Obligation Barclay PLC 2.1% ( US06741TS245 ) en USD

Barclay PLC

77.4 % ⇌

Royaume-Uni

US06741TS245 ( en USD )

2.1% par an ( paiement semestriel )

18/10/2028

Prospectus brochure de l'obligation Barclays PLC US06741TS245 en USD 2.1%, échéance 18/10/2028

1 000 USD

1 685 000 USD

06741TS24

N/A

18/10/2025 ( Dans 168 jours )

Barclays PLC est une banque multinationale britannique offrant une large gamme de services financiers, notamment la banque de détail, la gestion de patrimoine, la banque d'investissement et les cartes de crédit, opérant dans de nombreux pays à travers le monde.

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06741TS245, paye un coupon de 2.1% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 18/10/2028

L'Obligation émise par Barclay PLC ( Royaume-Uni ) , en USD, avec le code ISIN US06741TS245, a été notée NR par l'agence de notation Moody's.

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...
424B2 1 a13-21602_33424b2.htm 424B2 - 15Y STEEPENER RA WITH RTY TRIGGER

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee(1)
Global Medium-Term Notes, Series A
$1,685,000
$217.03

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

1 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

Pricing Supplement dated October 15, 2013
Filed Pursuant to Rule 424(b)(2)
(To Prospectus dated July 19, 2013,
Registration No. 333-190038
the Prospectus Supplement dated July 19, 2013
and the Index Supplement dated July 19, 2013 )

US$1,685,000
PRINCIPAL AT RISK STEEPENER RANGE ACCRUAL NOTES DUE OCTOBER 18, 2028
LINKED TO THE CMS SPREAD AND RUSSELL 2000 I
® NDEX
Principal Amount:
US$1,685,000
Issuer:
Barclays Bank PLC

Issue Price:
Variable Price Re-Offer
Series:
Global Medium-Term Notes, Series A

Original Issue Date:
October 18, 2013(*)
Original Trade Date:
October 15, 2013(*)

Final Valuation Date:
October 11, 2028(*)(**)
Maturity Date:
October 18, 2028(*)(**)

Denominations:
Minimum denominations of
CUSIP/ISIN:
06741TS24/US06741TS245
US$50,000 and integral multiples of
US$1,000 thereafter.

Payment at Maturity:
For each $1,000 principal amount Note you wil receive a cash payment (subject to our credit risk) on the stated Maturity Date, determined as fol ows:
·
If the Final Index Level is greater than or equal to the Final Barrier Level: $1,000.

·
If the Final Index Level is less than the Final Barrier Level: an amount equal to (a) $1,000 plus (b) (i) $1,000 times (ii) Index Return.

Accordingly, your payment per $1,000 principal amount Note wil be calculated as fol ows:
$1,000 + [$1,000 × Index Return]
If the Final Index Level declines by more than 50% from the Initial Index Level, you will lose 1.00% of the principal amount of your Note for
every 1% that the Final Index Level falls below the Initial Index Level. As such, you will lose some or all of your principal at maturity if the
Final Index Level declines from the Initial Index Level by more than 50%.
Any payment on the Notes, including any principal protection feature, 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 pricing supplement.
[Terms of Notes continue on next page]
Barclays Capital Inc. has agreed to purchase the Notes from us at 100% of the principal amount minus a maximum commission equal to
$50.00 per $1,000 principal amount, or 5.00%, resulting in a minimum aggregate proceeds to Barclays Bank PLC of $1,600,750. Barclays
Capital Inc. proposes to offer the Notes from time to time for sale in negotiated transactions, or otherwise, at varying prices to be
determined at the time of each sale; provided that, such prices are not less than $950.00 or greater than $1,000 per $1,000 principal
amount. Barclays Capital Inc. may also use all or a portion of its commissions on the Notes to pay selling concessions or fees to other
dealers. See "The Price You Paid for the Notes May Be Higher than the Prices Paid by Other Investors" below for additional detail.Our
estimated value of the Notes on the original trade date, based on our internal pricing models, is $888.60 per Note. The estimated value is
less than the initial issue price of the Notes. See "Additional Information Regarding Our Estimated Value of the Notes" below. We may
decide to sell additional Notes after the date of this pricing supplement, at issue prices and with commissions and aggregate proceeds
that differ from the amounts set forth above. In addition, the estimated value of the Notes on the date any additional Notes are priced for
sale to be traded will take into account a number of variables, including prevailing market conditions and our subjective assumptions,
which may or may not materialize, on the date that such additional Notes are traded. As a result of changes in these variables, our
estimated value of the Notes on any subsequent trade date may be lower or higher than our estimated value of the Notes on the original
trade date, but in no case will be less than $860.00 per Note.
Any payment on the Notes 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 "Issuer Credit Risk" in this pricing
supplement.
Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page S-6 of the prospectus supplement and "Selected Risk
Factors" on page PS1 below.
The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor
any state securities commission has approved or disapproved of the Notes or determined that this pricing supplement is truthful or
complete. Any representation to the contrary is a criminal offense.
We may use this pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this
pricing supplement in market resale transactions in any Notes after their initial sale. Unless we or our agent informs you otherwise in
the confirmation of sale, this pricing supplement is being used in a market resale transaction.
The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays
Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United
States, the United Kingdom or any other jurisdiction.

