PPS2
TABLE OF HYPOTHETICAL COMMODITY PERFORMANCES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Final Level
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date
4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
19.86639
|
|
|
|
24.89749
|
|
|
|
24.76849
|
|
|
|
24.89749
|
|
|
|
27.60655
|
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
7.44927
|
|
|
|
9.43251
|
|
|
|
9.43251
|
|
|
|
9.91623
|
|
|
|
10.35158
|
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
21.57408
|
|
|
|
27.45792
|
|
|
|
25.77683
|
|
|
|
27.17774
|
|
|
|
29.97957
|
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
14.85244
|
|
|
|
18.90310
|
|
|
|
19.57821
|
|
|
|
18.99955
|
|
|
|
20.63910
|
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
269.90487
|
|
|
|
332.99951
|
|
|
|
332.99951
|
|
|
|
368.05209
|
|
|
|
375.06261
|
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
194.05332
|
|
|
|
241.93661
|
|
|
|
241.93661
|
|
|
|
262.09799
|
|
|
|
269.65851
|
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
31.27410
|
|
|
|
38.78801
|
|
|
|
38.78801
|
|
|
|
42.44343
|
|
|
|
43.45882
|
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
174.64085
|
|
|
|
220.00211
|
|
|
|
233.61049
|
|
|
|
220.00211
|
|
|
|
242.68274
|
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
182.72962
|
|
|
|
245.61709
|
|
|
|
245.61709
|
|
|
|
229.00531
|
|
|
|
253.92298
|
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
39.13756
|
|
|
|
49.04902
|
|
|
|
49.04902
|
|
|
|
52.60698
|
|
|
|
54.38596
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Commodity Performance (maximum set at the Return Cap; minimum
set at the Return Floor).
Average Commodity Performance is subject to the Minimum Coupon Percentage.
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date
4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
-20.000
|
%
|
|
|
-3.500
|
%
|
|
|
-4.000
|
%
|
|
|
-3.500
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
-20.000
|
%
|
|
|
-2.500
|
%
|
|
|
-2.500
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
-20.000
|
%
|
|
|
-2.000
|
%
|
|
|
-8.000
|
%
|
|
|
-3.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
-20.000
|
%
|
|
|
-2.000
|
%
|
|
|
5.000
|
%
|
|
|
-1.500
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
-20.000
|
%
|
|
|
-5.000
|
%
|
|
|
-5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
-20.000
|
%
|
|
|
-4.000
|
%
|
|
|
-4.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
-20.000
|
%
|
|
|
-4.500
|
%
|
|
|
-4.500
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
-20.000
|
%
|
|
|
-3.000
|
%
|
|
|
5.000
|
%
|
|
|
-3.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
-20.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
-3.500
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
-20.000
|
%
|
|
|
-3.500
|
%
|
|
|
-3.500
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
Average of Commodity Performances:
|
|
|
|
|
|
|
-20.000
|
%
|
|
|
-2.500
|
%
|
|
|
-1.650
|
%
|
|
|
1.050
|
%
|
|
|
5.000
|
%
|
Minimum Coupon Percentage:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Supplemental Coupon Percentage:
|
|
|
|
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
Coupon Rate:
|
|
|
|
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
|
|
0.000
|
%
|
|
|
1.050
|
%
|
|
|
5.000
|
%
|
Hypothetical Coupon Payments:
|
|
|
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
$
|
10.50
|
|
|
$
|
50.00
|
|
PPS3
Calculate the return on the Notes:
On the Coupon Observation Date in year one, the Commodity Returns of all Basket Components were less than the Return Floor resulting in a Commodity Performance for each Basket Component equal to the
Return Floor. Because the arithmetic average of the Commodity Performances in year one is less than the Minimum Coupon Percentage of 0%, the Coupon Rate for year one will be equal to the Supplemental Coupon Percentage and the Coupon Payment will be
$0.00.
On the Coupon Observation Dates in years two and three, the Commodity Returns of the Basket Components were less than zero but greater
than the Return Floor thereby resulting in a Commodity Performance equal to the corresponding Commodity Return for each such Basket Component. Because the arithmetic average of the Commodity Performances in years two and three is less than the
Minimum Coupon Percentage of 0%, the Coupon Rate for years two and three will be equal to the Supplemental Coupon Percentage and the Coupon Payment will be $0.00.
On the Coupon Observation Date in year four: (i) the Commodity Returns of some Basket Components were equal to or greater than 0% thereby resulting in an Commodity Performance equal to the Return Cap
for each such Basket Component; and (ii) the Commodity Returns of some Basket Components were less than 0% but greater than the Return Floor thereby resulting in a Commodity Performance equal to the corresponding Commodity Return for each such
Basket Component. The Coupon Rate for year four will be equal to the average Commodity Performance (subject to the Return Cap with respect to Basket Components with a Commodity Return that equals or exceeds 0%) in respect of such year, plus the
Supplemental Coupon Percentage. Accordingly, the Coupon Payments for year four will be calculated per $1,000 principal amount of Notes as follows:
Year Four: ($1,000 × (average Commodity Performance + Supplemental Coupon Percentage) = ($1,000 × 1.05% + 0.00%) = $10.50
On the Coupon Observation Dates in year five, the Commodity Returns of each of the Basket Components were equal to or greater than 0%, resulting in a Commodity Performance for each Basket Component equal
to the Return Cap. Because the Commodity Performance of each Basket Component is equal to the Return Cap as of each Coupon Observation Date, the Coupon Rate in year five is equal to the sum of the Supplemental Coupon Percentage and the Return Cap.
The Coupon Payment is calculated as follows:
Year Five: ($1,000 × (Return Cap + Supplemental Coupon Percentage)) = ($1,000 ×
(5.00% + 0.00%)) = $50.00
Therefore, the sum of the Coupon Payments on the Notes is $60.50 per $1,000 principal amount of Notes.
Example 2
: In this case, as of each Coupon Observation Date, the Final Level of each Basket Component has decreased from the Initial Level and
the average Commodity Performance is less than zero.
PPS4
TABLE OF HYPOTHETICAL COMMODITY PERFORMANCES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Final Level
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date
4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
19.86639
|
|
|
|
25.60701
|
|
|
|
25.67151
|
|
|
|
25.54250
|
|
|
|
25.54250
|
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
7.44927
|
|
|
|
9.38414
|
|
|
|
9.43251
|
|
|
|
9.19065
|
|
|
|
9.19065
|
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
21.57408
|
|
|
|
27.24779
|
|
|
|
27.59802
|
|
|
|
27.17774
|
|
|
|
27.17774
|
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
14.85244
|
|
|
|
18.90310
|
|
|
|
18.90310
|
|
|
|
18.51732
|
|
|
|
18.51732
|
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
269.90487
|
|
|
|
332.99951
|
|
|
|
347.02054
|
|
|
|
343.51528
|
|
|
|
343.51528
|
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
194.05332
|
|
|
|
248.86708
|
|
|
|
244.45678
|
|
|
|
236.89626
|
|
|
|
236.89626
|
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
31.27410
|
|
|
|
39.80341
|
|
|
|
39.19417
|
|
|
|
37.77262
|
|
|
|
37.77262
|
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
174.64085
|
|
|
|
209.79583
|
|
|
|
218.86808
|
|
|
|
210.92986
|
|
|
|
210.92986
|
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
182.72962
|
|
|
|
236.71792
|
|
|
|
233.75153
|
|
|
|
230.19186
|
|
|
|
230.19186
|
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
39.13756
|
|
|
|
49.07443
|
|
|
|
50.06558
|
|
|
|
49.30316
|
|
|
|
49.30316
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Commodity Performance (maximum set at the Return Cap; minimum
set at the Return Floor).
Average Commodity Performance is subject to the Minimum Coupon Percentage.
