned certifies to you that it will (i) instruct its DTC custodian with respect to the Securities (specified below) to book a delivery vs. payment trade on the valuation date with respect to the number of Securities specified below at a price per Security equal to the applicable daily redemption value, facing Barclays Capital DTC 5101 and (ii) cause the DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m., New York City time, on the redemption date.

 

Very truly yours,
[NAME OF HOLDER]

 

Name:
Title:
Telephone:
Fax:
E-mail:

Number of Securities surrendered for redemption:                     

DTC # (and any relevant sub-account):                     

Contact Name:

Telephone:

(You must redeem at least 50,000 Securities at one time in order to exercise your right to redeem your Securities on any redemption date.)

 

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LOGO

LOGO

$5,000,000,000

BARCLAYS BANK PLC

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

MEDIUM-TERM NOTES, SERIES A

 

 

Pricing Supplement

July 30, 2009

(to Prospectus dated February 10, 2009 and

Prospectus Supplement dated February 10, 2009)

Patent Pending

LOGO

BCY-F-103-07009