2 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

Index:
Russell 2000® Index. The Russell 2000® Index is a subset of the Russell 3000® Index that consists of
approximately 2,000 of the smallest companies (based on a combination of their market capitalization and the
current index membership) included in the Russell 3000® Index. The Russell 2000® Index is designed to track
the performance of the small capitalization segment of the U.S. equity market. For additional information about
the Index, see the information set forth under "Equity Indices-- Russell 2000® Index" in the index supplement.

Index Return:
The performance of the Index from the Initial Index Level to the Final Index Level, expressed as a percentage
and calculated as fol ows:

Final Index Level Initial Index Level

Initial Index Level

Final Index Level:
The Index Level on the Final Valuation Date.

Initial Index Level:
1,079.62, which is the closing level of the Index on the Original Trade Date.

Index Level:
For any Index Business Day, the closing value of the Index published at the regular weekday close of trading on
that Index Business Day as determined by the Calculation Agent and displayed on Bloomberg
Professional® service page "RTY <Index>" or any successor page on Bloomberg Professional® service or any
successor service, as applicable. In certain circumstances, the closing value of the Index wil be based on the
alternate calculation of the Index as described in "Reference Assets -- Adjustments Relating to Securities with
the Reference Asset Comprised of an Index or Indices" starting on page S-102 of the accompanying
prospectus supplement.

Initial Above Barrier Rate:
10.00%

Final Barrier Level:
539.81, which is 50.00% of the Initial Index Level.

Reference Asset/Reference
The CMS Spread.
Rate:
CMS Spread: An amount determined by the Calculation Agent, which is the CMS Rate with a maturity of 30
years minus CMS Rate with a maturity of 2 years. (See "The CMS Rates" on page PS-10 for additional
information on how the CMS Rates are calculated). In certain circumstances, the CMS Rate wil be based on
the alternate calculation of the CMS Rate as described in "Reference Assets --CMS Rate" of the
accompanying prospectus supplement.

Interest Rate Formula:
For each Interest Period commencing on or after the Original Issue Date, the interest rate per annum wil be
equal to the product of (1) the applicable Above Barrier Rate times the (2) the applicable Accrual Factor.

Accrual Factor:
For any Interest Period, the number of calendar days in the Interest Period on which the Index Level observed
on that day is greater than or equal to the applicable Index Barrier Level, divided by the total number of
calendar days in that Interest Period. Notwithstanding anything else to the contrary, if any calendar day during
an interest Period is not an Index Business Day or if the Index is subject to a Market Disruption Event, then the
Index Level wil equal the Index Level observed on the immediately preceding Index Business Day on which no
Market Disruption Event has occurred or continued.

Index Level Cut-Off:
For any Interest Period, the Index Level for any day from and including the fifth Index Business Day prior to the
related Interest Payment Date shall be the Index Level on such fifth Index Business Day prior to that Interest
Payment.

Above Barrier Rate:
For each Interest Period commencing on or after the Original Issue Date to but excluding October 18, 2014
("Initial Interest Payment Period"), the Initial Above Barrier Rate.
For each Interest Period commencing on or after October 18, 2014 ("Floating Interest Payment Period"), the
product of (1) the applicable Multiplier and (2) the CMS Spread, subject to the Minimum Above Barrier Rate, if
applicable, and the Maximum Above Barrier Rate, if applicable.

Maximum Above Barrier Rate:
10.00%

Minimum Above Barrier Rate:
0.00%

Multiplier:
4.00

Index Barrier Level:
647.77, which is equal to 60.00% of the Initial Index Level.