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date
4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
-20.000
|
%
|
|
|
-0.750
|
%
|
|
|
-0.500
|
%
|
|
|
-1.000
|
%
|
|
|
-1.000
|
%
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
-20.000
|
%
|
|
|
-3.000
|
%
|
|
|
-2.500
|
%
|
|
|
-5.000
|
%
|
|
|
-5.000
|
%
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
-20.000
|
%
|
|
|
-2.750
|
%
|
|
|
-1.500
|
%
|
|
|
-3.000
|
%
|
|
|
-3.000
|
%
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
-20.000
|
%
|
|
|
-2.000
|
%
|
|
|
-2.000
|
%
|
|
|
-4.000
|
%
|
|
|
-4.000
|
%
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
-20.000
|
%
|
|
|
-5.000
|
%
|
|
|
-1.000
|
%
|
|
|
-2.000
|
%
|
|
|
-2.000
|
%
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
-20.000
|
%
|
|
|
-1.250
|
%
|
|
|
-3.000
|
%
|
|
|
-6.000
|
%
|
|
|
-6.000
|
%
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
-20.000
|
%
|
|
|
-2.000
|
%
|
|
|
-3.500
|
%
|
|
|
-7.000
|
%
|
|
|
-7.000
|
%
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
-20.000
|
%
|
|
|
-7.500
|
%
|
|
|
-3.500
|
%
|
|
|
-7.000
|
%
|
|
|
-7.000
|
%
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
-20.000
|
%
|
|
|
-0.250
|
%
|
|
|
-1.500
|
%
|
|
|
-3.000
|
%
|
|
|
-3.000
|
%
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
-20.000
|
%
|
|
|
-3.450
|
%
|
|
|
-1.500
|
%
|
|
|
-3.000
|
%
|
|
|
-3.000
|
%
|
Average of Commodity Performances:
|
|
|
|
|
|
|
-20.000
|
%
|
|
|
-2.795
|
%
|
|
|
-2.050
|
%
|
|
|
-4.100
|
%
|
|
|
-4.100
|
%
|
Minimum Coupon Percentage:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Supplemental Coupon Percentage:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Coupon Rate:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Hypothetical Coupon Payments:
|
|
|
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
PPS5
Calculate the return on the Notes:
On the Coupon Observation Dates of each year, the Commodity Returns of all of the Basket Components were less than 0% and in some cases less than the Return Floor, resulting in a Commodity Performance for
each Basket Component that is less than 0%. Because the average Commodity Performance for each Coupon Observation Date is less than the Minimum Coupon Percentage of 0% and the Coupon Rate may not be less than the Minimum Coupon Percentage, the
Coupon Rate will be equal to the Supplemental Coupon Percentage on each Coupon Payment Date. Therefore, the Payment at Maturity would be $1,000.00 and the total return on the Notes would be limited to the Supplemental Coupon Percentage of 0.00% over
the term of the Notes.
Example 3
: In this case, as of each Coupon Observation Date, the Final Level of each Basket Component has
increased from the Initial Level of each Basket Component resulting in a Commodity Performance for each Basket Component that is equal to the Return Cap.
TABLE OF HYPOTHETICAL COMMODITY PERFORMANCES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Final Level
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date
4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
28.38056
|
|
|
|
29.67059
|
|
|
|
28.12256
|
|
|
|
28.89657
|
|
|
|
27.60655
|
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
10.64181
|
|
|
|
11.12553
|
|
|
|
10.54507
|
|
|
|
10.83530
|
|
|
|
10.35158
|
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
30.82012
|
|
|
|
32.22103
|
|
|
|
30.53994
|
|
|
|
31.38048
|
|
|
|
29.97957
|
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
21.21777
|
|
|
|
22.18221
|
|
|
|
21.02488
|
|
|
|
21.60355
|
|
|
|
20.63910
|
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
385.57838
|
|
|
|
403.10467
|
|
|
|
382.07312
|
|
|
|
392.58890
|
|
|
|
375.06261
|
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
277.21903
|
|
|
|
289.81990
|
|
|
|
274.69886
|
|
|
|
282.25938
|
|
|
|
269.65851
|
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
44.67729
|
|
|
|
46.70808
|
|
|
|
44.27113
|
|
|
|
45.48961
|
|
|
|
43.45882
|
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
249.48693
|
|
|
|
260.82725
|
|
|
|
247.21887
|
|
|
|
254.02306
|
|
|
|
242.68274
|
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
261.04232
|
|
|
|
272.90788
|
|
|
|
258.66921
|
|
|
|
265.78854
|
|
|
|
253.92298
|
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
55.91080
|
|
|
|
58.45220
|
|
|
|
55.40252
|
|
|
|
56.92736
|
|
|
|
54.38596
|
|
PPS6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basket Components
|
|
Initial Level
|
|
|
Commodity
Performance
(maximum set at the Return Cap; minimum set at the Return Floor).
Average Commodity Performance is subject to the Minimum Coupon Percentage.
|
|
|
Basket
Initial
Valuation
Date
|
|
|
Coupon
Observation
Date 1
|
|
|
Coupon
Observation
Date 2
|
|
|
Coupon
Observation
Date 3
|
|
|
Coupon
Observation
Date 4
|
|
|
Coupon
Observation
Date
5
|
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
|
25.80051
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
|
9.67437
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
|
28.01829
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Corn Index Excess Return
|
|
|
19.28888
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Live Cattle Excess Return
|
|
|
350.52580
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Precious Metals Index Excess Return
|
|
|
252.01730
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
|
40.61572
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Lead Index Excess Return
|
|
|
226.80630
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
|
237.31120
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
|
50.82800
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
Average of Commodity Performances:
|
|
|
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
Minimum Coupon Percentage:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Supplemental Coupon Percentage:
|
|
|
|
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
Coupon Rate:
|
|
|
|
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
|
|
5.000
|
%
|
Hypothetical Coupon Payments:
|
|
|
|
|
|
$
|
50.00
|
|
|
$
|
50.00
|
|
|
$
|
50.00
|
|
|
$
|
50.00
|
|
|
$
|
50.00
|
|
Calculate the return on the Notes:
Because the Commodity Performance of each Basket Component is equal to the Return Cap as of each Coupon Observation Date, the Coupon Payment on each Coupon Payment Date is equal to (a) the principal
amount of the Notes
multiplied by
(b) the Return Cap plus the Supplemental Coupon Percentage, calculated as follows:
($1,000
× (the Return Cap + Supplemental Coupon Percentage)) = ($1,000 × (5.00% + 0.00%)) = $50.00
Therefore, the Coupon Payment per
$1,000 principal amount Notes on each Coupon Observation Date would be $50.00 on each Coupon Payment Date and the sum of the Coupon Payments on the Notes would be $250.00, representing a 5.00% annual return on investment over the term of the Notes
and the maximum return on the Notes.
PPS7
The foregoing example illustrates that you will not benefit from a positive Commodity Return to the extent
that such Commodity Return exceeds the Return Cap. If with respect to a Basket Component the Commodity Return is equal to or greater than 0%, the Commodity Performance with respect to such Basket Component will be equal to the Return Cap. If the
Commodity Return exceeds the Return Cap, the Basket Component will be deemed to have a Commodity Performance of 5.00% for purposes of calculating Coupon Rate and determining the Coupon Payment on the relevant Coupon Payment Date. As a result, the
maximum sum of annual Coupon Payments that you can receive for each $1,000 principal amount is $250.00 ($50.00 per year), which represents a 5.00% annual return (including the Supplemental Coupon Percentage), regardless of the extent of any
appreciation in the level of the Basket Components over the life of the Notes.
Selected Purchase Considerations
Market Disruption Events and Adjustments
The calculation agent may adjust any variable described in this preliminary pricing supplement,
including but not limited to the coupon observation dates, the Coupon Payment dates, the maturity date, the payment at maturity and the closing levels of the Basket Components on any coupon observation date are subject to adjustment as described in
the following sections of the prospectus supplement:
|
|
|
For a description of what constitutes a market disruption event as well as the consequences of that market disruption event, see Reference
AssetsCommoditiesMarket Disruption Events Relating to Securities with a Commodity as the Reference Asset, Reference AssetsIndicesMarket Disruption Events for Securities with the Reference Asset Comprised of an
Index or Indices of Commodities and Reference AssetsBasketsMarket Disruption Events for Securities with the Reference Asset Comprised of a Basket of Multiple Indices, Equity Securities, Foreign Currencies, Interest Rates,
Commodities, Any Other Assets or Any Combination Thereof; and
|
|
|
|
For a description of further adjustments that may affect the reference asset, see Reference AssetsCommoditiesDiscontinuation of
Trading; Alteration of Method of Calculation, Reference AssetsIndicesAdjustments Relating to Securities with the Reference Asset Comprised of an Index or Indices and Reference AssetsBasketsAdjustments
Relating to Securities with the Reference Asset Comprised of a Basket.