Interest Payment Dates:
Payable quarterly in arrears on the 18th day of each January, April, July and October, commencing on January
18, 2014 and ending on the Maturity Date.

Interest Period:
The initial Interest Period wil begin on, and include, the Original Issue Date and end on, but exclude, the first
Interest Payment Date. Each subsequent Interest Period wil begin on, and include, the Interest Payment Date
for the preceding Interest Period and end on, but exclude, the next fol owing Interest Payment Date. The final
Interest Period wil end on, but exclude, the Maturity Date.

Reference Rate Reset Dates:
The first day of each Interest Period commencing on the Original Issue Date and ending on the Final Valuation
Date.

Reference Rate Determination
Two (2) New York Business Days prior to the relevant Reference Rate Reset Date.
Date:

Business Day Convention/Day
Fol owing, unadjusted; 30/360
Count Fraction:

Index Business Day:
A day, as determined by the Calculation Agent, on which trading is generally conducted on each of the relevant
exchange(s) on which each Index component is traded is scheduled to be open for trading and trading is
generally conducted on each such relevant exchange.

Business Day:
A Monday, Tuesday, Wednesday, Thursday or Friday that is neither a day on which banking institutions in
London or New York City generally are authorized or obligated by law, regulation, or executive order to close.

3 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...
Settlement:
DTC; Book-entry; Transferable.

Listing:
The Notes wil not be listed on any U.S. securities exchange or quotation system.

Calculation Agent:
Barclays Bank PLC

(*) Depending on the actual date on which the Notes are priced for sale to the public, which wil be the Original Trade Date, any reference in this pricing supplement
to the month in which the Issue Date, Final Valuation Date and Maturity Date will occur is subject to change.
(**) Subject to postponement in the event of a Market Disruption Event. If the Index is subject to a Market Disruption Event on the Final Valuation Date, the Index
Level on such date wil equal the Index Level observed on the immediately preceding Scheduled Trading Day on which no Market Disruption Event has occurred
or is continuing. See "Reference Assets-Equity Securities-Indices-Market Disruption Events Relating to Securities with the Reference Asset Comprised of an Index
or Indices of Equity Securities" starting on page S-99 of the accompanying prospectus supplement for additional information on the events that wil be deemed to
be a Market Disruption Event.

4 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

We urge you to consult your investment, legal, tax, accounting and other advisers and to invest in the Notes
only after you and your advisors have carefully considered the suitability of an investment in the Notes in light
of your particular circumstances.

Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to
which this pricing supplement relates. Before you invest, you should read the prospectus dated July 19, 2013,
the prospectus supplement dated July 19, 2013, the index supplement date July 19, 2013, and other documents
Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this
offering. Buyers should rely upon this pricing supplement, the prospectus, the prospectus supplement and
any relevant preliminary pricing supplement for complete details. You may get these documents and other
documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov, and
you may also access the prospectus and prospectus supplement through the links below:

·
Prospectus dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295636/d570220df3asr.htm

·
Prospectus Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295715/d570220d424b3.htm

·
Index Supplement dated July 19, 2013:

http://www.sec.gov/Archives/edgar/data/312070/000119312513295727/d570220d424b3.htm

Our Our SEC file number is 1-10257 and our Central Index Key, or CIK, on the SEC website is 0000312070.

Alternatively, Barclays Capital Inc. or any agent or dealer participating in this offering will arrange to send you
this pricing supplement, the prospectus, the prospectus supplement and any relevant preliminary pricing
supplement if you request it by calling your Barclays Capital Inc. sales representative, such dealer or
1-888-227-2275 (Extension 2-3430). A copy of the prospectus may be obtained from Barclays Capital Inc., 745
Seventh Avenue--Attn: US InvSol Support, New York, NY 10019.

We reserve the right to change the terms of, or reject any offer to purchase the Notes prior to their issuance. In the
event of any changes to the terms of the Notes, we wil notify you and you wil be asked to accept such changes in
connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to
purchase.

As used in this term sheet, the "Company," "we," "us," or "our" refers to Barclays Bank PLC.

5 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

Additional Information Regarding Our Estimated Value of the Notes

Our internal pricing models take into account a number of variables and are based on a number of subjective
assumptions, which may or may not materialize, typical y including volatility, interest rates, and our internal funding rates.
Our internal funding rates (which are our internal y published borrowing rates based on variables such as market
benchmarks, our appetite for borrowing, and our existing obligations coming to maturity) may vary from the levels at
which our benchmark debt securities trade in the secondary market. Our estimated value on the pricing date is based
on our internal funding rates. Our estimated value of the Notes may be lower if such valuation were based on the levels
at which our benchmark debt securities trade in the secondary market.