|
|
|
|
Preservation of Capital at Maturity
You will receive the principal amount (subject to our credit risk) of your Notes if you hold your Notes
to maturity, regardless of the performance of the reference asset. Because the Notes are our senior unsecured obligations, payment of any amount at maturity (including the final Coupon Payment) is subject to our ability to pay our obligations as
they become due and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays Bank PLC to satisfy its obligations as they come due, see Selected Risk ConsiderationsCredit of Issuer in
this preliminary pricing supplement.
|
|
|
|
Returns Linked to an Equally Weighted Basket of 10 Commodity Indices
The Coupon Rate on the Notes is linked to the performance of an
equally weighted basket of 10 Commodity Indices.
|
|
|
|
Annual Coupon Payments
The Notes offer the potential to receive annual Coupon Payments with a variable coupon rate of not less than 0.00%
(which includes the Supplemental Coupon Percentage) and not greater than 5.00%, which represents a return of the Return Cap plus the Supplemental Coupon Percentage. The Coupon Rate will equal the average of the Commodity Performances of the Basket
Components (which is floored at 0%) on the applicable Coupon Observation Date plus the Supplemental Coupon Percentage. Accordingly, you will receive a return on a Coupon Payment Date that is greater than the Supplemental Coupon Percentage only if,
on average, the Basket Components have appreciated from the Basket Initial Valuation Date to the related Coupon Observation Date.
|
|
|
|
Material U.S. Federal Income Tax Considerations
The material tax consequences of your investment in the Notes are summarized below. The
discussion below supplements the discussion under Certain U.S. Federal Income Tax Considerations in the accompanying prospectus supplement. Except as noted under Non-U.S. Holders below, this section applies to you only if you
are a U.S. holder (as defined in the accompanying prospectus supplement) and you hold your Notes as capital assets for tax purposes and does not apply to you if you are a member of a class of holders subject to special rules or are otherwise
excluded from the discussion in the prospectus supplement. In addition, this discussion applies to you only if you are an initial purchaser of the Notes; if you are a secondary purchaser of the Notes, the tax consequences to you may be different.
|
The tax treatment of your Notes depends in part upon whether it is reasonably expected that the interest
paid on the Notes during the first half of the Notes term will be significantly greater or less than the interest paid on the Notes during the second half of the Notes term (Front or Back Loaded). We do not expect interest on
the Notes to be Front or Back Loaded and we intend to report payments on the Notes in accordance with this position. This determination is made solely for tax purposes based on currently available objective economic information and is not a
prediction or guarantee of the timing or amount of the payments on your Notes. In the opinion of our special tax counsel, Sullivan & Cromwell LLP, assuming the Issuers position that interest on the Notes is not expected to be Front or
Back Loaded is respected, it would be reasonable to treat your Notes as debt instruments subject to the rules applicable to variable rate debt instruments. This opinion assumes that the description of the terms of the Notes in this preliminary
pricing supplement is materially correct. Except as otherwise noted below under
Alternative Treatments
, the discussion below assumes that the Notes will be treated as variable rate debt instruments.
PPS8
If your Notes are treated as variable rate debt instruments, you will generally be taxed on
any interest on the Notes as ordinary income at the time you receive the interest or when it accrues, depending on your method of accounting for tax purposes. If you sell or exchange your Notes prior to maturity, you should generally recognize gain
or loss, which should generally be capital gain or loss except to the extent that such gain or loss is attributable to accrued but unpaid interest. Because the amount of interest that might be paid with respect to the Notes will not be determined
until the Coupon Observation Date, it is not clear how much interest (i) an accrual basis taxpayer should treat as having accrued with respect to the Notes at the close of its taxable year and (ii) a holder that sells a Note on a day other
than a Coupon Observation Date should treat as accrued but unpaid interest. You should consult your tax advisor regarding the determination of the accrued interest on your Notes.
Additionally, if you purchase your Notes for an amount that differs from the principal amount of the Notes, you may be subject to special
tax rules as described in Certain U.S. Federal Income Tax ConsiderationsU.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax PurposesMarket Discount and Premium. These rules are complex
and therefore individuals are urged to consult their tax advisors regarding these rules.
Alternative Treatments
.
Because the application of the variable rate debt instrument rules to the Notes is not entirely clear and because the Internal Revenue Service could disagree with the Issuers determination that interest on the Notes is not reasonably expected
to be Front or Back Loaded, it is possible that the Internal Revenue Service could assert that the Notes should be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax
purposes. If the Notes are treated as contingent payment debt instruments, you generally would be required to accrue interest on a current basis in respect of the Notes over their term based on the comparable yield and projected payment schedule for
the Notes and pay tax accordingly, even though these amounts may exceed the payments that are made annually on the Notes. You would also be required to make adjustments to your accruals if the actual amounts that you receive in any taxable year
differ from the amounts shown on the projected payment schedule. In addition, any gain you may recognize on the sale or maturity of the Notes would be taxed as ordinary interest income and any loss you may recognize on the sale or maturity of the
Notes would generally be ordinary loss to the extent of the interest you previously included as income without an offsetting negative adjustment and thereafter would be capital loss. You should consult your tax advisor as to the special rules that
govern contingent payment debt instruments.
For a further discussion of the contingent payment debt instrument rules, please
see the section titled Certain U.S. Federal Income Tax ConsiderationsU.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax PurposesContingent Payment Debt Instruments in the accompanying
prospectus supplement.
Specified Foreign Financial Asset Reporting.
Under legislation enacted in 2010,
owners of specified foreign financial assets with an aggregate value in excess of $50,000 (and in some circumstances, a higher threshold) may be required to file an information report with respect to such assets with their tax returns.
Specified foreign financial assets generally include any financial accounts maintained by foreign financial institutions (which would include debt of a foreign financial institution that is not regularly traded on an established
securities market, and accordingly may include your Notes), as well as any of the following, but only if they are not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-U.S. persons,
(ii) financial instruments and contracts held for investment that have non-U.S. issuers or counterparties and (iii) interests in foreign entities. The Internal Revenue Service has issued guidance exempting specified foreign financial
assets held in a financial account from reporting under this provision (although the financial account itself, if maintained by a foreign financial institution, may remain subject to this reporting requirement). Holders are urged to consult
their tax advisors regarding the application of this legislation to their ownership of the Notes.
Non-U.S. Holders
.
Barclays currently does not withhold on payments treated as interest to non-U.S. holders in respect of instruments such as the Notes. However, if Barclays determines that there is a material risk that it will be required to withhold on any such
payments, Barclays may withhold on any payments treated as interest at a 30% rate, unless you have provided to Barclays an appropriate and valid Internal Revenue Service Form W-8. In addition, non-U.S. holders will be subject to the general rules
regarding information reporting and backup withholding as described under the heading Certain U.S. Federal Income Tax ConsiderationsInformation Reporting and Backup Withholding in the accompanying prospectus supplement.
Selected Risk Considerations
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Basket Components. These risks are explained in more detail in the Risk
Factors section of the prospectus supplement, including but not limited to the risk factors discussed under the following headings:
|
|
|
Risk FactorsRisks Relating to All Securities;
|
|
|
|
Risk FactorsAdditional Risks Relating to Securities Based on a Basket Comprised of More Than One Reference Asset;
|
PPS9
|
|
|
Risk FactorsAdditional Risks Relating to Securities Which Pay No Interest;
|
|
|
|
Risk FactorsAdditional Risks Relating to Securities with Reference Assets That Are Commodities, an Index Containing Commodities, Shares or
Other Interests in an Exchange-Traded Fund Invested in Commodities or Based in Part on Commodities; and
|
|
|
|
Risk FactorsAdditional Risks Relating to Notes Which Are Characterized as Benefitting From Full Principal Protection.
|
In addition to the risks described above, you should consider the following:
|
|
|
You May Not Receive Coupon Payments on Your Notes
Your only return on the Notes will be the annual Coupon Payments, if any, that may be
paid over the term of the Notes. If the Final Levels of any Basket Components on any Coupon Observation Date have declined from the Initial Levels, the resulting negative Commodity Returns could offset entirely the positive contribution to the
basket performance by any Basket Components with positive Commodity Returns. Under these circumstances, the average of the Commodity Performances will equal 0% and you will only receive a return equal to the Supplemental Coupon Percentage, which is
0%. Your return on the Notes may be lower than a return you would have received if you had invested directly in some or all of the basket stocks.
|
|
|
|
Limited Return on the Notes
The appreciation potential of the Notes is limited by the Return Cap on the Commodity Performance of each
individual basket component. On each Coupon Observation Date, even if one or more of the Commodity Returns is greater than the Return Cap, the Commodity Performances for those Basket Components will not exceed the Return Cap regardless of the
appreciation in the Basket Component, which may be significant.
|
|
|
|
Your Maximum Gain on the Notes Is Limited to the Coupon Payments
The return on the Notes at maturity is linked to the performance of
the Basket Components and will depend on whether, and the extent to which, the average Commodity Performance is positive or negative on any coupon observation date. The maximum Coupon Payments you can receive on the notes will be $250.00. Any
payment on the Notes, including any principal protection feature or any Coupon Payment, is subject to the creditworthiness of the Issuer and is not guaranteed by any third party. For a description of risks with respect to the ability of Barclays
Bank PLC to satisfy its obligations as they come due, see Credit of Issuer in this preliminary pricing supplement.
|
|
|
|
You Will Not Have Rights in the Futures Contracts Underlying the Basket Components
As a holder of the Notes, you will not have any rights
in any futures contracts underlying a Basket Component. Your Notes will be paid in cash, and you will have no right to receive delivery of any underlying commodity.
|
|
|
|
Changes in the Levels of the Basket Components May Offset Each Other
The Notes are linked to an equally weighted basket consisting
of 10 commodity indices. Price movements in the Basket Components may result in Commodity Returns for the Basket Components on any Coupon Observation Date that do not correlate with each other. At a time when the Final Levels of one or more of the
Basket Components increases from the Initial Levels of such Basket Components, the Final Levels of the other Basket Components may not increase by as much or may even decline. Therefore, in calculating the Coupon Rate for any Coupon Payment Date,
any positive contribution by a Basket Component with a positive Commodity Return may be moderated, or more than offset, by depreciation in the other Basket Components. In addition, note that any positive contribution by a basket component is limited
to the Return Cap. There can be no assurance that the Final Level for any basket component will be higher than its Initial Level on any Coupon Observation Date or that you will receive a Coupon Payment on any Coupon Payment Date that is higher than
the Supplemental Coupon Percentage.
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Correlation of Performances among the Basket Components May Reduce the Performance of the Notes
Performances among the Basket Components
may become highly correlated from time to time during the term of the Notes, including, but not limited to, a period in which there is a substantial decline in the primary markets for the Basket Components. High correlation during periods of
negative Commodity Returns could cause the Coupon Payments to equal zero and adversely affect the market value of the Notes.
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Credit of Issuer
The Notes are senior unsecured debt obligations of the issuer, Barclays Bank PLC and are not, either directly or
indirectly, an obligation of any third party. Any payment to be made on the Notes depends on the ability of Barclays Bank PLC to satisfy its obligations as they come due and is not guaranteed by any third party. In the event Barclays Bank PLC were
to default on its obligations, you may not receive any amounts owed to you under the terms of the Notes.
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Holding the Notes is not the Same as Owning the Commodities Underlying the Basket Components, Futures Contracts for Such Commodities or Certain
Other Commodity Related Contracts Directly
The return on your Notes will not reflect the return you would realize if you actually purchased the commodities underlying the Basket Components, futures contracts for such commodities or
exchange-traded or over-the-counter instruments based on these commodities. You will not have any rights that holders of such assets or instruments have.
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The Return on Your Notes is Not Based on the Level of the Basket Components at Any Time Other than the Coupon Observation Dates
The Coupon
Payments will be based solely on the level of the Basket Components on each Coupon Observation Date (subject to adjustments as described in the prospectus supplement). Therefore, if the level of one or more Basket Components drops precipitously on
any Coupon Observation Date, the Coupon Payment, if any, that you will receive subsequent to such Coupon Observation Date may be significantly less than it would otherwise would have been had the Coupon Payment been linked to the level of the Basket
Components prior to such drop. Although the level of any Basket
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PPS10
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Component on the maturity date or at other times during the life of your Notes may be higher than the level of such Basket Component on a Coupon Observation Date, you will not benefit from any
such increases in the level of the Basket Components other than those increases, if any, represented on the relevant Coupon Observation Date.
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Lack of Liquidity
The Notes will not be listed on any securities exchange. Barclays Capital Inc. and other affiliates of Barclays Bank PLC
intend to make a secondary market for the Notes but are not required to do so, and may discontinue any such secondary market making at any time, without notice. Barclays Capital Inc. may at any time hold unsold inventory, which may inhibit the
development of a secondary market for the Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes,
the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC are willing to buy the Notes. The Notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
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Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity
While the payment at maturity described in
this preliminary pricing supplement is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents commission and the cost of hedging our obligations under the Notes through one or more of our
affiliates. As a result, the price, if any, at which Barclays Capital Inc. and other affiliates of Barclays Bank PLC will be willing to purchase Notes from you in secondary market transactions will likely be lower than the price you paid for your
Notes, and any sale prior to the Maturity Date could result in a substantial loss to you.
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Taxes
We intend to treat the Notes as subject to the special rules governing variable rate debt instruments for U.S. federal income tax
purposes. If the Notes are so treated, U.S. holders will generally be required to include interest on the Notes in income at the time the interest is paid or accrued, depending on the U.S. holders method of accounting for tax purposes.
However, it is possible that the Notes may be classified as contingent payment debt instruments. If the contingent payment debt instrument rules apply to your Notes, you may be required to accrue an amount of interest during certain periods that may
exceed the amount of interest you receive on your Notes for such periods and any gain that you recognize upon the sale, exchange or maturity of the Notes will generally be treated as ordinary income. See Material U.S. Federal Income Tax
ConsiderationsAlternative Treatments for a more detailed discussion of these rules.
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Suspension or Disruptions of Market Trading in Commodities and Related Futures May Adversely Affect the Level of the Notes
The
commodity futures markets 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 and some foreign exchanges 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 levels of the Basket Components, therefore, the value of the Notes.
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Changes in Law or Regulation Relating to Commodities Futures Contracts May Adversely Affect the Level of the Basket, and Therefore the Value of the
Notes
The commodity futures contracts that underlie the Basket Components are subject to legal and regulatory regimes that are in the process of changing in the United States and, in some cases, in other countries. The Dodd-Frank Wall
Street Reform and Consumer Protection Act, commonly known as the Dodd-Frank Act, provides for substantial changes in the regulation of the futures and over-the-counter derivatives markets. Among other things, the Dodd-Frank Act is
intended to limit speculation and increase transparency in the commodity markets and regulate the over-the-counter derivatives markets. The legislation requires regulators, including the Commodity Futures Trading Commission (the
CFTC
), to adopt rules on a variety of issues and many provisions of the legislation will not become effective until such rules are adopted. While the CFTC has proposed and adopted many of the required regulations, the Dodd-Frank
regulatory scheme has not yet been implemented and the ultimate nature, scope and impact of the regulations on the markets and market participants cannot yet be determined.
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Among other things, the legislation requires that most over-the-counter transactions be executed on organized exchanges or facilities and
be cleared through regulated clearing houses, and requires registration of, and imposes regulations on, swap dealers and major swap participants. The legislation also requires the CFTC to adopt rules with respect to the establishment of limits on
futures positions that are not entered into or maintained for bona fide hedging purposes, as defined in the legislation and the CFTC has adopted such rules, although they have not yet become effective. The legislation also requires the
CFTC to apply its position limits across the futures positions held by a market participant on any exchange or trading facility, together with its positions in swaps that are economically equivalent to the specified exchange-traded
futures that are subject to the position limits. The enactment of the Dodd-Frank Act, and the CFTCs adoption of rules on position limits, could limit the extent to which entities can enter into transactions in exchange-traded futures contracts
as well as related swaps and could make participation in the markets more burdensome and expensive. Any such limitations could restrict or prevent our ability to hedge our obligations under the Notes. Industry trade groups have filed a lawsuit
against the CFTC challenging the rules adopted by the CFTC on position limits, and the outcome of that litigation is yet to be seen as of the date of this filing. If the CFTC prevails in the lawsuit and the rules on position limits are upheld, those
restrictions on
PPS11
effecting transactions in the futures markets could substantially reduce liquidity and increase market volatility in the commodities futures contracts that underlie the Basket Components, which
could adversely affect the prices of such contracts and, in turn, the market value of the Notes and the amounts payable on the Notes at maturity or upon redemption. In addition, other parts of the legislation, by increasing regulation of, and
imposing additional costs on, swap transactions, could reduce trading in the swap market and therefore in the futures markets, which would further restrict liquidity, increase volatility and adversely affect prices.