Our estimated value of the Notes on the pricing date is less than the initial issue price of the Notes. The difference
between the initial issue price of the Notes and our estimated value of the Notes results from several factors, including
any sales commissions to be paid to Barclays Capital Inc. or another affiliate of ours, any selling concessions, discounts,
commissions or fees to be allowed or paid to non-affiliated intermediaries, the estimated profit that we or any of our
affiliates expect to earn in connection with structuring the Notes, the estimated cost which we may incur in hedging our
obligations under the Notes, and estimated development and other costs which we may incur in connection with the
Notes.

Our estimated value on the pricing date is not a prediction of the price at which the Notes may trade in the secondary
market, nor wil it be the price at which Barclays Capital Inc. may buy or sel the Notes in the secondary market. Subject
to normal market and funding conditions, Barclays Capital Inc. or another affiliate of ours intends to offer to purchase the
Notes in the secondary market but it is not obligated to do so.

Assuming that al relevant factors remain constant after pricing date, the price at which Barclays Capital Inc. may initially
buy or sell the Notes in the secondary market, if any, and the value that we may initial y use for customer account
statements, if we provide any customer account statements at all, may exceed our estimated value on the pricing date
for a temporary period expected to be approximately twelve months after the initial issue date of the Notes because, in
our discretion, we may elect to effectively reimburse to investors a portion of the estimated cost of hedging our
obligations under the Notes and other costs in connection with the Notes which we wil no longer expect to incur over the
term of the Notes. We made such discretionary election and determined this temporary reimbursement period on the
basis of a number of factors, including the tenor of the Notes and any agreement we may have with the distributors of
the Notes. The amount of our estimated costs which we effectively reimburse to investors in this way may not be
allocated ratably throughout the reimbursement period, and we may discontinue such reimbursement at any time or
revise the duration of the reimbursement period after the initial issue date of the Notes based on changes in market
conditions and other factors that cannot be predicted.

Barclays Capital Inc., or another affiliate of ours, or a third party distributor may purchase and hold some of the Notes
for subsequent resale at variable prices after the initial issue date of the Notes. There may be circumstances where
investors may be offered to purchase those Notes from one distributor (including Barclays Capital Inc. or an affiliate) at a
more favorable price than from other distributors. Furthermore, from time to time, Barclays Capital Inc. or an affiliate
may offer and sel the Notes to purchasers of a large number of the Notes at a more favorable price than a purchaser
acquiring a lesser number of the Notes.

At our sole option, we may decide to offer additional Notes after the original trade date. Our estimated value of the
Notes on any subsequent trade date may reflect issue prices, commissions and aggregate proceeds that differ from the
amounts set forth in this pricing supplement and wil take into account a number of variables, including prevailing market
conditions and our subjective assumptions, which may or may not materialize, on the date that such additional Notes are
traded. As a result of changes in these variables, our estimated value of the Notes on any subsequent trade date may
differ significantly from our estimated value of the Notes on the original trade date, but in no case wil be less than
$860.00.

We urge you to read the "Selected Risk Considerations" beginning on page PS-1 of this free writing
prospectus.

6 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

SELECTED RISK FACTORS

An investment in the Notes involves significant risks not associated with an investment in conventional floating
rate or fixed rate medium term notes. You should read the risks summarized below in connection with, and the
risks summarized below are qualified by reference to, the risks described in more detail in the "Risk Factors"
section beginning on page S-6 of the prospectus supplement. We urge you to consult your investment, legal,
tax, accounting and other advisers and to invest in the Notes only after you and your advisors have carefully
considered the suitability of an investment in the Notes in light of your particular circumstances.

·
Your Investment May Result in a Loss; You Could Lose Your Entire Principal Investment in the Notes--

The Notes do not guarantee any return of principal. The Notes provide for limited protection (subject to our
credit risk) at maturity and only to the extent afforded by the Final Barrier Level. However, if the Final Index
Level declines from the Initial Index Level by more than 50.00%, you wil lose an amount equal to 1.00% of the
principal amount for every 1.00% that Final Index Level has fal en below the Initial Index Level. Moreover, if the
Index Level declines to zero, then you wil lose your entire investment in the Notes. Any payment on the Notes,
including any principal protection feature, 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 "Issuer Credit Risk" in this pricing supplement.
·
The Payment at Maturity on Your Notes Will Be Based on the Index Level on the Final Valuation Date,

Which Occurs Approximately Fifteen Years After the Issue Date--If the Final Index Level declines from the
Initial Index Level by more than 50.00%, you can lose up to your entire principal investment in the Notes. The
Final Index Level wil be based on the closing level of the Index on the Final Valuation, which is a date that is
approximately fifteen years fol owing the Issue Date. Because the Payment at Maturity on your Notes, if any, is
based solely on the performance of the Index on the Final Valuation Date, your investment in the Notes entails
taking a position on the performance of the Index as of a date that occurs approximately fifteen years after the
Issue Date. During this fifteen year period, a multitude of factors, including, among other things, political,
economic, regulatory, environmental and military events, can have a significant impact on the performance of the
Index. Many of these factors and events are unpredictable. Making accurate long-term predictions regarding
the performance of equities indices, such as the Index, is exceedingly difficult, if not impossible, and, as such, an
investment in the Notes subjects you to significant market risk. Moreover, in contrast to the Notes, which
expose investors to ful principal risk if the Final Index Level is less than the Final Barrier Level, a majority of
instruments with similar maturities to the Notes are principal protected (subject to the creditworthiness of the
relevant issuer). As such, in light of the fact that your principal investment in the Notes is at risk, the Notes are
significantly riskier than many other instruments with similar maturities and therefore should not be viewed by
investors as being comparable to standard fixed income investments.
·
The Payment at Maturity of Your Notes is Not Based on the Level of the Index at Any Time Other than

the Closing Level on the Final Valuation Date--The Final Index Level of the Index wil be based solely on the
Index Level on the Final Valuation Date (which wil occur approximately fifteen years fol owing the Issue Date).
Therefore, if the Index Level of the Index drops precipitously on the Final Valuation Date, the payment at
maturity, if any, that you wil receive for your Notes may be significantly less than it would otherwise have been
had such payment been linked to the level of the Index prior to such drop. Please see "The Payment at Maturity
on Your Notes Wil Be Based on the Index Level on the Final Valuation Date, Which Occurs Approximately
Fifteen Years After the Issue Date" for further discussion on the on the timing of the observation of the Index
Level for purposes of determining the Payment at Maturity, if any.
·
Issuer Credit Risk-- The Notes are our unsecured debt obligations, and are not, either directly or indirectly, an

obligation of any third party. Any payment to be made on the Notes, including any repayment of principal
provided at maturity, depends on our ability to satisfy our obligations as they come due. As a result, the actual
and perceived creditworthiness of Barclays Bank PLC may affect the market value of the Notes and, in the event
we were to default on our obligations, you may not receive the repayment of principal or any other amounts
owed to you under the terms of the Notes.
·
The Price You Paid for the Notes May Be Higher than the Prices Paid by Other Investors-- Barclays

Capital Inc. proposes to offer the Notes from time to time for sale to investors in one or more negotiated
transactions, or otherwise, at prevailing market prices at the time of sale, at prices related to then-prevailing
prices, at negotiated prices, or otherwise. Accordingly, there is a risk that the price you paid for your Notes wil
be higher than the prices paid by other investors based on the date and time you made your purchase, from
whom you purchased the Notes, any related transaction costs, whether you hold your Notes in a brokerage
7 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...
account, a fiduciary or fee-based account or another type of account and other market factors.

PS-1
8 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...

·
Potential Return Limited to Any Interest Payments --The return on the Notes, if any, is limited to the

quarterly interest payments, if any. You wil not participate in any appreciation in the principal amount of your
Notes (even though your principal investment on the Notes is subject to loss) regardless of any increase in the
Index Level (which may be significant). Moreover, if on any day in an Interest Period, the Index Level is
determined to be less than the Index Barrier Level, interest wil accrue at a rate of 0.00% per annum for that
day. In addition, beginning on the Reference Rate Reset Date of October 18, 2014 and each Reference Rate
Reset Date thereafter, if the CMS Spread (which is the CMS Rate with a maturity of 30 years minus CMS Rate
with a maturity of 2 years - see "The CMS Rates" on page PS-10 for additional information on how the CMS
Rates are calculated) is equal to or less than 0.00% on the Reference Rate Determination Date prior to such
Reference Rate Reset Date, interest wil accrue at a rate of 0.00% per annum for each day within the Interest
Period, regardless of the Index Level on any day in such Interest Period. Conversely, if on each Reference Rate
Determination Date the CMS Spread is greater than 0.00% but the Index level is less than the Index Barrier
Level on each day within the applicable Interest Periods, interest wil not accrue on any day within such periods
in spite of the CMS Spread being greater than 0.00%. As such, it is possible that you wil not receive any
interest payments during the term of the Notes. Please see "Reference Rate/Interest Payment Risk" for further
discussion.
·
Reference Rate / Interest Payment Risk/ No Regular Non-Contingent Fixed Interest Payments-- Investing