Other regulatory organizations have proposed, and in the future may propose, further reforms similar to those enacted by the Dodd-Frank
Act or other legislation which could have an adverse impact on the liquidity and depth of the commodities, futures and derivatives markets. For example, the European Commission recently published a proposal developed by the European Securities and
Markets Authority, the successor to the Committee of European Securities Regulators, which updates the Markets in Financial Instruments Directive, commonly known as MiFID II, and the Markets in Financial Instruments Regulation, commonly
known as MiFIR. The scope of the final regulations and the degree to which member states will be allowed discretion in implementing the directive is yet to be seen. If these regulations are adopted, including, for example, regulations
requiring position limits, they could substantially reduce liquidity and increase volatility in the commodities futures contracts that underlie the Basket Components, which could adversely affect the prices of such contracts and, in turn, the market
value of the Notes and the amounts payable on the Notes at maturity.
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Prices of Commodities and Commodity Futures Contracts are Highly Volatile and May Change UnpredictablyCommodity prices are highly volatile
and, in man
y s
ectors, have experienced unprecedented historical volatility in the past few years.
Commodity prices are affected by 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; monetary and other governmental policies, action and inaction; macroeconomic or geopolitical and military events, including political instability in some oil-producing
countries; and natural or nuclear disasters. Those events tend to affect prices worldwide, regardless of the location of the event. Market expectations about these events and speculative activity also cause prices to fluctuate. These factors may
adversely affect the performance of the Basket Components and, as a result, the market value of the Notes, and the amount you will receive at maturity.
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Moreover, the prices of many of the commodities, particularly energy and agricultural commodities, reached historically high levels in 2009. Since reaching such highs, prices have fallen precipitously, to
approximately 25% of their historic highs, in some cases, and prices have experienced unprecedented volatility since that time. In the case of many commodities, recent prices have also risen substantially, although they have not reached their
historically high levels. There is no assurance that prices will again reach their historically high levels or that volatility will subside. It is possible that lower prices, or increased volatility, will adversely affect the performance of Basket
Components and, as a result, the market value of the Notes.
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Certain Basket Components Provide Exposure to Futures Contracts and Not Direct Exposure to Physical Commodities
For certain Basket
Components, the Notes will reflect a return on based on the performance of the relevant futures contract of the underlying commodity comprising the Basket Component and do not provide exposure to spot prices. The price of a commodity futures
contract reflects the expected value of the commodity upon delivery in the future, whereas the spot price of a commodity reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected future
price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term of the futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply
and demand for the commodity. The price movement of a futures contract is typically correlated with the movements of the spot price of the reference commodity, but the correlation is generally imperfect and price moves in the spot market may not be
reflected in the futures market (and vice versa). Accordingly, the Notes may underperform a similar investment that reflects the return on the physical commodity.
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The Notes May Be Subject to Certain Risks Specific to Agricultural Commodities
Certain Basket Components are agricultural commodity-linked
sub-indices. Consequently, in addition to factors affecting commodities generally that are described above and in the prospectus supplement, the Notes may be affected by a number of additional factors specific to agricultural commodities that might
cause price volatility. These may include, among others:
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weather conditions, including floods, drought and freezing conditions;
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changes in government policies;
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changes in global demand for food;
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changes in ethanol or bio-diesel demand;
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planting decisions; and
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changes in demand for agricultural products, and in particular Sugar, Cocoa, Corn and Cotton, both with end users and as inputs into various
industries.
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PPS12
These factors interrelate in complex ways, and the effect of one factor on the price of the
Basket Components, and the market value of the Notes linked to the Basket Components, may offset or enhance the effect of another factor.
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The Notes May Be Subject to Certain Risks Specific to Industrial Metals
Certain Basket Components are industrial metal-related sub-indices.
Consequently, in addition to factors affecting commodities generally that are described above and in the prospectus supplement, a number of additional factors specific to industrial metals might cause price volatility. These may include, among
others:
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changes in the level of industrial activity using industrial metals, and in particular zinc, lead and nickel, including the availability of substitutes
such as man-made or synthetic substitutes;
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disruptions in the supply chain, from mining to storage to smelting or refining;
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adjustments to inventory;
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variations in production costs, including storage, labor and energy costs;
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costs associated with regulatory compliance, including environmental regulations; and
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changes in industrial, government and consumer demand, both in individual consuming nations and internationally.
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These factors interrelate in complex ways, and the effect of one factor on the price of the Basket Components, and the market value of the
Notes linked to the Basket Components, may offset or enhance the effect of another factor.
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The Notes May be Subject to Certain Risks Specific to Livestock-Related CommoditiesBecause the basket includes the S&P GSCI
®
Lean Hogs Index Excess Return and
the S&P GSCI
®
Live Cattle Index Excess Return, in addition to factors affecting commodities generally that are described above and in the prospectus supplement, a number of
additional factors specific to livestock might cause price volatility. These may include, among others:
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weather conditions, including floods, drought and freezing conditions;
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changes in government policies; and
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changes in end-user demand for livestock.
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These factors interrelate in complex ways, and the effect of one factor on the price of the Basket Components, and the market value of the Notes linked to the Basket Components, may offset or enhance the
effect of another factor.
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The Notes May Be Subject to Certain Risks Specific to Gold or Silver
Because the basket includes the S&P GSCI
®
Preciou Metals Index Excess Return, in addition to factors affecting commodities generally that are described above
and in the prospectus supplement, a number of additional factors specific to precious metals, and in particular gold or silver, might cause price volatility. Also note that Gold is weighted more heavily than Silver in the S&P GSCI
®
Precious Metals Index Excess Return. These may include, among others:
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disruptions in the supply chain, from mining to storage to smelting or refining;
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adjustments to inventory;
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variations in production costs, including storage, labor and energy costs;
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costs associated with regulatory compliance, including environmental regulations;
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changes in industrial, government and consumer demand, both in individual consuming nations and internationally;
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precious metal leasing rates;
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currency exchange rates;
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level of economic growth and inflation; and
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degree to which consumers, governments, corporate and financial institutions hold physical gold or silver as a safe haven asset (hoarding) which may be
caused by a banking crisis/recovery, a rapid change in the value of other assets (both financial and physical) or changes in the level of geopolitical tension.
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These factors interrelate in complex ways, and the effect of one factor on the price of the Basket Components, and the market value of the
Notes linked to the Basket Components, may offset or enhance the effect of another factor.
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Many Economic and Market Factors Will Impact the Value of the Notes
In addition to the prices of the Basket Components on any day, the
value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the price of the physical commodities underlying the Basket Components, and of the prices of exchange-traded futures
contracts for the purchase or delivery of such commodities;
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the time to maturity of the Notes;
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interest and yield rates in the market generally;
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a variety of economic, financial, political, regulatory or judicial events;
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global supply and demand for the physical commodities underlying the Basket Components, and supply and demand for exchange-traded futures contracts for
the purchase or delivery of such commodities;
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supply and demand for the Notes; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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PPS13
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Our Right to Use any of the Indices May Be Suspended or Terminated
We have been granted a non-exclusive right to use the Basket Components
and related trademarks or service marks in connection with the Notes. If we breach our obligations under the applicable license agreement, the index sponsor with respect to the Basket Components may have the right to terminate the license. If the
index sponsor chooses to terminate the license agreement, we may no longer have the right under the terms of the license agreement to use the Basket Components and related trademarks or service marks in connection with the Notes until their
maturity. If our right to use any Basket Component is suspended or terminated for any reason, it may become difficult for us to determine any Coupon Payment and consequently the payment on the Notes on any Coupon Payment Date including at maturity.
The Calculation Agent in this case will determine, in its sole discretion, the Commodity Return, the Commodity Performance or the amount payable in respect of your Notes.
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Description of the Reference Asset
The Basket Components are
sub-indices of the S&P GSCI. Disclosure in this section relating to the methodology for compiling the S&P GSCI set forth under The S&P GSCI
®
Index accordingly relates as well to the methodology of compiling each Basket Component. The section, The Basket Components describe the
features of the any of the Basket Components that differ from the S&P GSCI.
The S&P GSCI
The S&P GSCI Spot Index (the
S&P GSCI
) is an index on a production-weighted basket of futures contracts on physical
commodities traded on trading facilities in countries that are members of the Organization for Economic Cooperation and Development (
OECD
). 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 countries that are members of the OECD. 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, which is described below) 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.
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. S&P makes the official calculations of the S&P GSCI.
The S&P GSCI
®
Excess Return is reported by Bloomberg under the ticker symbol SPGSCIP<Index>. Although the following discussion is largely framed in terms of the
S&P GSCI it is, except as otherwise noted, equally applicable to the related S&P GSCI
®
Excess Return.
The S&P GSCI
®
Spot Return is reported by Bloomberg under the ticker symbol SPGSCI<Index>.
The Index Committee and the Index Advisory Panel
S&P has established an index committee (the 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. 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 (the 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 by 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 may have investments linked to 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.
PPS14
Composition of the S&P GSCI
In order to be included in the S&P GSCI, a contract must satisfy the following eligibility criteria:
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(a)
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be in respect of a physical commodity (rather than a financial commodity);
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(b)
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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
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(c)
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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.
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(2)
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The commodity must be the subject of a contract that:
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(a)
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is denominated in U.S. dollars;
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(b)
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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 that is a member of the OECD and:
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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;
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makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations;
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accepts bids and offers from multiple participants or price providers; and
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is accessible by a sufficiently broad range of participants; and
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is accessible by a sufficiently broad range of participants; and
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(c)
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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 affected in the next three roll periods.
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(3)
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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, in consultation with the Index Committee, 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.
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(4)
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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
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.
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(5)
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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.
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(6)
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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.
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PPS15
(7)
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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.
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(8)
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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.
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(9)
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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.
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(10)
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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 contracts percentage of the total is then determined.
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(11)
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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 1.00%.
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(12)
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In the event that two or more contracts on the same commodity satisfy the eligibility criteria,
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(a)
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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
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(b)
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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. 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 requirements for inclusion in the S&P GSCI.
PPS16
Contracts Included in the S&P GSCI for 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading
Facility
|
|
Commodity (Contract)
|
|
Ticker
(1)
|
|
2011
Contract
Production
Weight
|
|
|
2012
Contract
Production
Weight
|
|
|
2012
Average
Contract
Reference
Price
($)
|
|
2011
Percentage
Dollar
Weight
(2)
|
|
|
2012
Reference
Price
Dollar
Weight
|
|
|
2012 Total
Dollar
Value
Traded
(USD bn)
|
|
|
2012
Trading
Volume
Multiple
|
|
CBT
|
|
Wheat (Chicago)
|
|
W
|
|
|
18,188.56
|
|
|
|
18,217.58
|
|
|
7.466 BU
|
|
|
3.28
|
%
|
|
|
3.23
|
%
|
|
|
919.4
|
|
|
|
124
|
|
KBT
|
|
Wheat (Kansas City)
|
|
KW
|
|
|
4,134.2
|
|
|
|
5,004.071
|
|
|
8.333 BU
|
|
|
0.83
|
%
|
|
|
0.99
|
%
|
|
|
281.9
|
|
|
|
124
|
|
CBT
|
|
Corn
|
|
C
|
|
|
28,210.87
|
|
|
|
29,648.15
|
|
|
6.600 BU
|
|
|
4.50
|
%
|
|
|
4.64
|
%
|
|
|
2,771.1
|
|
|
|
259.7
|
|
CBT
|
|
Soybeans
|
|
S
|
|
|
7,708.699
|
|
|
|
8,037.317
|
|
|
13.380 BU
|
|
|
2.49
|
%
|
|
|
2.55
|
%
|
|
|
2,913.6
|
|
|
|
496.8
|
|
ICE - US
|
|
Coffee C
|
|
KC
|
|
|
16,710
|
|
|
|
17,406.22
|
|
|
2.472 lbs
|
|
|
1.00
|
%
|
|
|
1.02
|
%
|
|
|
474.9
|
|
|
|
202.3
|
|
ICE - US
|
|
Sugar #11
|
|
SB
|
|
|
340,773.4
|
|
|
|
344,724.8
|
|
|
0.278 lbs
|
|
|
2.29
|
%
|
|
|
2.28
|
%
|
|
|
870.6
|
|
|
|
166.3
|
|
ICE - US
|
|
Cocoa
|
|
CC
|
|
|
4.015306
|
|
|
|
4.116321
|
|
|
3085.750 MT
|
|
|
0.30
|
%
|
|
|
0.30
|
%
|
|
|
139.3
|
|
|
|
201
|
|
ICE - US
|
|
Cotton #2
|
|
CT
|
|
|
51,632.55
|
|
|
|
53,411.21
|
|
|
1.410 lbs
|
|
|
1.76
|
%
|
|
|
1.79
|
%
|
|
|
435
|
|
|
|
105.9
|
|
CME
|
|
Lean Hogs
|
|
LH
|
|
|
70,271.76
|
|
|
|
72,823.44
|
|
|
0.865 lbs
|
|
|
1.47
|
%
|
|
|
1.49
|
%
|
|
|
325.3
|
|
|
|
94.7
|
|
CME
|
|
Cattle (Live)
|
|
LC
|
|
|
91,458.23
|
|
|
|
92,591.82
|
|
|
1.102 lbs
|
|
|
2.44
|
%
|
|
|
2.42
|
%
|
|
|
571.2
|
|
|
|
102.7
|
|
CME
|
|
Cattle (Feeder)
|
|
FC
|
|
|
13,417.1
|
|
|
|
13,596.46
|
|
|
1.279 lbs
|
|
|
0.42
|
%
|
|
|
0.41
|
%
|
|
|
97.4
|
|
|
|
102.7
|
|
NYM/ICE
|
|
Oil (WTI Crude)
|
|
CL
|
|
|
14,314
|
|
|
|
13,557.23
|
|
|
94.111 bbl
|
|
|
32.59
|
%
|
|
|
30.49
|
%
|
|
|
22,038.9
|
|
|
|
316.7
|
|
NYM
|
|
Oil (#2 Heating)
|
|
HO
|
|
|
72,571.85
|
|
|
|
71,569.8
|
|
|
2.802 gal
|
|
|
4.92
|
%
|
|
|
4.80
|
%
|
|
|
3,463.8
|
|
|
|
316.7
|
|
NYM
|
|
Oil (RBOB)
|
|
RB
|
|
|
72,504.78
|
|
|
|
73,694.1
|
|
|
2.714 gal
|
|
|
4.76
|
%
|
|
|
4.78
|
%
|
|
|
3,454.5
|
|
|
|
316.7
|
|
ICE UK
|
|
Oil (Brent Crude)
|
|
LCO
|
|
|
6,262.977
|
|
|
|
6,959.701
|
|
|
105.134 bbl
|
|
|
15.93
|
%
|
|
|
17.14
|
%
|
|
|
12,639
|
|
|
|
316.7
|
|
ICE - UK
|
|
Oil (Gasoil)
|
|
LGO
|
|
|
313.6761
|
|
|
|
359.2745
|
|
|
879.063 MT
|
|
|
6.67
|
%
|
|
|
7.36
|
%
|
|
|
5,455.4
|
|
|
|
316.7
|
|
NYM/ICE
|
|
Natural Gas
|
|
NG
|
|
|
28,797.24
|
|
|
|
28,984.31
|
|
|
4.273 mmBtu
|
|
|
2.98
|
%
|
|
|
2.94
|
%
|
|
|
5,275.1
|
|
|
|
781
|
|
LME
|
|
Aluminum (High Gd. Prim.)