in the Notes is not equivalent to investing in securities directly linked to the CMS Rates and/or the Index. During
the Initial Interest Payment Period (which includes each Interest Period commencing on or after the Original
Issue Date to but excluding October 18, 2014), interest wil not accrue at the Initial Above Barrier Rate of
10.00% per annum on any day within the applicable Interest Period in which it is determined that the Index Level
is below the Index Barrier Level. And, during the Floating Interest Payment Period (which includes each Interest
Period commencing on or after October 18, 2014), interest wil not accrue if, on the related Reference Rate
Determination Date to each applicable Interest Period, the CMS Spread is equal to or less than 0.00%
regardless of the Index Level on any day within the applicable Interest Period.

As a result, during the Initial Interest Payment Period, if the Index Level is less than the Index Barrier Level on
one or more days during an applicable Interest Period, then the interest rate for that Interest Period, and the
amount of interest paid on the related Interest Payment Date, wil decrease in proportion to the number of
calendar days in the Interest Period that the Index Level is less than the Index Barrier Level. Accordingly, in
such circumstances you would not receive the maximum possible interest rate for that Interest Period.
Furthermore, if after the Initial Interest Payment Period, the CMS Spread is determined to be 0.00% or less on
each Reference Rate Determination Date, the Minimum Above Barrier Rate of 0.00% per annum wil accrue
during the applicable Interest Periods, and as such, effectively no interest wil accrue on the related Interest
Period. Moreover, if after the Initial Interest Payment Period, the CMS Spread is determined to be greater than
0.00% (subject to the Maximum Above Barrier Rate) on each Reference Rate Determination Date, interest wil
only accrue on those days within the applicable Interest Period in which the Index Level is above the Index
Barrier Level.

Given these various scenarios, it is possible that the interest payment related to each Interest Period during the
term of the Notes wil be less than the amount that would be paid on an ordinary debt security of comparable
maturity and may be zero in many instances.
·
Index Level Cut-Off--The Index Level with respect to each day from and including the fifth Index Business Day

prior to the related Interest Payment Date for any Interest Period (each such fifth day, an "Index Level Cut-Off
Date") to but excluding such related Interest Payment Date wil be the Index Level in effect on such Index Level
Cut-Off Date. As such, if the Index Level is less than the Index Barrier Level on such Index Level Cut-Off Date,
you wil not accrue any interest at the applicable rate (which may be 0.00% in any case) on your Notes in
respect of the days from and including the Interest Level Cut-Off Date to but excluding the relevant Interest
Payment Date, even if the Index Level as actual y calculated on any of those days were greater than the Index
Barrier Level.
·
The Amount of Interest Payable on the Notes Related to Any Interest Period is Capped--The interest rate

on the Notes for each quarterly Interest Period is capped for that quarter at the maximum interest rate of
10.00% per annum, and, as described above wil only accrue on each day within the applicable Interest Period if
all conditions related to such period (as described above) are satisfied on each day within the period.
Furthermore, during the Floating Interest Payment Period, due to the leverage factor or multiplier, you wil not
get the benefit of any increase in the CMS Spread (as determined on the relevant Reference Rate Determination
Date) above a level of approximately 2.50%.
·
Exposure to the Index and the CMS Rates-- Payments on the Notes are determined with reference to both

9 of 27
10/17/2013 8:41 AM

http://www.sec.gov/Archives/edgar/data/312070/000110465913075903/...
the CMS Rates and the Index. The Index is designed to track the performance of the smal capitalization
segment of the U.S. equity market. Please see "Selected Risk Considerations--Certain Considerations Related
to Equity Indices Whose Underlying Constituents are Small Capitalization Stocks" below.

PS-2
10 of 27
10/17/2013 8:41 AM