|
|
MAL
|
|
|
41.288
|
|
|
|
42.53
|
|
|
2512.938 MT
|
|
|
2.51
|
%
|
|
|
2.53
|
%
|
|
|
3,351.3
|
|
|
|
575
|
|
LME
|
|
Copper (Grade A)
|
|
MCU
|
|
|
16.62
|
|
|
|
17.14
|
|
|
9194.146 MT
|
|
|
3.70
|
%
|
|
|
3.74
|
%
|
|
|
7,477.9
|
|
|
|
870.1
|
|
LME
|
|
Standard Lead
|
|
MPB
|
|
|
7.574
|
|
|
|
7.872
|
|
|
2514.708 MT
|
|
|
0.46
|
%
|
|
|
0.47
|
%
|
|
|
631.7
|
|
|
|
585.1
|
|
LME
|
|
Primary Nickel
|
|
MNI
|
|
|
1.286
|
|
|
|
1.352
|
|
|
24796.583 MT
|
|
|
0.77
|
%
|
|
|
0.80
|
%
|
|
|
1,138.6
|
|
|
|
622.8
|
|
LME
|
|
Zinc (Spl. High Grade)
|
|
MZN
|
|
|
10.68
|
|
|
|
11.04
|
|
|
2,336.917 MT
|
|
|
0.60
|
%
|
|
|
0.61
|
%
|
|
|
1,174.7
|
|
|
|
834.9
|
|
CMX
|
|
Gold
|
|
GC
|
|
|
78.12632
|
|
|
|
76.58309
|
|
|
1,476.492 oz
|
|
|
2.79
|
%
|
|
|
2.68
|
%
|
|
|
7,224.8
|
|
|
|
1,171.6
|
|
CMX
|
|
Silver
|
|
SI
|
|
|
649.4452
|
|
|
|
665.5205
|
|
|
34.085 oz
|
|
|
0.54
|
%
|
|
|
0.54
|
%
|
|
|
3,573.1
|
|
|
|
2,888.3
|
|
(1)
|
Tickers are Reuters RIC Codes.
|
(2)
|
Using the ARCPs for the 2011 Annual Calculation Period.
|
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 United Nations 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 one-and-one-half years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The contract production weights (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 and to preserve and
enhance S&P GSCIs tradability. 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.
PPS17
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, 2011:
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
|
|
|
67.4
|
%
|
|
|
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
|
|
|
75.7
|
%
|
|
|
7.2
|
%
|
|
|
2.0
|
%
|
|
|
10.3
|
%
|
|
|
5.0
|
%
|
December 31, 2006
|
|
|
68.4
|
%
|
|
|
11.1
|
%
|
|
|
2.5
|
%
|
|
|
13.4
|
%
|
|
|
4.7
|
%
|
December 31, 2007
|
|
|
73.8
|
%
|
|
|
7.1
|
%
|
|
|
2.2
|
%
|
|
|
13.3
|
%
|
|
|
3.6
|
%
|
December 31, 2008
|
|
|
65.2
|
%
|
|
|
6.4
|
%
|
|
|
3.8
|
%
|
|
|
18.8
|
%
|
|
|
5.8
|
%
|
December 31, 2009
|
|
|
70.2
|
%
|
|
|
8.2
|
%
|
|
|
3.1
|
%
|
|
|
14.4
|
%
|
|
|
4.1
|
%
|
December 31, 2010
|
|
|
66.5
|
%
|
|
|
8.3
|
%
|
|
|
3.4
|
%
|
|
|
17.4
|
%
|
|
|
4.3
|
%
|
December 31, 2011
|
|
|
70.5
|
%
|
|
|
6.6
|
%
|
|
|
3.5
|
%
|
|
|
14.7
|
%
|
|
|
4.7
|
%
|
Copyright Standard & Poors Financial Services LLC. 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,
contract expirations and other matters.
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 weights 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 CPW, and
|
|
|
|
during a roll period, the appropriate roll weight (discussed below).
|
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 if the
exchange is closed or otherwise fails to publish a daily contract reference price on that day or 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.
PPS18
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 each 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:
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|
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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;
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|
any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a Limit
Price);
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|
the daily contract reference price published by the relevant trading facility, in the reasonable judgment of S&P, reflects manifest error and such
error is not corrected by the S&P GSCI settlement time 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 or a corrected price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or
|
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|
trading in the relevant contract terminates prior to its scheduled closing time and does not resume at least ten minutes prior to, and continue until,
the scheduled closing time.
|
The Basket Components
The S&P GSCI
®
Sugar Index Excess Return, the S&P
GSCI
®
Cocoa Index Excess Return, the S&P GSCI
®
Corn Index Excess Return, the S&P
GSCI
®
Cotton Index Excess Return, the S&P GSCI
®
Lean Hogs Index Excess Return, the S&P
GSCI
®
Live Cattle Index Excess Return, the S&P GSCI
®
Lead Index Excess Return, the S&P
GSCI
®
Nickel Index Excess Return and the S&P GSCI
®
Zinc Index
The table below
sets forth each of the S&P GSCI sub-indices that constitute the Basket Components (see below for disclosure related to the S&P GSCI
®
Precious Metals Index Excess Return), as well as the underlying commodity, the name of the futures contract on the underlying commodity and the exchange on which the
relevant futures contract trades. The delivery month associated with each of the contracts included in the Basket Components changes each month because the contract included in each Basket Component at any given time is currently required to be the
contract with the closest expiration date (the front-month contract). Each Basket Component (see below for disclosure related to the S&P GSCI
®
Precious Metals Index Excess Return) incorporates a methodology for rolling into the contract with the next closest expiration date (the next-month
contract) each month. Each Basket Component (see below for disclosure related to the S&P GSCI
®
Precious Metals Index Excess Return) 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 contracts in each Basket Component set forth below. 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.
PPS19
Table of Basket Components and Underlying Futures Contracts
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|
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|
|
|
|
Basket Component
|
|
Commodity
|
|
Underlying
Futures Contract
|
|
Exchange/Price
Source
|
S&P
GSCI
®
Sugar Index Excess Return
|
|
Sugar #11
|
|
SB
|
|
ICE - US
|
S&P
GSCI
®
Corn Excess Return
|
|
Corn
|
|
C
|
|
CBT
|
S&P
GSCI
®
Cocoa Index Excess Return
|
|
Cocoa
|
|
CC
|
|
ICE - US
|
S&P
GSCI
®
Lean Hogs Index Excess Return
|
|
Leah Hogs
|
|
LH
|
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CME
|
S&P
GSCI
®
Cotton Index Excess Return
|
|
Cotton #2
|
|
CT
|
|
ICE - US
|
S&P
GSCI
®
Live Cattle Index Excess Return
|
|
Cattle (Live)
|
|
LC
|
|
CME
|
S&P
GSCI
®
Lead Index Excess Return
|
|
Standard Lead
|
|
MPB
|
|
LME
|
S&P
GSCI
®
Nickel Index Excess Return
|
|
Primary Nickel
|
|
MNI
|
|
LME
|
S&P
GSCI
®
Zinc Index Excess Return
|
|
Zinc (Spl. High Grade)
|
|
MZN
|
|
LME
|
Level of the Basket Components
Each Basket Component incorporates the returns of those contracts in the S&P GSCI that comprise the Basket Component and the discount or premium obtained by rolling hypothetical positions in
those contracts forward as they approach delivery. The level of any Basket Component on any S&P GSCI business day is equal to the product of (1) the level of such Basket Component on the immediately preceding S&P GSCI
business day multiplied by (2) one plus the contract daily return. The contract daily return on any given day is equal to the sum, for each of the commodities included in any Basket Component, of the applicable daily contract reference price on
the relevant contract multiplied by the appropriate contract production weight and the appropriate roll weight, divided by the total dollar weight of the relevant Basket Component on the preceding day, minus one. The daily contract reference price
is the price of the relevant contract that is used as a reference or benchmark by market participants. The contract production weight is calculated based on the total quantity traded for the relevant contract as compared to the world or regional
production average, as applicable, of the underlying commodity. The roll weight of a commodity reflects the adjustments necessary because positions in futures contracts must be liquidated or rolled forward into more distant contract expirations as
they approach expiration.
S&P GSCI
®
Precious Metals Index Excess Return
The S&P GSCI
®
Precious Metals Index Excess Return is also a
sub-index of the S&P GSCI
®
Excess Return Index, and therefore disclosure above relating to the methodology
for compiling the S&P GSCI
®
Excess Return Index accordingly relates as well to the methodology of compiling
the S&P GSCI
®
Precious Metals Index Excess Return. The S&P GSCI
®
Precious Metals Index Excess Return is calculated in the same manner as the S&P GSCI
®
Excess Return Index, except that (i) the daily contract reference prices, CPWs and roll weights
used in performing such calculations are limited to those of the commodities included in the Index and (ii) the Index has a separate normalizing constant. The dollar weights and daily contract reference prices used in calculating each such
normalizing constant are limited to those of the designated contracts included in the S&P GSCI
®
Precious
Metals Index Excess Return.
The table below sets forth the underlying commodities of the S&P GSCI
®
Precious Metals Index Excess Return, as well as the weightings and the exchange on which the relevant futures
contract trades. The delivery month associated with each of the contracts included in the Index changes each month because the contract included in the Index at any given time is currently required to be the contract with the closest expiration date
(the front-month contract). The S&P GSCI
®
Precious Metals Index Excess Return incorporates a
methodology for rolling into the contract with the next closest expiration date (the next-month contract) each month. The S&P GSCI
®
Precious Metals Index Excess Return 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 S&P GSCI
®
Precious Metals Index Excess Return, and on the fifth day of the roll-over period (i.e., the ninth business day of
the month) the next-
PPS20
month contract represents 100% of the S&P GSCI
®
Precious Metals Index Excess Return. Over time, this monthly roll-over leads to the inclusion of many different individual 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.
Table of Underlying Commodities
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|
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|
|
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Basket Component
|
|
Commodity
|
|
Underlying
Futures
Contract
|
|
Dollar Weights
(as of 11/6/2012)
|
|
Exchange/Price
Source
|
S&P GSCI
®
Precious Metals Index Excess Return
|
|
Gold
|
|
Gold
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|
86.03
|
|
CMX
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|
Silver
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Silver
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13.97
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CMX
|
Level of the S&P GSCI
®
Precious Metals Index Excess Return
The S&P
GSCI
®
Precious Metals Index Excess Return incorporates the returns of those contracts in the S&P GSCI
®
that comprise the S&P GSCI
®
Precious Metals Index Excess Return and the discount or premium obtained by rolling hypothetical positions in those contracts forward as they approach delivery. The
level of the S&P GSCI
®
Precious Metals Index Excess Return on any S&P GSCI
®
business day is equal to the product of (1) the level of the S&P GSCI
®
Precious Metals Index Excess Return on the immediately preceding S&P GSCI
®
business day multiplied by (2) one plus the contract daily return. The contract daily return on any given day
is equal to the sum, for each of the commodities included in the S&P GSCI
®
Precious Metals Index Excess
Return, of the applicable daily contract reference price on the relevant contract multiplied by the appropriate contract production weight and the appropriate roll weight, divided by the total dollar weight of the Index on the preceding day, minus
one. The daily contract reference price is the price of the relevant contract that is used as a reference or benchmark by market participants. The contract production weight is calculated based on the total quantity traded for the relevant contract
as compared to the world or regional production average, as applicable, of the underlying commodity. The roll weight of a commodity reflects the adjustments necessary because positions in futures contracts must be liquidated or rolled forward into
more distant contract expirations as they approach expiration.
For reference purposes only, the closing level of the
S&P GSCI
®
Precious Metals Index Excess Return on the Basket Initial Valuation Date and the Basket Final
Valuation Date may be seen using the Bloomberg ticker as described below. With respect to the S&P GSCI
®
Precious Metals Index Excess Return, the closing level of the S&P GSCI
®
Precious Metals Index Excess Return
published at the regular weekday close of trading on the relevant date as displayed on Bloomberg Professional
®
service page SPGSPMP <Index> or any successor page on Bloomberg Professional
®
service or any
successor service, as applicable.
License Agreement
The Notes are not sponsored, endorsed, sold or promoted by Standard & Poors Financial Services LLC (S&P). S&P does not make any representation or warranty, express or
implied, to the owners of the Notes or any member of the public regarding the advisability of investing in the Notes or the ability of the S&P GSCI or any of its sub-indices to track general stock market performance.
S&Ps only relationship to Barclays Bank PLC is the licensing of certain trademarks and trade names of S&P and of the Basket Components,
which are determined, composed and calculated by S&P without regard to Barclays Bank PLC or the Notes. S&P has no obligation to take the needs of Barclays Bank PLC or the owners of the Notes into consideration in determining, composing or
calculating the Basket Components. S&P is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the
Notes are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Notes.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE BASKET COMPONENTS 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 NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BASKET COMPONENTS 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 BASKET COMPONENTS 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.
PPS21
S&P GSCI
®
, S&P GSCI
®
Index, S&P
GSCI
®
Total Return Index, S&P GSCI
®
Sugar Index Excess Return, the S&P
GSCI
®
Cocoa Index Excess Return, the S&P GSCI
®
Corn Index Excess Return, the S&P
GSCI
®
Cotton Index Excess Return, the S&P GSCI
®
Lean Hogs Index Excess Return, the S&P
GSCI
®
Precious Metals Index Excess Return, the S&P GSCI
®
Live Cattle Index Excess Return, the S&P
GSCI
®
Lead Index Excess Return, the S&P GSCI
®
Nickel Index Excess Return and the S&P
GSCI
®
Zinc Index Excess Return and S&P GSCI
®
Commodity Index are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Barclays Bank PLC.
We have derived substantially all of the information contained in preliminary terms regarding the S&P GSCI and the Basket Components (the
Indices) including, without limitation, its make up, its method of calculation and changes in its components and its historical closing values, from publicly available information. Such information reflects the policies of, and is
subject to change by, the sponsor(s) or publisher of the Indices. The Indices are developed, calculated and maintained by their sponsor(s) and/or publisher. In connection with the offering of the Notes, neither we nor any of our agents have
participated in the preparation of the information described in the preceding paragraphs or made any due diligence inquiry with respect to the Indices or the sponsors or publishers of the Indices. Neither we nor any of our agents makes any
representation or warranty as to the accuracy or completeness of such information or any other publicly available information regarding the Indices or any of the sponsors or publishers of the Indices. Furthermore, we cannot give any assurance that
all events occurring prior to the date of this preliminary pricing supplement (including events that would affect the accuracy or completeness of the publicly available information described in the preceding paragraphs) that would affect the levels
of the Indices (and therefore the initial levels of the Basket Components at the time we price the Notes) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events
concerning the sponsor of the Indices could affect the payments at maturity, the Coupon Payments or any other amounts payable on your Notes, and therefore the market value of the Notes in the secondary market, if any.
Historical Information
The following graphs set forth the historical performance of the Basket Components based on the closing levels from January 3, 2003 through November 6, 2012 in respect of the S&P GSCI
®
Sugar Index Excess Return, the S&P GSCI
®
Cocoa Index Excess Return, the S&P
GSCI
®
Corn Index Excess Return, the S&P GSCI
®
Cotton Index Excess Return, the S&P
GSCI
®
Lean Hogs Index Excess Return, the S&P GSCI
®
Precious Metals Index Excess Return, the S&P GSCI
®
Live Cattle Index Excess Return, the S&P
GSCI
®
Nickel Index Excess Return, the S&P GSCI
®
Lead Index Excess Return and the S&P
GSCI
®
Zinc Index Excess Return. The closing levels on November 6, 2012, for historical purposes only, were
25.80051 in respect of the S&P GSCI Sugar Index Excess Return, 28.01829 in respect of the S&P GSCI
®
Lean
Hogs Index Excess Return, 9.67437 in respect of the S&P GSCI
®
Cocoa Index Excess Return, 19.28888 in respect
of the S&P GSCI
®
Corn Index Excess Return, 40.61572 in respect of the S&P GSCI
®
Cotton Index Excess Return, 252.01730 in respect of the S&P
GSCI
®
Precious Metals Index Excess Return, 350.52580 in respect of the S&P GSCI
®
Live Cattle Index Excess Return, 226.80630 in respect of the S&P GSCI
®
Lead Index Excess Return, 237.31120 in respect of the S&P
GSCI
®
Nickel Index Excess Return and 50.82800 in respect of the S&P GSCI
®
Zinc Index Excess Return.
We obtained the closing levels, as applicable, of the Basket Components below from Bloomberg, L.P. We have not independently verified the accuracy or completeness of the information obtained from
Bloomberg L.P. The historical levels of the Basket Components should not be taken as an indication of future performance, and no assurance can be given as to the levels of the Basket Components on any day during the term of the Notes, including the
Basket Final Valuation Date. We cannot give you assurance that the performance of the Basket Components will result in the return of any of your initial investment.
PPS22
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PPS23
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PPS24
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PPS25
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
PPS26
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS